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Article
Publication date: 13 November 2020

Silvio John Camilleri, Semiramis Vassallo and Ye Bai

This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample.

Abstract

Purpose

This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample.

Design/methodology/approach

The authors analyse security returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests.

Findings

The findings pinpoint at predictabilities which seem inconsistent with market efficiency, and they suggest that the inherent cause of predictability differs across groups.

Research limitations/implications

The authors present empirical evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view of the conflicting evidence in prior literature.

Practical implications

Whilst the pricing process in emerging markets may be hindered by delayed adjustments, in case of established markets it seems that there is a higher tendency for price reversals which could be due to prior over-reactions.

Originality/value

This study presents evidence of substantial differences in predictability across developed and emerging markets which was gleaned through the rigorous application of different empirical tests.

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Article
Publication date: 1 December 2020

Roya Malekzadeh, Ghasem Abedi, Ehsan Abedini, Elaheh Haghgoshayie, Edris Hasanpoor and Matina Ghasemi

Respect for human rights is one of the most important criteria for the delivery of medical care in hospitals. Ethical predictability is useful to identify human rights…

Abstract

Purpose

Respect for human rights is one of the most important criteria for the delivery of medical care in hospitals. Ethical predictability is useful to identify human rights concerns in health-care organizations. The hospital environment and the flow of its processes make the topic of predictability much more sensitive and, at the same time, more difficult than other organizations. The purpose of this paper is to determine and compare the ethical predictive factors in selected hospitals in Mazandaran province.

Design/methodology/approach

This cross-sectional survey using multilevel sampling (four hospitals, 938 patients, 186 staff) was conducted in the first half of 2017. The measurement instrument was a researcher-made questionnaire consisting of seven areas of service recipients’ rights, patient safety, patient satisfaction, human resources, governance, organizational and financial commitments. The analysis of the collected data was performed through SPSS V. 22 and one-way ANOVA and post hoc Tukey’s tests.

Findings

Ethical predictability was higher in social security hospitals compared to private and public hospitals, and patient safety and patient rights showed higher magnitudes compared to other dimensions. Financial domain, patient satisfaction, governance and organizational commitment formed the middle priorities in ethical predictability, and human resources had the least average in ethical predictability in the selected hospitals in the province.

Originality/value

Identifying the factors which influence ethical predictability, in addition to promoting service recipients’ rights and patient satisfaction, is of great help to the managers and health service authorities, so that they can have a better understanding of these factors and, consequently, make appropriate micro and macro-decisions to provide better services.

Details

International Journal of Human Rights in Healthcare, vol. 13 no. 5
Type: Research Article
ISSN: 2056-4902

Keywords

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Article
Publication date: 30 April 2021

Yue-Jun Zhang and Xu Pan

Risk aversion is considered as an important factor in predicting asset prices. Many studies have proved that there exists important price information spillover among crude…

Abstract

Purpose

Risk aversion is considered as an important factor in predicting asset prices. Many studies have proved that there exists important price information spillover among crude oil, precious metals and agricultural markets. Then there naturally follows the question: Is the risk aversion of investors in crude oil market predictable for the returns of precious metals and agricultural products? The purpose of this paper is to answer this question. For this reason, the authors explore the directional predictability and the cross-quantile dependence between risk aversion of crude oil market investors and returns of precious metals and agricultural products.

Design/methodology/approach

To better describe the risk aversion of investors, this paper uses high-frequency data and model-free calculation method to obtain variance risk premium of crude oil. Then, this paper uses the cross-quantilogram method to investigate the directional predictability and cross-quantile dependence between risk aversion of crude oil market investors and returns of precious metals and agricultural products. Meanwhile, it employs the partial cross-quantilogram (PCQ) method to test the impact of control variables on the empirical results.

Findings

Firstly, risk aversion of crude oil market investors has directional predictability for returns of precious metals and agricultural products. Secondly, different degrees of risk aversion of crude oil market investors have different impacts on returns of precious metals and agricultural products. A low (high) degree of crude oil market investors' risk aversion has negative (positive) predictability for returns of precious metals and agricultural products. Finally, during the sample period, the returns of precious metals are more affected by risk aversion of crude oil market investors than returns of agricultural products.

Originality/value

First of all, this paper studies the impact of risk aversion of crude oil market investors on returns of precious metals and agricultural products. It updates previous relevant studies on the factors influencing the prices of precious metals and agricultural products, and provides a new idea for the forecast of those commodity returns. Secondly, this paper provides the evidence that different degrees of risk aversion of investors have different effects on the returns of commodities, and expands the research on the topic of commodity returns prediction. Finally, high-frequency data are employed in this paper to better capture the risk aversion of investors than commonly used daily data.

Details

China Agricultural Economic Review, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1756-137X

Keywords

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Article
Publication date: 29 April 2014

Redhwan Ahmed AL-Dhamari and Ku Nor Izah Ku Ismail

Existing studies on corporate governance mainly focus on how a strong governance system enhances the valuation of firms with cash holding or free cash flow agency problem…

Abstract

Purpose

Existing studies on corporate governance mainly focus on how a strong governance system enhances the valuation of firms with cash holding or free cash flow agency problem. The aims of this paper are threefold. First, it investigates the impact of surplus free cash flows (SFCF) on earnings predictability. Second, it investigates whether corporate governance variables moderate the negative impact of SFCF on earnings predictability. Finally, this study examines whether the ability of corporate governance to mitigate SFCF and improve the predictive value of earnings varies between large and small firms.

Design/methodology/approach

This paper uses heteroskedasticity-corrected least square regressions upon a sample of Malaysian listed firms.

Findings

This paper finds that firms with high SFCF experience less earnings predictability. It also indicates that earnings of firms with high SFCF are more predictable when institutional investors hold a large stake of shares and when a chairperson is independent. Finally, this paper reveals that the role of institutional and managerial ownership in mitigating agency conflict of free cash flow and improving earnings predictability is more prominent in larger firms. This study implies that investors still have reservations about the ability of boards to enhance earnings numbers in Malaysia, although efforts were taken to reform the corporate governance mechanisms following the Asian financial crisis.

Originality/value

This research is considered as the first attempt to examine the relationships between SFCF, corporate governance, firm size, and earnings predictability in a developing county such as Malaysia. The findings of this paper serve as a wake-up call to policy makers to evaluate the importance of governance structure in enhancing earnings predictability in emerging economies.

Details

International Journal of Accounting and Information Management, vol. 22 no. 2
Type: Research Article
ISSN: 1834-7649

Keywords

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Article
Publication date: 29 October 2020

Pedro Hemsley, Rafael Morais and Karinna Di Iulio

Recent models in firm theory assume that problems have to be solved for production to take place and that knowledge is the main input for problem-solving. This paper…

Abstract

Purpose

Recent models in firm theory assume that problems have to be solved for production to take place and that knowledge is the main input for problem-solving. This paper characterizes the relationship between the predictability of production prcesses and investment in knowledge.

Design/methodology/approach

This paper uses a theoretical model of firm theory to study investment in knowledge by a simplified one-layer firm with a stochastic technology, across different market structures, and develops a calibration exercise to illustrate the results.

Findings

Firms working closer to the production frontier (those with a larger efficient scale in perfect competition, facing a higher demand in monopoly or more competitive internationally in an open economy) react more in terms of investment in knowledge when problem predictability changes. Investment in knowledge becomes nearly insensitive to such changes for firms with a low output, i.e. those far from the frontier. A calibration exercise suggests that the elasticity of knowledge with respect to the predictability of problems was around 0.59 for the US economy for the period 1980–2020.

Originality/value

These are the first nonambiguous results on the relationship between the predictability of production processes and investment in knowledge and help understanding knowledge acquisition by different firms in distinct competitive environments.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

Keywords

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Article
Publication date: 16 January 2020

Muhammad Naeem Shahid, Malik Jehanzeb, Aamir Abbas, Ahsan Zubair and Mahmood A. Hussain Akbar

The purpose of this paper is to boost the existing literature on adaptive market hypothesis (AMH) as it first time links predictability of gold, silver and metal returns…

Abstract

Purpose

The purpose of this paper is to boost the existing literature on adaptive market hypothesis (AMH) as it first time links predictability of gold, silver and metal returns with AMH which permits the predictability of returns to vary over time.

Design/methodology/approach

To know whether commodity (gold, silver and metal) market is efficient or not, the commodity returns are observed by using appropriate linear time series tests (variance ratio test, runs test and auto-correlation test). To capture the varying efficiency of three commodities, the study employs subsamples of five years and all sub-samples are exposed to linear econometric tests to reveal how market efficiency (independency of returns) has behaved over time.

Findings

It is found that the commodity market (gold, silver and metal) is adaptive because fluctuation is observed in the market efficiency. Returns of all three commodities go under the periods of efficiency and inefficiency. Thus, AMH is the better description of behavior of commodity markets than traditional efficient market hypothesis.

Research limitations/implications

Choice of sub-sample in the study is the first limitation as the authors employ a sub-sample comprising five years. Second, commission, fee and taxes (transection cost) are ignored in the study. Finally, the results are reported on the basis of linear econometric tests. In future, longer time period sub-sample analysis is suggested by the study to explore the varying nature of the commodities. Moreover, rolling window analysis may be a more appropriate method to elucidate the idea of AMH in further research. It is further suggested that the method used in the study could be helpful and adapted to examine other commodities (metal and agriculture), bonds and equity markets around the world.

Practical implications

The study will provide a better investment model which can enable the investors to seek more returns in future. Moreover, this research can be extended to explore multiple issues like adaptive behavior of returns from crypto currencies, bonds, stocks and real estate investment trusts.

Social implications

As all the linear tests reveal that almost all the commodities show inefficient behavior in full sample period, it is clear that past prices widely would be helpful to predict the future prices at NYSE; furthermore, investors can use the time-varying information to reduce the risk of investment at NYSE. The study is helpful for individual investors as well as portfolio managers and brokers to forecast the prices on the bases of findings.

Originality/value

The paper identifies the need to study why behavior of commodity returns varies over time.

Details

International Journal of Emerging Markets, vol. 15 no. 5
Type: Research Article
ISSN: 1746-8809

Keywords

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Article
Publication date: 31 January 2020

Sam O. Olofin, Tirimisiyu Folorunsho Oloko, Kazeem O. Isah and Ahamuefula Ephraim Ogbonna

The purpose of this study is to investigate the predictability of crude oil price and shale oil production, in a bid to examine the possibility of bi-directional causality.

Abstract

Purpose

The purpose of this study is to investigate the predictability of crude oil price and shale oil production, in a bid to examine the possibility of bi-directional causality.

Design/methodology/approach

The study adopts a recently developed predictability model by Westerlund and Narayan (2015), which accounts for persistence, endogeneity and heteroscedasticity. It also accounts for structural breaks in the predictive models.

Findings

The empirical results show that only a unidirectional causal relationship from crude oil price to shale oil production exists. This happens as crude oil price appears to be a good predictor of shale oil production; however, shale oil production does not serve as a good predictor for crude oil price. Accounting for structural break was found to improve the predictability and forecast accuracy of the predictive model. Our result is robust to choice of crude oil price benchmarks (West Texas Intermediate, Brent, Dubai Fateh and Refiners’ Acquisition Cost) and their denominations (real or nominal).

Research limitations/implications

The result implies that crude oil price must be considered when predicting shale oil production. Meanwhile, the non-significance of shale of production in crude oil price predictive model provides information to potential analyst, researchers and countries predicting crude oil price that failure to account for the effect of shale oil production would not have significant impact on the forecast accuracy of their models.

Originality/value

The study contributes originally to the literature on crude oil price–shale oil production in four major ways. First, it applies a recently developed predictability method by Westerlund and Narayan (2015), which is more suitable for dealing with persistence, conditional heteroscedasticity and endogeneity in the predictors. Second, it investigates existence of reverse causality between crude oil price and shale oil production. Third, it examines the variation in the response and effect of four major crude oil price benchmarks. Fourth, it considers crude oil price in both real and nominal terms.

Details

International Journal of Energy Sector Management, vol. 14 no. 4
Type: Research Article
ISSN: 1750-6220

Keywords

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Article
Publication date: 30 September 2014

Silvio John Camilleri and Christopher J. Green

– The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices.

Abstract

Purpose

The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices.

Design/methodology/approach

The authors test for lead-lag effects between the Indian Nifty and Nifty Junior indices using Pesaran–Timmermann tests and Granger-Causality. Then, a simple test on overnight returns is proposed to infer whether the observed predictability is mainly attributable to non-synchronous trading or some form of inefficiency.

Findings

The evidence suggests that non-synchronous trading is a better explanation for the observed predictability in the Indian Stock Market.

Research limitations/implications

The indication that non-synchronous trading effects become more pronounced in high-frequency data suggests that prior studies using daily data may underestimate the impacts of non-synchronicity.

Originality/value

The originality of the paper rests on various important contributions: overnight returns is looked at to infer whether predictability is more attributable to non-synchronous trading or to some form of inefficiency; the impacts of non-synchronicity are investigated in terms of lead-lag effects rather than serial correlation; and high-frequency data is used which gauges the impacts of non-synchronicity during less active parts of the trading day.

Details

Studies in Economics and Finance, vol. 31 no. 4
Type: Research Article
ISSN: 1086-7376

Keywords

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Article
Publication date: 1 November 2002

Jungki Lee and Arthur Allaway

A new literature is emerging around the role of self‐service technologies (SSTs) such as airline ticketing machines, automatic teller machines, and computer‐based shopping…

Abstract

A new literature is emerging around the role of self‐service technologies (SSTs) such as airline ticketing machines, automatic teller machines, and computer‐based shopping services in the strategic offering of service providers. SSTs allow (or force) consumers to help produce their own service encounters via machine interaction rather than by interacting with a firm’s service personnel. Firms which introduce SSTs wish to gain rapid acceptance and usage of these technologies by potential consumers. This study investigates whether the provision of more personal control to consumers can reduce their perceived risk, enhance the perceived value of the SST, and induce greater adoption intention associated with the innovation. Propositions are tested using an experiment. Multiple analysis of covariance and follow‐up tests either fully or partially supported 11 out of 12 hypotheses. A set of managerial implications and recommendations is provided.

Details

Journal of Services Marketing, vol. 16 no. 6
Type: Research Article
ISSN: 0887-6045

Keywords

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Article
Publication date: 18 January 2016

Paweł Fiedor and Artur Hołda

– This paper aims to present a framework enriching currency risk analyses based on information theory.

Abstract

Purpose

This paper aims to present a framework enriching currency risk analyses based on information theory.

Design/methodology/approach

Information-theoretic measures of predictability (entropy rate) and co-dependence (mutual information) are used to enhance existing methods of analysing and measuring currency risk.

Findings

The currency exchange rates have varying degrees of predictability, which should be accounted for in currency risk analyses. In case of baskets of currencies, a network approach rooted in portfolio theory may be useful.

Research limitations/implications

The currency exchange rate time series must be discretised for the information-theoretic analysis (although the results are robust). An agent-based simulation may be a necessary further study to show what the impact of accounting for predictability in managing currency risk is.

Practical implications

Practical analyses measuring currency risk should take predictability of currency rate changes into account wherever the currency exposure is actively managed.

Originality/value

The paper introduces predictability into measuring currency risk, which has previously been ignored, despite the nature of the risk being inherently tied to uncertainty of the currency rate changes. The paper also introduces a portfolio theory-based approach to quantifying currency risk, which accounts for non-linear co-dependence in the currency markets.

Details

The Journal of Risk Finance, vol. 17 no. 1
Type: Research Article
ISSN: 1526-5943

Keywords

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