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Article
Publication date: 1 February 1992

K.P. Kalirajan and R.T. Shand

In production economics, one of the most interesting questions is that of the causal relationship between technicalefficiency and allocative efficiency. This as yet remains a…

Abstract

In production economics, one of the most interesting questions is that of the causal relationship between technical efficiency and allocative efficiency. This as yet remains a puzzle without a unique answer. There are a few theoretical analyses conceptualizing the relationship, but consensus has not yet been reached, and empirical tests are rare. Presents the empirical results of applying Granger’s (1969) and Sims’ (1972) causality tests using time series data on technical and allocative efficiencies of random samples of Indian farmers. These causality tests, with respect to technical and allocative effciences show that there is unidirectional causality from technical efficiency to allocative efficiency, and that the causative process is not bidirectional.

Details

Journal of Economic Studies, vol. 19 no. 2
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 16 November 2015

Janne Kleinhans and Matthias Schumann

This paper investigates the potential of computerized adaptive testing for CMs to reduce test time. In the context of education and training, competency measurement (CM) is a…

Abstract

Purpose

This paper investigates the potential of computerized adaptive testing for CMs to reduce test time. In the context of education and training, competency measurement (CM) is a central challenge in competency management. For complex CMs, a compromise must be addressed between the time available and the quality of the measurements. Increasing the efficiency of existing tests therefore poses a key challenge.

Design/methodology/approach

Results from a market analysis show a lack of integrated adaptive testing tools for CMs. The implementation, integration and evaluation of an appropriate adaptive component are presented for the example of the learning management system ILIAS used for a CM of health workers. The textbook scenario of a linear testing implementation is compared with results from the adaptive testing tool implementation. A simulation component is created to investigate the robustness of the adaptive test regarding answers that are inconsistent with the test person’s ability.

Findings

A test time reduction of 40 per cent is achieved by the adaptive test. The test shows high stability for up to 20 per cent of the answers being inconsistent with the test person’s ability.

Originality/value

Results indicate the high potential of computerized adaptive testing for CMs. The developed tool could be used for the implementation of combined multimedia computerized adaptive tests. Time savings could be utilized to improve measurement quality. Large-scale empirical studies on the interaction between competency dimensions could be facilitated. No other tool could be identified possessing these capabilities.

Details

Interactive Technology and Smart Education, vol. 12 no. 4
Type: Research Article
ISSN: 1741-5659

Keywords

Article
Publication date: 31 May 2013

Brajesh Kumar and Ajay Pandey

In this paper, the authors aim to investigate the short‐run as well as long‐run market efficiency of Indian commodity futures markets using different asset pricing models. Four…

1789

Abstract

Purpose

In this paper, the authors aim to investigate the short‐run as well as long‐run market efficiency of Indian commodity futures markets using different asset pricing models. Four agricultural (soybean, corn, castor seed and guar seed) and seven non‐agricultural (gold, silver, aluminium, copper, zinc, crude oil and natural gas) commodities have been tested for market efficiency and unbiasedness.

Design/methodology/approach

The long‐run market efficiency and unbiasedness is tested using Johansen cointegration procedure while allowing for constant risk premium. Short‐run price dynamics is investigated with constant and time varying risk premium. Short‐run price dynamics with constant risk premium is modeled with ECM model and short‐run price dynamics with time varying risk premium is modeled using ECM‐GARCH in‐Mean framework.

Findings

As far as long‐run efficiency is concerned, the authors find that near month futures prices of most of the commodities are cointegrated with the spot prices. The cointegration relationship is not found for the next to near months futures contracts, where futures trading volume is low. The authors find support for the hypothesis that thinly traded contracts fail to forecast future spot prices and are inefficient. The unbiasedness hypothesis is rejected for most of the commodities. It is also found that for all commodities, some inefficiency exists in the short run. The authors do not find support of time varying risk premium in Indian commodity market context.

Originality/value

In context of Indian commodity futures markets, probably this is the first study which explores the short‐run market efficiency of futures markets in time varying risk premium framework. This paper also links trading activity of Indian commodity futures markets with market efficiency.

Details

Journal of Indian Business Research, vol. 5 no. 2
Type: Research Article
ISSN: 1755-4195

Keywords

Article
Publication date: 25 January 2008

Batool Asiri

This study seeks to measure the behaviour of stock prices in the Bahrain Stock Exchange (BSE), which is expected to follow a random walk. The aim of the study is to measure the…

3202

Abstract

Purpose

This study seeks to measure the behaviour of stock prices in the Bahrain Stock Exchange (BSE), which is expected to follow a random walk. The aim of the study is to measure the weak‐form efficiency.

Design/methodology/approach

Random walk models such as unit root and Dickey‐Fuller tests are used as basic stochastic tests for a non‐stationarity of the daily prices for all the listed companies in the BSE. In addition, autoregressive integrated moving average (ARIMA) and exponential smoothing methods are also used. Cross‐sectional‐time‐series is used for the 40 listed companies over the period 1 June 1990 up until 31 December 2000.

Findings

Random walk with no drift and trend is confirmed for all daily stock prices and each individual sector. Other tests, such as ARIMA (AR1), autocorrelation tests and exponential smoothing tests also supported the efficiency of the BSE in the weak‐form.

Practical implications

The finding of the study is a necessary piece of information for all investors whether in Bahrain or dealing with Bahrain stock market. Listed firms could also benefit from the findings by seeing the true picture of their stock price. Since, Bahrain is considered as an emerging market, the new methodologies used could be replicated for all other emerging markets. In addition, the finding is used as a base for testing the market efficiency in the semi‐strong form, which has not yet been tested by any researcher.

Originality/value

This study will add value to the literature of market efficiency in emerging market since it is the only study which covers all the listed companies and over a long period of time. To confirm the weak‐form efficiency in Bahrain, the study is unique in using five different methods in the same paper which have not been found in the previous literature.

Details

International Journal of Emerging Markets, vol. 3 no. 1
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 31 March 2020

Izidin El Kalak and Robert Hudson

This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including the…

Abstract

Purpose

This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including the financial crisis between 1st October 2007 and 31st December 2012 using daily option prices.

Design/methodology/approach

Two fundamental no-arbitrage conditions were tested: the lower boundary condition (LBC) and the put–call parity (PCP) condition while taking into account the role of transaction costs in mitigating the number of violations reported. Ex post tests of LBC and PCP revealed a low incidence of mispricing in this market. Furthermore, to check the robustness of the results obtained by the ex post tests, ex ante tests were applied to PCP violations occurring within a one-day lag.

Findings

The results showed a significant drop in the number of profitable arbitrage strategies. The findings obtained from all these tests generally support the cross-market efficiency of the Italian index options market during the sample period, though some violations were occasionally reported. Overall, the number and monetary value of the violations reported declined during the post-financial crisis period compared to those during the financial crisis period.

Research limitations/implications

This study can be extended to test the relationships between arbitrage profitability and other factors such as the moneyness (in the money, out of the money, at the money) of options and the maturity of options. Options market efficiency tests can be conducted such as call and put spreads, box spreads and put/call convexities (butterfly spreads).

Originality/value

There are several factors that influenced the decision to test the Italian index options market. First, the limited number of studies conducted on this market. Second, the fact that the two main studies on this market are relatively old, which makes it interesting to test the efficiency of this market with respect to a new set of data, taking into account the introduction of the Euro and the impact of the recent financial crisis on this market and whether the market efficiency hypothesis holds during the period of crisis. Third, it is important to consider the effect of the new rules applied to this market.

Details

Review of Accounting and Finance, vol. 19 no. 2
Type: Research Article
ISSN: 1475-7702

Keywords

Article
Publication date: 11 November 2014

Tarun Kumar Soni

The purpose of this paper is to study the market efficiency, unbiasedness and the direction of causality among four agricultural commodity futures contracts for a forecasting…

Abstract

Purpose

The purpose of this paper is to study the market efficiency, unbiasedness and the direction of causality among four agricultural commodity futures contracts for a forecasting horizon of 28 days, 56 days and 84 days which are traded at National Commodity and Derivatives Exchange Ltd.

Design/methodology/approach

To analyse the efficiency of futures market in Indian scenario, we focus on maize, chickpea, soybean and wheat which are among the most important agricultural commodities traded in India. In the first step, Augmented Dickey-Fuller test and nonparametric Phillips-Perron approaches have been used to examine the stationarity of all futures and spot price series. After testing the presence of cointegration in futures and spot series using Johansen’s Cointegration approach, the joint restrictions of β 0=0, β 1=1 and β 1=1 on the cointegrating vectors were imposed to test whether the futures price is an unbiased predictor of spot at contract maturity. In the next step, linear Toda and Yamamoto (1995) and the nonparametric Diks and Panchenko (2006) causality tests were applied to examine the direction of causality. Finally, nonlinear test were applied on the vector error correction model (VECM) residuals to investigate whether any remaining causality is strictly nonlinear in nature.

Findings

The results of cointegration tests between futures and spot prices of the selected agricultural commodities indicated a long term relationship do exist in three out of four futures contracts. However, the Wald tests results on the cointegrating vectors indicate markets as inefficient and biased. Further, analysis of short-term relationship using alternate tests of causality do not give consistent results for same commodity series indicating that results may vary due to alternate measures and specifications. Finally, if we consider the results of Diks-Panchenko test on the filtered VECM-residuals, results provide evidence that if cointegration is taken into account; neither spot nor future leads or lags the other consistently.

Research limitations/implications

The results are based on the sample of four agricultural futures commodity contracts. The study can be extended to a larger sample of contracts and relative efficiency of each contract can be explored.

Originality/value

There are very few studies that have explored the efficiency, unbiasedness and direction of causality using both linear and nonlinear techniques for Indian agriculture commodity futures market for different forecasting horizons.

Details

Journal of Agribusiness in Developing and Emerging Economies, vol. 4 no. 2
Type: Research Article
ISSN: 2044-0839

Keywords

Article
Publication date: 5 February 2020

Mark J. Holmes and Jesús Otero

The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices.

Abstract

Purpose

The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices.

Design/methodology/approach

Futures market efficiency is associated with the existence of a long-run equilibrium relationship between spot and future prices such that coffee futures prices are unbiased predictors of future spot prices. This study applies unit root testing to daily data for futures-spot price differentials. A range of maturities for futures contracts are considered, and the study also uses a recursive approach to consider time variation in futures market efficiency.

Findings

The other milds and Robusta futures prices tend to be unbiased predictors for their own respective spot prices. The paper further finds that other milds and Robusta futures prices are unbiased predictors of the respective Robusta and other milds spot prices. Recursive estimation suggests that the futures market efficiency associated with these cross cases has increased, though with no clear link to the implementation of the 2007 International Coffee Agreement.

Originality/value

The paper draws new insights into futures market efficiency by examining the two key types of coffee and analyses the potential interactions between them. Hitherto, no attention has been paid to futures contracts of the Robusta variety. The employment of unit root testing of spot futures coffee price differentials can be viewed as more stringent than an approach based on non-cointegration testing.

Details

Studies in Economics and Finance, vol. 37 no. 1
Type: Research Article
ISSN: 1086-7376

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: 14 November 2016

Oktay Tas, Kaya Tokmakcioglu, Umut Ugurlu and Murat Isiker

This paper aims to compare two groups of stocks to analyze the efficiency of an ethical portfolio in comparison with a conventional portfolio.

Abstract

Purpose

This paper aims to compare two groups of stocks to analyze the efficiency of an ethical portfolio in comparison with a conventional portfolio.

Design/methodology/approach

Efficiency test by second-order stochastic dominance (SSD) approach is applied on two groups, which consist of 12 stocks. Ethical portfolio is chosen from the stocks complying with the participation banking rules. Conventional portfolio is selected from Borsa Istanbul (BIST) with choosing the corresponding stocks for each ethical stock according to the sector and market capitalization. All the stocks of both groups are pairwise SSD compared.

Findings

Both groups of 12 stocks are inefficient portfolios; however, a group of 7 stocks constitute an efficient ethical portfolio with the total weight of 50.82 per cent among the set of 12 ethical stocks. On the other hand, a group of 6 stocks constitute an efficient conventional portfolio, with the total weight of 45.16 per cent among the set of 12 conventional stocks. By pairwise SSD comparison of corresponding stocks from both groups, despite none of the conventional stocks dominate ethical stocks, four ethical stocks dominated the conventional ones.

Originality/value

Back-testing and comparison with benchmark BIST 100 Index have been done for the selected portfolios. According to back-testing results, groups of SSD efficient stocks outperformed the groups, from which they were selected. Furthermore, both SSD efficient portfolios have higher returns than benchmark index, BIST 100.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 9 no. 4
Type: Research Article
ISSN: 1753-8394

Keywords

Open Access
Article
Publication date: 14 August 2018

Yiming Xu, Yajie Zou and Jian Sun

It would take billions of miles’ field road testing to demonstrate that the safety of automated vehicle is statistically significantly higher than the safety of human driving…

2144

Abstract

Purpose

It would take billions of miles’ field road testing to demonstrate that the safety of automated vehicle is statistically significantly higher than the safety of human driving because that the accident of vehicle is rare event.

Design/methodology/approach

This paper proposes an accelerated testing method for automated vehicles safety evaluation based on improved importance sampling (IS) techniques. Taking the typical cut-in scenario as example, the proposed method extracts the critical variables of the scenario. Then, the distributions of critical variables are statistically fitted. The genetic algorithm is used to calculate the optimal IS parameters by solving an optimization problem. Considering the error of distribution fitting, the result is modified so that it can accurately reveal the safety benefits of automated vehicles in the real world.

Findings

Based on the naturalistic driving data in Shanghai, the proposed method is validated by simulation. The result shows that compared with the existing methods, the proposed method improves the test efficiency by 35 per cent, and the accuracy of accelerated test result is increased by 23 per cent.

Originality/value

This paper has three contributions. First, the genetic algorithm is used to calculate IS parameters, which improves the efficiency of test. Second, the result of test is modified by the error correction parameter, which improves the accuracy of test result. Third, typical high-risk cut-in scenarios in China are analyzed, and the proposed method is validated by simulation.

Details

Journal of Intelligent and Connected Vehicles, vol. 1 no. 1
Type: Research Article
ISSN: 2399-9802

Keywords

1 – 10 of over 99000