Extreme price moves: an INGARCH approach to model coexceedances in commodity markets

2020 ◽  
Author(s):  
Bernardina Algieri ◽  
Arturo Leccadito
Keyword(s):  
Goodness Of Fit ◽  
Emerging Market ◽  
Explanatory Power ◽  
Commodity Markets ◽  
Credit Spread ◽  
Market Demand ◽  
Factors Affecting ◽  
Monday Effect ◽  
Tail Events ◽  
Weather Anomalies

Abstract This study presents a set of integer-valued generalised autoregressive conditional heteroskedastic models to identify possible transmission channels of joint extreme price moves (coexceedances) across a group of agricultural commodities. These models are very useful to identify factors affecting joint tail events and they are superior in terms of goodness of fit to models without autoregressive components. Emerging market demand, crude oil, exchange rate, stock market conditions and credit spread explain extreme joint returns. Psychological factors and the Monday effect play a role in affecting extreme events, while weather anomalies (El Niño and La Niña episodes) do not have explanatory power.

Nurses’ Fatigue, Job Stress, Organizational Culture, and Turnover Intention: A Culture–Work–Health Model

2019 ◽  
Vol 42 (2) ◽  
pp. 108-116 ◽  
Author(s):  
Eunsook Lee ◽  
Insil Jang
Keyword(s):  
Organizational Culture ◽  
Job Stress ◽  
Indirect Effects ◽  
Turnover Intention ◽  
Goodness Of Fit ◽  
Explanatory Power ◽  
Factors Affecting ◽  
Work Health ◽  
Health Model ◽  
Culture Work

We examined the factors affecting clinical nurses’ turnover intention and constructed a structural equation model based on the Culture–Work–Health Model. This cross-sectional study utilized self-administered questionnaires. Registered nurses ( N = 252) from four tertiary hospitals participated. Factors affecting nurses’ turnover intention included the organizational culture, job stress, and fatigue (explanatory power = 56.7%), and the model showed acceptable goodness of fit. In the final turnover intention model, fatigue and job stress had direct effects and the organizational culture had indirect effects. The organizational culture also had indirect effects on turnover intention through job stress and fatigue. This model, therefore, effectively explained how nursing organizational culture, job stress, and fatigue affect their turnover intention. The results provide support for theory-driven interventions to address developing intention to stay at work among experienced nurses.

Structural Model of Service Quality Factors Affecting Loyalty Sustainability

2020 ◽  
Vol 11 (2) ◽  
Author(s):  
Eman Al-erqi ◽  
◽  
Mohd Lizam Mohd Diah ◽  
Najmaddin Abo Mosali ◽  
◽  
...  
Keyword(s):  
International Students ◽  
Service Quality ◽  
Goodness Of Fit ◽  
Structural Model ◽  
Quality Factors ◽  
Factors Affecting ◽  
Measurement Models ◽  
Confirmatory Factor ◽  
The University ◽  
The Impact

This study seeks to address the impact of service quality affecting international student's satisfaction towards loyalty tothe Universiti Tun Hussein Onn Malaysia(UTHM). The aim of thestudy is to develop relationship between service quality factor and loyalty to the university from the international students’ perspectives. The study adopted quantitative approach where data was collected through questionnaire survey and analysed statistically. A total of 246 responses were received and found to be valid. The model was developed and analysed using AMOS-SEM software. Confirmatory factor analysis (CFA) function of the software was to assessed the measurement models and found that all the models achieved goodness of fit. Then path analysis function was used to assessed structural model and found that service qualityfactors have a significant effect on the students’ satisfaction and thus affecting the loyaltyto the university. Hopefully the outcome form this study will benefit the university in providing services especially to the international students.

scholarly journals Scale Characteristics and Optimization of Park Green Space in Megacities Based on the Fractal Measurement Model: A Case Study of Beijing, Shanghai, Guangzhou, and Shenzhen

2021 ◽  
Vol 13 (15) ◽  
pp. 8554
Author(s):  
Zhen Li ◽  
Wanmin Zhao ◽  
Miaoyao Nie
Keyword(s):  
Fractal Dimension ◽  
Evaluation System ◽  
Goodness Of Fit ◽  
Green Space ◽  
Fractal Theory ◽  
Measurement Model ◽  
Scale Structure ◽  
Qualitative Description ◽  
Urban Spatial Structure ◽  
Factors Affecting

This paper applies fractal theory to research of green space in megacity parks due to the lack of a sufficient qualitative description of the scale structure of park green space, a quantifiable evaluation system, and operable planning methods in traditional studies. Taking Beijing, Shanghai, Guangzhou, and Shenzhen as examples, GIS spatial analysis technology and the Zipf model are used to calculate the fractal dimension (q), the goodness of fit (R2), and the degree of difference (C) to deeply interpret the connotation of indicators and conduct a comparative analysis between cities to reveal fractal characteristics and laws. The research results show that (1) the fractal dimension is related to the complexity of the park green space system; (2) the fractal dimension characterizes the hierarchical iteration of the park green space to a certain extent and reflects the internal order of the scale distribution; (3) the scale distribution of green space in megacity parks deviates from the ideal pyramid configuration; and (4) there are various factors affecting the scale structure of park green space, such as natural base conditions, urban spatial structure, and the continuation of historical genes working together. On this basis, a series of targeted optimization strategies are proposed.

scholarly journals Financial Factors Affecting Earnings Management and Earnings Quality: New Evidence from an Emerging Market

2020 ◽  
Vol 9 (1) ◽  
pp. 198-216
Author(s):  
Isam Saleh ◽  
Malik Abu Afifa ◽  
Fadi Haniah
Keyword(s):  
Earnings Management ◽  
Emerging Market ◽  
Earnings Quality ◽  
Panel Data Analysis ◽  
Insurance Companies ◽  
Policy Makers ◽  
Factors Affecting ◽  
Financial Factors ◽  
Study Population ◽  
New Evidence

The purpose of this study is to examine the effect of financial factors on earnings management and earnings quality. Moreover, the study examines the role of earnings management as a mediator in the effect of the financial factors on earnings quality. It provides some empirical evidences from an emerging market, especially from the Jordanian market. The study uses a panel data analysis method over a ten-year period (2009-2018). The study population includes all Jordanian insurance companies listed in Jordanian market at the end of the year 2019, and the study sample consists of 20 Jordanian insurance companies (a complete population), giving a total of 200 observations for each variable. The results indicate that all financial factors in the model combined affect the earnings management and earnings quality. In addition, earnings management negatively affects earnings quality, and earnings management fully mediates the effect of financial factors on earnings quality. The study advises that policy makers ought to follow good legislation to curb the company's earnings management activities. Hence, the policy makers need to apply regulations which enrich the company’s effectiveness and efficiency whilst protecting the investors and other interested parties from risk.

scholarly journals Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

scholarly journals A comparative study of the performance of Saudi mutual funds

2016 ◽  
Vol 13 (4) ◽  
pp. 89-102 ◽  
Author(s):  
Ahmed El-Masry ◽  
Dalia A. El-Mosallamy
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Fund Performance ◽  
The Other ◽  
Equity Fund ◽  
Evaluation Measures ◽  
Market Portfolio

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

Assessing Low-Cost Housing Demand in Melaka: PLS-SEM Approach

2013 ◽  
Vol 838-841 ◽  
pp. 3156-3162 ◽  
Author(s):  
Noor Yasmin Zainun ◽  
Nadzirah Roslan ◽  
Aftab Hameed Memon
Keyword(s):  
Low Income ◽  
Goodness Of Fit ◽  
Housing Stock ◽  
Low Cost ◽  
Great Influence ◽  
Economic Factor ◽  
Housing Demand ◽  
Factors Affecting ◽  
Low Cost Housing ◽  
The Government

Housing is one of the basic needs of human. Population in Malaysia is increasing and expected to reach up to 35 million in year 2020. This phenomenon creates high demand for housing. To tackle the squatter problems, the government introduces low-cost housing. Low cost house is known as the government house, where the price is cheaper but still comfortable. Although there are many of low-cost housing projects have been completed to cope with the need of the citizen especially for low-income group. However, census report reveled that these is huge demand of low-cost housing. This demand might be because of various factors which are very essential to identify in order to meet the required demand of low cost houses. Hence, this study is carried out to assesse the demand of low cost housing in Melaka, determine the significant factors affecting demand of low-cost housing, and establish PLS-SEM model for assessing factors affecting low-cost housing demand. In this study, data are collected by distributing questionnaire in Melaka state. The collected data from survey was analyzed using statistical software SPSS and presented in graphs and chart. Further, factors affecting low cost housing demand in Melaka were modeled with the SmartPLS v2.0. The model shows the relationship between low cost housing demand and its indicators. The finding of the study showed that most significant indicators affecting the demand of low-cost housing in Melaka are the economic factors which include housing stock, inflation rate and Gross Domestic Products (GDP). The Goodness of Fit showed that the model has substantial explaining power for the assessing factors affecting low cost housing demand in Melaka which the values is 0.481. This means that the economic factor has a great influence on the low-cost housing demand in Melaka.

Fund Manager Performance in Emerging Market: Factor Specialisation and Financial Crisis Impact

2018 ◽  
Vol 17 (1) ◽  
pp. 130-158
Author(s):  
Giuseppe Galloppo ◽  
Mauro Aliano
Keyword(s):  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Tracking Error ◽  
Active Management ◽  
Market Model ◽  
Good Representation ◽  
Local Factor ◽  
Equity Funds ◽  
Fama And French

In the branch of literature dealing with analysis of the consistency of management styles, this article investigates the relation between portfolio concentration and the performance of emerging market equity funds. Unlike previous studies, on global and US mutual fund, we focus on emerging markets equity, finding funds with higher levels of tracking error, display lower performance than funds with less diversified portfolios when we do not take into account specific concentration in holdings in different multifactor style. The explanatory power of local models that use local explanatory returns is recently investigated by De Groot, Pang and Swinkels (2012), Cakici, Fabozzi and Tan (2013) and Fama and French (2012). Following the same research line, the most remarkable finding of this article is that the fund-picking process, only based on the level of track error from a broad benchmark, can contribute to disappointing results when it is not also accompanied by information about the fund concentration in multiple market segment. According to the previous work, overall, we found that local factor market model provides quite good representation of local average returns for portfolios formed on size and style factors. The contribution of this research is two-fold. First, we examined emerging market funds from the perspective of active management and second, under the effect of strategies mentioned in Huij and Derwall (2011). Moreover, as additional analysis with respect to most of the previous papers, we also tested the effects of the crisis that we found to have not affected the main result.

Characterizing hydro-meteorological extremes from a societal perspective

2021 ◽  
Author(s):  
Ekaterina Bogdanovich ◽  
Lars Guenther ◽  
Markus Reichstein ◽  
Georg Ruhrmann ◽  
René Orth
Keyword(s):  
Extreme Events ◽  
Goodness Of Fit ◽  
Heat Waves ◽  
Explanatory Power ◽  
Potential Temperature ◽  
Well Being ◽  
Apparent Temperature ◽  
Temperature Threshold ◽  
Temperature Thresholds ◽  
The Impact

<p>Extreme hydro-meteorological events often affect the economy, social life, health, and well-being. One indicator for the impact of extreme events on society is the concurrently increased societal attention. Such increases can help to measure and understand the vulnerability of the society to extreme events, and to evaluate the relevance of an event, which is important for disaster research and risk management. In this study, we analyzed and characterized hydro-meteorological extreme events from a societal impact perspective. In particular, we investigated the impact of heat waves on societal attention in European countries with contrasting climate (Germany, Spain, and Sweden) using Google trends data during 2010–2019. Thus, we seek to answer two general research questions: (i) how and when do extreme events trigger societal attention, (ii) are there temperature thresholds at which societal attention increases? </p><p>To describe heat waves, we used maximum, minimum, average, and apparent temperature, aggregated to a weekly time scale. We analyzed the relationship between temperature and societal attention using piecewise regression to identify potential temperature-related thresholds in societal attention. The threshold is determined as the breaking point between two linear models fitted to data. We determined the corresponding goodness of fit by computing R<sup>2</sup> for each temperature variable. The variable with the highest R<sup>2</sup> is considered as the most influential one.</p><p>The overall relationship between temperature and Google attention to heat waves is significant in all countries and reveals clear temperature thresholds. The variable with the highest explanatory power is the weekly average of the daily maximum temperatures, which accounts for 71% of google attention in Germany, 51 % in Sweden, and 38 % in Spain. For Germany, similar results are found with media attention. In Sweden, with its colder climate, a lower temperature threshold is identified, indicating higher heat vulnerability. No significant impact of temperatures from the previous weeks is found. While further work is needed to improve the understanding of the attention-heat coupling, the demonstrated significant societal attention response to heat waves offers the opportunity to characterize heat waves from an impact perspective using the identified temperature variables, time scales, and thresholds.</p>

Adoption of mobile banking services

2019 ◽  
Vol 37 (5) ◽  
pp. 1165-1189 ◽  
Author(s):  
Apostolos Giovanis ◽  
Pinelopi Athanasopoulou ◽  
Costas Assimakopoulos ◽  
Christos Sarmaniotis
Keyword(s):  
Theory Of Planned Behavior ◽  
Technology Acceptance ◽  
Planned Behavior ◽  
Structural Equation ◽  
Goodness Of Fit ◽  
Statistical Significance ◽  
Explanatory Power ◽  
Equation Modeling ◽  
Mobile Banking ◽  
Content Type

PurposeThe purpose of this paper is to investigate which of four well-established theoretical models (i.e. technology acceptance model, theory of planned behavior, unified theory of acceptance and use of technology, decomposed theory of planned behavior (DTPB)) best explains potential users’ behavioral intentions to adopt mobile banking (MB) services.Design/methodology/approachDrawing on data from 931 potential users in Greece, the structural equation modeling method was used to examine and compare the four models in goodness-of-fit, explanatory power and statistical significance of path coefficients.FindingsResults indicate that the best model is an extension of the DTPB with perceived risk (PR). Customers’ attitude, determined by three rationally-evaluated MB attributes (usefulness, easiness and compatibility), is the main driver of consumers’ intentions to adopt MB services. Additionally, consumers’ perceptions of availability of knowledge, resources and opportunities necessary for using the service, and the pressure of interpersonal and external social contexts toward the use of MB are the other two, less important, adoption drivers. Finally, PR negatively affects attitude formation and inhibits willingness to use MB services.Practical implicationsFindings can help marketers of financial institutions to select the more parsimonious model to develop appropriate marketing strategies to increase adoption rates of MB services.Originality/valueThis is the first study that compares the performance of four well-known innovation adoption models to explain consumers’ behavior in the MB context.

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