The role of model bias in predicting volatility: evidence from the US equity markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yan Li ◽  
Lian Luo ◽  
Chao Liang ◽  
Feng Ma
Keyword(s):  
Prediction Model ◽  
Forecast Accuracy ◽  
Realized Volatility ◽  
Model Bias ◽  
Content Type ◽  
Dow Jones Industrial Average ◽  
The Us ◽  
Out Of Sample ◽  
Family Models

PurposeThe purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility.Design/methodology/approachUnder the heterogeneous autoregressive realized volatility (HAR-RV) framework, we analyze the predictive power of out-of-sample model bias for the realized volatility (RV) of the Dow Jones Industrial Average (DJI) and the S&P 500 (SPX) indices from in-sample and out-of-sample perspectives respectively.FindingsThe in-sample results reveal that the prediction model including the model bias can obtain bigger R2, and the out-of-sample empirical results based on several evaluation methods suggest that the prediction model incorporating model bias can improve forecast accuracy for the RV of the DJI and the SPX indices. That is, model bias can enhance the predictability of original HAR family models.Originality/valueThe author introduce out-of-sample model bias into HAR family models to enhance model capability in predicting realized volatility.

UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES

2021 ◽  
pp. 2150008
Author(s):  
SISA SHIBA ◽  
RANGAN GUPTA
Keyword(s):  
Infectious Diseases ◽  
Realized Volatility ◽  
Daily Newspaper ◽  
Treasury Securities ◽  
Long Run ◽  
Short Period ◽  
The Us ◽  
Out Of Sample ◽  
Portfolio Managers

This paper aims to examine the predictive power of the daily newspaper-based index uncertainty related to infectious diseases (EMVID) for the US Treasury securities’ realized volatility (RV) using the heterogonous autoregressive volatility (HAV-RV) model. In our out-of-sample forecast, we find strong significant evidence on the role of the EMVID index in forecasting the volatility of the US Treasury securities in the short-, medium- and long-run horizons except for the US 2-Year Treasury-Note (T-Note) Futures. Assessing the EMVID index role during the COVID-19 episode, we find that even in this short period, the index role in predicting the US Treasury securities is highly significant. These findings have important implications for portfolio managers and investors in times of unprecedented levels of uncertainty resulting from epidemic and pandemic diseases.

Are stable cryptocurrencies exempted from impossible trinity?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dimitrios Koutsoupakis
Keyword(s):  
Exchange Rate ◽  
Peer Review ◽  
Price Variation ◽  
Content Type ◽  
The Us ◽  
Us Dollar ◽  
Asset Classes ◽  
Complete Catalogue ◽  
Empirical Framework

PurposeWhile monetary autonomy is self-explanatory for cryptocurrencies such as Bitcoin with predetermined supply path, it is of great interest to probe into the monetary structures of Stablecoins. In these supply contracts and expands and capital restrictions apply due to the existence of reserves as the exchange rate arrangement adheres to a price rule.Design/methodology/approachEver since the launch of Bitcoin and its offspring, examination of cryptocurrencies' trading activity from the empirical finance viewpoint has received much attention and continues to do so. The particular monetary arrangements found in Stable cryptocurrencies (colloquially referred to as Stablecoins), however, have not been properly (1) classified and (2) studied within an empirical international finance and banking context. This paper provides an empirical framework analogous to Impossible Trinity for exploring monetary arrangements across Stablecoins wherein reserves are held as price stability is targeted.FindingsThe study findings of existence of the degree of achievement along the three dimensions of the Impossible Trinity hypothesis, namely monetary independence, exchange rate stability and financial openness for a representative sample able to cover all varieties of Stablecoins, provide fresh empirical insights and arguments to this growing literature with respect to the success of their embedded exchange rate stabilization mechanisms. While the hypothesis can be supported for all cryptocurrencies in question, the trade-off combination among exchange rate stability, capital openness and monetary independence varies with the categorical types of Stablecoins.Research limitations/implicationsIf Stable cryptocurrencies, therefore, claim the role of global monetary assets freed from sovereign limits and national boundaries, it is critical to explore whether they adhere to traditional monetary frameworks. It goes without saying that in this work the author does not use a complete catalogue of all the available Stablecoins, rather a complete catalogue of all the possible asset classes of Stablecoins. While there is a significant difficulty in finding Algorithmic Stablecoins and, so far, there is plethora of Stable Token initiatives, a broader sample to further examine these under this paper's empirical framework is suggested. Enrichment of the robustness analysis by constructing additional proxies, possibly building time series for the proposed cmo1 subindex and using additional estimation methods is encouraged.Practical implicationsStablecoins have been developed aiming to address the issue of excessive price variation in cryptocurrencies such as Bitcoin. Holders of Stablecoins enjoy the combined advantages of using a blockchain-based digital infrastructure in fulfilling the functions of store of value and media of exchange and of using a traditional currency, which merely plays the role of the unit of account (and in some circumstances the trusted reserve to which is convertible to). Understanding the varieties of Stablecoins and quantifying the components for success of their price stabilization may result in designing better Stablecoins.Social implicationsBlockchain and cryptocurrencies have introduced new challenges to money and banking. Cryptocurrencies, which independently float such as Bitcoin, have gained the interest so far due to price variation that allows for gains. But these should be by far not considered to be a substitute to traditional means of payment. Lately, Stablecoins have increasingly gained attention for that USD Tether/Bitcoin pair (a Stablecoin pegged to the US dollar at parity) has outrun the US dollar/Bitcoin pair as the most traded pair in digital exchanges marking the strong position and high demand for Stablecoins.Originality/valueThis approach uncovers the varieties of Stablecoins with respect to their monetary constraints compared to the rest of the cryptocurrencies, which independently float. In this paper, the author provides a conceptual framework for the analysis of the exchange rate mechanisms conditional on Stablecoin asset classes accompanied with an empirical study from the monetary viewpoint. This is the first work in this attempt. The empirical framework employed is analogous to the traditional theory of international monetary economics referred to as Impossible Trinityz.Peer reviewThe peer review history for this article is available at: https://publons.com/publon/10.1108/JES-06-2020-0279

Social media information and analyst forecasts

2019 ◽  
Vol 46 (2) ◽  
pp. 197-216
Author(s):  
Abu Amin ◽  
Rajib Hasan ◽  
Mahfuja Malik
Keyword(s):  
Social Media ◽  
Fixed Effects ◽  
Information Dissemination ◽  
Early Period ◽  
Forecast Accuracy ◽  
Forecast Errors ◽  
Content Type ◽  
Information Generation ◽  
Corporate Social

Purpose The purpose of this paper is to examine whether corporate social media information helps improve analysts’ forecast accuracy. Design/methodology/approach This study uses hand-collected information on S&P 500 firms’ official Facebook pages and uses posts and reactions to such posts to measure corporate Facebook information. Multivariate regression models are estimated to test the relationship between analysts’ forecast accuracy and corporate Facebook information. Findings The results indicate that analysts forecast accuracy is unresponsive to posts. However, analyst forecast errors are decreasing in reactions to posts. These findings are robust to the inclusion of control variables, firm and time fixed effects, and alternative specifications of forecast errors and different pre-forecast time windows. Research limitations/implications This study has some limitations. It focuses only on the S&P 500 firms, which are large and generally provide better information to the market. The sample period coincides with the early period of the corporate Facebook culture. However, more recent data sets are likely to provide stronger results. Practical implications The findings of this study provide support for “information generation” role of social media and show that reactions to corporate Facebook posts are the new and unique information generated from corporate social media activities, which help information intermediaries in improving their forecasting accuracy. Originality/value This study makes an important contribution to the literature by separating the information dissemination role of social media from information generation role and establishes the first evidence on how corporate social media information affects forecast accuracy of financial analysts.

scholarly journals Uncertainty and nonlinear macroeconomic effects of fiscal policy in the US: a SEIVAR-based analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ansgar Belke ◽  
Pascal Goemans
Keyword(s):  
Government Spending ◽  
Large Set ◽  
Impulse Response Functions ◽  
Uncertainty Distribution ◽  
Content Type ◽  
Macroeconomic Uncertainty ◽  
The Us ◽  
Macroeconomic Effects ◽  
The Government

PurposeThe purpose of this paper is to investigate whether the macroeconomic effects of government spending shocks vary with the degree of macroeconomic uncertainty.Design/methodology/approachThe authors use quarterly US data from 1960 to 2017 and employ the Self-Exciting Interacted VAR (SEIVAR) to compute nonlinear generalized impulse response functions (GIRFs) to an orthogonalized government spending shock during tranquil and in uncertain times. The parsimonious design of the SEIVAR enables us to focus on extreme deciles of the uncertainty distribution and to control for the financing side of the government budget, monetary policy, financial frictions and consumer confidence.FindingsFiscal spending has positive output effects in tranquil times, but is contractionary during times of heightened macroeconomic uncertainty. The results indicate an important role of the endogenous response of macroeconomic uncertainty. Investigating different government spending purposes, only increases in research and development expenditures reduce uncertainty and boost output during uncertain times.Originality/valueThe authors contribute to the literature in using a method which allows to control for a large set of confounding factors and accounts for the uncertainty response.

The politics of margin squeeze in telecommunications: diverging paths of the US and EU

Info ◽  
2015 ◽  
Vol 17 (2) ◽  
pp. 1-15 ◽  
Author(s):  
Fuat Oğuz
Keyword(s):  
Competition Policy ◽  
Design Methodology ◽  
Case Law ◽  
Extensive Literature ◽  
The European Union ◽  
Content Type ◽  
Socialist Calculation Debate ◽  
The Us ◽  
The Usa

Purpose – This paper aims to study the historical origins of margin squeeze cases in the USA and Europe. Design/methodology/approach – The author compares and contrasts major margin squeeze investigations in the USA and the European Union (EU) in terms of the role of efficiency and fairness and shows their roots in the socialist calculation debate of the 1940s. Findings – It was found that the USA and EU diverge in their approaches towards margin squeeze claims. While the USA case law focuses more on efficiency, the European Commission makes decisions based more on fairness and “protection of rivals”. This shows that political and ideological preferences influence legal decision-making. Research limitations/implications – The paper is limited to major cases in telecommunications. It leaves aside cases in other areas. Thus, the author cautions that the generalization of the findings of the paper to all margin squeeze cases, or competition policy in general, may be difficult. Originality/value – While there is extensive literature on margin squeeze cases in the USA and EU, there is little work on the historical and ideological connections. The paper contributes to the literature by drawing attention to political influences over technical decisions.

“Wild words” – analyzing angry rhetoric in American politics

2018 ◽  
Vol 13 (3) ◽  
pp. 369-382 ◽  
Author(s):  
Jeremiah Clabough ◽  
Mark Pearcy
Keyword(s):  
American Politics ◽  
Political Rhetoric ◽  
Thinking Skills ◽  
Donald Trump ◽  
Content Type ◽  
Us History ◽  
Four Dimensions ◽  
Media Messages ◽  
The Us

Purpose The purpose of this paper is to explore the use of angry political rhetoric employed by George Wallace and Donald Trump. The authors start by discussing the civic thinking skills stressed within the C3 Framework, specifically the ability to analyze politicians’ arguments. Then, the focus shifts to look at angry political rhetoric within the US history. Next, the authors discuss the parallels of the angry political rhetoric employed by both Wallace and Trump. Finally, two activities are provided that enable students to grasp the convergences with the angry political rhetoric utilized by both Wallace and Trump. Design/methodology/approach In this paper, the authors explore angry rhetoric in American politics. The authors designed two classroom-ready activities by drawing on the best teaching practices advocated for in the C3 Framework. To elaborate, both activities allow students to research and analyze arguments made by George Wallace and Donald Trump. This enables students to engage in the four dimensions of the Inquiry Arc in the C3 Framework. Findings The authors provide two activities that can be utilized in the high school social studies classroom to enable students to dissect American politicians’ messages. These two activities can be adapted and utilized to enable students to examine a political candidate’s messages, especially those that draw on angry rhetoric. By completing the steps of these two activities, students are better prepared to be critical consumers of political media messages. Originality/value In this paper, the authors explore the role of angry political rhetoric in American politics. The authors examine the parallels of political style between George Wallace and Donald Trump. Two activities are provided to help students break down the angry political rhetoric employed by these two controversial figures.

scholarly journals Understanding President Trump supporters’ behaviors about a political controversy

2020 ◽  
Vol 24 (2) ◽  
pp. 119-136
Author(s):  
Arunima Krishna ◽  
Soojin Kim
Keyword(s):  
Social Media ◽  
Online Survey ◽  
Spiral Of Silence ◽  
Loss Of Face ◽  
Content Type ◽  
Speaking Out ◽  
The Us ◽  
Political Controversy ◽  
Us Senate

PurposeThis study seeks to understand Trump supporters’ behaviors on social media in the wake of a political controversy: US President Trump’s continued support for Judge Roy Moore’s candidacy for the US Senate representing the state of Alabama despite several allegations of sexual assault against him.Design/methodology/approachFew days before the special election was held in Alabama, an online survey was conducted among 325 supporters of President Trump to explore Trump supporters’ social media behaviors, including the unfriending/unfollowing contacts and speaking out about the controversy.FindingsWe found a negative presidential image to influence individuals’ loss of face, and such loss of face to impact unfriending/unfollowing behaviors on social media, as well as outspokenness. Furthermore, the differences between strong issue supporters and weak issue supporters’ opinions of climate perceptions and outspokenness were investigated.Originality/valueRather than using fear of isolation as the mediator between opinion climate and willingness to speak out, as is generally the case in the spiral of silence model (Moy et al., 2001), this study investigated the role of another affective indicator, loss of face on two social media behaviors, outspokenness, and unfollowing/unfriending contacts on social media.

Foreign venture capital firms and internationalization of ventures

2020 ◽  
Vol 28 (3) ◽  
pp. 381-399 ◽  
Author(s):  
Heejin Woo
Keyword(s):  
Venture Capital ◽  
Design Methodology ◽  
Linear Models ◽  
Strategic Decisions ◽  
Foreign Markets ◽  
Content Type ◽  
The Us ◽  
Venture Capital Firms ◽  
Logistic Regressions

Purpose The purpose of this study is to examine how foreign venture capital firms affect the internationalization of investee ventures and their performance. The author argues that, as influential stakeholders, foreign venture capital (VC) firms engage in strategic decisions of investee ventures and may positively contribute to ventures’ business in foreign markets. Design/methodology/approach The study examines 551 VC-backed ventures that went public between 2000 and 2014 in the US. Logistic regressions and generalized linear models are used to test hypotheses, and the two-stage approach is used to address a potential endogeneity issue. Findings In the empirical results, the author finds that foreign VC investment is positively associated with the internationalization of ventures in terms of both the likelihood of internationalization and foreign sales intensity. In addition, the author finds that internationalization and foreign sales intensity are positively associated with firm performance when a venture is backed by a foreign VC firm. Originality/value This study makes important theoretical and empirical contributions to the international entrepreneurship literature by highlighting the role of foreign VC investors on internationalization of ventures.

Novartis Pharmaceuticals Corporation has the right prescription for diversity

2014 ◽  
Vol 22 (6) ◽  
pp. 15-17
Keyword(s):  
Executive Leadership ◽  
Leadership Positions ◽  
Content Type ◽  
Diversity And Inclusion ◽  
The Us ◽  
Employee Resource Groups ◽  
The Right ◽  
A Company ◽  
Practical Implications

Purpose – This paper aims to describe the actions that have helped Novartis Pharmaceuticals Corporation to reach No. 1 in this year’s DiversityInc top 50 companies for diversity. Design/methodology/approach – It examines the roles of the company’s executive diversity and inclusion council, diversity and inclusion councils, the diversity and inclusion department and employee-resource groups. Findings – It reveals that the number of women in top-level jobs at the company has more than doubled in the past five years. Today, women account for more than 50 per cent of executive-leadership positions. Practical implications – It advances the view that getting strategic about diversity and inclusion – and making these elements a natural part of the way a company does business – drives innovation and moves the business and people forward. Social implications – It demonstrates that, as the US workforce becomes more diverse, all companies face the challenge of creating new and better ways of recruiting and retaining talent from all segments of the workforce – and creating an inclusive culture where all perspectives are valued. Originality/value – It highlights the key role of diversity at a US affiliate of a multinational pharmaceutical company.

Between ideal and reality

2014 ◽  
Vol 8 (1) ◽  
pp. 13-30 ◽  
Author(s):  
Sungae Yoo ◽  
Hye Jeong Kim ◽  
So Young Kwon
Keyword(s):  
Online Learning ◽  
Design Methodology ◽  
College Instructors ◽  
Content Type ◽  
The Us ◽  
Learner Interaction ◽  
National Comparison ◽  
The Usa ◽  
Cross National

Purpose – The purpose of this study is to examine similar and/or different perspectives on, and practices of online-learning interaction as projected by the participating educators who are from either Korea or the USA. Design/methodology/approach – In this study, the authors analyzed how college instructors from two countries, Korea and the USA, consider the role of online-learning interaction in their students' learning by interviewing nine instructors from both countries. The authors examined the educators' responses using constructivism and Confucianism as the frame of reference. Findings – The analysis showed that the US instructors tend to focus on learner-to-learner interaction, whereas Korean instructors emphasized teacher-to-learner interaction. Korean instructors perceived a gap between ideal and reality in integrating interaction as a part of online activities in the course. Originality/value – This study focuses on a cross-national comparison of online-learning interaction between Korea and the USA. Thus, it will provide practical ideas for global or multicultural user experiences on online-learning courses.

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