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Article
Publication date: 30 December 2020

Majid Eskafi, Milad Kowsari, Ali Dastgheib, Gudmundur F. Ulfarsson, Poonam Taneja and Ragnheidur I. Thorarinsdottir

Port throughput analysis is a challenging task, as it consists of intertwined interactions between a variety of cargos and numerous influencing factors. This study aims to…

Abstract

Purpose

Port throughput analysis is a challenging task, as it consists of intertwined interactions between a variety of cargos and numerous influencing factors. This study aims to propose a quantitative method to facilitate port throughput analysis by identification of important cargos and key macroeconomic variables.

Design/methodology/approach

Mutual information is applied to measure the linear and nonlinear correlation among variables. The method gives a unique measure of dependence between two variables by quantifying the amount of information held in one variable through another variable.

Findings

This study uses the mutual information to the Port of Isafjordur in Iceland to underpin the port throughput analysis. The results show that marine products are the main export cargo, whereas most imports are fuel oil, industrial materials and marine product. The aggregation of these cargos, handled in the port, meaningfully determines the non-containerized port throughput. The relation between non-containerized export and the national gross domestic product (GDP) is relatively high. However, non-containerized import is mostly related to the world GDP. The non-containerized throughput shows a strong relation to the national GDP. Furthermore, the results reveal that the volume of national export trade is the key influencing macroeconomic variable to the containerized throughput.

Originality/value

Application of the mutual information in port throughput analysis effectively reduces epistemic uncertainty in the identification of important cargos and key influencing macroeconomic variables. Thus, it increases the reliability of the port throughput forecast.

Details

Maritime Business Review, vol. 6 no. 2
Type: Research Article
ISSN: 2397-3757

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Article
Publication date: 6 July 2021

Yacine Hammami and Sabrine Kharrat

The purpose of the paper is to show that order flows determine exchange rate dynamics because they carry information about nonfundamental factors besides macroeconomic

Abstract

Purpose

The purpose of the paper is to show that order flows determine exchange rate dynamics because they carry information about nonfundamental factors besides macroeconomic fundamentals.

Design/methodology/approach

To understand the role of nonfundamental factors in driving order flows, this study uses two approaches. Initially, Evans and Rime (2016) VAR framework is followed to study the incremental information transmitted by order flow compared to macroeconomic variables. Then, the study uses the settings in which Rime et al. (2010) conduct their empirical work, which gives the researcher more latitude in specifying the identity of the factors that drive order flows.

Findings

The findings evidence that order flows explain the dynamics of the TND/USD exchange rate. The results highlight that order flows convey information about technical strategies, the currency systematic factors and political risk. This study also documents the presence of a Ramadan effect in exchange rates and order flows.

Originality/value

This study makes four contributions to the literature. First, it complements the literature on the FX microstructure of emerging markets. The study investigates the information content carried by order flows, while the previous literature has focused solely on examining the explanatory power of order flows to explain exchange rates in emerging countries. The second contribution is that the study demonstrates formally that order flows determine exchange rates because they transmit information about nonfundamental factors. Third, this study is the first to examine whether order flows convey information about technical analysis. Four, the study relates order flow to nontraditional factors that are relevant to the Tunisian FX market.

Details

Managerial Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 13 March 2013

Kenneth D. Lawrence, Gary Kleinman, Sheila M. Lawrence and Ronald K. Klimberg

This research examines the use of econometric models to predict the total net asset value (NAV) of an asset allocation mutual fund. In particular, the mutual fund case…

Abstract

This research examines the use of econometric models to predict the total net asset value (NAV) of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund (VWELX). This fund maintains a balance between relatively conservative stocks and bonds. The period of the study on which the prediction of the total NAV is based is the 24-month period of 2010 and 2011 and the forecasting period is the first three months of 2012. Forecasting the total NAV of a massive conservative allocation fund, composed of an extremely large number of investments, requires a method that produces accurate results. Achieving this accuracy has no necessary relationship to the complexity of the methods typically employed in many financial forecasting studies.

Details

Advances in Business and Management Forecasting
Type: Book
ISBN: 978-1-78190-331-5

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Article
Publication date: 7 June 2021

Serkan Karadas, Minh Tam Tammy Schlosky and Joshua C. Hall

What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the…

Abstract

Purpose

What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the relationship between an aggregate measure of trading by members of Congress (aggregate congressional trading) and future stock market returns.

Design/methodology/approach

The authors follow the empirical framework used in academic work on corporate insiders. In particular, they aggregate 61,998 common stock transactions by politicians over the 2004–2010 period and estimate time series regressions at a monthly frequency with heteroskedasticity and autocorrelation robust t-statistics.

Findings

The authors find that aggregate congressional trading predicts future stock market returns, suggesting that politicians use economy-wide (i.e. macroeconomic) information in their stock trades. The authors also present evidence that aggregate congressional trading is related to the growth rate of industrial production, suggesting that industrial production serves as a potential channel through which aggregate congressional trading predicts future stock market returns.

Originality/value

To the best of the authors’ knowledge, this study is the first to document a relationship between aggregate congressional trading and stock market returns. The media and scholarly attention on politicians’ trades have mostly focused on the question of whether politicians have superior information on individual firms. The results from this study suggest that politicians’ informational advantage may go beyond individual firms such that they potentially have superior information on the overall trajectory of the economy as well.

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Article
Publication date: 25 April 2020

Mahdi Salehi, Ali Daemi Gah, Farzana Akbari and Nader Naghshbandi

The purpose of this study is to analyze the predictability of firm level data for determining macroeconomic indicators such as unemployment.

Abstract

Purpose

The purpose of this study is to analyze the predictability of firm level data for determining macroeconomic indicators such as unemployment.

Design/methodology/approach

This study uses quarterly GDP and unemployment data manually collected from the Statistical Center of Iran (SCI). Accounting numbers are also collected from the Tehran Stock Exchange library for the 2004-2015 period. Dispersion of earnings growth provides related data about labour reallocation, unemployment change and finally aggregate output. To summarize, this study attempts to examine the effect of these variables using classical and Bayesian approaches.

Findings

At a firm level, our results suggest that sectoral shift in previous years is likely to increase labour reallocation in subsequent years. At the macro level, the results reveal that dispersion of earnings growth and labour reallocation has a negative and positive impact on unemployment changes, respectively. However, the study suggests no significant relationship between stock return and unemployment changes. Consequently, we determine that the real estimates of macroeconomic indicators have predictive power because nominal estimates are not statistically associated with firm-level details. Finally, the results obtained from classical and Bayesian approaches suggest similar findings, thus confirming the robustness of our conclusions. Note that, based on Bayesian approach, the nominal reallocation has predictive power in unemployment rate.

Originality/value

The study is the first conducted in a developing country and the results provide important insight into current line of accounting literature.

Details

International Journal of Organizational Analysis, vol. 29 no. 1
Type: Research Article
ISSN: 1934-8835

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Article
Publication date: 19 March 2018

Kirill Angel, Carlota Menéndez-Plans and Neus Orgaz-Guerrero

This paper aims to study the connection between the systematic equity risk of US tourism industry companies and a set of information from inside these firms and the…

Abstract

Purpose

This paper aims to study the connection between the systematic equity risk of US tourism industry companies and a set of information from inside these firms and the market. The authors sought to identify which information explains equity risk to estimate patterns of behavior – especially for those companies that cannot have a beta – in terms of the cost of share capital.

Design/methodology/approach

To carry out the research, the authors used a panel data technique and combined accounting information from the selected companies with macroeconomic information to develop independent variables. The sample consisted of 79 firms of the arts, entertainment and recreation and accommodation and food services sectors in the USA for 2004-2013. The authors incorporated two dummy variables into the analyses. The first one was used to find out if a difference exists between the two sectors, and the other was used to examine differences before and after 2008, when the current economic and financial crisis began.

Findings

The results reveal that equity risk is explained by businesses’ size and growth, along with three indicators of business efficiency, consumer price and Stoxx Europe 50 indices. The 2008 financial crisis did not alter the behavior of the estimated model, and no difference was found between the two sectors in question.

Research limitations/implications

The study’s most important limitation is the number of companies and years that make up the sample, although a broader set of data was analyzed in this work compared to previous studies.

Practical implications

The research results are quite useful to tourism enterprise management in the US market as they provide information that explains companies’ equity risk. Knowing this information could facilitate more efficient management, and an understanding of which information determines company risk can help to quantify risk objectively without access to betas.

Originality/value

The authors studied the US market as an important financial market and the tourist industry, in particular, for its economic significance, as shown by the direct contribution of travel and tourism to the US gross domestic product. Although this type of research in the tourism sector is not new, the present study answers the need identified by Park and Jang (2014) to continue this line of research by using a more interdisciplinary approach that combines hospitality research with finance and/or accounting studies.

Details

International Journal of Contemporary Hospitality Management, vol. 30 no. 3
Type: Research Article
ISSN: 0959-6119

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Book part
Publication date: 1 March 2021

Usman Arief and Zaäfri Ananto Husodo

This research studies private information from extreme price movements or jumps. The authors calculate the private information using a reduced form model from the…

Abstract

This research studies private information from extreme price movements or jumps. The authors calculate the private information using a reduced form model from the stochastic volatility jump process and use several statistical robustness tests as well as several frequencies to improve our consistency. This study reveals that private information is significant in explain the existence of jumps in capital markets in Southeast Asia, whereas macroeconomic events cannot explain them. The authors determine empirically that private information in Malaysia, Singapore, Thailand, and Indonesia are not persistent and its value gradually decreases when we use the lower frequency. Based on the Fama–Macbeth regression, this study shows that private information in the capital market has a strong positive relationship with individual returns in Indonesia’s capital market and Thailand’s capital market for all frequencies.

Details

Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics
Type: Book
ISBN: 978-1-83867-359-8

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Article
Publication date: 15 June 2010

Thomas Gosnell and Ali Nejadmalayeri

The purpose of this paper is to determine if macroeconomic announcements affect the Fama‐French market, size, book‐to‐market risk factors and momentum factor.

Abstract

Purpose

The purpose of this paper is to determine if macroeconomic announcements affect the Fama‐French market, size, book‐to‐market risk factors and momentum factor.

Design/methodology/approach

Using unexpected announcements of major macroeconomic indicators, a study is made of how daily innovations of risk factors react to macroeconomic shocks. In a Flannery and Protopapadakis framework, the impact of macroeconomics surprises on the levels and volatilities of the risk factors is measured. A VAR model is employed as a robustness check. To better understand the mechanism of announcement impacts on risk factors, the relationship between the macroeconomics announcements and Fama‐French size/book‐to‐market portfolio returns is investigated.

Findings

Inflation, employment, consumption and business activities were found to affect levels and volatilities of risk factors. However, these macro variables affect risk factors differently. Inflation and non‐farm payrolls decrease the market risk premium while increasing the size premium. Personal income increases the size premium while reducing the book‐to‐market premium. Industrial production and GDP only influence the level of the momentum factor. In this model specification, producer inflation (PPI) and personal income increase the volatility of the size premium while business inventories increase the volatility of the market premium.

Originality

This paper's results support the notion that different risk factors capture different economic fundamentals.

Details

Managerial Finance, vol. 36 no. 7
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 10 November 2020

Sarah Sobhy Mohamed

This chapter aims at examining financial distress issue by designing a comprehensive model to explain and predict financial distress in Egypt. This comprehensive model…

Abstract

This chapter aims at examining financial distress issue by designing a comprehensive model to explain and predict financial distress in Egypt. This comprehensive model incorporates accounting ratios, market-based ratios and macroeconomic ratios. The sample of the existing research includes all the listed firms in two main sectors: basic resources and chemicals. Using logistic regression model, the results showed that adding market ratios and macroeconomic ratios enhances the predictability of the model and accounting information are not sufficient to explain financial distress.

Details

Financial Issues in Emerging Economies: Special Issue Including Selected Papers from II International Conference on Economics and Finance, 2019, Bengaluru, India
Type: Book
ISBN: 978-1-83867-960-6

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Article
Publication date: 18 September 2017

Mohammad Tariqul Islam Khan, Siow-Hooi Tan and Lee-Lee Chong

The purpose of this paper is to investigate who trade actively in the Malaysian stock market and what determines investors’ active trading decisions.

Abstract

Purpose

The purpose of this paper is to investigate who trade actively in the Malaysian stock market and what determines investors’ active trading decisions.

Design/methodology/approach

Using a cross-sectional survey on individual investors, the study identifies active and inactive investors and then, investigates active trading by estimating binary logistic regression.

Findings

Active investors in Malaysia are more likely to be male, working in non-finance-related sectors and are more experienced. The likelihood of active trading increases with the number of hours spent on researching investment, very short-term favorable unemployment and economic growth expectations (three-month) and past investment outcomes, whereas this probability decreases with higher cognitive ability and short-term unemployment expectations.

Practical implications

The results imply that regulators may focus on certain groups of investors, based on the result of this study, and provide them training to reduce inactivity in this market. As active trading in response to past investment outcomes indicate rational response, regulators therefore may inform investors to learn about their ability and skill from their prior investment outcome, through educational program. Educational program may also include the role of macroeconomic indicators in active investing decisions.

Originality/value

This is the first study to combine a list of demographic and socio-economic characteristics, investment characteristics, macroeconomic expectations and past investment outcomes together to explain the likelihood of active trading.

Details

International Journal of Emerging Markets, vol. 12 no. 4
Type: Research Article
ISSN: 1746-8809

Keywords

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