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1 – 10 of 820The purpose of this paper is to investigate the risk and economic policy uncertainty (EPU) shocks on China’s equity markets while controlling for changes in sentiments and…
Abstract
Purpose
The purpose of this paper is to investigate the risk and economic policy uncertainty (EPU) shocks on China’s equity markets while controlling for changes in sentiments and liquidity.
Design/methodology/approach
The GED-TARCH(1,1)-M procedure is used in estimations to deal with the heteroscedasticity problem.
Findings
Evidence shows that stock returns are positively correlated with predictable volatility and lagged downside risk. This study indicates that the stock returns are negatively correlated with both local and global uncertainty innovations. The test results are robust across different measures of stock returns and model specifications. The global EPU innovations have more profound impact on stock returns than that of Chinese EPU.
Research limitations/implications
The findings are based on the data in the China’s stock market, other global markets may be considered in the future research.
Practical implications
Evidence indicates that a rise in EPU produces a negative effect on stock returns at the time news hits a market; however, investors will be rewarded by a premium as prices rebound in the subsequent period for compensating the investment decision made at a high uncertainty period.
Originality/value
The excess stock returns are negatively related to the EPU innovations, regardless of whether EPU originates from a domestic source or external sources.
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Recent empirical studies by Antonakakis, Chatziantoniou and Filis (2013), Brogaard and Detzel (2015) and Christou et al. (2017) present evidence, which supports the notion that a…
Abstract
Purpose
Recent empirical studies by Antonakakis, Chatziantoniou and Filis (2013), Brogaard and Detzel (2015) and Christou et al. (2017) present evidence, which supports the notion that a rise in economic policy uncertainty (EPU) will lead to a decline in stock prices. The purpose of this paper is to examine US categorical policy uncertainty on stock returns while controlling for implied volatility and downside risk. In addition to the domestic impacts of policy uncertainty, this paper also presents evidence that changes in US policy uncertainty promptly propagates to the global stock markets.
Design/methodology/approach
This study uses a GED-GARCH (1, 1) model to estimate changes of uncertainties in US monetary, fiscal and trade policies on stock returns for the sample period of January 1990–December 2018. Robustness test is conducted by using different set of data and modeling techniques.
Findings
This paper contributes to the literature in several aspects. First, testing of US aggregate data while controlling for downside risk and implied volatility, consistently, shows that responses of stock prices to US policy uncertainty changes, not only display a negative effect in the current period but also have at least a one-month time-lag. The evidence supports the uncertainty premium hypothesis. Second, extending the test to global data reveals that US policy uncertainty changes have a negative impact on markets in Europe, China and Japan. Third, testing the data in sectoral stock markets mainly displays statistically significant results with a negative sign. Fourth, the evidence consistently shows that changes in policy uncertainty present an inverse relation to the stock returns, regardless of whether uncertainty is moving upward or downward.
Research limitations/implications
The current research is limited to the markets in the USA, eurozone, China and Japan. This study can be extended to additional countries, such as emerging markets.
Practical implications
This paper provides a model that uses categorical policy uncertainty approach to explain stock price changes. The parametric estimates provide insightful information in advising investors for making portfolio decision.
Social implications
The estimated coefficients of changes in monetary policy uncertainty, fiscal policy uncertainty and trade policy uncertainty are informative in assisting policymakers to formulate effective financial policies.
Originality/value
This study extends the existing risk premium model in several directions. First, it separates the financial risk factors from the EPU innovations; second, instead of using EPU, this study investigates the effects from monetary policy, fiscal policy and trade policy uncertainties; third, in additional to an examination of the effects of US categorical policy uncertainties on its own markets, this study also investigates the spillover effects to global major markets; fourth, besides the aggregate stock markets, this study estimates the effects of US policy uncertainty innovations on the sectoral stock returns.
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This paper investigates the impact of a change in economic policy uncertainty
Abstract
Purpose
This paper investigates the impact of a change in economic policy uncertainty
Design/methodology/approach
The paper uses Engle's (2009) dynamic conditional correlation (DCC) model and Chiang's (1988) rolling correlation model to generate correlations of asset returns over time and analyzes their responses to
Findings
Evidence shows that stock-bond return correlations are negatively correlated to
Research limitations/implications
The findings are based entirely on the data for China's asset markets; further research may expand this analysis to other emerging markets, depending on the availability of GPR indices.
Practical implications
Evidence suggests that the performance of the Chinese market differs from advanced markets. This study shows that gold is a safe haven and can be viewed as an asset to hedge against policy uncertainty and geopolitical risk in Chinese financial markets.
Social implications
This study identify the special role for the gold prices in response to the economic policy uncertainty and the geopolitical risk. Evidence shows that stock and bond return correlation is negatively related to the ΔEPU and support the flight-to-quality hypothesis. However, the stock-gold return correlation is positively related to |ΔGPR|, resulting from the income or wealth effect.
Originality/value
The presence of a dynamic correlations between stock-bond and stock-gold relations in response to
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The purpose of this study is to present evidence as to whether the use of gold or silver can be justified as an asset to hedge against policy uncertainty and COVID-19 in the…
Abstract
Purpose
The purpose of this study is to present evidence as to whether the use of gold or silver can be justified as an asset to hedge against policy uncertainty and COVID-19 in the Chinese market.
Design/methodology/approach
By using a GARCH model with a generalized error distribution (GED), this study specifies that the gold (or silver) return is a function of a set of economic and uncertainty variables, which include volatility from interest rate innovation, a change in economic policy uncertainty (EPU), a change in geopolitical risk (GPR) and volatility due to pandemic diseases, while controlling for stock market returns, inflation rates, economic growth and the Chinese currency value.
Findings
This study employs monthly data of gold and silver prices over the period from January 2002 to August 2021 to examine hedging behavior. Estimated results show that the gold return is positively correlated to the stock return and a rise in uncertainty from economic policy innovation, geopolitical risk, volatility due to US interest rate innovation as well as COVID-19 infection. This result suggests that gold cannot be used to hedge against a stock market decline, but can be used to hedge against uncertainty in general. However, the silver return only responds positively to a rise in uncertainty from the inflation rate and geopolitical risk. Evidence shows that silver returns are negatively correlated with stock returns, and display hedging characteristics. However, the evidence lacks statistically significance during the COVID-19 period, suggesting that the role of silver as a safe-haven asset against stock market turmoil is weak for this time period.
Research limitations/implications
More general nonlinear specifications can be developed. The tests may include different measures of uncertainty that interact with each other or with the lagged error terms. An implication of the model is that gold can be used to hedge against a broad range of uncertainties for economic policy change, political risk and/or a pandemic. However, the use of gold as an asset to hedge against a stock downturn in Chinese market should be done with caution.
Practical implications
This study has important policy implications as regards a choice in assets in formatting a portfolio to hedge against uncertainty. Specifically, this study presents empirical evidence on gold and silver return behavior and finds that gold returns respond positively to heightened uncertainty. Thus, gold is a good asset to hedge against uncertainty arising from policy innovations and infectious disease uncertainty.
Social implications
This paper provides insightful information on the choice of assets toward hedging against risk in the uncertainty market conditions. It provides information to investors and policy makers to use gold price movements as a signal for detecting the arrival of uncertainty. This study also provides information for demanding a risk premium for infectious disease.
Originality/value
This study empirically analyzes and verifies the role that gold serves as a safe haven asset to hedge against uncertainty in the Chinese market. This paper contributes to the literature by presenting evidence of risk/uncertainty premiums for holding gold against various sources of uncertainty such as economic policy uncertainty, geopolitical risk and equity market volatility due to US interest rate innovation and/or COVID-19. This study finds evidence that supports the use of a nonlinear specification, which demonstrates the interaction of uncertainty with the lagged change of infectious disease and helps to explain the gold/silver return behavior. Further, evidence shows that the gold return is positively correlated to the stock return. This finding contrasts with evidence in the US market. However, silver returns are negatively correlated with stock returns, but this correlation becomes insignificant during the period of COVID-19.
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Jian Shi, Thomas C. Chiang and Xiaoli Liang
The purpose of this paper is to examine positive‐feedback (PF) behavior and its relationship to momentum profitability and information uncertainty.
Abstract
Purpose
The purpose of this paper is to examine positive‐feedback (PF) behavior and its relationship to momentum profitability and information uncertainty.
Design/methodology/approach
Using the behavioral function of rational traders and feedback traders, the authors jointly estimate the mean and conditional variance equations of the GARCH model to derive the positive‐ and non‐positive‐feedback coefficients, respectively. In each six‐month period, the number of PF stocks were then calculated as a fraction of the total number of stocks in that period. The authors then investigate whether day‐to‐day PF trading activities vary across different momentum portfolios by calculating the percentage of PF stocks in each decile portfolio.
Findings
This study finds that about 9.4 per cent of stocks exhibit PF trading activities and that these activities have a more profound effect on stocks with a higher level of information uncertainty. The finding shows that the percentage of stocks with PF trading is higher in the portfolios of extreme losers than in the portfolios of extreme winners. The evidence suggests that stocks exhibiting PF trading activities subsequently experience significantly higher momentum returns.
Originality/value
This paper presents evidence to test whether a relationship exists between short‐term PF trading and future momentum profitability. Since PF traders tend to chase price movements, PF trading is more likely to cause stock prices to further diverge from the firm's fundamentals and, therefore, give rise to stock return momentum. This phenomenon appears to be more profound in this study when there is a higher level of information uncertainty.
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Davide Secchi and Emanuele Bardone
Bandwagon refers to the adoption of popular ideas, thoughts, or practices. Although the inter-organizational (macro) dynamics of the phenomenon have been widely studied, its…
Abstract
Bandwagon refers to the adoption of popular ideas, thoughts, or practices. Although the inter-organizational (macro) dynamics of the phenomenon have been widely studied, its intra-organizational (micro) aspects have received limited attention. The paper presents a theoretical framework and a model that address intra-organizational aspects of bandwagon drawing on distributed cognition, social relationships, and other elements of the organizational structure such as culture and defensive routines. The analysis of simulated data from the model suggests that the phenomenon is likely to decrease with highly informal culture, promotion of advice taking and giving, low levels of distrust, strong social ties, and minimal defensive routines.
Jessica Vieira de Souza Meira and Murat Hancer
This research developed a conceptual model for the hospitality industry based on the employee-organization relationship using the social exchange theory as the theoretical…
Abstract
Purpose
This research developed a conceptual model for the hospitality industry based on the employee-organization relationship using the social exchange theory as the theoretical framework. This study aims to consider perceived organizational support as the psychological empowerment antecedent, while work engagement and service-oriented organizational citizenship behavior were considered as its outcome. This study also tested psychological empowerment as a mediator of these relationships.
Design/methodology/approach
Data were gathered from a sample of frontline hotel employees and analyzed through partial least squares structural equation modeling. A total of 242 completed and validated questionnaires were used for the analysis.
Findings
Perceived organizational support had a significant relationship with psychological empowerment (through meaning, competence, self-determination and impact), which also had a significant relationship with work engagement (through meaning and impact) and service-oriented organizational citizenship behavior (through meaning, self-determination and impact). Psychological empowerment partially mediated the relationship between perceived organizational support with work engagement and service-oriented organizational citizenship behavior.
Originality/value
Although psychological empowerment is receiving further empirical attention in the hospitality field, little is known about its antecedents and outcomes. Hence, this research extends previous studies using the social exchange theory to fill these literature gaps and create a conceptual model for the hospitality industry based on the employee-organization relationship.
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The qualitative approach was applied the discover the optimum answers to the research objectives, which are (1) to understand the cultural and hedonistic characteristics of the…
Abstract
Purpose
The qualitative approach was applied the discover the optimum answers to the research objectives, which are (1) to understand the cultural and hedonistic characteristics of the (Lanna) Songkran festival; and (2) to examine the dilemma between cultural rituals and hedonistic activity for tourism.
Design/methodology/approach
This study used a case study of the Songkran festival in Chiang Mai to examine the dilemma between cultural rituals and hedonism for tourism, which brings lost or misperceived cultural values and identities. The semi-structured interview (SSI) with senior locals and participant observation during the festival was conducted in Chiang Mai, Thailand, to obtain the in-depth phenomena of the existing celebration pattern at the festival.
Findings
The study findings show three crucial phenomena that explain characteristics of unsynchronized cultural rituals and hedonistic activities for tourism: (1) the parallel phenomenon between cultural values and celebration practice, (2) the movement of local culture and(3) the hedonistic characteristics of the festival.
Practical implications
The study extends the knowledge on the interplay phenomena between cultural festivals and tourism; also, the involved stakeholders, such as local communities, public sectors and private sectors, can use the study findings in creating policies for using cultural festivals to promote a destination and urban economic development that will minimise cultural values distort while increase tourism economic values.
Originality/value
This study was conducted qualitatively, including SSIs and participant observation at the Songkran festival in Chiang Mai. The study findings were analysed, based on the empirical data, into significant themes representing the characteristics of dilemma phenomena within the festival.
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Among developing countries, the Republic of China in Taiwan (hereinafter Taiwan) has been experiencing economic growth accompanied by improving income distribution. Between 1964…
Abstract
Among developing countries, the Republic of China in Taiwan (hereinafter Taiwan) has been experiencing economic growth accompanied by improving income distribution. Between 1964 and 1980, the average annual growth rate of the real gross national product was 9.92 per cent (Council for Economic Planning and Development (CEPD), 1982, p. 23). In the same period, the income ratio between the top 20 per cent and the bottom 20 per cent of families dropped from 5.33 to 4.17 and the Gini coefficient decreased from 0.36 to 0.30 (CEPD, 1982, p. 54; Directorate‐General of Budget Accounting and Statistics, 1980, (DGBAS), p. 44). To put it somewhat dif‐ferently, in 1964 the lowest fifth of households received 7.71 per cent of total personal income, and the highest fifth 41.07 per cent. But in 1980, the income share of the lowest fifth increased to 8.82 per cent while that of the highest fifth decreased to 36.80 per cent. The condition of greater equality in income distribution appears more obvious in the capital city of Taipei. In 1981, for instance, its Gini coefficient was estimated to be only 0.28 (Taipei Bureau of Budget, Accounting and Statistics, 1981, (TBBAS), P. 24).