Liquidity of China’s agricultural futures market: measurement and cross-market dependence

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yuanyuan Xu ◽  
Jian Li ◽  
Linjie Wang ◽  
Chongguang Li
Keyword(s):  
Futures Markets ◽  
Low Frequency ◽  
Futures Market ◽  
Market Liquidity ◽  
Contagion Effect ◽  
Short Term ◽  
Seminal Paper ◽  
Content Type ◽  
Agricultural Futures

PurposeThis paper aims to present the first empirical liquidity measurement of China’s agricultural futures markets and study time-varying liquidity dependence across markets.Design/methodology/approachBased on both high- and low-frequency trading data of soybean and corn, this paper evaluates short-term liquidity adjustment in Chinese agricultural futures market measured by liquidity benchmark and long-term liquidity development measured by liquidity proxies.FindingsBy constructing comparisons, the authors identify the seminal paper of Fong, Holden and Trzcinka (2017) as the best low-frequency liquidity proxy in China’s agricultural futures market and capture similar historical patterns of the liquidity in soybean and corn markets. The authors further employ Copula-generalized autoregressive conditional heteroskedasticity models to investigate liquidity dependence between soybean and corn futures markets. Results show that cross-market liquidity dependence tends to be dynamic and asymmetric (in upper versus lower tails). The liquidity dependence becomes stronger when these markets experience negative shocks than positive shocks, indicating a concern on the contagion effect of liquidity risk under negative financial situations.Originality/valueThe findings of this study provide useful information on the dynamic evolution of liquidity pattern and cross-market dependence of fastest-growing agricultural futures in the largest emerging economy.

Assessing the functional efficiency of agricultural futures markets in China

2019 ◽  
Vol 11 (2) ◽  
pp. 431-442
Author(s):  
Ju Ronghua ◽  
Yang Zhiling
Keyword(s):  
Futures Markets ◽  
Futures Market ◽  
Market Liquidity ◽  
Content Type ◽  
Data Services ◽  
Futures Contract ◽  
Functional Efficiency ◽  
The Social ◽  
Agricultural Futures ◽  
Loss Index

Purpose The purpose of this paper is to quantitatively analyse the changes in the functional efficiency of the six Chinese agricultural futures markets and compare the relative behaviour of different futures markets. In addition, this paper analyses the causes of differences in the functional efficiency of agricultural futures markets and advances policy suggestions. Design/methodology/approach The method used in this paper is the social loss index proposed by Stein (1981, 1986). This method can quantitatively measure the functional efficiency of agricultural futures markets from the perspective of social welfare. The indicator is calculated for the 2009–2017 period and for several sub-periods. The data are from the CSMAR research data services in China. Findings Preliminary results suggest that the longer it takes for an agricultural futures contract to reach maturity, the lower the functional efficiency of its market. Second, the functional efficiency of the agricultural futures markets in China is improved except for that of the wheat futures market. Finally, the corn futures market is most efficient probably due to the progress of marketization, while the strong wheat futures market is most inefficient probably due to the decrease in futures market liquidity. Originality/value This paper uses a more reasonable method to study the functional efficiency of Chinese agricultural futures markets and then analyses the causes of differences in the functional efficiency of agricultural futures markets.

Short-term contrarian and sentiment by traders’ types on futures markets

2018 ◽  
Vol 10 (4) ◽  
pp. 298-319 ◽  
Author(s):  
Walid Bahloul
Keyword(s):  
Behavioral Finance ◽  
Futures Markets ◽  
Futures Market ◽  
Policy Implications ◽  
Short Term ◽  
Content Type ◽  
Directional Relation ◽  
Capm Model ◽  
Abnormal Profits ◽  
Irrational Traders

Purpose The purpose of this paper is to investigate whether the interaction between sentiments and past prices can lead to higher abnormal profit in futures markets. Such examinations allow the authors to relate the paper to the debate that focuses on examining the behavior of different types of traders in futures market, and who among these traders destabilize the markets. Design/methodology/approach First, the authors develop new dynamic strategies in US futures market that combine sentiment by type of traders based on trader position provided by the Disaggregated Commitments of Traders with short-term contrarian signals. Next, the authors adjust the abnormal profits to the CAPM model and Miffre and Rallis’s (2007) model. Finally, the authors use the Du (2012) decomposition methodology. Findings The main findings are that the abnormal profit is more pronounced when the authors combine past returns with lagged high producer/merchant/processor/user or low managed money sentiment. The results from swap dealer or other reportable groups show that there is no pervasive directional relation between their sentiment and contrarian profit. A further investigation of the sources of abnormal profits demonstrates that these profits survive even after the adjustment of obtained return to risk. Instead, these profits are mainly due to the overreaction to the news by irrational traders. Originality/value Based on behavioral finance theories, the authors conclude that producer, merchant, processor and user behave like irrational traders, while managed money traders behave like rational ones. Given that current regulatory proposes the limitation of speculation, the policy implications of these results are important. Therefore, these findings suggest that policy distinctions on trading motives may be more challenging to construct than ever.

The chicken and egg story of a call centre in Malaysia

2021 ◽  
Vol 11 (3) ◽  
pp. 1-25
Author(s):  
Alan Fun-Foo Chan ◽  
Keng-Kok Tee ◽  
Thanuja Rathakrishnan ◽  
Jo Ann Ho ◽  
Siew-Imm Ng
Keyword(s):  
Undergraduate Students ◽  
Call Centre ◽  
Short Term ◽  
Content Type ◽  
Security Technologies ◽  
Academic Level ◽  
Key Account ◽  
Substandard Performance ◽  
Alternative Solutions

Learning outcomes After attempting the case, users are able to: analyse issues and problems faced by a call centre in Malaysia. Determine the root causes of the problems faced by call centre employees and generate alternative solutions to solve the problems faced by the company and to ensure the sustainability of the business. Case overview/synopsis This case was about the challenges faced by Daniel, the General Manager of an integrated security protection system company, Secure First (SF). Despite investing in the latest security technologies, conducting a major overhaul of the procedures, introducing an enhanced digital system at the call centre and providing training to the call agents, it was on the verge of losing its important long-term client due to its substandard performance. The client experienced major losses due to break-ins. After a thorough investigation, the problem surfaced in their call centre. Most of the staff were not familiar with the newly adopted system. The circumstances worsened when many of the call centre’s senior employees were tendering their resignations. The case discusses the aspect of employee satisfaction, staff performance that led to the turnover issue amongst employees in a call centre. The case explores what short-term and long-term strategies could Daniel suggest to change the call centre’s course to retain SF’s key account in times of desperation. Complexity academic level This case has a moderate level of difficulty and may be used in undergraduate students. Supplementary materials Teaching notes are available for educators only. Subject code CSS 6: Human resource management.

Contemporaneous or causal? Evaluating the triumvirate of insolvency risk, capitalization and efficiency in Indian commercial banking

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Navendu Prakash ◽  
Shveta Singh ◽  
Seema Sharma
Keyword(s):  
Cost Efficiency ◽  
Banking Sector ◽  
Generalized Method Of Moments ◽  
Commercial Banking ◽  
Seemingly Unrelated Regression ◽  
Bank Capital ◽  
Short Term ◽  
Content Type ◽  
Insolvency Risk

PurposeThis paper empirically examines the short-term and long-term associations between risk, capital and efficiency (R-C-E) in the Indian banking sector across 2008–2019 to answer the presence of causation or contemporaneousness in the R-C-E nexus.Design/methodology/approachThe paper focuses on three objectives. First, the authors determine short-term causality in the risk–efficiency relationship by studying the simultaneous influence of a wide array of banking risks on DEA-based technical and cost efficiency in static and dynamic situations. Second, the authors introduce bank capital and contemporaneously determine the interplay between R-C-E using seemingly unrelated regression equation (SURE) and three-staged least squares (3SLS). Last, the authors assess stability in inter-temporal associations using Granger causality in an autoregressive distributed lag (ARDL) generalized method of moments (GMM) framework.FindingsThe authors contend that high capital buffers reduce insolvency risk and increase bank stability. Technically efficient banks carry lesser equity buffers, suggesting a trade-off between capital and efficiency. However, capitalization makes banks more technically efficient but not cost-efficient, implying that over-capitalization creates cost inefficiencies, which, in line with the cost skimping hypothesis, forces banks to undertake risk. Concerning causal relationships, the authors conclude that inefficiency Granger-causes insolvency and increases bank risk. Further, steady increases in capital precede technical and cost efficiency improvements. The converse also holds as more efficient banks depict temporal increases in capitalization levels.Originality/valueThe paper is perhaps the first that acknowledges the influence of the “time” perspective on the R-C-E nexus in an emerging economy and advocates that prudential regulations must focus on short-term and long-term intricacies among the triumvirate to foster a stable banking environment.

Labor lawsuits and debt maturity

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Omer Unsal
Keyword(s):  
Chief Executive ◽  
Debt Maturity ◽  
Employee Relations ◽  
Short Term ◽  
Content Type ◽  
Negative Effect ◽  
Debt Market ◽  
Legal Fees

Purpose This paper aims to investigate how firms’ relationships with employees define their debt maturity. The authors empirically test the role of employee litigations in influencing firms’ choice of short-term versus long-term debt. The authors study employee relations by analyzing the importance of the workplace environment on capital structure. Design/methodology/approach The author’s test hypotheses using a sample of US publicly traded firms between 2000 and 2017, including 3,056 unique firms with 4,256 unique chief executive officer, adopting the fixed effect panel model. Findings The authors document that employee litigations have a significant negative effect on the use of short-term debt and a significant positive affect on long-term debt. Employee litigations, along with legal fees, outcomes and charging parties, matter the most in explaining debt maturity. In addition, frequently sued firms abandon the short-term debt market and use less shareholders’ equity to finance their operations while relying more on the longer debt market. Originality/value To the best of the authors’ knowledge, this is the first study to examine the role of employee mistreatment in debt maturity choice. The study extends the lawsuit and finance literature by examining unique, hand-collected data sets of employee lawsuits, allegations, violations, settlements, charging parties, case outcomes and case durations.

The transition of a socio-technical system to a smart grid: illustrated with the Indian electricity network

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lakshminarayana Kompella
Keyword(s):  
Technical System ◽  
Transition Theory ◽  
Short Term ◽  
Indian States ◽  
Content Type ◽  
External Pressures ◽  
Policy Systems ◽  
Transition Trajectory ◽  
Practical Implications

Purpose This paper aims to explain transitions in a socio-technical system characterized by non-economic entities that influence economic activity, i.e. embeddedness and coalitions. The selected socio-technical system is an Indian electric network with an interventionist policy. Its embeddedness and coalitions drive the transition. The insights from such analysis expand socio-technical transition theory and provide valuable insights to practitioners in their policymaking. Design/methodology/approach The authors need to observe the effects of non-economic institutions in their setting. Moreover, in India, the regional policies influence decision-making; therefore, selected two Indian states. The two Indian states, along with their non-economic entities, provided diverse analytic and heuristic views. Findings The findings show that coalitions, with their embeddedness in the absence of any mediating policy systems, act as external pressures and influence innovation and the socio-technical system’s transition trajectory. Their coalitions’ embeddedness follows a shaping, not selection logic. Thereby influence innovations in cumulating as stable designs. Such an approach provides benefits in the short-term but not in the long-term. Research limitations/implications The study selected two states and examined two of the four trajectories. By considering other states, the authors can obtain more renewable energy investments and further insights into the transformational trajectory. Practical implications The study highlights the coalition dynamics specific to the Indian electric power network and its transition trajectories. The non-economic entities influenced transition trajectories, innovation and policymaking of the socio-technical system. Originality/value The study expands the socio-technical transition theory by including embeddedness. The embeddedness brings a shaping logic instead of a selection logic.

Does salience matter in investment decision?

Kybernetes ◽  
2019 ◽  
Vol 48 (8) ◽  
pp. 1894-1912
Author(s):  
Samra Chaudary
Keyword(s):  
Investment Decision ◽  
Investment Decisions ◽  
Equation Modeling ◽  
Individual Investors ◽  
Short Term ◽  
Content Type ◽  
Multigroup Analysis ◽  
Money Managers ◽  
The Impact

Purpose The paper takes a behavioral approach by making use of the prospect theory to unveil the impact of salience on short-term and long-term investment decisions. This paper aims to investigate the group differences for two types of investors’ groups, i.e. individual investors and professional investors. Design/methodology/approach The study uses partial least square-based structural equation modeling technique, measurement invariance test and multigroup analysis test on a unique data set of 277 active equity traders which included professional money managers and individual investors. Findings Results showed that salience has a significant positive impact on both short-term and long-term investment decisions. The impact was almost 1.5 times higher for long-term investment decision as compared to short-term decision. Furthermore, multigroup analysis revealed that the two groups (individual investors and professional investors) were statistically significantly different from each other. Research limitations/implications The study has implications for financial regulators, money managers and individual investors as it was found that individual investors suffer more with salience heuristic and may end up with sub-optimal portfolios due to inefficient diversification. Thus, investors should be cautious in fully relying on salience and avoid such bias to improve investment returns. Practical implications The study concludes with a discussion of policy and regulatory implications on how to minimize salience bias to achieve optimum and diversified portfolios. Originality/value The study has significantly contributed to the growing body of applied behavioral research in the discipline of finance.

A directed content analysis of viewpoints on the changing patterns of Lean Six Sigma research

2019 ◽  
Vol 31 (4) ◽  
pp. 641-654 ◽  
Author(s):  
Bryan A. Rodgers ◽  
Jiju Antony ◽  
Zhen He ◽  
Elizabeth A. Cudney ◽  
Chad Laux
Keyword(s):  
Continuous Improvement ◽  
Six Sigma ◽  
Design Methodology ◽  
Lean Six Sigma ◽  
Current Status ◽  
Short Term ◽  
Content Type ◽  
Changing Patterns ◽  
Practical Implications

Purpose The purpose of this paper, builds on previous studies that explored the research patterns over 15 years, is to consider the current status of the integration of Lean and Six Sigma. More specifically, this research addresses whether Lean and Six Sigma are stronger together and explores the reasons why Lean researchers and practitioners may be less likely to integrate Six Sigma in their work. Design/methodology/approach The research utilises a survey of 25 established and respected academics and practitioners from 16 countries. The questionnaire is analysed using a direct content approach and coded in NVivo. Findings The findings suggest that challenges may lie in the perception and understanding of statistics as well as short-term rather than long-term focus on improvement. The findings also suggest that academics and practitioners believe that Lean Six Sigma has developed over time and will continue to develop and improve as a methodology rather than being replaced with a new methodology. Research limitations/implications The survey has a sample size of 25, albeit all respondents are established and very experienced practitioners and academics. Practical implications For organisations that are introducing or refreshing their continuous improvement initiatives, this research identifies some of the challenges and provides the opportunity to address them to maximise the opportunities for success and sustainability. Originality/value The value of this paper is that it further addresses the debate over the integration of Lean and Six Sigma for many organisations which still employ Lean alone, but beyond this it explores how they will continue to develop and whether they are a permanent edition to the quality management landscape or a transition to something else.

scholarly journals The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China

2012 ◽  
Author(s):  
Wang Chun Wei ◽  
Alex Frino
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Stock Index Futures ◽  
Contagion Effect ◽  
Index Futures ◽  
Empirical Results ◽  
Open Session ◽  
The Impact ◽  
Closure Theory

This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning.  

scholarly journals Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data

2017 ◽  
Vol 34 (69) ◽  
pp. 3-23
Author(s):  
Jeremías Lachman ◽  
Pablo Jack
Keyword(s):  
Comparative Analysis ◽  
Information Transmission ◽  
Market Efficiency ◽  
Futures Markets ◽  
Buenos Aires ◽  
Relevant Information ◽  
Futures Market ◽  
Daily Data ◽  
Agricultural Futures ◽  
The One

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

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