Performance analysis of investing in Chinese oil paintings based on a hedonic regression model of price index

2017 ◽  
Vol 7 (3) ◽  
pp. 323-342
Author(s):  
Fang Wang ◽  
Xu Zheng
Keyword(s):  
Regression Model ◽  
Price Index ◽  
Portfolio Diversification ◽  
Hedonic Regression ◽  
Oil Painting ◽  
Content Type ◽  
Oil Paintings ◽  
Auction Houses ◽  
Capm Model ◽  
Diversification Benefit

Purpose The purpose of this paper is to construct a price index for Chinese oil paintings and analyze the financial performance of investing in Chinese oil paintings and its potential for portfolio diversification in Chinese financial markets. Design/methodology/approach A hedonic regression model is applied to construct a semiannual price index for Chinese oil paintings from 2000 to 2014. The CAPM model, downside β and standard portfolio optimization are used for analyzing portfolio diversification. Findings The hedonic regression shows that the majority of hedonic variables, such as dimension, artist’s reputation, living status, medium and auction houses, are statistically significant in estimation. Not only the return from oil painting investments is higher than other equities, but also the β coefficient of the CAPM model and downside β indicate that Chinese oil painting may be a good hedging instrument against stock market risk. Furthermore, the portfolio optimizations under standard assumptions suggest that oil paintings as an alternative investment provide diversification benefit. Originality/value This paper provides a new and comprehensive analysis of characteristics and risks of investing in the Chinese oil paintings.

The diversification benefit of Islamic investment to Chinese conventional equity investors

2019 ◽  
Vol 13 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Buerhan Saiti ◽  
Yusuf Ma ◽  
Ruslan Nagayev ◽  
İbrahim Güran Yumusak
Keyword(s):  
Price Index ◽  
Stock Exchange ◽  
Multivariate Garch ◽  
Content Type ◽  
Greater China ◽  
Fund Managers ◽  
Stock Indices ◽  
Daily Data ◽  
Diversification Benefit ◽  
Islamic Investment

Purpose The purpose of this paper is to investigate the extent to which Chinese equity investors can benefit from diversifying their portfolio into Shariah-compliant (Islamic) indices. It examines three Islamic stock indices (FTSE Shariah China price index, MSCI China Islamic IMI price index and the DJ Islamic Greater China price index) and ten sectoral indices in Shanghai Stock Exchange as a sample. Design/methodology/approach The multivariate GARCH dynamic conditional correlations (MGARCH-DCC) is deployed to estimate the time-varying linkages of returns of the selected indices, covering approximately eight years daily data starting from 28 August 2009 to 29 September 2017. Findings In general, in terms of volatility, the results indicate that all Islamic Indices are less volatile than the conventional indices. From the correlation analysis, the results imply that Chinese conventional equity investors would benefit from Islamic stock indices, especially when they include DJ Islamic Greater China in their portfolio. Originality/value The findings of this paper may have several significant implications for the Chinese equity investors and fund managers for better understanding about co-movements of the Chinese conventional sectoral indices with the Shariah-compliant stock indices with the purpose of gaining higher risk-adjusted returns through portfolio diversification.

Short‐sell moratorium effects on regional bank performance

2013 ◽  
Vol 5 (2) ◽  
pp. 92-110
Author(s):  
Michael Devaney ◽  
William L. Weber
Keyword(s):  
Trading Volume ◽  
Short Selling ◽  
Bank Risk ◽  
Too Big To Fail ◽  
Content Type ◽  
Naked Short Selling ◽  
Regional Bank ◽  
Capm Model ◽  
Short Sell ◽  
Regional Banks

PurposeThe purpose of this paper is to investigate the effects of the 2008 SEC short‐sell moratorium on regional bank risk and return. The paper also examines the decline in “failures to deliver” securities in the wake of SEC short‐sell moratorium.Design/methodology/approachIn total, six regional bank portfolios are derived and the beta coefficients from a CAPM model are estimated using the integrated generalized autoregressive conditional heteroskedasticity (IGARCH) method accounting for the short‐sell moratorium. Data on 110 regional banks in six US regions from January 2002 to December 30, 2011 are used to estimate the model.FindingsThe ban on naked short selling and the SEC short‐sell moratorium significantly increased individual bank risk for a majority of banks in six geographic regions, but also increased return in three of three regions. There was also reduced naked short selling as failures to deliver securities declined sharply after the September 2008 moratorium took effect.Originality/valueRegional banks have generally not achieved the size needed to be deemed “too big to fail” by policy‐makers. Thus, policy changes such as the SEC short‐sell moratorium might be expected to have larger effects on regional banks than on larger banks, which might be shielded from the policy change by having achieved “too big to fail” status. The authors' results are consistent with research that has shown that short‐sell restrictions increase risk by reducing liquidity and trading volume.

The ingenious marketing of modern paintings

2014 ◽  
Vol 6 (2) ◽  
pp. 211-233
Author(s):  
Thomas M. Bayer ◽  
John Page
Keyword(s):  
Exchange Process ◽  
Art Market ◽  
Late Nineteenth Century ◽  
Data Sets ◽  
Content Type ◽  
Secondary Sources ◽  
Auction Houses ◽  
Art Dealers ◽  
The Media ◽  
Eighteenth And Nineteenth Centuries

Purpose – This paper aims to analyze the evolution of the marketing of paintings and related visual products from its nascent stages in England around 1700 to the development of the modern art market by 1900, with a brief discussion connecting to the present. Design/methodology/approach – Sources consist of a mixture of primary and secondary sources as well as a series of econometric and statistical analyses of specifically constructed and unique data sets that list nearly more than 50,000 different sales of paintings during this period. One set records sales of paintings at various English auction houses during the eighteenth and nineteenth centuries; the second set consists of all purchases and sales of paintings recorded in the stock books of the late nineteenth-century London art dealer, Arthur Tooth, during the years of 1870/1871. The authors interpret the data under a commoditization model first introduced by Igor Kopytoff in 1986 that posits that markets and their participants evolve toward maximizing the efficiency of their exchange process within the prevailing exchange technology. Findings – We found that artists were largely responsible for a series of innovations in the art market that replaced the prevailing direct relationship between artists and patron with a modern market for which painters produced works on speculation to be sold by enterprising middlemen to an anonymous public. In this process, artists displayed a remarkable creativity and a seemingly instinctive understanding of the principles of competitive marketing that should dispel the erroneous but persistent notion that artistic genius and business savvy are incompatible. Research limitations/implications – A similar marketing analysis could be done of the development of the art markets of other leading countries, such as France, Italy and Holland, as well as the current developments of the art market. Practical implications – The same process of the development of the art market in England is now occurring in Latin America and China. Also, the commoditization process continues in the present, now using the Internet and worldwide art dealers. Originality/value – This is the first article to trace the historical development of the marketing of art in all of its components: artists, dealers, artist organizations, museums, curators, art critics, the media and art historians.

An investigation of time varying market efficiency: evidence from STOXX Europe Christian index

2021 ◽  
Vol 37 (4) ◽  
pp. 631-643
Author(s):  
Tayyaba Yousaf ◽  
Sadia Farooq ◽  
Ahmed Muneeb Mehta
Keyword(s):  
Price Index ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Time Varying ◽  
Content Type ◽  
Daily Data ◽  
New Information ◽  
Academic Researchers ◽  
The Impact

Purpose The purpose of this study is to investigate whether the STOXX Europe Christian price index (SECI) follows the premise of efficient market hypothesis (EMH). Design/methodology/approach The study used daily data of SECI for the period of 15 years as its launch date i.e. 31 December 2004 to 31 December 2019. Data are analyzed by taking a full-length sample and fixed-length subsample. For subsample, the data are divided into five subsamples of three years each. Subsample analysis is important for analyzing time varying efficiency of the series, as the market is said to follow EMH if it is being efficient throughout the sample. Both type of samples is examined through linear tests including autocorrelations test and variance ratio (VR) test. Findings Tests applied conclude that SECI is weak-form efficient, which means that the prices of the index include all the relevant past information and immediately react to new information. Hence, the investors cannot earn abnormal returns. Originality/value Religion-based indices grasped the attention of investors, policymakers and academic researchers because of increased concern over ethics in business. Though the impact of religion on the economy have been studied in many ways but the efficiency of religion-based indices have been less explored. The current study is primary in its nature as it analysis the efficiency of SECI. This index is important to explore because Christianity is the world’s top religion with 2.3 billion followers around the globe.

Integration of Islamic bank specific risks and their impact on the portfolios of Islamic Banks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Syed Alamdar Ali Shah ◽  
Raditya Sukmana ◽  
Bayu Arie Fianto
Keyword(s):  
Risk Management ◽  
Portfolio Diversification ◽  
Islamic Banks ◽  
Content Type ◽  
Management Framework ◽  
Risk Return ◽  
Islamic Bank ◽  
Risk Management Framework ◽  
Impact Risk ◽  
Conventional Banks

Purpose This study aims to propose a risk management framework for Islamic banks to address specific risks that are unique to Islamic bank settings. Design/methodology/approach A unique methodology has been developed first by exploring the dynamics and behaviors of various risks unique to Islamic banks. Second, it integrates them through a series of diagrams that show how they behave, integrate and impact risk, returns and portfolios. Findings This study proposes a unique risk-return relationship framework encompassing specific risks faced by Islamic banks under the ambit of portfolio theory showing how Islamic banks establish a steeper risk-return path under Shariah compliance. By doing so, this study identifies a unique “Islamic risk-return” nexus in Islamic settings as an explanation for the concern of contemporary researchers that Islamic banks are more risky than conventional banks. Originality/value The originality of this study is that it extends the scope of risk management in Islamic banks from individual contract-based to an integrated whole, identifying a unique transmission path of how risks affect portfolio diversification in Islamic banks.

Comparing predictive performance of general regression neural network (GRNN) and hedonic regression model for factors affecting housing prices in “Pune-India”

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abhijat Arun Abhyankar ◽  
Harish Kumar Singla
Keyword(s):  
Neural Network ◽  
Regression Model ◽  
Multivariate Regression ◽  
Housing Prices ◽  
Predictive Performance ◽  
General Regression Neural Network ◽  
Multivariate Regression Model ◽  
Data Set ◽  
Content Type ◽  
General Regression

Purpose The purpose of this study is to compare the predictive performance of the hedonic multivariate regression model with the probabilistic neural network (PNN)-based general regression neural network (GRNN) model of housing prices in “Pune-India.” Design/methodology/approach Data on 211 properties across “Pune city-India” is collected. The price per square feet is considered as a dependent variable whereas distances from important landmarks such as railway station, fort, university, airport, hospital, temple, parks, solid waste site and stadium are considered as independent variables along with a dummy for amenities. The data is analyzed using a hedonic type multivariate regression model and GRNN. The GRNN divides the entire data set into two sets, namely, training set and testing set and establishes a functional relationship between the dependent and target variables based on the probability density function of the training data (Alomair and Garrouch, 2016). Findings While comparing the performance of the hedonic multivariate regression model and PNN-based GRNN, the study finds that the output variable (i.e. price) has been accurately predicted by the GRNN model. All the 42 observations of the testing set are correctly classified giving an accuracy rate of 100%. According to Cortez (2015), a value close to 100% indicates that the model can correctly classify the test data set. Further, the root mean square error (RMSE) value for the final testing for the GRNN model is 0.089 compared to 0.146 for the hedonic multivariate regression model. A lesser value of RMSE indicates that the model contains smaller errors and is a better fit. Therefore, it is concluded that GRNN is a better model to predict the housing price functions. The distance from the solid waste site has the highest degree of variable senstivity impact on the housing prices (22.59%) followed by distance from university (17.78%) and fort (17.73%). Research limitations/implications The study being a “case” is restricted to a particular geographic location hence, the findings of the study cannot be generalized. Further, as the objective of the study is restricted to just to compare the predictive performance of two models, it is felt appropriate to restrict the scope of work by focusing only on “location specific hedonic factors,” as determinants of housing prices. Practical implications The study opens up a new dimension for scholars working in the field of housing prices/valuation. Authors do not rule out the use of traditional statistical techniques such as ordinary least square regression but strongly recommend that it is high time scholars use advanced statistical methods to develop the domain. The application of GRNN, artificial intelligence or other techniques such as auto regressive integrated moving average and vector auto regression modeling helps analyze the data in a much more sophisticated manner and help come up with more robust and conclusive evidence. Originality/value To the best of the author’s knowledge, it is the first case study that compares the predictive performance of the hedonic multivariate regression model with the PNN-based GRNN model for housing prices in India.

Statistical process monitoring for e-waste based on beta regression and particle swarm optimization

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Angelo Marcio Oliveira Sant’Anna
Keyword(s):  
Particle Swarm Optimization ◽  
Regression Model ◽  
Process Monitoring ◽  
Manufacturing Process ◽  
Particle Swarm ◽  
Injection Rate ◽  
Statistical Process ◽  
Swarm Optimization ◽  
Content Type ◽  
Statistical Process Monitoring

PurposeE-waste management can reduce relevant impact of the business activity without affecting reliability, quality or performance. Statistical process monitoring is an effective way for managing reliability and quality to devices in manufacturing processes. This paper proposes an approach for monitoring the proportion of e-waste devices based on Beta regression model and particle swarm optimization. A statistical process monitoring scheme integrating residual useful life techniques for efficient monitoring of e-waste components or equipment was developed.Design/methodology/approachAn approach integrating regression method and particle swarm optimization algorithm was developed for increasing the accuracy of regression model estimates. The control chart tools were used for monitoring the proportion of e-waste devices from fault detection of electronic devices in manufacturing process.FindingsThe results showed that the proposed statistical process monitoring was an excellent reliability and quality scheme for monitoring the proportion of e-waste devices in toner manufacturing process. The optimized regression model estimates showed a significant influence of the process variables for both individually injection rate and toner treads and the interactions between injection rate, toner treads, viscosity and density.Originality/valueThis research is different from others by providing an approach for modeling and monitoring the proportion of e-waste devices. Statistical process monitoring can be used to monitor waste product in manufacturing. Besides, the key contribution in this study is to develop different models for fault detection and identify any change point in the manufacturing process. The optimized model used can be replicated to other Electronic Industry and allows support of a satisfactory e-waste management.

Opera costumes and the value of object biographies

2018 ◽  
Vol 74 (6) ◽  
pp. 1162-1174 ◽  
Author(s):  
Helen J. Waller ◽  
David S. Waller
Keyword(s):  
Cultural Context ◽  
Fair Value ◽  
Future Research ◽  
Sufficient Information ◽  
Art World ◽  
Museum Collection ◽  
Auction House ◽  
Potential Implication ◽  
Content Type ◽  
Auction Houses

Purpose The purpose of this paper is to observe the nature of documentation and the description used in object biographies by an auction house catalogue and an online museum collection database in relation opera costumes. This research aims to discuss the issues of cultural and economic value in relation to objects in the art world, and examine examples of object biographies for opera costumes that are sold at an auction and exhibited in a museum. Design/methodology/approach The object biographies are compared from an auction house catalogue and the online museum collection database, based on two factors: costumes worn by a famous singer and costumes designed by a famous designer. Findings This study identified the valuation methods of auction houses and museums, including accounting for the market value and fair value, as well as social and cultural values. The nature of the documentation also clearly shows the different purpose of the object biographies. For auction houses the biography needs to be short and specific as it provides sufficient information and is read out at the auction, while art catalogues can also be used by experts as part of the conversation to understanding heritage value, and will also be viewed and used by researchers, investors, other auction house specialists and art world professionals. Research limitations/implications By comparing two institutions, auction houses and museums, this study has shown that the information that is documented and how it is presented in object biographies is determined by the goals of the institutions. These goals may vary or overlap in providing information, demonstrating cultural importance, to be spoken allowed to an audience and make sales, or to educate, conserve and preserve. Practical implications This study shows that to some extent museum online databases display their collection removed from cultural context, with an isolated image of the item, and in an organised, digitally accessible manner. A potential implication is that museums should not only digitally catalogue an item, but also provide discussion and the cultural background and significance of the item. Social implications Auction catalogues are written for a specific event (the auction), while the online museum collection database is meant to be a permanent record, which aims to digitally preserve objects and provide access to images and information to a general audience, and further could be edited with amendments or new information when future research or events lead to potential updates. Originality/value This study adds to the discourse on approaches to the understanding of costumes as an art object of significance and their potential cultural, economic and heritage value, particularly as represented in the documentation of object biographies.

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