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1 – 10 of over 1000Guoyin Jiang, Shan Liu, Wenping Liu and Yan Xu
Social media facilitates consumer exchanges on product opinions and provides comprehensive knowledge of online products. The interaction between consumers and e-retailers evolves…
Abstract
Purpose
Social media facilitates consumer exchanges on product opinions and provides comprehensive knowledge of online products. The interaction between consumers and e-retailers evolves into a collective set of dynamics within a complex system. Agent-based modeling is well suited to stimulate such complex systems. The purpose of this paper is to integrate agent-based model and technique for order performance by similarity to ideal solution (TOPSIS) to simulate decision behaviors of e-retailers in competitive online markets.
Design/methodology/approach
An agent-based network model using the TOPSIS driven by actual price data is developed. The authors ran an experimental model to simulate interactions between online consumers and e-retailers and to record simulation data. A nonparametric test is used to conduct data analysis and evaluate the sensibility of parameters.
Findings
Simulation results showed that different profits could be obtained for various brands under different social network structures. E-retailers could achieve more profits through cross-selling than single-selling; however, the highest profits can be achieved when some adopt cross-selling, whereas others use single-selling. From a game perspective, the equilibrium for price-adjustment frequency can be determined from the simulation data. Thus, price adjustment differences significantly affect e-retailer profit.
Originality/value
This study provides new insights into the evolutionary dynamics of online markets. This work also indicates how to build an integrated simulation model with an agent-based model and TOPSIS and how to use an integrated simulation model and interpret its results.
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Kimberly M. Ellis and Phyllis Y. Keys
To explain for doctoral students and new faculty, the appropriate techniques for using event study methods while identifying problems that make the method difficult for use in the…
Abstract
Purpose
To explain for doctoral students and new faculty, the appropriate techniques for using event study methods while identifying problems that make the method difficult for use in the context of African markets.
Methodology/approach
We review the finance and strategy literature on event studies, provide an illustrative example of the technique, summarize the prior use of the method in research using African samples, and indicate remedies for problems encountered when using the technique in African markets.
Findings
We find limited use of the technique in African markets due to limited data availability which is attributable to problems of infrequent trading, thin markets, and inadequate access to free data.
Research limitations
Our review of the literature on event studies using African data is limited to English-language journals and sources accessible through our library research databases.
Practical implications
More often, researchers will need to use nonparametric techniques to evaluate market responses for companies in or events affecting the African markets.
Originality/value of the chapter
We make a contribution with this chapter by giving a more detailed description of event study methods and by identifying solutions to problems in using the technique in African markets.
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“The Elephant in the Corner: A Cautionary Tale About Measurement Error in Treatment Effects Models” by Daniel L. Millimet discusses the current use of the unobserved-outcome…
Abstract
“The Elephant in the Corner: A Cautionary Tale About Measurement Error in Treatment Effects Models” by Daniel L. Millimet discusses the current use of the unobserved-outcome framework to estimate population-averaged treatment effects, and it exposes the sensitivity of these estimators to assumption of no measurement error. The Monte Carlo simulation evidence in this chapter indicates that “nonclassical measurement error in the covariates, mean-reverting measurement error in the outcome, and simultaneous measurement errors in the outcome, treatment assignment, and covariates have a dramatic, adverse effect on the performance of the various estimators even with relatively small and infrequent errors” (Millimet article, p. 1–39). To some extent, all the estimators analyzed by Millimet are based on weak functional form assumptions and use semiparametric or nonparametric methods. Millimet's results indicate the need for measurement error models be they parametric or nonparametric models, see Schennach (2007), Hu and Schennach (2008), and Matzkin (2007) for some recent research in nonparametric approaches. Chapter 7 develops a Bayesian estimator that can handle some of the measurement errors discussed in this chapter.
Nearest neighbor imputation has a long tradition for handling item nonresponse in survey sampling. In this article, we study the asymptotic properties of the nearest neighbor…
Abstract
Nearest neighbor imputation has a long tradition for handling item nonresponse in survey sampling. In this article, we study the asymptotic properties of the nearest neighbor imputation estimator for general population parameters, including population means, proportions and quantiles. For variance estimation, we propose novel replication variance estimation, which is asymptotically valid and straightforward to implement. The main idea is to construct replicates of the estimator directly based on its asymptotically linear terms, instead of individual records of variables. The simulation results show that nearest neighbor imputation and the proposed variance estimation provide valid inferences for general population parameters.
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Bradley T. Ewing and James E. Payne
This paper examined the cointegrating properties of narrow money demand. Results suggest income and interest rate are sufficient for the formulation of a long‐run stable demand…
Abstract
This paper examined the cointegrating properties of narrow money demand. Results suggest income and interest rate are sufficient for the formulation of a long‐run stable demand for money in Australia, Austria, Finland, Italy, UK, and US. However, for Canada, Germany, and Switzerland, the nominal effective exchange rate should be incorporated.
David Tripe, John McDermott and Ben Petro
In March 1999, the Reserve Bank of New Zealand changed its method of implementing monetary policy from targeting settlement cash to specifying an (official) Overnight Cash Rate…
Abstract
In March 1999, the Reserve Bank of New Zealand changed its method of implementing monetary policy from targeting settlement cash to specifying an (official) Overnight Cash Rate (OCR). This paper explores some of the impacts of this, by comparing market movements before and after the change.
We find that, since the introduction of the OCR, key lending interest rates have been found to be more responsive to changes in official monetary policy, with a significant shortening of the half-life of interest rate changes. This suggests that monetary policy is now more efficient, while the speed of response supports the case for regarding the New Zealand banking market as competitive.
Honglei Yan, Suigen Yang and shengmin zhao
The purpose of this paper is to study the pricing efficiency of convertible bonds and arbitrage opportunities between the convertible bonds and the underlying stocks thus improve…
Abstract
Purpose
The purpose of this paper is to study the pricing efficiency of convertible bonds and arbitrage opportunities between the convertible bonds and the underlying stocks thus improve market efficiency.
Design/methodology/approach
Using nonparametric fixed effect panel data model, the authors build pricing model of convertible bonds and obtain fitted value for them. Then the authors constructs simultaneous confidence band for the smooth function to identify mispricing and study the pricing efficiency and arbitrage opportunities of convertible bonds.
Findings
Result shows, convertible bonds’ prices largely depend on stock prices. Pricing efficiency does not improve during the past few years as there are quite a few trading opportunities. Arbitrage opportunities increase as the stock prices approach it maxima, and selling opportunities for convertible bonds surpass buying opportunities which indicates that investors use market neutral strategies to arbitrage. Pricing efficiencies varies a lot and it is affected by the features of the stocks and convertible bonds. Index stocks eligible for margin trading with high liquidity enjoy higher pricing efficiency.
Research limitations/implications
The study does not take into account trading cost and risk management measures.
Practical/implications
Arbitrage between the underlying and the convertible bonds is profitable and contributes to pricing efficiency therefore should be encouraged. The regulator should pay attention to the extreme mispricing of the underlying and convertible bonds which cannot be corrected by the market as there might be manipulation.
Originality/value
Since traditional pricing methods are based on the framework of non-arbitrage equilibrium with the assumption of balanced and perfect market, there are many restrictions in the pricing process and the practical utility is somewhat limited, and the impractical assumptions lead to model risk. This study uses nonparametric regression to study the pricing of convertible bonds thus circumvents the problem of model risk. Simultaneous confidence band for smooth function identifies mispricing and explicitly reflects the variation of pricing efficiency as well as signalizes trading opportunities. Application of nonparametric regression and simultaneous confidence band in derivative pricing is advantageous in accuracy and simplicity.
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