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1 – 10 of 582Munazza Jabeen and Saba Kausar
This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock Exchange by using both parametric and non-parametric approaches. The…
Abstract
Purpose
This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock Exchange by using both parametric and non-parametric approaches. The motivation is to do risk-return analysis of Islamic stock prices and conventional stock prices.
Design/methodology/approach
It uses various measures of performance, e.g. Sharpe ratio, Treynor ratio, Jensen's alpha, beta, generalized auto-regressive conditional heteroskedasticity and stochastic dominance. Using the Karachi Meezan Index-30 (KMI-30) and the Karachi Stock Exchange Index-30 (KSE-30) as proxies for Islamic and conventional stock prices, respectively, it examines the performance of Islamic and conventional stocks. The daily data of KMI-30 and KSE-30, covering period from June 9, 2009 to June 20, 2020 are used.
Findings
The results show that the overall KMI-30 outperforms the KSE-30. The returns of the KMI-30 are greater than the KSE-30. However, the risk and volatility of the KMI-30 and KSE-30 are similar. Further, the KMI-30 has higher excess returns per unit of total risk than the KSE-30. But both indexes have similar excess returns per unit of systematic risk. Moreover, the KMI-30 returns have stochastically dominance over the KSE-30 returns. These results reveal that the Islamic index performs better than the conventional index.
Practical implications
The findings provide several practical implications in financial and investment decisions making by investors, managers and policymakers such as strategies for asset allocation and investment. Further, in risk management, it provides guidance for allocating portfolios and managing risk. The investment in Islamic stocks may mitigate potential risk within asset portfolios.
Originality/value
This research is unique in its approach to the analysis of the performance comparison of conventional and Islamic stock by using comprehensive parametric and non-parametric estimation techniques. Such research has not been undertaken in the Pakistan's equity market since.
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This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's…
Abstract
This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our empirical evidence is consistent with investors' attitudes toward uncertainty and risk, firms' fundamentals and leverage effects varying with uncertainty. Additionally, we discover that the negative relationship between returns and contemporaneous innovations of conditional variance and the positive relationship between returns and contemporaneous innovations of implied variance are significant during low uncertainty periods. Furthermore, our results are robust to changing the base assets to mimic the uncertainty factor and removing the effect of investor sentiment.
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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…
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.
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The purpose of this paper is to examine the argument that the put options traded in the exchanges are too high, compared to the asset prices based on the classical CAPM model, and…
Abstract
The purpose of this paper is to examine the argument that the put options traded in the exchanges are too high, compared to the asset prices based on the classical CAPM model, and thus the short position of the put option would make a significant profit from trading. In order to explore the earlier report, this paper, using the KOSPI 200 index options market price, estimates the historical rate of return on several option trading strategies such as naked option, protective put, covered call, straddle, and strangle. Secondly this paper compares the historical rates of return on the option trading strategies and Sharpe ratios with those generated by Monte-Carlo simulation and examines whether the historical option returns are inconsistent with Black-Scholes model, Jump-diffusion model, Stochastic Volatility model, or Stochastic Volatility with Jump model. Thirdly, this paper computes the optimal asset allocation ratio among the risk-free asset, risky assets, and option trading strategies in the viewpoint of rational investors who maximize the CRRA utility function.
The results show that the historical returns on short position of ATM and OTM puts are too high to explain based on the classical CAPM, and the optimal allocation ratios among put, risky asset, and the risk-free asset are different from those derived using Monte-Carlo simulation.
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Zabih Ghelichi, Monica Gentili and Pitu Mirchandani
This paper aims to propose a simulation-based performance evaluation model for the drone-based delivery of aid items to disaster-affected areas. The objective of the model is to…
Abstract
Purpose
This paper aims to propose a simulation-based performance evaluation model for the drone-based delivery of aid items to disaster-affected areas. The objective of the model is to perform analytical studies, evaluate the performance of drone delivery systems for humanitarian logistics and can support the decision-making on the operational design of the system – on where to locate drone take-off points and on assignment and scheduling of delivery tasks to drones.
Design/methodology/approach
This simulation model captures the dynamics and variabilities of the drone-based delivery system, including demand rates, location of demand points, time-dependent parameters and possible failures of drones’ operations. An optimization model integrated with the simulation system can update the optimality of drones’ schedules and delivery assignments.
Findings
An extensive set of experiments was performed to evaluate alternative strategies to demonstrate the effectiveness for the proposed optimization/simulation system. In the first set of experiments, the authors use the simulation-based evaluation tool for a case study for Central Florida. The goal of this set of experiments is to show how the proposed system can be used for decision-making and decision-support. The second set of experiments presents a series of numerical studies for a set of randomly generated instances.
Originality/value
The goal is to develop a simulation system that can allow one to evaluate performance of drone-based delivery systems, accounting for the uncertainties through simulations of real-life drone delivery flights. The proposed simulation model captures the variations in different system parameters, including interval of updating the system after receiving new information, demand parameters: the demand rate and their spatial distribution (i.e. their locations), service time parameters: travel times, setup and loading times, payload drop-off times and repair times and drone energy level: battery’s energy is impacted and requires battery change/recharging while flying.
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Chunsuk Park, Dong-Soon Kim and Kaun Y. Lee
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This…
Abstract
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic indicators because past economic indicators or realized rate of returns which are used as input data for expected rate of returns in the “building block” method, most adopted by domestic pension funds, does not fully reflect the future economic situation. Vector autoregression is used to estimate and forecast long-term interest rates. Furthermore, it is applied to gross domestic product and consumer price index estimation because it is widely used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first, economic indicator filtering and upper-lower bound computation is needed to reduce the expected return volatility. Second, to reach the ALM goal, more stocks should be allocated than low-yielding assets. Finally, dynamic asset allocation which has been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation.
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Enoch Owusu-Sekyere, Helena Hansson, Evgenij Telezhenko, Ann-Kristin Nyman and Haseeb Ahmed
The purpose of this paper was to assess the economic impact of investment in different animal welfare–enhancing flooring solutions in Swedish dairy farming.
Abstract
Purpose
The purpose of this paper was to assess the economic impact of investment in different animal welfare–enhancing flooring solutions in Swedish dairy farming.
Design/methodology/approach
The authors developed a bio-economic model and used stochastic partial budgeting approach to simulate the economic consequences of enhancing solid and slatted concrete floors with soft rubber covering.
Findings
The findings highlight that keeping herds on solid and slatted concrete floor surfaces with soft rubber coverings is a profitable solution, compared with keeping herds on solid and slatted concrete floors without a soft covering. The profit per cow when kept on a solid concrete floor with soft rubber covering increased by 13%–16% depending on the breed.
Practical implications
Promoting farm investments such as improvement in flooring solution, which have both economic and animal welfare incentives, is a potential way of promoting sustainable dairy production. Farmers may make investments in improved floors, resulting in enhanced animal welfare and economic outcomes necessary for sustaining dairy production.
Originality/value
This literature review indicated that the economic impact of investment in specific types of floor improvement solutions, investment costs and financial outcomes have received little attention. This study provides insights needed for a more informed decision-making process when selecting optimal flooring solutions for new and renovated barns that improve both animal welfare and ease the burden on farmers and public financial support.
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Lufei Huang, Liwen Murong and Wencheng Wang
Environmental issues have become an important concern in modern supply chain management. The structure of closed-loop supply chain (CLSC) networks, which considers both forward…
Abstract
Purpose
Environmental issues have become an important concern in modern supply chain management. The structure of closed-loop supply chain (CLSC) networks, which considers both forward and reverse logistics, can greatly improve the utilization of materials and enhance the performance of the supply chain in coping with environmental impacts and cost control.
Design/methodology/approach
A biobjective mixed-integer programming model is developed to achieve the balance between environmental impact control and operational cost reduction. Various factors regarding the capacity level and the environmental level of facilities are incorporated in this study. The scenario-based method and the Epsilon method are employed to solve the stochastic programming model under uncertain demand.
Findings
The proposed stochastic mixed-integer programming (MIP) model is an effective way of formulating and solving the CLSC network design problem. The reliability and precision of the Epsilon method are verified based on the numerical experiments. Conversion efficiency calculation can achieve the trade-off between cost control and CO2 emissions. Managers should pay more attention to activities about facility operation. These nodes might be the main factors of costs and environmental impacts in the CLSC network. Both costs and CO2 emissions are influenced by return rate especially costs. Managers should be discreet in coping with cost control for CO2 emissions barely affected by return rate. It is advisable to convert the double target into a single target by the idea of “Efficiency of CO2 Emissions Control Reduction.” It can provide managers with a way to double-target conversion.
Originality/value
We proposed a biobjective optimization problem in the CLSC network considering environmental impact control and operational cost reduction. The scenario-based method and the Epsilon method are employed to solve the mixed-integer programming model under uncertain demand.
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