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Article
Publication date: 28 February 2022

Edson Zambon Monte

The main goal of this paper is to investigate whether there is long-memory behavior in the CBOE Brazil ETF volatility index (named here VIXBR). As structural breaks may create a…

Abstract

Purpose

The main goal of this paper is to investigate whether there is long-memory behavior in the CBOE Brazil ETF volatility index (named here VIXBR). As structural breaks may create a spurious long-range dependence, the presence of structural breaks is also gauged.

Design/methodology/approach

The study considers the period from October 2011 to March 2021, using daily data. To test the long-memory behavior, three empirical approaches are adopted: GPH, ELW and robust GPH (RGPH) estimator. To estimate the structural break points adopted to date the subsamples, the ICSS algorithm is used.

Findings

Results considering the total period (TP) and subsamples show that the breaks did not create a spurious long-memory behavior and together with the rolling estimation, reveal strong evidence of the long-range dependence in the CBOE Brazil ETF volatility index. The higher degree of persistent of the VIXBR series suggests an extended period of increased uncertainty that agents need consider when making their investment decision.

Research limitations/implications

As possible extension of this study is to investigate the behavior of long memory and structural breaks for different frequencies (weekly, monthly, among others).

Practical implications

The presence of long-range dependence in the CBOE Brazil ETF volatility index reveals that the past information is important for the predictability of risks, and therefore, can help to protect against market risks, which has important implications regarding the future decisions of economic agents (for example, policy makers and investors).

Originality/value

Brazil is an emerging capital market (ECM) that has attracted a great deal of attention from investors and investment funds seeking to diversify its assets. This paper contributes to the empirical financial literature, by studying the long-memory behavior of the CBOE Brazil ETF volatility index, considering possible structural breaks. To the best of knowledge, this has not been done so far.

Details

International Journal of Emerging Markets, vol. 18 no. 11
Type: Research Article
ISSN: 1746-8809

Keywords

Open Access
Article
Publication date: 25 August 2022

Ashish Kumar, Shikha Sharma, Ritu Vashistha, Vikas Srivastava, Mosab I. Tabash, Ziaul Haque Munim and Andrea Paltrinieri

International Journal of Emerging Markets (IJoEM) is a leading journal that publishes high-quality research focused on emerging markets. In 2020, IJoEM celebrated its fifteenth…

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Abstract

Purpose

International Journal of Emerging Markets (IJoEM) is a leading journal that publishes high-quality research focused on emerging markets. In 2020, IJoEM celebrated its fifteenth anniversary, and the objective of this paper is to conduct a retrospective analysis to commensurate IJoEM's milestone.

Design/methodology/approach

Data used in this study were extracted using the Scopus database. Bibliometric analysis, using several indicators, is adopted to reveal the major trends and themes of a journal. Mapping of bibliographic data is carried using VOSviewer.

Findings

Study findings indicate that IJoEM has been growing for publications and citations since its inception. Four significant research directions emerged, i.e. consumer behaviour, financial markets, financial institutions and corporate governance and strategic dimensions based on cluster analysis of IJoEM's publications. The identified future research directions are focused on emergent investments opportunities, trends in behavioural finance, emerging role technology-financial companies, changing trends in corporate governance and the rising importance of strategic management in emerging markets.

Originality/value

To the best of the authors' knowledge, this is the first study to conduct a comprehensive bibliometric analysis of IJoEM. The study presents the key themes and trends emerging from a leading journal considered a high-quality research journal for research on emerging markets by academicians, scholars and practitioners.

Details

International Journal of Emerging Markets, vol. 19 no. 4
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 15 March 2022

Vanita Tripathi and Aakanksha Sethi

The purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency…

Abstract

Purpose

The purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency. Further, we investigate how the difference in market timings affect the impact of ETFs on their constituents. Lastly, we examine how these effects vary during tranquil and turmoil periods in the ETF markets.

Design/methodology/approach

The study is based on quarterly data for stocks comprising the CNX Nifty 50 Index from 2009Q1 to 2019Q3. The data on holdings of 45 domestic and 196 foreign ETFs in the sample stocks were obtained from Thomson Reuters' Eikon. The paper employs a panel-regression methodology with stock and time fixed effects and robust standard errors.

Findings

Foreign ETFs from North America and the Asia Pacific largely have an adverse impact on stocks' return volatility. In times of turmoil, stocks with higher coverage of European, North American and Domestic funds are susceptible to volatility shocks emanating from these regions. European and Asia Pacific ETFs are associated with improved price discovery while North American funds impound a mean-reverting component in stock prices. However, in turbulent markets, both positive and negative impacts of ETFs on pricing efficiency coexist.

Originality/value

To the best of the authors' knowledge, this is the first study that examines the impact of domestic as well as foreign ETFs on the equities of an emerging market. Furthermore, the study is unique as we investigate how the effects of ETFs vary in turbulent and tranquil markets. Moreover, the paper examines the role of asynchronous market timings in determining the ETF impact. The paper adds to the growing literature on the unintended consequences of index-linked products.

Details

International Journal of Emerging Markets, vol. 18 no. 11
Type: Research Article
ISSN: 1746-8809

Keywords

Open Access
Article
Publication date: 12 April 2023

Michael O'Neill and Gulasekaran Rajaguru

The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX…

Abstract

Purpose

The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark.

Design/methodology/approach

Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading.

Findings

High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation.

Originality/value

The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.

Details

Journal of Accounting Literature, vol. 46 no. 2
Type: Research Article
ISSN: 0737-4607

Keywords

Article
Publication date: 29 September 2023

Paul Tully

The Further Education and Training (FET) sector is being positioned as a centrepiece of the government's post-pandemic recovery. However, issues of capacity and staff churn are…

Abstract

Purpose

The Further Education and Training (FET) sector is being positioned as a centrepiece of the government's post-pandemic recovery. However, issues of capacity and staff churn are threatening the potential success of this strategy. Unfortunately, there has been almost no strategic analysis of teacher churn in the English FET system or of the derivative issues of recruitment and retention, both of which jeopardise the sector's capacity to deliver high-quality teaching and improve workforce skills. This paper examines these issues for policymakers and sector leaders and makes suggestions on how these can be redressed. A call for a more joined-up FET sector is presented.

Design/methodology/approach

This is a follow-up paper to a report published by the Education and Training Foundation in 2022 on teacher recruitment in the English FET sector. This paper pulls together all of the most recent research on the English FET sector on teacher recruitment and retention and frames these against the DfE's Skills for Jobs policy commitments. It also analyses a number of proposed solutions, reflecting on their merits and potential consequences.

Findings

An updated profile of FET institutions within the college, private training and adult subsectors is offered, showing how the FET sector in England has been in steady decline, which is juxtaposed against the rhetoric of industrial productivity and economic renewal. Four variables, namely funding, institutional numbers, staffing and learner numbers are examined to explore this disparity. A more in-depth analysis of recruitment and retention research follows, showing that pay, job insecurity and status are the factors influencing the decision to start an FET career. Strategies for remedying the “crisis” are assessed, including the role of national campaigns and professional bodies.

Research limitations/implications

The first point for any research programme is to draw together the research data and themes that have been previously discussed in order to build a platform for future investigation, which is what this paper does. There are clear steers on where future research might be located: staff well-being, professional status, recruitment methods and what is meant by an FET career. These are factors that affect the desirability of FET work and the sector's ability to recruit high-quality candidates. The consequences of not doing this research is the likely continuation of the status quo, which is unsustainable for the FET sector and potentially catastrophic to UK productivity.

Practical implications

Policymakers and sector leaders are presented with analysis and advice on the impact of teacher shortages and the factors that contribute to this. The evidence to support these factors is explored and solutions discussed in light of this evidence. A research agenda is suggested including an appeal for professional organisations and FET stakeholders to work together to solve the recruitment and retention crisis. The power of research to enlighten and inform is one of several conclusions proposed.

Social implications

Addressing the factors that corrode staff professionalism and increase teacher attrition is an essential component of a wider discourse to improve the desirability of an FET career. Issues of status and esteem are interwoven in this analysis, as are the implications of not recruiting talented teachers and assessors. This includes staff well-being – a rare topic in FET journal papers – as well as organisational culture and importance of the FET mission, which is considered to be embedded in an ethic of public service. This mission is linked via the Augur Report to the sector's transformational properties to raise social mobility.

Originality/value

There is no precedent for this paper. It is the first article that has provided a comprehensive examination of teacher recruitment and retention issues affecting the whole FET sector in England. Whilst its comparative analysis builds on the Education and Training Foundation (2022) earlier report, it uniquely draws on other contemporary research that triangulates and discusses these findings, including setting out a new agenda for change and future research. In doing so, new issues are introduced for discussion including professional status and staff well-being.

Details

Education + Training, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0040-0912

Keywords

Article
Publication date: 25 April 2023

James Bentley and Zhangxin (Frank) Liu

The purpose of this study is to examine the impact of a recent innovation in the uranium market, the Global X Uranium Exchange-Traded Fund (URA), on the trading characteristics of…

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Abstract

Purpose

The purpose of this study is to examine the impact of a recent innovation in the uranium market, the Global X Uranium Exchange-Traded Fund (URA), on the trading characteristics of constituent and non-constituent stocks.

Design/methodology/approach

The authors analyse bid-ask spread measures, relative effective spreads and adverse selection costs to assess changes in information asymmetry among uranium stocks. The authors also study abnormal returns to assess the impact of URA on the market.

Findings

Over a three-month period, following the introduction of URA, the authors find uranium stocks display decreased bid-ask spread measures, driven by reductions in information asymmetry. Relative effective spreads decrease by 36% after the introduction of URA, and adverse selection costs decline by 24% over the same period. Uranium stocks experience a significant positive abnormal return of 5.0% the day after the introduction of URA with subsequent price reversals. These suggest that the introduction of URA prompted uninformed traders to rebalance portfolios and migrate to the less information-sensitive Exchange-Traded Fund (ETF), causing temporary deviations in trading characteristics.

Originality/value

The authors demonstrate that the introduction of new financial securities to the market can have a significant impact on the trading characteristics of related equities. As URA is the only ETF in the uranium sector, the authors thereby avoid the influence of multiple ETFs that may have impacted previous studies.

Details

Journal of Accounting Literature, vol. 45 no. 3
Type: Research Article
ISSN: 0737-4607

Keywords

Article
Publication date: 22 August 2022

Xu Chen, Yingliang Wu, Junfeng Liao, Wenming Zuo and Rujie Zhong

The incentive cost of enterprises increases significantly with the rapid growth of the social commerce (SC) market. In this context, enterprises need to develop the optimal…

Abstract

Purpose

The incentive cost of enterprises increases significantly with the rapid growth of the social commerce (SC) market. In this context, enterprises need to develop the optimal strategy to improve incentive effectiveness and reduce cost. Different types of consumers’ responses to incentives bring different values to enterprises. Hence, this paper proposes the social commerce value network (SCVN) to help enterprises study the contributions of different types of consumers to the network.

Design/methodology/approach

Based on the graphical evaluation and review technique (GERT), the authors construct the social commerce value GERT (i.e. SCV-GERT) network and design three progressive experiments for estimating the value contributions of “network stage”, “consumer type”, and “resource type” to the SCVN under the same incentives. The authors initialize the SCV-GERT model with consumer data in SC and distinguish the most valuable consumers by adjusting the incentive parameters.

Findings

The results show that the SCV-GERT model can well describe the value flow of SCVN. The incentive on forwarding consumers brings the greatest value gain to the SCVN, and social trust contributes the most to forwarding consumers.

Practical implications

Under the guidance of the results, platforms and enterprises in SC can select the optimal type of consumers who bring the maximum network value so as to improve the effectiveness of incentive strategy and reduce marketing costs. A four-level incentive system should be established according to the ranking of the corresponding value gains: forwarding consumers > agent consumers > commenting consumers > potential consumers. Enterprises also need to find ways to improve the social resource investments of consumers participating in SC.

Originality/value

This paper investigates the incentive problem in SC grounded in the SCVN and uses the GERT method to construct the SCV-GERT model, which is the first attempt to introduce GERT into the SC context. This study also makes up for the lack of comparative research on different types of consumers in SC and can provide support for enterprises’ customer relationship management and marketing decisions.

Details

Kybernetes, vol. 52 no. 11
Type: Research Article
ISSN: 0368-492X

Keywords

Article
Publication date: 14 August 2023

Maizaitulaidawati Md Husin, Shahab Aziz and Mehwish Iqbal

This paper aims to provide bibliometric data from previously published research in Islamic fund management. Several categories, such as the most influential authors, the keywords…

Abstract

Purpose

This paper aims to provide bibliometric data from previously published research in Islamic fund management. Several categories, such as the most influential authors, the keywords and themes of the previously published research, were analyzed. Also, this paper provides a rigorous background for Islamic mutual funds research by synthesizing and reviewing the content of the previously published research to identify the gaps and provide future research direction.

Design/methodology/approach

Data were gathered from Scopus databases from the year 2007 until 2022. A total of 115 articles were found published over the period of 15 years. Three different software, namely, R-Studio, VOSviewer and Excel are used to analyze the data that depict, among others, the most impactful authors in the field, the top journals covering Islamic fund management research and the most cited document. Content analysis of the previously published research was also provided.

Findings

Publication in Islamic funds started gaining attention in the year 2012 and after. Collaborative works on Islamic funds are not strong yet among the contributory nations, although the USA and Malaysia contributed the highest number of publications. This study also found that there was a lack of research collaboration among authors in this research field, and most of the articles published were concentrated on the performance measurements of Islamic funds.

Research limitations/implications

Researchers might find the results of this paper useful, as they provide a comprehensive analysis of the previously published research in the field.

Practical implications

While these findings gave an overview of the intellectual structure of the research field, they also have the potential to inspire scholars working on Islamic funds research to collaborate on new research projects. Managers can also use this research to further enhance the emergence of Islamic fund management.

Originality/value

This is a comprehensive paper that examines previously published research in the field of Islamic fund management. The findings of this research benefit practitioners and researchers wishing to embark on research in this niche area.

Details

Journal of Islamic Marketing, vol. 15 no. 2
Type: Research Article
ISSN: 1759-0833

Keywords

Article
Publication date: 23 November 2023

Bikramaditya Ghosh, Mariya Gubareva, Noshaba Zulfiqar and Ahmed Bossman

The authors target the interrelationships between non-fungible tokens (NFTs), decentralized finance (DeFi) and carbon allowances (CA) markets during 2021–2023. The recent shift of…

Abstract

Purpose

The authors target the interrelationships between non-fungible tokens (NFTs), decentralized finance (DeFi) and carbon allowances (CA) markets during 2021–2023. The recent shift of crypto and DeFi miners from China (the People's Republic of China, PRC) green hydro energy to dirty fuel energies elsewhere induces investments in carbon offsetting instruments; this is a backdrop to the authors’ investigation.

Design/methodology/approach

The quantile vector autoregression (VAR) approach is employed to examine extreme-quantile-connectedness and spillovers among the NFT Index (NFTI), DeFi Pulse Index (DPI), KraneShares Global Carbon Strategy ETF price (KRBN) and the Solactive Carbon Emission Allowances Rolling Futures Total Return Index (SOLCARBT).

Findings

At bull markets, DPI is the only consistent net shock transmitter as NFTI transmits innovations only at the most extreme quantile. At bear markets, KRBN and SOLCARBT are net shock transmitters, while NFTI is the only consistent net shock receiver. The receiver-transmitter roles change as a function of the market conditions. The increases in the relative tail dependence correspond to the stress events, which make systemic connectedness augment, turning market-specific idiosyncratic considerations less relevant.

Originality/value

The shift of digital asset miners from the PRC has resulted in excessive fuel energy consumption and aggravated environmental consequences regarding NFTs and DeFi mining. Although there exist numerous studies dedicated to CA trading and its role in carbon print reduction, the direct nexus between NFT, DeFi and CA has never been addressed in the literature. The originality of the authors’ research consists in bridging this void. Results are valuable for portfolio managers in bull and bear markets, as the authors show that connectedness is more intense under such conditions.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Open Access
Article
Publication date: 20 October 2023

Jaeram Lee and Changjun Lee

This study investigates the performance distribution of passive funds in the Korean market and compares it with the performance distribution of active funds. The key findings are…

Abstract

This study investigates the performance distribution of passive funds in the Korean market and compares it with the performance distribution of active funds. The key findings are as follows, first, the performance distribution of passive funds has a thicker tail compared to that of active funds. There are passive funds that achieve outstanding performance, and both the false discovery rate (FDR) analysis and simulation analysis suggest that their outperformance is driven by managerial skill rather than luck. Second, passive fund performance is more persistent compared to active fund performance. Third, investors are less responsive to passive fund performance compared to active fund performance. The fund flow-performance relationship is significantly positive for active funds but not for passive funds. This implies that investors may not recognize the managerial skills of passive funds.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 31 no. 4
Type: Research Article
ISSN: 1229-988X

Keywords

1 – 10 of 34