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1 – 10 of over 27000Dante Amengual, Enrique Sentana and Zhanyuan Tian
We study the statistical properties of Pearson correlation coefficients of Gaussian ranks, and Gaussian rank regressions – ordinary least-squares (OLS) models applied to those…
Abstract
We study the statistical properties of Pearson correlation coefficients of Gaussian ranks, and Gaussian rank regressions – ordinary least-squares (OLS) models applied to those ranks. We show that these procedures are fully efficient when the true copula is Gaussian and the margins are non-parametrically estimated, and remain consistent for their population analogs otherwise. We compare them to Spearman and Pearson correlations and their regression counterparts theoretically and in extensive Monte Carlo simulations. Empirical applications to migration and growth across US states, the augmented Solow growth model and momentum and reversal effects in individual stock returns confirm that Gaussian rank procedures are insensitive to outliers.
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The purpose of the study is to investigate the correlation between credit supply to government and credit supply to the private sector to determine whether there is a crowding-out…
Abstract
Purpose
The purpose of the study is to investigate the correlation between credit supply to government and credit supply to the private sector to determine whether there is a crowding-out or crowding-in effect of credit supply to government on credit supply to the private sector.
Design/methodology/approach
The study used data from 43 countries during the 1980–2019 period. The study employed the Pearson correlation methodology to analyze the data.
Findings
There is a significant positive correlation between credit supply to government and credit supply to the private sector. There is also a significant positive relationship between credit supply to government and credit supply to the private sector, implying a crowding-in effect of government borrowing on private sector borrowing. The positive correlation between credit supply to government and credit supply to the private sector by banks is stronger and highly significant in the period before the Great Recession, while the positive correlation is weaker and less significant during the Great Recession, and the correlation further weakens after the Great Recession. The regional analyses show that the positive correlation between credit supply to government and credit supply to the private sector by banks is stronger and highly significant in the African region than in the Asian region and the region of the Americas.
Originality/value
There is no evidence on the correlation between credit supply to government and credit supply to the private sector during the Great Recession.
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Marcela do Carmo Silva, Helder Gomes Costa and Carlos Francisco Simões Gomes
The purpose of this paper is to observe how to invest in upper-middle income countries via an innovation perspective following global innovation index (GII) by multicriteria…
Abstract
Purpose
The purpose of this paper is to observe how to invest in upper-middle income countries via an innovation perspective following global innovation index (GII) by multicriteria decision aid (MCDA) approach, once MCDA was designed to support subjective decisions.
Design/methodology/approach
Pearson’s correlation was the milestone for understanding innovation indicators at upper-middle income countries profiles. In a MCDA first step, the analytical hierarchy process (AHP) was applied to obtain the criteria weight. In this step, the judgments or evaluations inputted in AHP were collected from a sample composed by five experts in GII. After getting the criteria weights compose to GII, Borda and Preference Ranking Organization Method for Enrichment Evaluations (PROMÉTHÉE) methods were applied to obtain an MCDA-based GII. The inputs for this second step were: the weights come from AHP output; and the countries performance came from GII data.
Findings
As a result, it was found out the upper-middle countries’ rank to invest and groups with countries acting like “hubs” or “bridges” for economic sectors in near countries; when they are grouped according to their maximum and minimum scores profiles, observing not only a particular region but also similar profiles at diverse world areas.
Originality/value
Pearson-AHP-PROMÉTHÉE works as a supportive decision tool for several and complex investment perspectives from criteria and alternatives analysis regarding innovation indicators for upper-middle income countries. This combination also demonstrates grouping possibilities, aligning profiles and not only ranking countries for investment and eliminating others but also grouping countries with similar profiles via innovation indicators MCDA combined application.
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Eser Yeşildağ, Ercan Özen and Ender Baykut
Introduction: Decision making is always based on several factors which may affect the possible outcomes, especially in financial markets. Instead of having many criteria which may…
Abstract
Introduction: Decision making is always based on several factors which may affect the possible outcomes, especially in financial markets. Instead of having many criteria which may be required for decision making, “Multiple Criteria Decision Making” (MCDM) models might be used as a tool to reduce all criteria into a single one.
Purpose: The aim of this study is to measure the financial performance of commercial banks listed on Borsa Istanbul (BIST) by the MCDM.
Method: To this end, data from 15 different financial ratios from 11 commercial banks were used between the periods of 2002 and 2018. Both TOPSIS and gray relational analysis (GRA) models were used, which are commonly used in the literature for detecting the financial performance of listed banks in BIST based on their consolidated financial statements.
Results: According to the TOPSIS method, while the best bank is QNB Finansbank, HALKB, a public bank, was determined as the best bank using the GRA method. There is no significant correlation between financial performance indicators and market returns obtained by either method, with exceptions. There is no generally significant correlation detected between financial ratios and market returns. Accordingly, it is concluded that the bank stock prices in the study are shaped by the influence of external factors and expectations. The study results include information that can be used for different purposes among bank managers, academics and financial investors.
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The purpose of this paper then, is to add to the existing literature on financial contagion. While a vast amount of the debate has been made using data from the late 1990s, this…
Abstract
Purpose
The purpose of this paper then, is to add to the existing literature on financial contagion. While a vast amount of the debate has been made using data from the late 1990s, this paper differentiates itself by analysing more current data, centred around the most recent global financial crisis, with specific focus on the stock markets of Hong Kong and Tokyo.
Design/methodology/approach
Employing Pearson and Spearman correlation measures, the dynamic relationship of the two markets is determined over tranquil and crisis periods, as specified by an Markov-Switching Bayesian Vector AutoRegression (MSBVAR) model.
Findings
The authors find evidence in support of the existence of financial contagion (defined as an increase in correlation during a crisis period) for all frequencies of data analysed. This contagion is greatest when examining lower-frequency data. Additionally, there is also weaker evidence in some data sub-samples to support “herding” behaviour, whereby higher market correlations persist, following a crisis period.
Research limitations/implications
The intention of this paper was not to analyse the cause or transmission mechanism of contagion between financial markets. Therefore future studies could extend the methodology used in this paper by including exogenous macroeconomic factors in the MSBVAR model.
Originality/value
The results of this paper serve to explain why the debate of the persistence and in fact existence of financial contagion remains alive. The authors have shown that the frequency of a time series dataset has a significant impact on the level of observed correlation and thus observation of financial contagion.
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This paper aims to investigate the pattern of dependence between crude oil price and energy consumption of the most important economic sectors in the USA, over different time…
Abstract
Purpose
This paper aims to investigate the pattern of dependence between crude oil price and energy consumption of the most important economic sectors in the USA, over different time periods, using monthly data set from January 1986 to July 2014 and a comparative study between linear correlation versus copula correlation as a measure of dependence over the single scale and the multiscale analysis.
Design/methodology/approach
The proposed method is based on the multiresolution analysis which gives more extensive and detailed description of the dependence price-consumption pattern over different periods of time.
Findings
The empirical results show that the dependence between variables is strongly sensitive to the time varying and generally increasing with time scale. In particular, the Pearson coefficients are less than the dependence copula measures. The single-scale analysis covers many time-varying dependences which are made clear, flexible and comprehensive by the description given by the multiscale approach. It explains better the structure of relationships between variables and helps understand the variations and improve forecasts of the crude oil price and energy consumption over different time scales.
Originality/value
The proposed methodology offers the opportunity to construct dynamic management strategies by taking into account the multiscale nature of crude oil price and consumption relationship. Moreover, the paper uses wavelets as a relatively new and powerful tool for statistical analysis in addition to the copula technique that allows a new understanding of variable correlation. The paper will be of interest not only for academics in the field of data dependencies analysis but also for fund managers and market investors.
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Ryan Larsen, James W. Mjelde, Danny Klinefelter and Jared Wolfley
What copulas are, their estimation, and use is illustrated using a geographical diversification example. To accomplish this, dependencies between county-level yields are…
Abstract
Purpose
What copulas are, their estimation, and use is illustrated using a geographical diversification example. To accomplish this, dependencies between county-level yields are calculated for non-irrigated wheat, upland cotton, and sorghum using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to estimate the dependency between county-level yields. The paper aims to discuss these issues.
Design/methodology/approach
Four parametric copulas, Gaussian, Frank, Clayton, and Gumbel, are used to estimate Kendall's tau. These four estimates of Kendall's tau are compared to Pearson's linear correlation, a more typical measure of dependence. Using this information, functions are estimated to determine the relationships between dependencies and changes in geographic and climate data.
Findings
The effect on county-level crop yields based on changes of geographical and climate variables differed among the different dependency measures among the three different crops. Implementing alternative dependency measures changed the statistical significance and the signs of the coefficients in the sorghum and cotton dependence functions. Copula-based elasticities are consistently less than the linear correlation elasticities for wheat and cotton. For sorghum, however, the copula-based elasticities are generally larger. The results indicate that one should not take the issue of measuring dependence as a trivial matter.
Originality/value
This research not only extends the current literature on geographical diversification by taking a more detailed examination of factors impacting yield dependence, but also extends the copula literature by comparing estimation results using linear correlation and copula-based rank correlation.
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Huilin Liang and Qingping Zhang
Can Chinese social media data (SMD) be used as an alternative to traditional surveys used to understand tourists' visitation of attractions in Chinese cities? The purpose of this…
Abstract
Purpose
Can Chinese social media data (SMD) be used as an alternative to traditional surveys used to understand tourists' visitation of attractions in Chinese cities? The purpose of this paper is to explore this question.
Design/methodology/approach
Popular tourism SMD sources in China, such as Ctrip, Weibo and Dazhong Dianping (DZDP), were used as data source, and the relationships between these sources and traditional data sources were studied with statistical methods. Data from Shanghai were used in this study since it is rich in tourism resources and developed in information.
Findings
A systematic research method was followed and led to the following conclusions: There were positive correlations for attraction visitation between Chinese SMD and traditional survey data; Chinese SMD source could temporally indicate visits to Shanghai tourist attractions; Ctrip SMD generally performed less well than Weibo or DZDP, and different SMD performed differently depending on the specific attractions and time units in the visitation calculation process; and factors including visitation, distance from the city center and the grade of attractions might affect the prediction performance based on data from the SMD. The findings suggest that Chinese SMD could be used as a cost-efficient and reliable proxy for traditional survey data to predict Chinese attraction visitation.
Originality/value
This study applies and improves the methods of SMD reliability in attraction use studies, supplies the gap for premise, basis and foundation for the large amounts of tourism researches using SMD in China and could promote and inspire more efficient and advanced measures in tourism management and urban development.
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Xingrui Zhang, Yunpeng Wang, Eunhwa Yang, Shuai Xu and Yihang Yu
The purpose of the paper is twofold: first, to observe the relationship between sale to list ratio (SLR)/ for-sale inventory (FSI)/ sale count nowcast (SCN) and real/nominal…
Abstract
Purpose
The purpose of the paper is twofold: first, to observe the relationship between sale to list ratio (SLR)/ for-sale inventory (FSI)/ sale count nowcast (SCN) and real/nominal housing value, and second, to produce a handbook of empirical evidence that can serve as a foundation for future research on this topic.
Design/methodology/approach
This paper broadly compiles empirical evidence, using three of the most common causality tests in the field of housing economics. The analysis methods include lagged Pearson correlation test, Granger causality test and cointegration test.
Findings
Causal relationships were observed between SLR/FSI/SCN and both nominal and real housing values. SLR and SCN showed positive long-term correlations with housing value, whereas FSI had a negative correlation. Adjusting the housing value with the Consumer Price Index (CPI) to derive real housing values could potentially alter the direction of the causal relationships. It is crucial to distinguish the long-term relationship from temporal dynamics, as FSI displayed a positive immediate impulse–response relationship with nominal housing price despite the negative long-term correlation.
Originality/value
SLR/FSI/SCN are housing market parameters that have only recently begun to be documented and have seen little use in research. So far, housing market research has revolved around traditional macroeconomic indicators such as unemployment rate. To the best of the authors’ knowledge, this study is one of the first studies that introduce these three parameters into housing market research.
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Kunlapath Sukcharoen and David J. Leatham
– The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e. tail dependence) among US industry sectors.
Abstract
Purpose
The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e. tail dependence) among US industry sectors.
Design/methodology/approach
This paper makes use of both conventional measures of dependence (the Pearson’s correlation coefficient, Spearman’s rho and Kendall’s tau) and copula measures of extreme correlations (including the same-direction and cross-tail dependence coefficients) to explore sector diversification opportunities. The paper splits the full sample in three periods, namely, 1995 to 2000, 2001 to 2006 and 2007 to 2012, to access the extent to which the dependence results change through time.
Findings
This research provides three important findings. First, the degree of dependence and same-direction extreme correlations are high, whereas the cross-extreme correlations are considerably low. Second, the sector pairs offering the best and worst tail diversification change across sample periods. Third, the traditional dependence measures suggest that benefits for sector diversification have decreased over all sample periods, while the potential for sector diversification during extreme events has just started to disappear in the most recent period.
Practical implications
An investor should consider both the normal co-movements and extreme co-movements among sector indices to maximize diversification benefits.
Originality/value
Given the limited empirical investigations of the degree of dependence and extreme correlation at a sector level, the results from this research should provide additional and valuable information for both investors and empirical researchers about portfolio diversification and risk management.
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