Search results

1 – 10 of 135
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

Open Access
Article
Publication date: 12 June 2023

Sajid Ali, Syed Ali Raza and Komal Akram Khan

This research paper aims to explore asymmetric market efficiency of the 13 Euro countries, i.e. Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland…

Abstract

Purpose

This research paper aims to explore asymmetric market efficiency of the 13 Euro countries, i.e. Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland, Portugal, Slovakia, Slovenia and Spain, concerning the period before global financial crisis (GFC), after GFC and period of COVID-19 pandemic.

Design/methodology/approach

Multifractal detrended fluctuation analysis (MF-DFA) is applied to examine the persistence and anti-persistency. It also discusses the random walk behavior hypothesis of these 13 countries non-stationary time series. Additionally, generalized Hurst exponents are applied to estimate the relative efficiency between short- and long-run horizons and small and large fluctuations.

Findings

The current study results suggest that most countries' markets are multifractal and exhibit long-term persistence in the short and long run. Moreover, the results with respect to full sample confirm that Portugal is the most efficient country in short run and Austria is the least efficient country. However, in long run, Austria appeared to be highly efficient, and Slovakia is the least efficient. In the pre-GFC period, Greece is said to be the relatively most efficient market in the short run, whereas Austria is the most efficient market in the long run. In the case of Post-GFC, Netherland and Ireland are the most efficient markets in short and long run, respectively. Lastly, COVID-19 results indicate that Finland's stock market is the most efficient in short run. Whereas, in the long run, the high efficiency is illustrated by Germany. In contrast, the most affected stock market due to COVID-19 is Belgium.

Originality/value

This study will add value to the present knowledge on efficient market hypothesis (EMH) with the MF-DFA approach. Also, with the MF-DFA approach, potential investors will be capable of ranking the stock markets of Eurozone countries based on their efficiency in the period before and after GFC and then specifically in the period of COVID-19.

研究目的

本研究旨在探討13個歐元區國家在環球金融危機前後, 以及2019新型冠狀病毒病肆虐時期之不對稱市場效率; 這13個國家包括: 奧地利、比利時、芬蘭、法國、德國、希臘、愛爾蘭、義大利、荷蘭、葡萄牙、斯洛伐克、斯洛維尼亞和西班牙。

研究設計/方法/理念

研究人員使用多重分形去趨勢波動分析法、來探討持續性與反持續性。這分析法也用來討論正在研究中的13個國家的非平穩時間序列的隨機漫步假說; 而且, 廣義赫斯特指數被用來估算長期/短期投資與大/小波動之間的相對效率。

研究結果

研究結果間接表明了大部份國家的市場都是多重分形的; 而且, 它們無論以短期抑或以長期來審視觀察, 均能展示持久性。再者, 就整體樣本而言, 研究結果確認了在短期來看, 葡萄牙是效率最高的國家, 而奧地利則效率最低。唯以長期來審視觀察, 奧地利則似乎效率很高, 而效率最低的則是斯洛伐克。在環球金融危機爆發前, 就短期而言, 希臘被認為是相對效率最高的市場, 而長期而言, 效率最高的則是奧地利。至於在環球金融危機爆發後, 就短期而言, 荷蘭是效率最高的市場, 而就長期而言, 效率最高的則是愛爾蘭。最後, 2019新型冠狀病毒病的結果顯示, 就短期而言, 荷蘭的股票市場是效率最高的, 而長期而言, 德國則展示了其高效率性。而受疫情影響最大的股票市場則是比利時。

研究的原創性/價值

研究採用了多重分形去趨勢波動分析法、來探討股票市場的效率, 並以此分析法來討論有關國家的非平穩時間序列的隨機漫步假說, 這使我們對效率市場假說有進一步的認識; 就此而言, 本研究為有關的探討增添價值; 而且, 有意投資者在使用多重分形去趨勢波動分析法下, 能夠基於歐元區國家的股票市場在環球金融危機前後, 以及更明確地在2019新型冠狀病毒病肆虐時期的效率, 來把這些股票市場分等級。

關鍵詞

環球金融危機、2019新型冠狀病毒病、效率市場假說、多重分形去趨勢波動分析.

Details

European Journal of Management and Business Economics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2444-8451

Keywords

Open Access
Article
Publication date: 10 January 2023

Orlando Telles Souza and João Vinícius França Carvalho

This study aims to analyze the efficient market hypothesis (EMH) of cryptocurrencies on multiple platforms by observing whether there is a discrepancy in the levels of efficiency…

1530

Abstract

Purpose

This study aims to analyze the efficient market hypothesis (EMH) of cryptocurrencies on multiple platforms by observing whether there is a discrepancy in the levels of efficiency between different exchanges. Additionally, EMH is tested in a multivariate way: whether the prices of the same cryptocurrencies traded on different exchanges are temporally related to each other. ADF and KPSS tests, whereas the vector autoregression model of order p – VAR(p) – for multivariate system.

Findings

Both Bitcoin and Ethereum show efficiency in the weak form on the main platforms in each market alone. However, when estimating a VAR(p) between prices among exchanges, there was evidence of Granger causality between cryptocurrencies in all exchanges, suggesting that EMH is not adequate due to cross information.

Practical implications

It is essential to assess the cryptocurrency market in a multivariate way, not only to favor its maturation process, but also to promote a broad understanding of its inherent risks. Thus, it will be possible to develop financial products that are actively managed in a more sophisticated cryptocurrency market.

Social implications

There is a possibility of performing arbitrage on different exchanges and market assets through cross-exchanges. Thus, emphasizing the need for regulation of exchanges in the digital asset market, as an eventual price manipulation on a single platform can impact others, which generates various distortions.

Originality/value

This study is the first to find evidence of cross-information for the same (and other) cryptocurrencies among different exchanges.

Details

Revista de Gestão, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1809-2276

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: 27 March 2023

Ons Zaouga and Nadia Loukil

The purpose of this paper is to test the existence of stylized facts, such as the volatility clustering, heavy tails seen on financial series, long-term dependence and…

Abstract

Purpose

The purpose of this paper is to test the existence of stylized facts, such as the volatility clustering, heavy tails seen on financial series, long-term dependence and multifractality on the returns of four real estate indexes using different types of indexes: conventional and Islamic by comparing pre and during COVID-19 pandemic.

Design/methodology/approach

Firstly, the authors examined the characteristics of the indexes. Secondly, the authors estimated the parameters of the stable distribution. Then, the long memory is detected via the estimation of the Hurst exponents. Afterwards, the authors determine the graphs of the multifractal detrended fluctuation analysis (MF-DFA). Finally, the authors apply the WTMM method.

Findings

The results suggest that the real estate indexes are far from being efficient and that the lowest level of multifractality was observed for Islamic indexes.

Research limitations/implications

The inefficiency behavior of real estate indexes gives us an idea about the prediction of the behavior of future returns in these markets on the basis of past informations. Similarly, market participants would do well to reassess their investment and risk management framework to mitigate new and somewhat higher levels of risk of their exposures during the turbulent period.

Originality/value

To the authors’ knowledge, this is the first real estate market study employing STL decomposition before applying the MF-DFA in the context of the COVID-19 crisis. Likewise, the study is the first investigation that focuses on these four indexes.

Details

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

Keywords

Article
Publication date: 19 September 2023

Nhung Thi Nguyen, Lan Hoang Mai Nguyen, Quyen Do and Linh Khanh Luu

This paper aims to explore factors influencing apartment price volatility in the two biggest cities in Vietnam, Hanoi and Ho Chi Minh City.

Abstract

Purpose

This paper aims to explore factors influencing apartment price volatility in the two biggest cities in Vietnam, Hanoi and Ho Chi Minh City.

Design/methodology/approach

The study uses the supply and demand approach and provides a literature review of previous studies to develop four main hypotheses using four determinants of apartment price volatility in Vietnam: gross domestic product (GDP), inflation rate, lending interest rate and construction cost. Subsequently, the Vector Error Correction Model (VECM) is used to analyze a monthly data sample of 117.

Findings

The research highlights the important role of construction costs in apartment price volatility in the two largest cities. Moreover, there are significant differences in how all four determinants affect apartment price volatility in the two cities. In addition, there is a long-run relationship between the determinants and apartment price volatility in both Hanoi and Ho Chi Minh City.

Research limitations/implications

Limitations related to data transparency of the real estate industry in Vietnam lead to three main limitations of this paper, including: this paper only collects a sample of 117 valid monthly observations; apartment price volatility is calculated by changes in the apartment price index instead of apartment price standard deviation; and this paper is limited by only four determinants, those being GDP, inflation rate, lending interest rate and construction cost.

Practical implications

The study provides evidence of differences in how the above determinants affect apartment price volatility in Hanoi and Ho Chi Minh City, which helps investors and policymakers to make informed decisions relating to the real estate market in the two biggest cities in Vietnam.

Social implications

This paper makes several recommendations to policymakers and investors in Vietnam to ensure a stable real estate market, contributing to the stability of the national economy.

Originality/value

This paper provides a new approach using VECM to analyze both long-run and short-run relationships between macroeconomic and sectoral independent variables and apartment price volatility in the two biggest cities in Vietnam.

Details

International Journal of Housing Markets and Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 14 February 2024

Huiyu Cui, Honggang Guo, Jianzhou Wang and Yong Wang

With the rise in wine consumption, accurate wine price forecasts have significantly impacted restaurant and hotel purchasing decisions and inventory management. This study aims to…

Abstract

Purpose

With the rise in wine consumption, accurate wine price forecasts have significantly impacted restaurant and hotel purchasing decisions and inventory management. This study aims to develop a precise and effective wine price point and interval forecasting model.

Design/methodology/approach

The proposed forecast model uses an improved hybrid kernel extreme learning machine with an attention mechanism and a multi-objective swarm intelligent optimization algorithm to produce more accurate price estimates. To the best of the authors’ knowledge, this is the first attempt at applying artificial intelligence techniques to improve wine price prediction. Additionally, an effective method for predicting price intervals was constructed by leveraging the characteristics of the error distribution. This approach facilitates quantifying the uncertainty of wine price fluctuations, thus rendering decision-making by relevant practitioners more reliable and controllable.

Findings

The empirical findings indicated that the proposed forecast model provides accurate wine price predictions and reliable uncertainty analysis results. Compared with the benchmark models, the proposed model exhibited superiority in both one-step- and multi-step-ahead forecasts. Meanwhile, the model provides new evidence from artificial intelligence to explain wine prices and understand their driving factors.

Originality/value

This study is a pioneering attempt to evaluate the applicability and effectiveness of advanced artificial intelligence techniques in wine price forecasts. The proposed forecast model not only provides useful options for wine price forecasting but also introduces an innovative addition to existing forecasting research methods and literature.

Details

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

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: 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

Article
Publication date: 9 June 2023

Seongsoo Jang, Hwang Kim and Vithala R. Rao

Firms can benefit from designing sales promotion based on the analysis of consumers' physical exercise and purchase data. This study aims to study mobile exercise app data to…

Abstract

Purpose

Firms can benefit from designing sales promotion based on the analysis of consumers' physical exercise and purchase data. This study aims to study mobile exercise app data to explore how purchasing a promoted or nonpromoted product affects exercisers’ subsequent exercise and purchase behaviors.

Design/methodology/approach

Drawing from the theoretical framework of overjustification effect, this study empirically examines the effects of the purchase of promoted – monetary and nonmonetary – or nonpromoted products on relationships (1) between past and subsequent exercise behaviors and (2) between past exercise and subsequent purchase behaviors. Novel data of one million exercise activities and purchase transactions created by 7,517 mobile exercise app users were collected.

Findings

The results reveal that monetary and nonmonetary promotions have a negative effect on overall consumers’ amount of physical exercise but increase heavy exercisers’ exercise amount. In addition, nonmonetary (monetary) promotion has a positive (negative) effect on consumers’ purchase expenditure but has no moderating effect on the exercise–expenditure relationship.

Originality/value

This study provides a theoretical framework explaining how to mitigate the dark side of sales promotions while targeting right exercise consumer segments with the right promotion campaigns.

Details

Information Technology & People, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0959-3845

Keywords

1 – 10 of 135