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1 – 10 of over 10000As of May 2022, the National Pension Service of Korea is the world's third-largest pension fund, with assets worth KRW912tn (approximately $US800bn). Of the KRW152tn…
Abstract
As of May 2022, the National Pension Service of Korea is the world's third-largest pension fund, with assets worth KRW912tn (approximately $US800bn). Of the KRW152tn (approximately $US133bn) invested in domestic equities, 45% is outsourced to external asset managers. Given the absence of prior research on the National Pension Service's (NPS's) management method, this study analyzes its trading strategies and market impact according to the fund management method from 2005 to 2022. The results are as follows: First, the stock characteristics selected by internal management using passive strategies are different from those selected by external management, in which various strategies are combined. Second, the contrarian investment strategy, which acts as a market stabilizer, is a characteristic of the external management trading pattern, while internal management increases volatility and does not improve liquidity. Third, there has been a change in the internal management strategy since 2016, when the fund management headquarters was relocated. This study is practically significant and distinctive in that it confirms the differences between the NPS's two investment methods in terms of trading strategies and market impact.
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Qun Bai, Senming Tan, Zheng Yuelong, Jiafu Su and Li Tingting
This study investigates the credit supervision issue in rural e-commerce. By studying the trading strategies of buyers and sellers under different credit supervision measures and…
Abstract
Purpose
This study investigates the credit supervision issue in rural e-commerce. By studying the trading strategies of buyers and sellers under different credit supervision measures and the impact of different pricing strategies on the trading strategies of both parties, this paper proposes regulatory suggestions for the increasingly severe credit problems in rural e-commerce.
Design/methodology/approach
In the online agricultural product transaction between farmers and consumers, both parties' decision-making is a dynamic process. Using the copying dynamic model of the evolutionary game, this study establishes two evolutionary game models to explore the factors affecting credit supervision in the rural e-commerce transaction process. Then, the study provides corresponding countermeasures and suggestions.
Findings
First, credit supervision measures implemented by rural e-commerce platforms and the Government's legal system construction and infrastructure construction guarantees influence both parties' trust choices in rural e-commerce transactions. Second, price is a key factor affecting both parties' trading strategies. In the case of relatively fair prices, the higher the proportion of farmers who choose “low price” and “honest transaction” strategies, the easier that is for consumers to choose to trust farmers. In contrast, the higher the price, the higher the proportion of consumers who choose the “trust farmers” strategy, and the more willing farmers are to choose honest transactions.
Originality/value
This work develops a new approach for analyzing rural e-commerce credit supervision. Moreover, this study helps establish and improve the credit supervision mechanism of rural e-commerce and further realize the long-term sustainable development of the rural economy.
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Ricky Cooper, Wendy L. Currie, Jonathan J.M. Seddon and Ben Van Vliet
This paper investigates the strategic behavior of algorithmic trading firms from an innovation economics perspective. The authors seek to uncover the sources of competitive…
Abstract
Purpose
This paper investigates the strategic behavior of algorithmic trading firms from an innovation economics perspective. The authors seek to uncover the sources of competitive advantage these firms develop to make markets inefficient for them and enable their survival.
Design/methodology/approach
First, the authors review expected capability, a quantitative behavioral model of the sustainable, or reliable, profits that lead to survival. Second, they present qualitative data gathered from semi-structured interviews with industry professionals as well as from the academic and industry literatures. They categorize this data into first-order concepts and themes of opportunity-, advantage- and meta-seeking behaviors. Associating the observed sources of competitive advantages with the components of the expected capability model allows us to describe the economic rationale these firms have for developing those sources and explain how they survive.
Findings
The data reveals ten sources of competitive advantages, which the authors label according to known ones in the strategic management literature. We find that, due to the dynamically complex environments and their bounded resources, these firms seek heuristic compromise among these ten, which leads to satisficing. Their application of innovation methodology that prescribes iterative ex post hypothesis testing appears to quell internal conflict among groups and promote organizational survival. The authors believe their results shed light on the behavior and motivations of algorithmic market actors, but also of innovative firms more generally.
Originality/value
Based upon their review of the literature, this is the first paper to provide such a complete explanation of the strategic behavior of algorithmic trading firms.
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Peng Xie, Hongwei Du, Jiming Wu and Ting Chen
In prior literature, online endorsement system allowing the users to “like” or “dislike” shared information is found very useful in information filtering and trust elicitation in…
Abstract
Purpose
In prior literature, online endorsement system allowing the users to “like” or “dislike” shared information is found very useful in information filtering and trust elicitation in most social networks. This paper shows that such systems could fail in the context of investment communities due to several psychological biases.
Design/methodology/approach
This study develops a series of regression analyses to model the “like”/“dislike” voting process and whether or not such endorsement distinguishes between valuable information and noise. Trading simulations are also used to validate the practical implications of the findings.
Findings
The main findings of this research are twofold: (1) in the context of investment communities, online endorsement system fails to signify value-relevant information and (2) bullish information and “wisdom over the past event” information receive more “likes” and fewer “dislikes” on average, but they underperform in stock market price discovery.
Originality/value
This study demonstrates that biased endorsement may lead to the failure of the online endorsement system as information gatekeeper in investment communities. Two underlying mechanisms are proposed and tested. This study opens up new research opportunities to investigate the causes of biased endorsement in online environment and motivates the development of alternative information filtering systems.
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Although some research has been carried out on feedback trading in different asset classes, there have been few empirical investigations that consider both major and emerging…
Abstract
Purpose
Although some research has been carried out on feedback trading in different asset classes, there have been few empirical investigations that consider both major and emerging stock markets (Koutmos, 1997; Antoniou et al., 2005; Kim, 2009) stock index futures (Salm and Schuppli, 2010). In this study, the author examines positive/negative feedback trading in both developed-emerging-frontier-standalone (51) stock markets for 2010–2020 and sub-periods including COVID-19 period.
Design/methodology/approach
The hypothesis “feedback trading behaviour led the price boom/bust in the stock markets during the first quarter of COVID-19 pandemic” is tested by employing the Sentana and Wadhwani (1992) framework and using asymmetrical GARCH models (GJRGARCH, EGARCH) in accordance with the empirical literature.
Findings
The following conclusions can be drawn from the present study; (1) There is no evidence to support a significant distinction between developed, emerging, frontier or standalone markets or high/upper middle, lower middle income economies in the case of feedback trading. It is more likely to be a general phenomenon reflecting the outcomes of general human psychology (2) in the long term (2010–2020) based on the feedback trading results Asian stock markets appear to be far from efficiency.
Research limitations/implications
Stock markets are selected based on data availability.
Practical implications
Several inferences can be drawn about overall results. First, investors and portfolio managers should beware of their investment decisions during bearish market conditions where volatility is on the rise and also when there is a strong reaction to bad news/negative shocks in the market. Moreover, investing in Asia stock markets may require more attention since those markets are reputed to be more “idiosyncratic”, less reliant on economic and corporate fundamentals in their pricing. Moreover, the impact of foreign investors on stock market volatility and returns and weaker implementation of regulations also affect the efficiency of the markets (Lipinsky and Ong, 2014).
Originality/value
To the best of the author’s knowledge, most studies in the field of feedback trading in stock markets have only focused on a small sample of countries and second, the effect of COVID-19 uncertainty on the stock markets have not been addressed in the literature with respect to feedback trading. This paper fills these literature gaps. This study is expected to provide useful insights for understanding the instabilities in stock markets particularly under conditions of high uncertainty and to fill the gap in the literature by comparing the results for a large sample of countries both in the long term and in the pandemic.
Highlights for review
This study has shown that feedback trading is more prevalent in Asian stock markets in the long run in Europe, America or Middle East for the period 2010–2020.
Positive feedback traders generally dominated most of the stock markets during the early period of COVID-19 pandemic.
Another major finding was that the stock markets in Malaysia, Japan, the Philippines, Estonia, Portugal and Ukraine are dominated by negative feedback traders which may be interpreted as “disposition effect” meaning that they sell the “past winners”.
In Indonesia, New Zealand, China, Austria, Greece, UK, Finland, Spain, Iceland, Norway, Switzerland, Poland, Turkey, Chile and Argentina neither positive nor negative feedback trading exists even under uncertain conditions.
This study has shown that feedback trading is more prevalent in Asian stock markets in the long run in Europe, America or Middle East for the period 2010–2020.
Positive feedback traders generally dominated most of the stock markets during the early period of COVID-19 pandemic.
Another major finding was that the stock markets in Malaysia, Japan, the Philippines, Estonia, Portugal and Ukraine are dominated by negative feedback traders which may be interpreted as “disposition effect” meaning that they sell the “past winners”.
In Indonesia, New Zealand, China, Austria, Greece, UK, Finland, Spain, Iceland, Norway, Switzerland, Poland, Turkey, Chile and Argentina neither positive nor negative feedback trading exists even under uncertain conditions.
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Fatemeh Yazdani, Mehdi Khashei and Seyed Reza Hejazi
This paper aims to detect the most profitable, i.e. optimal turning points (TPs), from the history of time series using a binary integer programming (BIP) model. TPs prediction…
Abstract
Purpose
This paper aims to detect the most profitable, i.e. optimal turning points (TPs), from the history of time series using a binary integer programming (BIP) model. TPs prediction problem is one of the most popular yet challenging topics in financial planning. Predicting profitable TPs results in earning profit by offering the opportunity to buy at low and selling at high. TPs detected from the history of time series will be used as the prediction model’s input. According to the literature, the predicted TPs’ profitability depends on the detected TPs’ profitability. Therefore, research for improving the profitability of detection methods has been never given up. Nevertheless, to the best of our knowledge, none of the existing methods can detect the optimal TPs.
Design/methodology/approach
The objective function of our model maximizes the profit of adopting all the trading strategies. The decision variables represent whether or not to detect the breakpoints as TPs. The assumptions of the model are as follows. Short-selling is possible. The time value for the money is not considered. Detection of consecutive buying (selling) TPs is not possible.
Findings
Empirical results with 20 data sets from Shanghai Stock Exchange indicate that the model detects the optimal TPs.
Originality/value
The proposed model, in contrast to the other methods, can detect the optimal TPs. Additionally, the proposed model, in contrast to the other methods, requires transaction cost as its only input parameter. This advantage reduces the process’ calculations.
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Kuldeep Singh Kaswan, Jagjit Singh Dhatterwal, Naresh Kumar and Sandeep Lal
It is difficult to argue against the fact that research has focussed on artificial intelligence (AI) and robotisation over the past few decades. Additionally, during the past…
Abstract
It is difficult to argue against the fact that research has focussed on artificial intelligence (AI) and robotisation over the past few decades. Additionally, during the past several years, it has taken off and is now extensively used in numerous businesses across various industries. Most of the time, AI has been associated with some industrial sector process automation. Still, recently, the authors have noticed more positive technology uses, especially in the financial services industry. Due to several factors, the financial sector needs to adopt AI and recognise its potential. The industry has historically been concerned about unpredictability, legislation, stronger cybersecurity, technological limitations and disruption of established lucrative operations.
Never before has there been more discussion about AI due to the advantages it provides to businesses that are providing financial services. That may explain why this change is referred to as the fourth industrial revolution. Both positively and negatively, it is quite disruptive. The effectiveness, accuracy and cost-effectiveness of solutions greatly increase. However, immense power also entails great responsibility.
Precautions and security are more crucial than ever for businesses since the financial sector is changing significantly and quickly. The various benefits and drawbacks of this technology are yet unknown to humans. Although AI was first shown to us in the 1950s, it has recently gained new prominence as processing power, and the available quantity of data has increased dramatically.
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Hardeep 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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Feng Yang, Xiang Wu and Feifei Shan
This paper aims to study the impact of manufacturer’s upgrading strategy of durable products on the retailer’s decision on trade-in program and her decision on the secondary…
Abstract
Purpose
This paper aims to study the impact of manufacturer’s upgrading strategy of durable products on the retailer’s decision on trade-in program and her decision on the secondary market.
Design/methodology/approach
This paper develops a channel that consists of a manufacturer and a retailer, where the manufacturer releases an upgraded product, and the retailer introduces a trade-in program for consumers, simultaneously, decides whether to enter the secondary market. These approaches are modeled through Stackelberg game.
Findings
This paper reveals that the optimal conditions for manufacturer to release upgraded products and retailer to resell used products in the secondary market, and it reveals that under what conditions it is profitable for retailer to enter the secondary market under product upgrade levels.
Practical implications
If the manufacturer’s upgrade level is low, it is profitable for the retailer to enter the secondary market. However, if the manufacturer’s upgrade level is high, it is unprofitable for the retailer to enter the secondary market.
Originality/value
In this paper, the active secondary market, upgrading of new products, consumer market segmentation and especially, the upgrade degree of new products as a function of consumer demand are considered simultaneously.
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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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