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Article
Publication date: 3 May 2016

Thomas W. Sproul

Turvey (2007, Physica A) introduced a scaled variance ratio procedure for testing the random walk hypothesis (RWH) for financial time series by estimating Hurst…

Abstract

Purpose

Turvey (2007, Physica A) introduced a scaled variance ratio procedure for testing the random walk hypothesis (RWH) for financial time series by estimating Hurst coefficients for a fractional Brownian motion model of asset prices. The purpose of this paper is to extend his work by making the estimation procedure robust to heteroskedasticity and by addressing the multiple hypothesis testing problem.

Design/methodology/approach

Unbiased, heteroskedasticity consistent, variance ratio estimates are calculated for end of day price data for eight time lags over 12 agricultural commodity futures (front month) and 40 US equities from 2000-2014. A bootstrapped stepdown procedure is used to obtain appropriate statistical confidence for the multiplicity of hypothesis tests. The variance ratio approach is compared against regression-based testing for fractionality.

Findings

Failing to account for bias, heteroskedasticity, and multiplicity of testing can lead to large numbers of erroneous rejections of the null hypothesis of efficient markets following an independent random walk. Even with these adjustments, a few futures contracts significantly violate independence for short lags at the 99 percent level, and a number of equities/lags violate independence at the 95 percent level. When testing at the asset level, futures prices are found not to contain fractional properties, while some equities do.

Research limitations/implications

Only a subsample of futures and equities, and only a limited number of lags, are evaluated. It is possible that multiplicity adjustments for larger numbers of tests would result in fewer rejections of independence.

Originality/value

This paper provides empirical evidence that violations of the RWH for financial time series are likely to exist, but are perhaps less common than previously thought.

Details

Agricultural Finance Review, vol. 76 no. 1
Type: Research Article
ISSN: 0002-1466

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Book part
Publication date: 1 May 2012

Kevin Jones

Midwest Independent Transmission System Operator, Inc. (MISO) is a nonprofit regional transmission organization (RTO) that oversees electricity production and transmission…

Abstract

Midwest Independent Transmission System Operator, Inc. (MISO) is a nonprofit regional transmission organization (RTO) that oversees electricity production and transmission across 13 states and 1 Canadian province. MISO also operates an electronic exchange for buying and selling electricity for each of its five regional hubs.

MISO oversees two types of markets. The forward market, which is referred to as the day-ahead (DA) market, allows market participants to place demand bids and supply offers on electricity to be delivered at a specified hour the following day. The equilibrium price, known as the locational marginal price (LMP), is determined by MISO after receiving sale offers and purchase bids from market participants. MISO also coordinates a spot market, which is known as the real-time (RT) market. Traders in the RT market must submit bids and offers by 30minutes prior to the hour for which the trade will be executed. After receiving purchase and sale offers for a given hour in the RT market, MISO then determines the LMP for that particular hour.

The existence of the DA and RT markets allows producers and retailers to hedge against the large fluctuations that are common in electricity prices. Hedge ratios on the MISO exchange are estimated using various techniques. No hedge ratio technique examined consistently outperforms the unhedged portfolio in terms of variance reduction. Consequently, none of the hedge ratio methods in this study meet the general interpretation of FASB guidelines for a highly effective hedge.

Details

Research in Finance
Type: Book
ISBN: 978-1-78052-752-9

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Article
Publication date: 1 March 1995

Avi Rushinek and Sara F. Rushinek

Presents a case study demonstrating financial statement ratioanalysis (FSRA). This analysis matches company to industry data andbuilds sales forecasting models. FSRA…

Abstract

Presents a case study demonstrating financial statement ratio analysis (FSRA). This analysis matches company to industry data and builds sales forecasting models. FSRA imputes forecast standards of sales and costs, and applies them to a budgeted financial statement variance analysis for the EE (electronic and electrical) industry. Develops the concept of industry base standards, integrating them into the more traditional statistical and accounting concepts of quality control standards. Provides an implementation example, and reviews possible improvements to the current methodology and approach. Uses a similar methodology to forecast the stock market value with some exceptions. Models sales and costs of an individual company and an industry based largely on aggregate industry databases. For this purpose, uses a multivariate linear trend regression analysis for the sales forecasting model. Defines and tests related hypotheses and evaluates their significance and confidence levels. For an illustration uses the EE industry and the APM company. Also demonstrates a microcomputer‐based FSRA software that speeds, facilitates, and helps to accomplish the stated objectives. The FSRA software uses industry financial statement databases, computes financial ratios and builds forecasting models.

Details

Managerial Auditing Journal, vol. 10 no. 2
Type: Research Article
ISSN: 0268-6902

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Article
Publication date: 1 December 2004

David R. Shaffer and Andrea DeMaskey

This paper compares the hedging performance of the minimum‐extended Gini hedge ratio (MEGHR) and the minimum‐variance hedge ratio (MVHR) using three emerging market…

Abstract

This paper compares the hedging performance of the minimum‐extended Gini hedge ratio (MEGHR) and the minimum‐variance hedge ratio (MVHR) using three emerging market currencies. The MEGHR is consistent with the expected utility hypothesis under very general conditions, unlike the MVHR which requires special distributional assumptions. Our sample violates these conditions, and thus provides a context for contrasting the performance of the MEGHR and MVHR. Our results show that the MVHR and MEGHR are indeed different and in some cases the differences are substantial, both statistically and in order of magnitude. This indicates that the MEGHR should provide superior hedging performance given its theoretical robustness. Our hedging performance results support this conclusion for all currencies.

Details

Managerial Finance, vol. 30 no. 12
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 3 October 2016

Sheung Chi Chow, Yongchang Hui, João Paulo Vieito and ZhenZhen Zhu

This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America.

Abstract

Purpose

This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America.

Design/methodology/approach

Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad and Tobago, are used in the analysis. To examine the impact of stock market liberalization on efficiency, the authors use several approaches, including the runs test, Chow–Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the stochastic dominance (SD) test, on the above Latin American stock market indices.

Findings

The authors find that stock market liberalization does not improve stock market efficiency in Latin America.

Originality/value

This investigation is among the first to examine the impact of stock market liberalization on the efficiency of the stock markets. It is among the first to examine the impact of stock market liberalization on the efficiency of the Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a SD approach on issue about efficient market.

Details

Studies in Economics and Finance, vol. 33 no. 4
Type: Research Article
ISSN: 1086-7376

Keywords

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Article
Publication date: 1 January 2003

William Hopwood and James C. McKeown

This study presents theoretical and empirical analyses to suggest a previously‐unknown size‐related contingency in the relationship between market variables and various…

Abstract

This study presents theoretical and empirical analyses to suggest a previously‐unknown size‐related contingency in the relationship between market variables and various commonly‐used financial ratios, including Net Income/Total Assets, Current Assets/Sales, Current Assets/Current Liabilities, Current Assets/Total Assets, Cash/Total Assets, Long‐Term Debt/Total Assets, Accounts Receivable/Sales. The size contingency in this relationship is shown to be due to the cross‐sectional variability of the ratios themselves. Moreover, simply adding a size dummy to the model will not correct for the problem. Empirical results show that the effect is very strong and subjects to severe misinterpretation any study that uses financial ratios on the right‐hand‐side of a linear model.

Details

Review of Accounting and Finance, vol. 2 no. 1
Type: Research Article
ISSN: 1475-7702

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Article
Publication date: 7 September 2015

Yao 'Henry' Jin, Brent D. Williams, Matthew A. Waller and Adriana Rossiter Hofer

The accurate measurement of demand variability amplification across different nodes in the supply chain, or “bullwhip effect,” is critical for firms to achieve more…

Abstract

Purpose

The accurate measurement of demand variability amplification across different nodes in the supply chain, or “bullwhip effect,” is critical for firms to achieve more efficient inventory, production, and ordering planning processes. Building on recent analytical research that suggests that data aggregation tends to mask the bullwhip effect in the retail industry, the purpose of this paper is to empirically investigate whether different patterns of data aggregation influence its measurement.

Design/methodology/approach

Utilizing weekly, product-level order and sales data from three product categories of a consumer packaged goods manufacturer, the study uses hierarchical linear modeling to empirically test the effects of data aggregation on different measures of bullwhip.

Findings

The authors findings lend strong support to the masking effect of aggregating sales and order data along product-location and temporal dimensions, as well as the dampening effect of seasonality on the measurement of the bullwhip effect.

Research limitations/implications

These findings indicate that inconsistencies found in the literature may be due to measurement aggregation and statistical techniques, both of which should be applied with care by academics and practitioners in order to preserve the fidelity of their analyses.

Originality/value

Using product-weekly level data that cover both seasonal and non-seasonal demand, this study is the first, to the author’s knowledge, to systematically aggregate data up to category and monthly levels to empirically examine the impact of data aggregation and seasonality on bullwhip measurement.

Details

International Journal of Physical Distribution & Logistics Management, vol. 45 no. 8
Type: Research Article
ISSN: 0960-0035

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Article
Publication date: 28 September 2012

Munish Chhabra and Rupinder Singh

The purpose of this paper is to investigate experimentally the effect of volume of casting, pouring temperature of different materials and shell mould wall thickness on…

Abstract

Purpose

The purpose of this paper is to investigate experimentally the effect of volume of casting, pouring temperature of different materials and shell mould wall thickness on the surface roughness of the castings obtained by using ZCast direct metal casting process.

Design/methodology/approach

Taguchi's design of experiment approach was used for this investigation. An L9 orthogonal array (OA) of Taguchi design which involves nine experiments for three factors with three levels was used. Analysis of variance (ANOVA) was then performed on S/N (signal‐to‐noise) ratios to determine the statistical significance and contribution of each factor on the surface roughness of the castings. The castings were obtained using the shell moulds fabricated with the ZCast process and the surface roughness of castings was measured by using the surface roughness tester.

Findings

Taguchi's analysis results showed that pouring temperature of materials was the most significant factor in deciding the surface roughness of the castings and the shell mould wall thickness was the next most significant factor, whereas volume of casting was found insignificant. Confirmation test was also carried out using the optimal values of factor levels to confirm the effectiveness of this approach. The predicted optimal value of surface roughness of castings produced by ZCast process was 6.47 microns.

Originality/value

The paper presents experimentally investigated data regarding the influence of various control factors on the surface roughness of castings produced by using ZCast process. The data may help to enhance the application of ZCast process in traditional foundry practice.

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Article
Publication date: 26 June 2018

Deepak Mehra, Manas Mohan Mahapatra and Suraj Prakash Harsha

The advancement in modern manufacturing technology generated the need to develop new materials for better wear resistance. The purpose of this paper is to use the Taguchi…

Abstract

Purpose

The advancement in modern manufacturing technology generated the need to develop new materials for better wear resistance. The purpose of this paper is to use the Taguchi optimization approach to examine which wear parameter significantly affects weight loss and coefficient of friction for RZ5-TiC composite. It is a simple and efficient method to find performance of wear parameter using minimum experimental runs.

Design/methodology/approach

RZ5-TiC composites were prepared using RZ5 as matrix, reinforced with TiC through self-propagating high-temperature synthesis technique. In the present work, an attempt has been made to study the influence of wear parameters like applied load (AL), sliding distance (SD) and Wt.% of TiC (WTC) on responses like weight loss and coefficient of friction of RZ5/TiCp composites. The pin-on-disc apparatus used to conduct abrasive wear test. The wear process parameters are optimized for minimum wear based on L27 Taguchi orthogonal design. The Taguchi technique using design of experiments (DOE) is used to obtain the data. The ANOVA and an orthogonal array are used to examine the influence of wear parameters on responses. The purpose is to examine parametric significances which affect responses.

Findings

It observed that wear parameters have the significant influence on responses of RZ5/TiCp composites. The interaction of sliding distance/Wt.% of TiC is observed and found significant influence on both responses. The optimum level of the significant wear parameters is achieved based on the maximum S/N ratio for RZ5/TiCp composites. The optimal interaction for weight loss and coefficient of friction is AL1-SD1-WTC3 and AL3-SD1-WTC3, respectively. Finally, the confirmation test is conducted and the results are obtained within the confidence interval.

Originality/value

The current manuscript provides an optimization of wear parameters using Taguchi approach. The extensive experimental data are used for this purpose and effects of wear parameters on responses are analyzed from the presented results. The results obtained are useful in improving the wear resistance of the RZ5-TiC composite.

Details

Industrial Lubrication and Tribology, vol. 70 no. 5
Type: Research Article
ISSN: 0036-8792

Keywords

Content available
Article
Publication date: 22 February 2021

Grzegorz Grela and Mariusz Hofman

This study aims to examine whether insourcing of processes pays off and verifies key hypotheses regarding the financial ratios of organisations.

Abstract

Purpose

This study aims to examine whether insourcing of processes pays off and verifies key hypotheses regarding the financial ratios of organisations.

Design/methodology/approach

This paper randomly selects and then surveys 1996 organisations, of which 9.5% (190) stated that they used insourcing, 1.9% (37) made a decision to implement insourcing in the near future and 88.6% did not use insourcing. Then, for available firm data (100 insourcing firms and 100 firms without it), the financial statements of the surveyed companies were obtained to compare the most important financial ratios. The financial situation was compared at four-time points. The mean and median values of individual indicators were compared with the significance of relevant statistical tests.

Findings

A U-shaped curve of financial results in the time of enterprises that implemented insourcing and reverse U-shaped curve for enterprises that did not have insourcing are seen. Thus, the insourcing of processes pays off in the long run.

Research limitations/implications

Limitations exist in the generalisation of the results obtained, due to the limited number of samples qualified for analyses (limited reliable financial data).

Practical implications

The research highlights the importance of effective insourcing projects in the long term.

Originality/value

This study is the first to quantify the financial performance of companies that have used insourcing in comparison with a reference group. This paper defines insourcing and contributes to the growing number of studies on insourcing by bringing attention to the financial outcomes in the long run.

Details

Journal of Global Operations and Strategic Sourcing, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2398-5364

Keywords

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