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Article
Publication date: 25 September 2019

Tim Leung and Hung Nguyen

This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of…

Abstract

Purpose

This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios.

Design/methodology/approach

The authors apply a series of statistical methods, including the Johansen test and Engle–Granger test, to derive a linear combination of cryptocurrencies that form a mean-reverting portfolio. Trading systems are designed and different trading strategies with stop-loss constraints are tested and compared according to a set of performance metrics.

Findings

The paper finds cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) and Litecoin (LTC), and the corresponding trading strategies are shown to be profitable under different configurations.

Originality/value

The main contributions of the study are the use of multiple altcoins in addition to bitcoin to construct a cointegrated portfolio, and the detailed comparison of the performance of different trading strategies with and without stop-loss constraints.

Details

Studies in Economics and Finance, vol. 36 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

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Article
Publication date: 2 October 2017

Jamie Kang and Tim Leung

The purpose of this study is to analyze the overnight and intraday returns of the most traded American Depositary Receipts (ADRs) of Asian companies, understand the…

Abstract

Purpose

The purpose of this study is to analyze the overnight and intraday returns of the most traded American Depositary Receipts (ADRs) of Asian companies, understand the different levels of volatilities realized in these asynchronous markets and develop trading strategies based on empirical findings.

Design/methodology/approach

This study presents an empirical analysis on the overnight and intraday returns of Asian ADRs. The authors propose a measure to quantify the relative contributions of the intraday and overnight returns to the ADR's total volatility. Furthermore, the return difference between S&P500 index and each ADR is fitted to an Ornstein–Uhlenbeck model via maximum-likelihood estimation.

Findings

This study finds that ADRs' overnight returns are more volatile, whereas the intraday returns are significantly more strongly correlated with the US market returns. The return spreads between the S&P500 and ADRs are found to be a mean-reverting time series and motivate a pairs trading strategy.

Research limitations/implications

The methodology used in this study is not limited to Asian ADRs and can be adapted to analyze the overnight and intraday returns of other non-Asian ADRs and stocks.

Practical implications

Investors should be aware of the overnight price fluctuations while intraday traders may consider strategies that capture the mean-reverting return spread between an ADR (or an Exchange-Traded Funds [ETF] of Asian stocks) and the S&P500 index ETF (SPY).

Social implications

ADRs are among the most popular securities for investing in foreign (non-US) companies. The total global investments in ADRs are estimated to be close to US$1tn. Understanding the risks of ADRs is important to not only individual/institutional investors but also regulators.

Originality/value

This study provides a new measure to quantify and compare the relative contributions of volatility by overnight and intraday returns. Optimized pairs trading strategies involving ADRs and ETFs are developed and backtested.

Details

Studies in Economics and Finance, vol. 34 no. 4
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 3 August 2015

Tim Leung and Brian Ward

The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic…

Abstract

Purpose

The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic portfolios of gold futures.

Design/methodology/approach

The author formulates and solves a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the path of the leveraged gold benchmark.

Findings

The results suggest that market-traded LETFs do not track a leveraged position in gold effectively over a long horizon, and the dynamic leveraged futures portfolio achieves lower tracking errors over multiple years.

Research limitations/implications

The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold exchange-traded funds to achieve a desired leveraged exposure in spot gold.

Originality/value

The main contribution of the study is the use of gold futures to dynamically replicate a gold benchmark with any given leverage ratio and the detailed comparison of the tracking performance of LETFs versus optimal static and dynamic futures portfolios.

Details

Studies in Economics and Finance, vol. 32 no. 3
Type: Research Article
ISSN: 1086-7376

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Book part
Publication date: 1 December 2008

Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou

We discuss the valuation of credit derivatives in extreme regimes such as when the time-to-maturity is short, or when payoff is contingent upon a large number of defaults…

Abstract

We discuss the valuation of credit derivatives in extreme regimes such as when the time-to-maturity is short, or when payoff is contingent upon a large number of defaults, as with senior tranches of collateralized debt obligations. In these cases, risk aversion may play an important role, especially when there is little liquidity, and utility-indifference valuation may apply. Specifically, we analyze how short-term yield spreads from defaultable bonds in a structural model may be raised due to investor risk aversion.

Details

Econometrics and Risk Management
Type: Book
ISBN: 978-1-84855-196-1

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Article
Publication date: 1 August 2006

Tim S. Leung, Ka Wing Lee and Walter W.C. Chung

This paper aims to explore the theory of technology adoption using a system‐application approach to facilitate PMA innovation span across multiple organisations to enhance…

Abstract

Purpose

This paper aims to explore the theory of technology adoption using a system‐application approach to facilitate PMA innovation span across multiple organisations to enhance overall production network effectiveness.

Design/methodology/approach

The survey on technology available and forecast future trends, design a workable prototype for test in real‐world airline operation under a three‐layer analysis model. Data is taken to validate the concept and correlate performance factors in PMA adoption.

Findings

The findings highlight greater operational efficiency and higher process value maintenance to be achieved through communication paths. The value process‐to‐shop concept is validated, next to value network.

Practical implications

This research supports maintenance business, especially with high contents of information and knowledge driven tasks for outsource service providers, can make use of the wireless system adoption rules for assets and maintenance performance management.

Originality/value

The paper presents organisations with a tool such that portable maintenance device can be identified as contribution in different levels, focus and functional effects. Within a critical process, airlines can better manage their dynamic operation process for higher revenue generation.

Details

Journal of Manufacturing Technology Management, vol. 17 no. 6
Type: Research Article
ISSN: 1741-038X

Keywords

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Book part
Publication date: 13 May 2017

David Card, David S. Lee, Zhuan Pei and Andrea Weber

A regression kink design (RKD or RK design) can be used to identify casual effects in settings where the regressor of interest is a kinked function of an assignment…

Abstract

A regression kink design (RKD or RK design) can be used to identify casual effects in settings where the regressor of interest is a kinked function of an assignment variable. In this chapter, we apply an RKD approach to study the effect of unemployment benefits on the duration of joblessness in Austria, and discuss implementation issues that may arise in similar settings, including the use of bandwidth selection algorithms and bias-correction procedures. Although recent developments in nonparametric estimation (Calonico, Cattaneo, & Farrell, 2014; Imbens & Kalyanaraman, 2012) are sometimes interpreted by practitioners as pointing to a default estimation procedure, we show that in any given application different procedures may perform better or worse. In particular, Monte Carlo simulations based on data-generating processes that closely resemble the data from our application show that some asymptotically dominant procedures may actually perform worse than “sub-optimal” alternatives in a given empirical application.

Details

Regression Discontinuity Designs
Type: Book
ISBN: 978-1-78714-390-6

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Book part
Publication date: 1 December 2008

Jean-Pierre Fouque, Thomas B. Fomby and Knut Solna

The main theme of this volume is credit risk and credit derivatives. Recent developments in financial markets show that appropriate modeling and quantification of credit…

Abstract

The main theme of this volume is credit risk and credit derivatives. Recent developments in financial markets show that appropriate modeling and quantification of credit risk is fundamental in the context of modern complex structured financial products. Moreover, there is a need for further developments in our understanding of this important area. In particular modeling defaults and their correlation has been a real challenge in recent years, and still is. This problem is even more relevant after the so-called subprime crisis that hit in the summer of 2007. This makes the volume very timely and hopefully useful for researchers in the area of credit risk and credit derivatives.

Details

Econometrics and Risk Management
Type: Book
ISBN: 978-1-84855-196-1

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Book part
Publication date: 1 December 2008

Abstract

Details

Econometrics and Risk Management
Type: Book
ISBN: 978-1-84855-196-1

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Article
Publication date: 2 May 2008

Kate Hutchings, Erica French and Tim Hatcher

The purpose of this paper is to investigate the relationship between gender and the individual and social aspects of expatriate work, emphasising how issues external to…

Abstract

Purpose

The purpose of this paper is to investigate the relationship between gender and the individual and social aspects of expatriate work, emphasising how issues external to the organisation impact on the experience of female expatriates.

Design/methodology/approach

In total, 102 male respondents and 44 female respondents were surveyed in order to test the perceived organisational support, career satisfaction, and expatriate social support.

Findings

Significant gender‐related differences were identified in all three areas with notable contradiction in the perception and practice of how multinational corporations (MNCs) manage their expatriates. While earlier research suggested that organisations perceived their treatment of female expatriates to be equivalent to that of men, the results indicate that female international managers do not perceive equal treatment on international assignments.

Research limitations/implications

Although based on a smaller sample than other international studies, the gender breakdown was sufficient for moderated regression testing.

Practical implications

As the expatriate social support construct is largely exploratory in nature, future research could examine the effect of perceived expatriate social support on other related workplace behaviours, both domestically and internationally, including work‐life balance and diversity management.

Originality/value

While other studies have provided a rich descriptive picture of the gendered nature of expatriation, little research has attempted to quantify the reasons behind the phenomenon. This paper addresses this gap in the literature through exploration of the issues, which impact upon the experience of female expatriates in foreign MNCs in China.

Details

Equal Opportunities International, vol. 27 no. 4
Type: Research Article
ISSN: 0261-0159

Keywords

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Article
Publication date: 1 January 1999

Kwong‐leung Tang

Examines the extent to which social policy adopted by the colonial government in Hong Kong (prior to its hand‐over China in 1997) has set the agenda for the government of…

Abstract

Examines the extent to which social policy adopted by the colonial government in Hong Kong (prior to its hand‐over China in 1997) has set the agenda for the government of the newly formed Special Administrative Region (SAR). Chronicles the historical development of social policy in Hong Kong since the inception of the colonial government in 1842; identifies that, with the exception of a short‐lived period of expansionism (stimulated by social unrest in the mid‐1960’s) social welfare provision appears to have been low on the government’s agenda and incremental in nature ‐ the emphasis being on economic growth, rather than public spending on welfare programmes. Examines the strengths and weaknesses of this incremental approach; outlines the commitment of the SAR government to the market economy and its proposals for a modest increase in welfare provision, essentially building on the legacy left behind by the colonial government.

Details

International Journal of Sociology and Social Policy, vol. 19 no. 1/2
Type: Research Article
ISSN: 0144-333X

Keywords

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