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21 – 30 of 60Panos Fousekis and Vasilis Grigoriadis
This paper aims to investigate empirically the linkages between stock and commodity futures markets.
Abstract
Purpose
This paper aims to investigate empirically the linkages between stock and commodity futures markets.
Design/methodology/approach
It involves the application of a flexible copula approach to weekly total returns from the S&P 500 index and from three commodity sub-indices (agriculture, metals and energy) from 1995 to 2017.
Findings
Co-movement is by no means frequent and symmetric. It was predominantly zero before the last financial crisis, and since then, it is positive and asymmetric. The pattern of asymmetry is consistent with transmission of shocks under extreme negative shocks only. Recently, total returns of commodity futures are very poor. At the same time, commodity futures markets move in step (out of step) with stock markets when the latter plunge (rise), pointing to limited diversification benefits. These appear to justify the concerns of investors and researchers whether including commodities in a portfolio of assets is still a prudent investment strategy.
Originality/value
It is the only manuscript that combines a flexible copula approach and co-movement measurement along both the positive and negative diagonals. The findings are in sharp contrast with those reported by Delatte and Lopez (2013) and are very important for portfolio management.
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Ning Gao and Arif Qayyum
The authors ask the question if firms would continue the efforts to improve their social responsibility and how that continued efforts would impact their financial performance…
Abstract
Purpose
The authors ask the question if firms would continue the efforts to improve their social responsibility and how that continued efforts would impact their financial performance over time. This study’s approach helps better understand the effects of changing social responsibility on firms’ stock performance over time.
Design/methodology/approach
The authors investigate the relationship between firms’ evolving social responsibility and their stock performance changes.
Findings
This study’s findings suggest that more socially responsible firms tend to perform better. In addition, improvements in companies’ social responsibility measures are associated with better stock performances.
Originality/value
Existing literature uses firms’ social capital scores at a single point in time and does not account for the changes in firms’ social effort over time. By using Media Corporate Responsibility Magazine’s 100 best corporate citizens ranking for a 10-year period from 2009 to 2018, we construct a unique data set that includes the firm’s social responsibility levels for 10 years.
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Daniel Ioan, Mihai Rebican and Antal Gasparics
The paper describes an efficient method to extract the B‐H nonlinear characteristic from the experimental flux‐current Φ‐I data obtained using a non‐uniform magnetic field device…
Abstract
The paper describes an efficient method to extract the B‐H nonlinear characteristic from the experimental flux‐current Φ‐I data obtained using a non‐uniform magnetic field device. Both functions are monotonically piecewise linear approximated with the same number of breakpoints. The method was successfully applied to characterize the ribbon core material of a fluxset magnetic field sector. In this case the hysteresis loop and the lumped magnetic circuit were extracted. Comparison with experimental results validates the proposed method.
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The purpose of this paper is to quantify beta for an online gambling portfolio in the UK and investigates whether it is time-varying. It also examines the dynamic correlations of…
Abstract
Purpose
The purpose of this paper is to quantify beta for an online gambling portfolio in the UK and investigates whether it is time-varying. It also examines the dynamic correlations of the online gambling portfolio with both the market and socially responsible portfolios. In addition, this paper documents the effect of important UK gambling legislation on the betas and correlations of the online gambling portfolio.
Design/methodology/approach
This study uses static and time-varying models (e.g. rolling regressions, multivariate GARCH models) to estimate betas and correlations for a portfolio of UK online gambling stocks.
Findings
This study finds that beta for the online gambling portfolio is less than 1, indicative of defensiveness toward the market, a result that is consistent with prior literature for sin stocks. In addition, the conditional correlation between the market and online gambling portfolio is small when compared to the correlation of the market and socially responsible portfolios. Findings suggest that the adoption of the Gambling Act 2005 increases the conditional correlation between the market and online gambling portfolio and it also increases the conditional betas for the online gambling portfolio.
Research limitations/implications
This paper serves as a starting point for future research on online gambling stocks. Going forward, studies can focus on the financial performance or accounting performance of online gambling stocks.
Originality/value
This empirical investigation provides insight into the risk characteristics of publicly listed online gambling companies in the UK.
Anh Ngo, Oscar Varela and Xie Feixue
This paper aims to examine the effects of lines of credit on a firm’s market timing behavior and the pricing of its seasoned equity offerings (SEOs). It shows that firms with…
Abstract
Purpose
This paper aims to examine the effects of lines of credit on a firm’s market timing behavior and the pricing of its seasoned equity offerings (SEOs). It shows that firms with lines of credit are more likely to time the equity market and receive less underpricing for their SEOs. It also shows that the propensity of firms with lines of credit to time the market is particularly significant for financially unconstrained firms. The results are robust to different measures of market timing and financial constraint, and these fill the gap in the literature that, to the best of the authors’ knowledge, has not examined the relation between lines of credit, market timing and value creation as related to equity offerings.
Design/methodology/approach
The paper first investigates the relationship between lines of credit and the probability of a firm issuing SEOs using a logistic model. The paper then investigates whether firms with lines of credit engage in market timing behavior using ordinary least square regressions with two-way cluster-robust standard errors (standard errors that are robust to simultaneous correlation along two dimensions, such as firms and time) with two measures of market timing and two measures for financial constraints. Finally, the paper examines the relationship between lines of credit and SEO underpricing.
Findings
It was found that firms with lines of credit are more likely to time the equity market, perhaps driven by the financing flexibility resulting from the existence of their lines of credit. This finding comes mainly from financially unconstrained firms, as such an effect is not observed among financially constrained firms with lines of credit. It is further shown that firms with lines of credit are more likely to experience less severe equity underpricing, perhaps owing to market timing behavior. The results provide evidence on how lines of credit may create value to a firm through its market timing.
Originality/value
The paper sheds new light on how lines of credit may create value to a firm through the market timing channel.
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This study empirically demonstrates a contradiction between pillar 3 of Basel norms III and the designation of Systemically Important Banks (SIBs), also known as Too Big to Fail…
Abstract
Purpose
This study empirically demonstrates a contradiction between pillar 3 of Basel norms III and the designation of Systemically Important Banks (SIBs), also known as Too Big to Fail (TBTF). The objective of this study is threefold, which has been approached in a phased manner. The first is to determine the systemic importance of the banks under study; second, to examine if market discipline exists at different levels of systemic importance of banks and lastly, to examine if the strength of market discipline varies at different levels of systemic importance.
Design/methodology/approach
This study is based on all the public and private sector banks operating in the Indian banking sector. The Gaussian Mixture Model algorithm has been utilized to classify banks into distinct levels of systemic importance. Thereafter, market discipline has been observed by analyzing depositors' sentiments toward banks' risk (CAMEL indicators). The analysis has been performed by employing the system Generalized Method of Moments (GMM) to estimate models with different dependent variables.
Findings
The findings affirm the existence of market discipline across all levels of systemic importance. However, the strength of market discipline varies with the systemic importance of the banks, with weak market discipline being a negative externality of the SIBs designation.
Originality/value
By employing the Gaussian Mixture Model algorithm to develop a framework for categorizing banks on the basis of their systemic importance, this study is the first to go beyond the conventional method as outlined by the Reserve Bank of India (RBI).
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Niharika Mehta, Seema Gupta and Shipra Maitra
Foreign direct investment in the real estate (FDIRE) sector is required to bridge the gap between investment needed and domestic funds. Further, foreign direct investment is…
Abstract
Purpose
Foreign direct investment in the real estate (FDIRE) sector is required to bridge the gap between investment needed and domestic funds. Further, foreign direct investment is gaining importance because other sources of raising finance such as External Commercial Borrowing and foreign currency convertible bonds have been banned in the Indian real estate sector. Therefore, the objective of the study is to explore the determinants attracting foreign direct investment in real estate and to assess the impact of those variables on foreign direct investments in real estate.
Design/methodology/approach
Johansen cointegration test, vector error correction model along with variance decomposition and impulse response function are employed to understand the nexus of the relationship between various macroeconomic variables and foreign direct investment in real estate.
Findings
The results indicate that infrastructure, GDP and tourism act as drivers of foreign direct investment in real estate. However, interest rates act as a barrier.
Originality/value
This article aimed at exploring factors attracting FDIRE along with estimating the impact of identified variables on FDI in real estate. Unlike other studies, this study considers FDI in real estate instead of foreign real estate investments.
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Quoc Hoi Le, Manh Hao Quach and Huong Lan Tran
This paper examines credit composition and income inequality reduction in Vietnam. In particular, the authors focus on the distinction between policy and commercial credits and…
Abstract
Purpose
This paper examines credit composition and income inequality reduction in Vietnam. In particular, the authors focus on the distinction between policy and commercial credits and investigate whether these two types of credit adversely affect on income inequality. The authors also examine whether the educational level and institutional quality condition the impact of policy credit on income inequality.
Design/methodology/approach
The authors use the primary data set, which contains a panel of 60 provinces collected from the General Statistics Office of Vietnam from 2002 to 2016. The authors employ the generalized method of moments to solve the endogenous problem.
Findings
The authors show that while commercial credit increases income inequality, policy credit reduces income inequality in Vietnam. In addition, we provide evidence that the institutional quality and educational level condition the impact of policy credit on income inequality. Based on the findings, the paper implies that it was not the size of the private credit but its composition that mattered in reducing income inequality due to the asymmetric effects of different types of credit.
Practical implication
The government should focus on credit for the poor by helping them to exit poverty through investing in human capital, health and micro enterprises activities.
Originality/value
This is the first study that examines the links between the two components of credit and income inequality as well as the constraints of the links. The authors argue that analyzing the separate effects of commercial and policy credits is more important for explaining the role of credit in income inequality than the size of total credit.
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The purpose of this chapter is to study the mathematisation of finance – excessive use of mathematical models in finance – which has been widely blamed for the recent financial…
Abstract
The purpose of this chapter is to study the mathematisation of finance – excessive use of mathematical models in finance – which has been widely blamed for the recent financial and economic crisis. We argue that the problem might actually be the financialisation of mathematics, as evidenced by the gradual embedding of branches of mathematics into financial economics. The concept of embeddedness, originally proposed by Polanyi, is relevant to describe the sociological relationship between fields of knowledge. After exploring the relationship between mathematics, finance and economics since antiquity, we find that theoretical developments in the 1950s and 1970s lead directly to this embedding. The key implication of our findings is the realization that it has become necessary to disembed mathematics from finance and economics, and proposes a number of partial steps to facilitate this process. This chapter contributes to the debate on the mathematisation of finance by uniquely combining a historical approach, which chronicles the evolution of the relation between mathematics and finance, with a sociological approach from the perspective of Polyani’s concept of embedding.
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