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Article
Publication date: 28 February 2022

Edson Zambon Monte

The main goal of this paper is to investigate whether there is long-memory behavior in the CBOE Brazil ETF volatility index (named here VIXBR). As structural breaks may create a…

Abstract

Purpose

The main goal of this paper is to investigate whether there is long-memory behavior in the CBOE Brazil ETF volatility index (named here VIXBR). As structural breaks may create a spurious long-range dependence, the presence of structural breaks is also gauged.

Design/methodology/approach

The study considers the period from October 2011 to March 2021, using daily data. To test the long-memory behavior, three empirical approaches are adopted: GPH, ELW and robust GPH (RGPH) estimator. To estimate the structural break points adopted to date the subsamples, the ICSS algorithm is used.

Findings

Results considering the total period (TP) and subsamples show that the breaks did not create a spurious long-memory behavior and together with the rolling estimation, reveal strong evidence of the long-range dependence in the CBOE Brazil ETF volatility index. The higher degree of persistent of the VIXBR series suggests an extended period of increased uncertainty that agents need consider when making their investment decision.

Research limitations/implications

As possible extension of this study is to investigate the behavior of long memory and structural breaks for different frequencies (weekly, monthly, among others).

Practical implications

The presence of long-range dependence in the CBOE Brazil ETF volatility index reveals that the past information is important for the predictability of risks, and therefore, can help to protect against market risks, which has important implications regarding the future decisions of economic agents (for example, policy makers and investors).

Originality/value

Brazil is an emerging capital market (ECM) that has attracted a great deal of attention from investors and investment funds seeking to diversify its assets. This paper contributes to the empirical financial literature, by studying the long-memory behavior of the CBOE Brazil ETF volatility index, considering possible structural breaks. To the best of knowledge, this has not been done so far.

Details

International Journal of Emerging Markets, vol. 18 no. 11
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 16 January 2023

Syed Alamdar Ali Shah, Bayu Arie Fianto, Batool Imtiaz, Raditya Sukmana and Rafiatul Adlin Hj Mohd Ruslan

The purpose of this paper is to perform Shariah review of Brownian motion that is used for prediction of Islamic stock prices and their volatility.

Abstract

Purpose

The purpose of this paper is to perform Shariah review of Brownian motion that is used for prediction of Islamic stock prices and their volatility.

Design/methodology/approach

It uses the Shariah compliant development model guidelines to review the Brownian motion and its applications.

Findings

The model of Brownian motion does not involve any variable that renders it non-Shariah compliant; neither all applications of Brownian motion are Shariah compliant. Because the model is based on stochastic properties that involve randomness, therefore the issue of gharar takes the utmost important to handle in the applications of the model. The results need to be analyzed strictly in accordance with the Shariah whether they create any element of gharar or uncertainty in case of expected price and volatility estimates.

Research limitations/implications

The research suffers from the limitation that it analyses only one model of physics, i.e. Brownian motion model from Shariah perspective.

Practical implications

The research opens an area for Shariah analysis of results generated from the application of advanced models of physics on matters related to Islamic financial markets.

Originality/value

The originality of this study stems from the fact that to the best of the authors’ knowledge, it is the first study that extends Shariah guidelines into Financial physics for making the foundations of Islamic econophysics.

Details

Journal of Islamic Accounting and Business Research, vol. 14 no. 8
Type: Research Article
ISSN: 1759-0817

Keywords

Open Access
Article
Publication date: 8 February 2024

Peter Ngozi Amah

A stylized fact in finance literature is the belief in positive relationship between ex ante return and risk. Hence, a rational investor, by utility preference axiom can only…

Abstract

Purpose

A stylized fact in finance literature is the belief in positive relationship between ex ante return and risk. Hence, a rational investor, by utility preference axiom can only consider committing fund in asset which promises commensurate higher return for higher risk. Questions have been asked as to whether this holds true across securities, sectors and markets. Empirical evidence appears less convincing, especially in developing markets. Accordingly, the author investigates the nature of reward for taking risk in the Nigerian Capital Market within the context of individual assets and markets.

Design/methodology/approach

The author employed ex post design to collect weekly stock prices of firms listed on the Premium Board of Nigerian Stock Exchange for period 2014–2022 to attempt to answer research questions. Data were analyzed using a unique M Vec TGarch-in-Mean model considered to be robust in handling many assets, and hence portfolio management.

Findings

The study found that idea of risk-expected return trade-off is perhaps more general than as depicted by traditional finance literature. The regression revealed that conditional variance and covariance risks reveal minimal or no differences in sign and sizes of coefficients. However, standard errors were also found to be large suggesting somewhat inconclusive evidence of existence of defined incentive structure for taking additional risk in the market.

Originality/value

In terms of choice of methodology and outcomes, this research adds substantial value to body of knowledge. The adapted multivariate model used in this paper is a rare approach especially for management of portfolios in developing markets. Remarkably, the research found empirical evidence that positive risk-expected return trade-off, as known in mainstream literature, is not supported especially using a typical developing country data.

Details

IIMBG Journal of Sustainable Business and Innovation, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2976-8500

Keywords

Article
Publication date: 10 October 2022

Nidhi Sharma and Ravindara Bhatt

Privacy preservation is a significant concern in Internet of Things (IoT)-enabled event-driven wireless sensor networks (WSNs). Low energy utilization in the event-driven system…

Abstract

Purpose

Privacy preservation is a significant concern in Internet of Things (IoT)-enabled event-driven wireless sensor networks (WSNs). Low energy utilization in the event-driven system is essential if events do not happen. When events occur, IoT-enabled sensor network is required to deal with enormous traffic from the concentration of demand data delivery. This paper aims to explore an effective framework for safeguarding privacy at source in event-driven WSNs.

Design/methodology/approach

This paper discusses three algorithms in IoT-enabled event-driven WSNs: source location privacy for event detection (SLP_ED), chessboard alteration pattern (SLP_ED_CBA) and grid-based source location privacy (GB_SLP). Performance evaluation is done using simulation results and security analysis of the proposed scheme.

Findings

The sensors observe bound events or sensitive items within the network area in the field of interest. The open wireless channel lets an opponent search traffic designs, trace back and reach the start node or the event-detecting node. SLP_ED and SLP_ED_CBA provide better safety level results than dynamic shortest path scheme and energy-efficient source location privacy protection schemes. This paper discusses security analysis for the GB_SLP. Comparative analysis shows that the proposed scheme is more efficient on safety level than existing techniques.

Originality/value

The authors develop the privacy protection scheme in IoT-enabled event-driven WSNs. There are two categories of occurrences: nominal events and critical events. The choice of the route from source to sink relies on the two types of events: nominal or critical; the privacy level required for an event; and the energy consumption needed for the event. In addition, phantom node selection scheme is designed for source location privacy.

Details

International Journal of Pervasive Computing and Communications, vol. 19 no. 5
Type: Research Article
ISSN: 1742-7371

Keywords

Article
Publication date: 22 January 2024

Yanqing Wang

The existing literature offers various perspectives on integrating cryptocurrencies into investment portfolios; yet, there is a gap in understanding the behaviours, attitudes and…

Abstract

Purpose

The existing literature offers various perspectives on integrating cryptocurrencies into investment portfolios; yet, there is a gap in understanding the behaviours, attitudes and cross-investment links of individual investors. This study, grounded in the modern portfolio theory and the random walk theory, aims to add empirical insights that are specific to the UK context. It explores four hypotheses related to the influence of socio-demographics, digital adoption, cross-investment behaviours and financial attitudes on cryptocurrency owners.

Design/methodology/approach

This study uses a logistic regression model with secondary data from the Financial Lives Survey 2020 to assess the factors impacting cryptocurrency ownership. A total of 29 variables are used, categorized into four groups aligned with the hypotheses. Additionally, hierarchical clustering analysis was conducted to further explore the cross-investment links.

Findings

The study reveals a significant lack of diversification among UK cryptocurrency investors, a pronounced inclination towards high-risk investments such as peer-to-peer lending and crowdfunding, and parallels with gambling behaviours, including financial dissatisfaction and a propensity for risk-taking. It highlights the influence of demographic traits, risk tolerance, technological literacy and emotional attitudes on cryptocurrency investment decisions.

Originality/value

This study provides valuable insights into cryptocurrency regulation and retail investor protection, underscoring the necessity for tailored financial education and a holistic regulatory approach for investment products with comparable risk levels, with the aim of minimizing regulatory arbitrage. It significantly enhances our understanding of the unique dynamics of cryptocurrency investments within the evolving financial landscape.

Details

Journal of Financial Regulation and Compliance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1358-1988

Keywords

Article
Publication date: 9 January 2024

Mohamed Malek Belhoula, Walid Mensi and Kamel Naoui

This paper examines the time-varying efficiency of nine major Middle East and North Africa (MENA) stock markets namely Egypt, Bahrain, UAE, Jordan, Saudi Arabia, Oman, Qatar…

Abstract

Purpose

This paper examines the time-varying efficiency of nine major Middle East and North Africa (MENA) stock markets namely Egypt, Bahrain, UAE, Jordan, Saudi Arabia, Oman, Qatar, Morocco and Tunisia during times of COVID-19 pandemic outbreak and vaccines.

Design/methodology/approach

The authors use two econometric approaches: (1) autocorrelation tests including the wild bootstrap automatic variance ratio test, the automatic portmanteau test and the Generalized spectral test, and (2) a non-Bayesian generalized least squares-based time-varying model with statistical inferences.

Findings

The results show that the degree of stock market efficiency of Egyptian, Bahraini, Saudi, Moroccan and Tunisian stock markets is influenced by the COVID-19 pandemic crisis. Furthermore, the authors find a tendency toward efficiency in most of the MENA markets after the announcement of the COVID-19's vaccine approval. Finally, the Jordanian, Omani, Qatari and UAE stock markets remain globally efficient during the three sub-periods of the COVID-19 pandemic outbreak.

Originality/value

The results have important implications for asset allocations and financial risk management. Portfolio managers may maximize the benefit of arbitrage opportunities by taking strategic long and short positions in these markets during downward trend periods. Policymakers should implement the action plans and reforms to protect the stock markets from global shocks and ensure the stability of the stock markets.

Details

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

Keywords

Article
Publication date: 9 January 2023

Leilei Shi, Xinshuai Guo, Andrea Fenu and Bing-Hong Wang

This paper applies a volume-price probability wave differential equation to propose a conceptual theory and has innovative behavioral interpretations of intraday dynamic market…

542

Abstract

Purpose

This paper applies a volume-price probability wave differential equation to propose a conceptual theory and has innovative behavioral interpretations of intraday dynamic market equilibrium price, in which traders' momentum, reversal and interactive behaviors play roles.

Design/methodology/approach

The authors select intraday cumulative trading volume distribution over price as revealed preferences. An equilibrium price is a price at which the corresponding cumulative trading volume achieves the maximum value. Based on the existence of the equilibrium in social finance, the authors propose a testable interacting traders' preference hypothesis without imposing the invariance criterion of rational choices. Interactively coherent preferences signify the choices subject to interactive invariance over price.

Findings

The authors find that interactive trading choices generate a constant frequency over price and intraday dynamic market equilibrium in a tug-of-war between momentum and reversal traders. The authors explain the market equilibrium through interactive, momentum and reversal traders. The intelligent interactive trading preferences are coherent and account for local dynamic market equilibrium, holistic dynamic market disequilibrium and the nonlinear and non-monotone V-shaped probability of selling over profit (BH curves).

Research limitations/implications

The authors will understand investors' behaviors and dynamic markets through more empirical execution in the future, suggesting a unified theory available in social finance.

Practical implications

The authors can apply the subjects' intelligent behaviors to artificial intelligence (AI), deep learning and financial technology.

Social implications

Understanding the behavior of interacting individuals or units will help social risk management beyond the frontiers of the financial market, such as governance in an organization, social violence in a country and COVID-19 pandemics worldwide.

Originality/value

It uncovers subjects' intelligent interactively trading behaviors.

Details

China Finance Review International, vol. 13 no. 4
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 6 October 2022

Xu Wang, Xin Feng and Yuan Guo

The research on social media-based academic communication has made great progress with the development of the mobile Internet era, and while a large number of research results…

Abstract

Purpose

The research on social media-based academic communication has made great progress with the development of the mobile Internet era, and while a large number of research results have emerged, clarifying the topology of the knowledge label network (KLN) in this field and showing the development of its knowledge labels and related concepts is one of the issues that must be faced. This study aims to discuss the aforementioned issue.

Design/methodology/approach

From a bibliometric perspective, 5,217 research papers in this field from CNKI from 2011 to 2021 are selected, and the title and abstract of each paper are subjected to subword processing and topic model analysis, and the extended labels are obtained by taking the merged set with the original keywords, so as to construct a conceptually expanded KLN. At the same time, appropriate time window slicing is performed to observe the temporal evolution of the network topology. Specifically, the basic network topological parameters and the complex modal structure are analyzed empirically to explore the evolution pattern and inner mechanism of the KLN in this domain. In addition, the ARIMA time series prediction model is used to further predict and compare the changing trend of network structure among different disciplines, so as to compare the differences among different disciplines.

Findings

The results show that the degree sequence distribution of the KLN is power-law distributed during the growth process, and it performs better in the mature stage of network development, and the network shows more stable scale-free characteristics. At the same time, the network has the characteristics of “short path and high clustering” throughout the time series, which is a typical small-world network. The KLN consists of a small number of hub nodes occupying the core position of the network, while a large number of label nodes are distributed at the periphery of the network and formed around these hub nodes, and its knowledge expansion pattern has a certain retrospective nature. More knowledge label nodes expand from the center to the periphery and have a gradual and stable trend. In addition, there are certain differences between different disciplines, and the research direction or topic of library and information science (LIS) is more refined and deeper than that of journalism and media and computer science. The LIS discipline has shown better development momentum in this field.

Originality/value

KLN is constructed by using extended labels and empirically analyzed by using network frontier conceptual motifs, which reflects the innovation of the study to a certain extent. In future research, the influence of larger-scale network motifs on the structural features and evolutionary mechanisms of KLNs will be further explored.

Details

Aslib Journal of Information Management, vol. 75 no. 6
Type: Research Article
ISSN: 2050-3806

Keywords

Article
Publication date: 24 January 2023

Fotios Siokis

The author examine the performance of a number of high short interest stocks along with the prices of the GameStop stock and three major stock exchange indices, particularly for…

Abstract

Purpose

The author examine the performance of a number of high short interest stocks along with the prices of the GameStop stock and three major stock exchange indices, particularly for the period after the eruption of the Covid-19 crisis.

Design/methodology/approach

With the employment of the complexity–entropy causality plane approach, the author categorize the stock prices in terms of the level of informational efficiency.

Findings

The author reported that the efficiency level for the index of the high short interest stocks falls considerably, not only at the onset of the Covid-19 crisis but during the health crisis period at hand. This is translated into proof of less uncertainty in predicting the stock prices of these specific stocks. On the other hand, the GameStop prices exhibit the same behavior as those with the high short interest firms, but change considerably in the middle of the crisis. The reversal of the behavior, by obtaining higher informational efficiency levels, is attributed to the short squeeze frenzy that increased the price of the stock many times over. Among the stock market indices, the Dow Jones Industrial Average and the S&P 500 decreased their efficiency levels marginally, after the surge of the crisis, while the Russell 2000 index kept the level intact. The high and stable degree of randomness could be attributed to the measures taken concurrently by the Federal Reserve and the government immediately after the outbreak of the crisis.

Originality/value

This is one of the few studies that examine the impact of short selling behavior on the efficiency level of certain stocks' prices, particularly during the health public crisis. It provides an alternative approach to measuring quantitatively the degree of inefficiency and randomness.

Details

Journal of Economic Studies, vol. 50 no. 7
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 13 February 2024

James Dean and Joshua C. Hall

The challenge of predicting changes in aggregate income and stock prices is one that has occupied the research agendas of economists. This paper aims to use the consumption–income…

Abstract

Purpose

The challenge of predicting changes in aggregate income and stock prices is one that has occupied the research agendas of economists. This paper aims to use the consumption–income ratio and the dividend–price ratio to predict future income and stock prices.

Design/methodology/approach

To examine the stability of the consumption–income ratio and the dividend–price ratio, the authors run a two-variable, two-lag reduced-form VAR in the vein of Cochrane (1994), using a lag of each respective ratio as exogenous to the VAR. Additionally, the authors estimate an AR(4) model for income and prices.

Findings

The consumption–income ratio and the dividend–price ratio remain key to understanding future movements in income and stock prices. The consumption–income ratio significantly predicts future income in the USA, and aggregate income is easier to predict than consumption in the VAR model. The dividend–price ratio does not significantly predict future price growth. Consumption and dividend shocks have lasting impacts on income and prices.

Originality/value

The consumption–income ratio and the dividend–price ratio are still key to understanding future movements in income and stock prices. The consumption–income ratio significantly predicts future income in the USA, and aggregate income is easier to predict than consumption in the VAR model. However, the dividend–price ratio does not significantly predict future price growth, a change from previous research from the 1990s, despite the increasing complexity of stock markets. Consumption and dividend shocks have lasting impacts on income and prices and appear to be significant drivers in both the short- and long-run variance in income and prices.

Details

Journal of Financial Economic Policy, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1757-6385

Keywords

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