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1 – 10 of over 1000Hardeep Singh Mundi and Shailja Vashisht
This paper aims to review, systematize and integrate existing research on disposition effect and investments. This study conducts bibliometric analysis, including performance…
Abstract
Purpose
This paper aims to review, systematize and integrate existing research on disposition effect and investments. This study conducts bibliometric analysis, including performance analysis and science mapping and thematic analysis of studies on disposition effect.
Design/methodology/approach
This study adopted a thematic and bibliometric analysis of the papers related to the disposition effect. A total of 231 papers published from 1971 to 2021 were retrieved from the Scopus database for the study, and bibliometric analysis and thematic analysis were performed.
Findings
This study’s findings demonstrate that research on the disposition effect is interdisciplinary and influences the research in the domain of both corporate and behavioral finance. This review indicates limited research on cross-country data. This study indicates a strong presence of work on investor psychology and behavioral finance when it comes to the disposition effect. The findings of thematic analysis further highlight that most of the research has focused on prospect theory, trading strategies and a few cognitive and emotional biases.
Practical implications
The findings of this study can be used by investors to minimize their biases and losses. The study also highlights new techniques in machine learning and neurosciences, which can help investment firms better understand their clients’ behavior. Policymakers can use the study’s findings to nudge investors’ behavior, focusing on minimizing the effects of the disposition effect.
Originality/value
This study has performed the quantitative bibliometric and thematic analysis of existing studies on the disposition effect and identified areas of future research on the phenomenon of disposition effect in investments.
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Antoine Feuillet, Loris Terrettaz and Mickaël Terrien
This research aimed to measure the influence of resource dependency (trading and/or shareholder's dependencies) squad age structure by building archetypes to identify strategic…
Abstract
Purpose
This research aimed to measure the influence of resource dependency (trading and/or shareholder's dependencies) squad age structure by building archetypes to identify strategic dominant schemes.
Design/methodology/approach
Based on the Ligue 1 football clubs from the 2009/2010 season to the 2018/2019 data, the authors use the k-means classification to build archetypes of resource dependency and squad structure variables. The influence of resource dependency on squad structure is then analysed through a table of contingency.
Findings
Firstly, the authors identify archetypes of resource dependency with some clubs that are dependent on the transfer market and others that do not count on sales to balance their account. Secondly, they provide different archetypes of squad structure choices. The contingency between those archetypes allows to identify three main strategic schemes (avoidance, shaping and adaptation).
Originality/value
The research tests an original relationship between resource dependency of clubs and their human resource strategy to respond to it. This paper can help to provide detailed profiles for big clubs looking for affiliate clubs to know which clubs have efficient academy or player development capacities.
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Viviana Pilato and Ari Van Assche
Carbon leakage – where multinational enterprises (MNEs) transfer carbon-intensive production activities to countries with laxer emissions constraints for cost purposes – is one of…
Abstract
Carbon leakage – where multinational enterprises (MNEs) transfer carbon-intensive production activities to countries with laxer emissions constraints for cost purposes – is one of the main mechanisms through which international business (IB) contributes to climate change. This chapter discusses a new policy initiative called the Carbon Border Adjustment Mechanism (CBAM) that the European Union (EU) introduced in May 2023 to fight carbon leakage. The authors analyze the logic of CBAM and discuss how it will likely influence IB both in industries that are directly targeted by CBAM and related industries that will face spillover effects.
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Mondher Bouattour and Anthony Miloudi
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors…
Abstract
Purpose
The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors aim to shed light on the return–volume linkages for French-listed small and medium-sized enterprises (SMEs) compared to blue chips across different market regimes.
Design/methodology/approach
This study includes both large capitalizations included in the CAC 40 index and listed SMEs included in the Euronext Growth All Share index. The Markov-switching (MS) approach is applied to understand the asymmetric relationship between trading volume and stock returns. The study investigates also the causal impact between stock returns and trading volume using regime-dependent Granger causality tests.
Findings
Asymmetric contemporaneous and lagged relationships between stock returns and trading volume are found for both large capitalizations and listed SMEs. However, the causality investigation reveals some differences between large capitalizations and SMEs. Indeed, causal relationships depend on market conditions and the size of the market.
Research limitations/implications
This paper explains the asymmetric return–volume relationship for both large capitalizations and listed SMEs by incorporating several psychological biases, such as the disposition effect, investor overconfidence and self-attribution bias. Future research needs to deepen the analysis especially for SMEs as most of the literature focuses on large capitalizations.
Practical implications
This empirical study has fundamental implications for portfolio management. The findings provide a deeper understanding of how trading activity impact current returns and vice versa. The authors’ results constitute an important input to build and control trading strategies.
Originality/value
This paper fills the literature gap on the asymmetric return–volume relationship across different regimes. To the best of the authors’ knowledge, the present study is the first empirical attempt to test the asymmetric return–volume relationship for listed SMEs by using an accurate MS framework.
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Michael O'Neill and Gulasekaran Rajaguru
The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX…
Abstract
Purpose
The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark.
Design/methodology/approach
Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading.
Findings
High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation.
Originality/value
The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.
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Barkha Dhingra, Shallu Batra, Vaibhav Aggarwal, Mahender Yadav and Pankaj Kumar
The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a…
Abstract
Purpose
The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.
Design/methodology/approach
This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.
Findings
The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.
Originality/value
This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.
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Ingo Pies and Vladislav Valentinov
Stakeholder theory understands business in terms of relationships among stakeholders whose interests are mainly joint but may be occasionally conflicting. In the latter case…
Abstract
Purpose
Stakeholder theory understands business in terms of relationships among stakeholders whose interests are mainly joint but may be occasionally conflicting. In the latter case, managers may need to make trade-offs between these interests. The purpose of this paper is to explore the nature of managerial decision-making about these trade-offs.
Design/methodology/approach
This paper draws on the ordonomic approach which sees business life to be rife with social dilemmas and locates the role of stakeholders in harnessing or resolving these dilemmas through engagement in rule-finding and rule-setting processes.
Findings
The ordonomic approach suggests that stakeholder interests trade-offs ought to be neither ignored nor avoided, but rather embraced and welcomed as an opportunity for bringing to fruition the joint interest of stakeholders in playing a better game of business. Stakeholders are shown to bear responsibility for overcoming the perceived trade-offs through the institutional management of social dilemmas.
Originality/value
For many stakeholder theorists, the nature of managerial decision-making about trade-offs between conflicting stakeholder interests and the nature of trade-offs themselves have been a long-standing point of contention. The paper shows that trade-offs may be useful for the value creation process and explicitly discusses managerial strategies for dealing with them.
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Kwang-Jing Yii, Zi-Han Soh, Lin-Hui Chia, Khoo Shiang-Lin Jaslyn, Lok-Yew Chong and Zi-Chong Fu
In the stock market, herding behavior occurs when investors mimic the actions of others in their investment decisions. As a result, the market becomes inefficient and speculative…
Abstract
In the stock market, herding behavior occurs when investors mimic the actions of others in their investment decisions. As a result, the market becomes inefficient and speculative bubbles form. This study aims to investigate the relationship between information, overconfidence, market sentiment, experience and national culture, and herding behavior among Malaysian investors. A total of 400 questionnaires are distributed to bank institutions' investors. The survey design based on cross-sectional data is analyzed using the Partial Least Squares Structural Equation Model. The results indicate that information, market sentiment, experience, and national culture are positively related to herding behavior, while overconfidence has no effect. With this, the government should strengthen regulations to prevent the dissemination of misleading information. Moreover, investors are encouraged to overcome narrow thinking by expanding their understanding of different cultures when making investment decisions.
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Mohammed Ayoub Ledhem and Warda Moussaoui
This paper aims to apply several data mining techniques for predicting the daily precision improvement of Jakarta Islamic Index (JKII) prices based on big data of symmetric…
Abstract
Purpose
This paper aims to apply several data mining techniques for predicting the daily precision improvement of Jakarta Islamic Index (JKII) prices based on big data of symmetric volatility in Indonesia’s Islamic stock market.
Design/methodology/approach
This research uses big data mining techniques to predict daily precision improvement of JKII prices by applying the AdaBoost, K-nearest neighbor, random forest and artificial neural networks. This research uses big data with symmetric volatility as inputs in the predicting model, whereas the closing prices of JKII were used as the target outputs of daily precision improvement. For choosing the optimal prediction performance according to the criteria of the lowest prediction errors, this research uses four metrics of mean absolute error, mean squared error, root mean squared error and R-squared.
Findings
The experimental results determine that the optimal technique for predicting the daily precision improvement of the JKII prices in Indonesia’s Islamic stock market is the AdaBoost technique, which generates the optimal predicting performance with the lowest prediction errors, and provides the optimum knowledge from the big data of symmetric volatility in Indonesia’s Islamic stock market. In addition, the random forest technique is also considered another robust technique in predicting the daily precision improvement of the JKII prices as it delivers closer values to the optimal performance of the AdaBoost technique.
Practical implications
This research is filling the literature gap of the absence of using big data mining techniques in the prediction process of Islamic stock markets by delivering new operational techniques for predicting the daily stock precision improvement. Also, it helps investors to manage the optimal portfolios and to decrease the risk of trading in global Islamic stock markets based on using big data mining of symmetric volatility.
Originality/value
This research is a pioneer in using big data mining of symmetric volatility in the prediction of an Islamic stock market index.
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Subhamoy Chatterjee and R.P. Mohanty
Interest rate derivatives (IRDs) are the essential components of financial risk management and are used across various industry sectors. The objective is to analyze the…
Abstract
Purpose
Interest rate derivatives (IRDs) are the essential components of financial risk management and are used across various industry sectors. The objective is to analyze the differences in approach to managing interest rate risks between the Indian corporates that execute IRDs and the ones that do not.
Design/methodology/approach
Interest rate fluctuations require Indian corporates to hedge their exposures in foreign currency interest rates. This is all the more true for mid-sized corporates because of their balance sheet exposures. Additionally, they may not have the resources to formulate risk management policies. This paper analyzes data collected from financial statements of a diverse set of companies that use IRD and helps in formulating such a strategy.
Findings
The results indicate significant differences for some of the parameters like information asymmetry and agency cost between users and non-users of IRDs. The study further suggests causality between users of derivatives and parameters like size, growth and debt.
Research limitations/implications
The study compares users and non-users of IRDs, thereby identifying factors unique to users of IRDs. It also studies causality relations which explain the motivation to do IRDs. Thus, it enables risk managers to use this as a reference point to decide on their strategies.
Originality/value
While there are multiple studies across geographies and sectors including commercial banks in India on the usage of interest rate swaps, this study focuses on Indian mid-tier corporates. Furthermore, the study distinguishes between users and non-users based on financial parameters, which in turn would provide a framework for decision-hedging strategies.
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