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Article
Publication date: 2 August 2022

Jocelyn Grira, Sana Guizani and Ines Kahloul

The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic.

Abstract

Purpose

The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic.

Design/methodology/approach

In order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings.

Findings

Using time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

Originality/value

The study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

Details

The Journal of Risk Finance, vol. 23 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 1 July 2018

Marek Marciniak and Deborah Drummond Smith

The purpose of this study is to investigate the value investors place on S&P index additions relative to uncertainty surrounding the firm and the market. Investors look…

Abstract

Purpose

The purpose of this study is to investigate the value investors place on S&P index additions relative to uncertainty surrounding the firm and the market. Investors look for reassuring signals or tell-tale signs around uncertainty.

Design/methodology/approach

Variation in the market response to announcements of S&P additions to the 400, 500 and 600 indices is examined against measures of risk factors. Internal risk factors include firm size relative to the index, total firm risk and liquidity, and whether the firm is a brand new index entrant. External risk factors related to market uncertainty are measured by the Chicago Board of Exchange volatility index.

Findings

Firms with lower market capitalization relative to the index, higher total risk, lower trading volume and first-time entrants to any S&P index elicit a positive market reaction compared to firms with less pricing uncertainty. In times of increased market uncertainty, investors tend to place more value on signals from respected institutions such as S&P, and riskier firms benefit more from inclusion in the S&P index. Overall, this study finds that the market overreaction is explained by the degree of uncertainty surrounding the added firms, as well as by the degree of market uncertainty at the time of the announcement.

Originality/value

The findings of this study suggest that investors interpret the prospect of S&P index addition as an opportunity for firms to reduce uncertainty surrounding them, and thus partially hedge their exposure to market uncertainty by joining an index tracked by dozens of index funds. The value of such a hedging strategy rises for riskier firms during market turbulence.

Details

The Journal of Risk Finance, vol. 19 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 12 October 2012

Gonul Colak

The purpose of this paper is to investigate the initial public offerings (IPOs) of the firms that are eventually included in one of the S&P 400, the S&P 500, or the S&P

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Abstract

Purpose

The purpose of this paper is to investigate the initial public offerings (IPOs) of the firms that are eventually included in one of the S&P 400, the S&P 500, or the S&P 600 Indices. Do these firms have very different IPO features than the rest of the IPOs?

Design/methodology/approach

The control sample is formed of IPOs that are not included in the corresponding index, and the IPOs that end up in each S&P index are compared to this control sample. Logistic regressions are utilized to estimate the odds of inclusion into one of these indices.

Findings

The author finds that the IPO features, such as underpricing, offer price, underwriter's reputation, venture capital presence, and so on, are found to be substantially different for the index samples. The index firms are found to be “superstars” that deliver extremely high long‐run returns between their IPO date and their index inclusion date. The above results suggest that the quality of index firms has a persistent component to it that can be detected even during the IPO process. After estimating the determinants of the index inclusion, the author discovers that factors implying lower asymmetric information about firm's business (such as, the firm being a spinoff, or being certified by a venture capitalist or a prestigious underwriter, etc.) increase its odds of inclusion.

Originality/value

The paper proposes and tests two new hypotheses related to inclusion into an S&P index. Discoveries made in this paper can help someone recognize which IPOs could become “superstars” that end up in an S&P index.

Details

Managerial Finance, vol. 38 no. 12
Type: Research Article
ISSN: 0307-4358

Keywords

Book part
Publication date: 29 May 2009

W. Erwin Diewert

The chapter reviews and extends the theory of exact and superlative index numbers. Exact index numbers are empirical index number formula that are equal to an underlying…

Abstract

The chapter reviews and extends the theory of exact and superlative index numbers. Exact index numbers are empirical index number formula that are equal to an underlying theoretical index, provided that the consumer has preferences that can be represented by certain functional forms. These exact indexes can be used to measure changes in a consumer's cost of living or welfare. Two cases are considered: the case of homothetic preferences and the case of nonhomothetic preferences. In the homothetic case, exact index numbers are obtained for square root quadratic preferences, quadratic mean of order r preferences, and normalized quadratic preferences. In the nonhomothetic case, exact indexes are obtained for various translog preferences.

Abstract

Details

The Theory of Monetary Aggregation
Type: Book
ISBN: 978-0-44450-119-6

Article
Publication date: 4 March 2020

Yunmei Liu, Changling Li and Zichun Gao

With the development of Web2.0 and publishing digitalization, traditional libraries and evaluation citation system can no longer indicate academic paper influence validly…

Abstract

Purpose

With the development of Web2.0 and publishing digitalization, traditional libraries and evaluation citation system can no longer indicate academic paper influence validly. Therefore, it is necessary to construct smart library and find the evaluation effect of Internet metrics-Usage.

Design/methodology/approach

This study puts forward four indexes of scholars’ evaluation based on Usage (total Usage (U), average Usage rate (U/N), hu-index and pu-index), which refer to citation indexes, takes the 35 high-output scholars in the field of library and information science in the WoS database as examples, analyzes performance of different scholars evaluation indexes based on Usage and compares the differences and correlations between “citation indicators” and “usage indicators.”

Findings

This study results show that pu-index is the strongest index to evaluate scholars. Second, there is a high correlation and strong mechanism based on time dependence and interactions between Usage and citation. Third, compared to “citation indicators”, the “usage indicators” has a larger numerical value and wider measurement range, which can break the time limitation of citation, and scientifically evaluate young scholars and newly published paper by scholars.

Originality/value

This paper proposes the pu-index – a relatively superior mathematical model for Usage and provides reference for the scholars’ evaluation policy of the smart library. This model can not only provide fair evaluation conditions for young scientists but also shorten the evaluation effect of the time lag of cited indicators. In addition, the “usage indicators” in this paper are new scientific evaluation indicators generated in the network environment. Applying it to the academic evaluation system will make the research papers widely accepted by the public and will also encourage scientists to follow the development of the Internet age and pursue research with equal emphasis on quantity and quality.

Details

Library Hi Tech, vol. 40 no. 1
Type: Research Article
ISSN: 0737-8831

Keywords

Article
Publication date: 3 October 2019

Prem Vrat

The purpose of this paper is to reveal the limitations of h-index in assessing research performance through citation analysis and suggest two new indexes called prime index

Abstract

Purpose

The purpose of this paper is to reveal the limitations of h-index in assessing research performance through citation analysis and suggest two new indexes called prime index (P-index) and value added index (V-index), which are simpler to compute than g-index and more informative. For more serious research performance evaluation, analytic hierarchy process (AHP) methodology is proposed.

Design/methodology/approach

The methodology adopted is to compare existing indexes for citation-based research assessment and identify their limitations, particularly the h-index, which is most commonly employed. It gives advantages of g-index over h-index and then proposes P-index which is simpler to compute than g-index but is more powerful in information content than g-index. Another V-index is proposed on a similar philosophy as P-index by considering total number of citations/author. For serious evaluation of finite candidates for awards/recognitions, a seven-criteria-based AHP is proposed. All new approaches have been illustrated by drawing raw data from Google scholar-powered website H-POP.

Findings

This paper demonstrates over-hype about use of h-index over g-index. However, it shows that newly proposed P-index is much simpler in computation than g but better than g-index. V-index is a quick way to ascertain the value added by a research scientist in multiple-authored research papers. P-index gives a value 3–4 percent higher than g and it is holistic index as it uses complete data of citations. AHP is a very powerful multi-criteria approach and it also shows g-index to be a more important factor, whereas h-index is the least important but frequently used approach. It is hoped that the findings of this paper will help in rectifying the misplaced emphasis on h-index alone.

Research limitations/implications

The research focus has been to suggest new faster, better methods of research assessment. However, a detailed comparison of all existing approaches with the new approaches will call for testing these over a large number of data sets. Its limitation is that it has tested the approaches on 5 academics for illustrating AHP and 20 researchers for comparing new indexes with some of the existing indexes. All existing indexes are also not covered.

Practical implications

The outcomes of this research may have major practical applications for research assessment of academics/researchers and rectify the imbalance in assessment by reducing over-hype on h-index. For more serious evaluation of research performance of academics, the seven-criteria AHP approach will be more comprehensive and holistic in comparison with a single criterion citation metric. One hopes that the findings of this paper will receive much attention/debate.

Social implications

Research assessment based on proposed approaches is likely to lead to greater satisfaction among those evaluated and higher confidence in the evaluation criteria.

Originality/value

P- and V-indexes are original. Application of AHP for multi-criteria assessment of research through citation analysis is also a new idea.

Details

Journal of Advances in Management Research, vol. 17 no. 1
Type: Research Article
ISSN: 0972-7981

Keywords

Article
Publication date: 1 January 2008

Mei Qiu and John Pinfold

US studies show significant price effects when shares enter or leave an index during index revisions. Studies on other markets generally yield similar results with smaller…

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Abstract

Purpose

US studies show significant price effects when shares enter or leave an index during index revisions. Studies on other markets generally yield similar results with smaller price reactions. This study aims to examine the price effects resulting from revisions to the Australian S&P/ASX 100 and 300 indices.

Design/methodology/approach

The event study methodology is used to examine abnormal price and volume effects around the announcement dates and implementation dates of index revisions.

Findings

In contrast with studies on US index changes, this study shows no abnormal returns for additions to or deletions from the S&P/ASX 100 index and only a weak effect for the S&P/ASX 300, which showed a median abnormal return of  + 1.06 per cent on the implementation date for additions and −2.78 per cent for deletions.

Research limitations/implications

These results give a cautionary warning to those who wish to speculate on the changes to index constituents on the Australian market, or other similar markets where the strength of the index effect has not been clearly quantified.

Originality/value

This study adds to the body of knowledge on the index effect by providing Australian evidence.

Details

Managerial Finance, vol. 34 no. 1
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 20 April 2010

Karel Hrazdil

The purpose of this paper is to directly examine the information hypothesis of S&P 500 index inclusion announcements by investigating the degree to which information…

1003

Abstract

Purpose

The purpose of this paper is to directly examine the information hypothesis of S&P 500 index inclusion announcements by investigating the degree to which information beyond Standard & Poor's eight stated criteria enters the inclusion decision.

Design/methodology/approach

Isolating a sample of S&P 500 additions and their eligible candidates during 1987‐2004, this paper employs logistic analysis that identifies factors ex post beyond the stated criteria that help distinguish the type of information that influences the final selection decision and that is arguably priced at the inclusion announcements.

Findings

The evidence indicates that, when choosing among new S&P 500 candidates, the S&P's committee relies primarily on publicly available information related to enterprise risk and historical performance. Material, private insight into future value‐relevant information plays at most a small part in the selection.

Research limitations/implications

The results suggest that index additions convey limited new information about added firms. Studies analysing index additions should start with the presumption that index inclusion announcements are information‐free events, and focus on the consequences of index inclusions such as liquidity, awareness or arbitrage risk, in their relation to index premia.

Originality/value

The results indicate that the previous evidence supporting the information hypothesis using the S&P 500 inclusions is not compelling.

Details

Managerial Finance, vol. 36 no. 5
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 31 July 2009

Karel Hrazdil

Many papers have argued that there are long‐run downward‐sloping demand curves (LRDDC) for stocks. The purpose of this paper is to analyze this hypothesis using a new…

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Abstract

Purpose

Many papers have argued that there are long‐run downward‐sloping demand curves (LRDDC) for stocks. The purpose of this paper is to analyze this hypothesis using a new, unique, and ostensibly information‐free event: the re‐weighting of the Standard & Poor (S&P) 500 index from market based to free‐float based, which involves a significant shift in supply that, under the LRDDC, should result in significant and permanent price movements.

Design/methodology/approach

Event study methodology is used to examine abnormal returns and trading activity around the free‐float weight implementation dates for S&P 500 firms with various investable weight factors.

Findings

As a result of S&P 500 index re‐weighting, affected stocks experience statistically significant excess returns of −1.54 percent during the event week. This return is reversed during the following 30 days as trading volume returns to normal levels. These results are contrary to previous studies that analyze ostensibly informational events and/or different exchanges.

Research limitations/implications

Results of this study indicate that arbitrage appears to be effective in eliminating a long‐term mispricing, which challenges the validity of the LRDDC hypothesis.

Originality/value

This study contributes to the body of literature on the S&P 500 index firms by providing supporting evidence for the price‐pressure hypothesis.

Details

Managerial Finance, vol. 35 no. 9
Type: Research Article
ISSN: 0307-4358

Keywords

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