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1 – 10 of 16Anna Arutunow, Artur Zieliński and Mateusz T. Tobiszewski
The purpose of this paper is to present the results of an atomic force microscopy (AFM) based approach to local impedance spectroscopy (LIS) measurement performed on…
Abstract
Purpose
The purpose of this paper is to present the results of an atomic force microscopy (AFM) based approach to local impedance spectroscopy (LIS) measurement performed on AA2024 and AA2024‐T3 aluminium alloys.
Design/methodology/approach
AFM‐LIS measurements were performed ex‐situ without the electrolyte environment, so in fact the electrical not electrochemical impedance was obtained.
Findings
Relative local impedance values recorded for AA2024 alloy during the researches carried out were maximally approximately three orders of magnitude higher than the ones obtained for age‐hardened AA2024‐T3 alloy. Moreover, in the case of AA2024‐T3 alloy, a region located in the interior of α crystals exhibited localized impedance one order of magnitude higher than that measured at its grain boundary when affected by intergranular corrosion.
Originality/value
The paper presents differences in localized impedance between grain and grain boundaries activity.
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Diana López Avilés, Paula Piñeira, Víctor Andrés Roco Cáceres, Felipe Vergara and Nicolas Araya
The Financial Stability Board (FSB) determined that entities classified as shadow banking are of a credit nature because they are capable of affecting the financial system…
Abstract
Purpose
The Financial Stability Board (FSB) determined that entities classified as shadow banking are of a credit nature because they are capable of affecting the financial system through the entry and exit of capital. This study aims at measuring the impact of shadow banking in the systemic risk in Chile. A sample of 91 institutions (Run) belonging to the mutual funds was used, with a series showing a continuous behaviour between 2004 and 2018.
Design/methodology/approach
The measurement is carried out using the conditional value at risk (CoVaR) methodology, which analyses the behaviour of an institution in a regular state against the same institution in a state of stress.
Findings
The results obtained reflect that liquidity mismatches do not have a relevant effect on the systemic risk, while the 2008 crisis does contribute to its decline.
Originality/value
There are less number of literature studies that apply statistical models regarding shadow banking, at least at a quantitative level, so this research is a beginning for other studies, supporting future authors in their new research as a basis.
Propósito
El Consejo de Estabilidad Financiera determinó que las entidades clasificadas como Shadow Banking son de carácter crediticio debido a que son capaces de afectar al sistema financiero mediante la entrada y salida de capitales. Este estudio tiene como objetivo medir el impacto del Shadow Banking en el Riesgo Sistémico de Chile. Para esto se utilizó una muestra de 91 instituciones (Run) pertenecientes a los Fondos Mutuos, con series que muestran un comportamiento continuo entre 2004 y 2018.
Diseño/metodología/enfoque
La medición se lleva a cabo mediante la metodología CoVaR, la cual analiza la conducta de una institución en estado normal versus la misma institución en estado de estrés.
Hallazgos
Los resultados obtenidos reflejan que los desajustes de liquidez no tienen un efecto relevante en el Riesgo Sistémico, mientras que la crisis del 2008 si contribuye a la disminución de este.
Originalidad/Valor
Existe muy poca literatura que aplica modelos estadísticos respecto al Shadow Banking, al menos a nivel cuantitativo, por lo que esta investigación es un inicio para otros estudios, apoyando como base a futuros autores en sus nuevas investigaciones.
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Under this heading are published regularly abstracts of all Reports and Memoranda of the Aeronautical Research Council, Reports and Technical Memoranda of the United…
Abstract
Under this heading are published regularly abstracts of all Reports and Memoranda of the Aeronautical Research Council, Reports and Technical Memoranda of the United States National Advisory Committee for Aeronautics and publications of other similar Research Bodies as issued.
Haykel Hamdi and Jihed Majdoub
Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and…
Abstract
Purpose
Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and Islamic indexes. The paper aims to discuss these issues.
Design/methodology/approach
This paper explores option pricing and portfolio hedging in a discrete and dynamic case with transaction costs. Monte Carlo simulations are applied to both conventional and Islamic indexes in US and UK markets. Simulations show that conventional and Islamic assets do not exhibit the same price and portfolio hedging strategy governance.
Findings
The authors conclude that Islamic assets show different option price and hedging strategy compared to their conventional counterpart.
Originality/value
The research question of this paper aims at filling the gap in the empirical literature by exploring option price and hedging structure for both conventional and Islamic indexes in US and UK stock markets.
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Nurul Azma, Mahfuzur Rahman, Adewale Abideen Adeyemi and Muhammad Khalilur Rahman
The purpose of this paper is to develop a model for studying the propensity towards indebtedness in Malaysia using behavioural factors.
Abstract
Purpose
The purpose of this paper is to develop a model for studying the propensity towards indebtedness in Malaysia using behavioural factors.
Design/methodology/approach
A self-administered questionnaire was distributed among Malaysians who work in Klang Valley, Kuala Lumpur. The questionnaire contained several demographic variables and four behavioural factors: financial literacy, risk perception, materialism and emotions. A total of 201 completed questionnaires were received and the data were tested using structural equation modelling with partial least squares.
Findings
This study found that emotion and materialism are statistically significant for a propensity towards indebtedness, while financial literacy and risk perceptions are insignificant for a propensity towards indebtedness.
Originality/value
The results of this study would be useful in helping design better models for credit offerings and addressing credit problems in the long run.
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The purpose of this paper is to uncover an institutional reason behind herding and the key to successful execution of the accumulation-lift-distribution (ALD) trading strategy.
Abstract
Purpose
The purpose of this paper is to uncover an institutional reason behind herding and the key to successful execution of the accumulation-lift-distribution (ALD) trading strategy.
Design/methodology/approach
The paper proposes the perception alignment hypothesis (PAH), which is based on a large number of empirical episodes. Extensive empirical and theoretical literature of 79 articles is reviewed. These are selected from previously unrelated fields of prosecuted cases in market manipulation, sell-side analysts’ recommendations and internet rumors. These studies are put into a unifying conceptual framework.
Findings
The proposed PAH can explain some herding episodes that were generated for the purpose of executing ALD.
Practical implications
The value of the approach is that while behavioral biases are hard to change, perception alignment can be more responsive to regulation.
Originality/value
This paper is the first to propose the PAH. It provides an explanation for the causality of herding that complements the traditional literature on the psychological weaknesses of investors. This paper opens a debate on whether the stock market is fully competitive because investors have behavioral biases and certain institutions take advantage of those biases.
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Mahfuzur Rahman, Mohamed Albaity and Che Ruhana Isa
The purpose of this paper is to explore the influence of several core behavioural propensities on financial risk tolerance (FRT). Additionally, this paper examines the…
Abstract
Purpose
The purpose of this paper is to explore the influence of several core behavioural propensities on financial risk tolerance (FRT). Additionally, this paper examines the moderating effect of ethnicity on the relationship between behavioural propensities and FRT.
Design/methodology/approach
A sample of 1,204 completed and usable questionnaires were collected from undergraduate students majoring in business, economics and finance and analysed them using SmartPLS 2.0 software.
Findings
The findings reveal that propensity for trust has the highest impact on FRT followed by propensity for regret and happiness in life, while propensity for social interaction is not significantly associated with FRT. Ethnicity significantly moderates the relationship between three behavioural propensities (propensity for regret, propensity for trust and happiness in life) and FRT.
Originality/value
This study contributes to the assessment of individuals’ FRT incorporating behavioural propensities, which in turn contributes to the field of behavioural finance.
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Chunsuk Park, Dong-Soon Kim and Kaun Y. Lee
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management…
Abstract
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic indicators because past economic indicators or realized rate of returns which are used as input data for expected rate of returns in the “building block” method, most adopted by domestic pension funds, does not fully reflect the future economic situation. Vector autoregression is used to estimate and forecast long-term interest rates. Furthermore, it is applied to gross domestic product and consumer price index estimation because it is widely used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first, economic indicator filtering and upper-lower bound computation is needed to reduce the expected return volatility. Second, to reach the ALM goal, more stocks should be allocated than low-yielding assets. Finally, dynamic asset allocation which has been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation.
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Fatma Alahouel and Nadia Loukil
This study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.
Abstract
Purpose
This study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.
Design/methodology/approach
Firstly, we conduct a bivariate wavelet analysis to assess the co-movements between stocks and sukuk indexes. Secondly, we use General dynamic factor model and stochastic volatility to construct financial uncertainty index from Islamic stock indexes. Finally, we run regression analysis to determine the impact of uncertainty on the obtained correlations.
Findings
Our results suggest the absence of flight to quality phenomenon since correlations are positive especially at a short investment horizon. There is evidence of contagion phenomena across assets. Financial uncertainty may be considered as a determinant of stock-sukuk co-movements. Our results show that a rise in financial uncertainty induces correlation to move in the opposite direction in the short term, (exception for correlation with AA-Rated sukuk). However, the sign of stock market uncertainty becomes positive in the long term, which leads sukuk and stocks to move in the same direction (exception for 1–3 Year and AA Rated sukuk).
Practical implications
Investors may combine sukuk with 1–3 Year maturity and AA Rated when considering long holding periods. Further, all sukuk categories provide diversification benefit in time high financial uncertainty expectation for AA Rated sukuk when considering short holding periods.
Originality/value
To the best of our best knowledge, our study is the first investigation of the impact of financial uncertainty on Stock-sukuk co-movements and provides recommendation considering sukuk with different characteristics.
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Ann-Ngoc Nguyen, Muhammad Sadiq Shahid and David Kernohan
The purpose of this paper is to investigate the impact of investor confidence on mutual fund performance in two relatively vulnerable but leading emerging markets, India…
Abstract
Purpose
The purpose of this paper is to investigate the impact of investor confidence on mutual fund performance in two relatively vulnerable but leading emerging markets, India and Pakistan.
Design/methodology/approach
A pooled ordinary least squared (OLS) model is used to look at two alternative measures of investor confidence and test for the relationship between investor confidence and mutual fund returns. To check the robustness of the findings, the authors also implement two-stage least squares and generalized method of moments techniques to control for unobserved heterogeneity, simultaneity and dynamic endogeneity problems in the regressors.
Findings
The paper finds that the returns of mutual funds are positively associated with investor confidence and an interaction effect exists between investor confidence and persistence in performance. The paper also confirms that returns from mutual funds are associated with different fund characteristics such as fund size, turnover, expense, liquidity, performance persistence and the fund’s age. These findings remain robust to alternative model specifications and measures of investor confidence.
Originality/value
While the previous literature mainly focuses on mutual fund characteristics and the macroeconomic determinants of mutual fund returns, this paper demonstrates that investor confidence plays an important role in determining mutual fund performance. The authors attribute this finding to two relatively unique features of the emerging markets in the study. A lack of awareness of mutual funds as being a low-cost investment vehicle and the interplay of cultural and behavioral changes have prevented investor’s savings from being channeled into investment products, away from gold or property.
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