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1 – 10 of over 4000This study is motivated in part by the fact that the unfolding 2022 bear market, which has reached the −25% drawdown, has not been preceded by the inverted 10Y-3 m spread or an…
Abstract
Purpose
This study is motivated in part by the fact that the unfolding 2022 bear market, which has reached the −25% drawdown, has not been preceded by the inverted 10Y-3 m spread or an inverted near-term forward spread.
Design/methodology/approach
The authors develop a three-factor probit model to predict/explain the deep stock market drawdowns, which the authors define as the drawdowns in excess of 20%.
Findings
The study results show that (1) the rising credit risk predicts a deep drawdown about a year in advance and (2) the monetary policy easing precedes an imminent drawdown below the 20% threshold.
Originality/value
This study three-factor probit model shows adaptability beyond the typical recessionary bear market and predicts/explains the liquidity-based selloffs, like the 2022 and possibly the 1987 deep drawdowns.
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Hsing-Hua Chang, Chen-Hsin Lai, Kuen-Liang Lin and Shih-Kuei Lin
Factor investment is booming in global asset management, especially environmental, social, and governance (ESG), dividend yield, and volatility factors. In this chapter, we use…
Abstract
Factor investment is booming in global asset management, especially environmental, social, and governance (ESG), dividend yield, and volatility factors. In this chapter, we use data from the US securities market from 2003 to 2019 to predict dividends and volatility factors through machine learning and historical data–based methods. After that, we utilize particle swarm optimization to construct the Markowitz portfolio with limits on the number of assets and weight restrictions. The empirical results show that that the prediction ability using XGBoost is superior to the historical factor investment method. Moreover, the investment performance of our portfolio with ESG, high-yield, and low-volatility factors outperforms baseline methods, especially the S&P 500 ETF.
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Dila Puspita, Adam Kolkiewicz and Ken Seng Tan
One important study in the portfolio investment is the study of the optimal asset allocations. Markowitz is the pioneer of modern portfolio theory that analyses the performance of…
Abstract
Purpose
One important study in the portfolio investment is the study of the optimal asset allocations. Markowitz is the pioneer of modern portfolio theory that analyses the performance of portfolio based on the mean (reward) and variance (risk). Motivated by the Markowitz's mean variance model, the purpose of this paper is to propose a new portfolio optimization model that takes into consideration both processes of purification and screening, which are key to constructing a Shariah-compliant portfolio. In practice, this paper introduces a stochastic purification variable and a probabilistic screening constraint into a portfolio model.
Design/methodology/approach
First, the authors study the stochastic nature of purification variable and apply it to both investment and dividend purification. Second, recognizing that the importance of on-going screening could adversely affect the portfolio strategy, the authors impose probabilistic constraints to control the risk of compliance change. They evaluate the proposed model by formulating the screening constraints at both asset and portfolio levels, together with three different financial screening divisors that are broadly used by the international Shariah boards. The authors also conduct an extensive empirical study using a sample of Shariah-compliant public companies listed on the Indonesia Stock Exchange.
Findings
Based on the empirical example presented in this paper, the authors found that the purification variable in the proposed model is closer to the practice in the Sharia capital market in terms of the nature of the non-constant data, and this variable reduces the total income of portfolio which has not been captured in the previous literature. The authors also have successfully derived the portfolio screening constraint to mitigate the risk of the asset change to be non-compliant in the future.
Originality/value
Based on the authors’ knowledge, this is the first paper that proposed the stochastic purification and the dynamic of screening processes into the Shariah portfolio model. This paper also examines the impact of non-short-selling, purification and screening policies to the performance of Shariah portfolio.
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Subbarama Kousik Suraparaju, Arjun Singh K., Vijesh Jayan and Sendhil Kumar Natarajan
The utilisation of renewable energy sources for generating electricity and potable water is one of the most sustainable approaches in the current scenario. Therefore, the current…
Abstract
Purpose
The utilisation of renewable energy sources for generating electricity and potable water is one of the most sustainable approaches in the current scenario. Therefore, the current research aims to design and develop a novel co-generation system to address the electricity and potable water needs of rural areas.
Design/methodology/approach
The cogeneration system mainly consists of a solar parabolic dish concentrator (SPDC) system with a concentrated photo-voltaic module at the receiver for electricity generation. It is further integrated with a low-temperature thermal desalination (LTTD) system for generating potable water. Also, a novel corn cob filtration system is introduced for the pre-treatment to reduce the salt content in seawater before circulating it into the receiver of the SPDC system. The designed novel co-generation system has been numerically and experimentally tested to analyse the performance at Karaikal, U.T. of Puducherry, India.
Findings
Because of the pre-treatment with a corn cob, the scale formation in the pipes of the SPDC system is significantly reduced, which enhances the efficiency of the system. It is observed that the conductivity, pH and TDS of seawater are reduced significantly after the pre-treatment by the corncob filtration system. Also, the integrated system is capable of generating 6–8 litres of potable water per day.
Originality/value
The integration of the corncob filtration system reduced the scaling formation compared to the general circulation of water in the hoses. Also, the integrated SPDC and LTTD systems are comparatively economical to generate higher yields of clean water than solar stills.
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Deevarshan Naidoo, Peter Brian Denton Moores-Pitt and Joseph Olorunfemi Akande
Understanding which market to invest in for a well-diversified portfolio is fundamental in economies that are highly vulnerable to fluctuations in exchange rates. Extant…
Abstract
Purpose
Understanding which market to invest in for a well-diversified portfolio is fundamental in economies that are highly vulnerable to fluctuations in exchange rates. Extant literature that has considered phenomenon hardly juxtapose the markets. The purpose of this study is to examine the effects of exchange rate volatility on the Stock and Real Estate market of South Africa. The essence is to determine whether the fluctuations in the exchange rate influence the markets prices differently.
Design/methodology/approach
The Generalised Autoregressive Conditional Heteroskedasticity [GARCH (1.1)] model was used in establishing the effect of exchange rate volatility on both markets. This study used monthly South African data between 2000 and 2020.
Findings
The results of this study showed that increased exchange rate volatility increases stock market volatility but decreases real-estate market volatility, both of which revealed weak influences from the exchange rates volatility.
Practical implications
This study has implication for policy in using the exchange rate as a policy tool to attract foreign portfolio investment. The weak volatility transmission from the exchange rate market to the stock and real estate market indicates that there is prospect for foreign investors to diversify their investments in these two markets.
Originality/value
This study investigated which of the assets market, stock or housing market do better in volatile exchange rate conditions in South Africa.
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Yi Li, Xuan Wang and Muhammad Farrukh Moin
In recent years, there has been a growing trend of individuals willingly opting for employment positions that do not fully use their education, skills and abilities, a phenomenon…
Abstract
Purpose
In recent years, there has been a growing trend of individuals willingly opting for employment positions that do not fully use their education, skills and abilities, a phenomenon known as voluntary overqualification. This study aims to investigate the factors that influence and the formation mechanism of this emerging phenomenon. Drawing upon social cognition theory, this study explores the relationship between work values and voluntary overqualification while also examining the mediating role of the future work self and the moderating role of perceived marketability.
Design/methodology/approach
This study used a longitudinal approach, collecting data through questionnaires administered at multiple time points. The sample consisted of 607 employees from various departments of five Chinese companies. Regression analysis using the PROCESS macro in SPSS was used to test the research hypotheses.
Findings
The results indicate a positive relationship between employees’ work values and voluntary overqualification. Furthermore, this relationship is mediated by the future work self. Additionally, perceived marketability plays a moderating intermediary role in the whole model.
Originality/value
This study contributes to the overqualification literature by introducing a novel type of overqualification and unveiling the mechanism by which work values influence voluntary overqualification. The findings provide insights for understanding and managing employees who are voluntarily overqualified.
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Billy Prananta and Constantinos Alexiou
The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and…
Abstract
Purpose
The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic.
Design/methodology/approach
The authors employ a non-linear autoregressive distributed lag (NARDL) methodology using daily data of the Indonesian economy over the period 2012–2021.
Findings
Whilst, over the full sample period, the authors find no cointegration between the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present. Furthermore, the results suggest that asymmetric effects are evident both in the short as well as the long run.
Originality/value
To the best of the authors’ knowledge, this is the first time that the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic has been explored in the case of the Indonesian economy.
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Shrushti Maheshwari, Zafar Alam and Sarthak S. Singh
The purpose of this study is to experimentally investigate the large deformation compression characteristics of fused deposition modelling (FDM)-printed poly lactic acid (PLA)…
Abstract
Purpose
The purpose of this study is to experimentally investigate the large deformation compression characteristics of fused deposition modelling (FDM)-printed poly lactic acid (PLA), considering the combined effect of infill density and strain rate, and to develop a constitutive viscoplastic model that can incorporate the infill density to predict the experimental result.
Design/methodology/approach
The experimental approach focuses on strain rate-dependent (2.1 × 10−4, 2.1 × 10−3, and 2.1 × 10−2 s−1) compression testing for varied infill densities. Scanning electron microscopy (SEM) imaging of compressed materials is used to investigate deformation processes. A hyperelastic-viscoplastic constitutive model is constructed that can predict mechanical deformations at different strain rates and infill densities.
Findings
The yield stress of PLA increased with increase in strain rate and infill density. However, higher degree of strain-softening response was witnessed for the strain rate corresponding to 2.1 × 10−2 s−1. While filament splitting and twisting were identified as the damage mechanisms at higher strain rates, matrix crazing was observed as the primary deformation mechanism for higher infill density (95%). The developed constitutive model captured yield stress and post-yield softening behaviour of FDM build PLA samples with a high R2 value of 0.99.
Originality/value
This paper addresses the need to analyse and predict the mechanical response of FDM print polymers (PLA) undergoing extensive strain-compressive loading through a hyperelastic-viscoplastic constitutive model. This study links combined effects of the printing parameter (infill density) with the experimental parameter (strain rate).
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Naveenkumar R., Shanmugam S. and Veerappan AR
The purpose of this paper is to understand the effect of basin water depth towards the cumulative distillate yield of the traditional and developed single basin double slope solar…
Abstract
Purpose
The purpose of this paper is to understand the effect of basin water depth towards the cumulative distillate yield of the traditional and developed single basin double slope solar still (DSSS).
Design/methodology/approach
Modified single basin DSSS integrated with solar operated vacuum fan and external water cooled condenser was fabricated using aluminium material. During sunny season, experimental investigations have been performed in both conventional and modified DSSS at a basin water depth of 3, 6, 9 and 12 cm. Production rate and cumulative distillate yield obtained in traditional and developed DSSS at different water depths were compared and best water depth to attain the maximum productivity and cumulative distillate yield was found out.
Findings
Results indicated that both traditional and modified double SS produced maximum yield at the minimum water depth of 3 cm. Cumulative distillate yield of the developed SS was 16.39%, 18.86%, 15.22% and 17.07% higher than traditional at water depths of 3, 6, 9 and 12 cm, respectively. Cumulative distillate yield of the developed SS at 3 cm water depth was 73.17% higher than that of the traditional SS at 12 cm depth.
Originality/value
Performance evaluation of DSSS at various water depths by integrating the combined solar operated Vacuum fan and external Condenser.
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Charles Ogechukwu Ugbam, Chi Aloysius Ngong, Ishaku Prince Abner and Godwin Imo Ibe
This study examines the nexus of bond market development and economic growth from 2015 to 2022.
Abstract
Purpose
This study examines the nexus of bond market development and economic growth from 2015 to 2022.
Design/methodology/approach
The system-generalized method of moments (GMM) is employed on economic growth, government market capitalization, corporate market capitalization, bond yield, interest rate spread, trade openness and investment level.
Findings
The findings show that the government bond market, corporate bond capitalization and bond yield positively impact the gross domestic product (GDP). The results equally reveal a causal link between the corporate bond market, bond yield and GDP.
Research limitations/implications
Governments should emphasize creating, developing and sustaining bond markets in the economies of developing countries to boost economic activity by promoting structural transformation. Policymakers should improve the implementation of existing rules and regulations while complementing them with new ones since well-developed bond markets provide alternative sources of financing that make economies financially resilient. Policymakers should encourage the issuance of corporate bonds to enhance the efficiency of the capital markets and mobilize funds for economic growth stimulation. Governments and corporations should diversify their sources of funding into the bond markets since the bond yields are favorable to economic growth.
Originality/value
Earlier studies presented arguable results on the bond market development and economic growth nexus. Several findings indicate a positive link; others give a negative link between bond market development and economic growth. Some show causal directions, while other reveal none. The contradictory results motivate research. This research results contribute to the literature in that the government bond market, corporate bond capitalization and bond yield positively impact the GDP of developing nations.
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