scholarly journals Impact of COVID‐19 pandemic on risk transmission between googling investor’s sentiment, the Chinese stock and bond markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Taicir Mezghani ◽  
Mouna Boujelbéne ◽  
Mariam Elbayar
Keyword(s):  
Financial Market ◽  
Negative Impact ◽  
Spillover Effect ◽  
Chinese Economy ◽  
Bond Markets ◽  
Content Type ◽  
Daily Data ◽  
Study Results ◽  
Network Connectedness ◽  
Portfolio Managers

PurposeThe main objective of this paper is to investigate whether the investors' behavior under optimistic (pessimistic) conditions has an impact on risk transmission between the Chinese stock and bond markets and the sector indices mainly during the COVID-19 pandemic.Design/methodology/approachThis study uses a new measure of the investor's sentiment based on Google trend to construct a Chinese investor's sentiment index and a quantile causal approach to examine the causal relationship between googling investor's sentiment and the Chinese stock and bond markets as well as the sector indices. On the other hand, the network connectedness is used to estimate the spillover effect on the investor's sentiment and index returns. To check the robustness of the study results, the authors employed the Chinese VIX, as another measure of the investor's sentiment using daily data from May 2019 to December 2020.FindingsIn fact, the authors found a dual causality between the investor's sentiment and the financial market indices in optimistic or pessimistic situations, which indicates that positive and negative financial market returns may have an effect on the Chinese investor's sentiment. In addition, the results indicated that a pessimistic investor's sentiment has a negative impact on the banking, healthcare and utility sectors. In fact, the study results provide a significant peak of connectivity between the investor's sentiment, the stock market and the sector indices during the 2015–2016 and 2019–2020 turmoil periods that coincide respectively with the 2015 recession of the Chinese economy and the COVID-19 pandemic.Originality/valueThis finding suggests that the Chinese googling investor's sentiment is considered as a prominent channel of shock spillovers during the coronavirus crisis, which confirms the behavioral contagion. This study also identifies the contribution of a particular interest for portfolio managers and investors, which helps them to accordingly design their portfolio strategy.

scholarly journals An empirical investigation of workplace factors affecting lean performance

2018 ◽  
Vol 67 (2) ◽  
pp. 278-296 ◽  
Author(s):  
Ilias Vlachos ◽  
Evangelia Siachou
Keyword(s):  
Organizational Culture ◽  
Knowledge Acquisition ◽  
Continuous Improvement ◽  
Negative Impact ◽  
Hierarchical Regression ◽  
Content Type ◽  
Factors Affecting ◽  
Study Results ◽  
Workplace Factors ◽  
The Impact

Purpose The purpose of this paper is to identify workplace factors with an impact on lean performance (LP). This can lead to better LP outcomes, thus facilitating organizations to smoothly move from the conventional to lean management. Design/methodology/approach The direct effects of training, knowledge acquisition and organizational culture are empirically investigated using data from 126 managers employed at a global company, which recently has improved its LP. Study’s hypotheses were analyzed with hierarchical regression models. Findings The findings suggest that not all of the aforementioned workplace factors holistically affect LP. Only organizational culture is associated to the four LP variables (i.e. continuous improvement, waste, ergonomy and product quality). Training and knowledge acquisition offer partially effects on LP with training to contribute mostly to predicting continuous improvements. Knowledge acquisition alone, has significant yet negative impact on both continuous improvement and ergonomy. Even more, when training is combined with knowledge acquisition the results are different. Originality/value As this study highlights the impact of workplace practices on LP, attributes mainly importance to the distinct effects that each of the aforementioned factors has on the four distinct LP variables. Although the study results reflect a particular case, its recommendations could facilitate practitioners to achieve better lean outcomes.

Investors overconfidence behaviour at Bombay Stock Exchange

2018 ◽  
Vol 14 (5) ◽  
pp. 613-632 ◽  
Author(s):  
Venkata Narasimha Chary Mushinada ◽  
Venkata Subrahmanya Sarma Veluri
Keyword(s):  
Private Information ◽  
Trading Volume ◽  
Negative Impact ◽  
Stock Exchange ◽  
Public Information ◽  
Response Analysis ◽  
Content Type ◽  
Daily Data ◽  
Level Data ◽  
Attribution Bias

PurposeThe purpose of the paper is to empirically test the overconfidence hypothesis at Bombay Stock Exchange (BSE).Design/methodology/approachThe study applies bivariate vector autoregression to perform the impulse-response analysis and EGARCH models to understand whether there is self-attribution bias and overconfidence behavior among the investors.FindingsThe study shows the empirical evidence in support of overconfidence hypothesis. The results show that the overconfident investors overreact to private information and underreact to the public information. Based on EGARCH specifications, it is observed that self-attribution bias, conditioned by right forecasts, increases investors’ overconfidence and the trading volume. Finally, the analysis of the relation between return volatility and trading volume shows that the excessive trading of overconfident investors makes a contribution to the observed excessive volatility.Research limitations/implicationsThe study focused on self-attribution and overconfidence biases using monthly data. Further studies can be encouraged to test the proposed hypotheses on daily data and also other behavioral biases.Practical implicationsInsights from the study suggest that the investors should perform a post-analysis of each investment so that they become aware of past behavioral mistakes and stop continuing the same. This might help investors to minimize the negative impact of self-attribution and overconfidence on their expected utility.Originality/valueTo the best of the authors’ knowledge, this is the first study to examine the investors’ overconfidence behavior at market-level data in BSE, India.

COVID-19 pandemic and connectedness across financial markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Abubakr Naeem ◽  
Saba Sehrish ◽  
Mabel D. Costa
Keyword(s):  
Financial Markets ◽  
Financial Risk ◽  
Negative Impact ◽  
Spillover Effect ◽  
External Shocks ◽  
Content Type ◽  
Time Frequency ◽  
Long Run ◽  
Short Run ◽  
Momentum Trading

Purpose This study aims to estimate the time–frequency connectedness among global financial markets. It draws a comparison between the full sample and the sample during the COVID-19 pandemic. Design/methodology/approach The study uses the connectedness framework of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018), both of which consider time and frequency connectedness and show that spillover is specific to not only the time domain but also the frequency (short- and long-run) domain. The analysis also includes pairwise connectedness by making use of network analysis. Daily data on the MSCI World Index, Barclays Bloomberg Global Treasury Index, Oil future, Gold future, Dow Jones World Islamic Index and Bitcoin have been used over the period from May 01, 2013 to July 31, 2020. Findings This study finds that cryptocurrency, bond and gold are hedges against both conventional stocks and Islamic stocks on average; however, these are not “safe havens” during an economic crisis, i.e. COVID-19. External shocks, such as COVID-19, strengthen the return connectedness among all six financial markets. Research limitations/implications For investors, the study provides important insights that during external shocks such as COVID-19, there is a spillover effect, and investors are unable to hedge risk between conventional stocks and Islamic stocks. These so-called safe haven investment alternatives suffer from the similar negative impact of systemic financial risk. However, during an external shock such as COVID-19, cryptocurrencies, bonds and gold can be used to hedge risk against conventional stocks, Islamic stocks and oil. Moreover, the findings imply that by engaging in momentum trading, active investors can gain short-run benefits before the market processes any new information. Originality/value The study contributes to the emergent literature investigating the connectedness among financial markets during the COVID-19 pandemic. It provides evidence that the return connectedness among six global financial markets, namely, conventional stocks, Islamic stocks, bond, oil, gold and cryptocurrency, is extremely strong. From a methodological standpoint, this study finds that COVID-19 pandemic shock has a significant short-run impact on the connectedness among financial markets.

scholarly journals Stock returns, illiquidity and feedback trading

2020 ◽  
Vol 19 (2) ◽  
pp. 135-145
Author(s):  
Jing Chen ◽  
David G. McMillan
Keyword(s):  
Stock Returns ◽  
Positive Feedback ◽  
Stock Prices ◽  
Sovereign Debt ◽  
Negative Impact ◽  
Estimation Methods ◽  
Content Type ◽  
Study Results ◽  
European Markets ◽  
Feedback Trading

Purpose This study aims to examine the relation between illiquidity, feedback trading and stock returns for several European markets, using panel regression methods, during the financial and the sovereign debt crises. The authors’ interest here lies twofold. First, the authors seek to compare the results obtained here under crisis conditions with those in the existing literature. Second, and of greater importance, the authors wish to examine the interaction between liquidity and feedback trading and their effect on stock returns. Design/methodology/approach The authors jointly model both feedback trading and illiquidity, which are typically considered in isolation. The authors use panel estimation methods to examine the relations across the European markets as a whole. Findings The key results suggest that in common with the literature, illiquidity has a negative impact upon contemporaneous stock returns, while supportive evidence of positive feedback trading is reported. However, in contrast to the existing literature, lagged illiquidity is not a priced risk, while negative shocks do not lead to greater feedback trading behaviour. Regarding the interaction between illiquidity and feedback trading, the study results support the view that greater illiquidity is associated with stronger positive feedback. Originality/value The study results suggest that when price changes are more observable, due to low liquidity, then feedback trading increases. Therefore, during the crisis periods that afflicted European markets, the lower levels of liquidity prevalent led to an increase in feedback trading. Thus, negative liquidity shocks that led to a fall in stock prices were exacerbated by feedback trading.

Co-movements between the British pound, the euro and the Japanese yen: the Brexit impact

2019 ◽  
Vol 46 (2) ◽  
pp. 467-481 ◽  
Author(s):  
Susana Alvarez-Diez ◽  
J. Samuel Baixauli-Soler ◽  
Maria Belda-Ruiz
Keyword(s):  
Negative Impact ◽  
Individual Investors ◽  
Investment Strategies ◽  
Conditional Correlation ◽  
Content Type ◽  
Dynamic Conditional Correlation ◽  
The Us ◽  
International Trading ◽  
Portfolio Managers ◽  
Japanese Yen

PurposeThe purpose of this paper is to analyze the Brexit effect – pre-Brexit and post-Brexit referendum periods – on the co-movements between the British pound (GBP), the euro (EUR) and the yen (JPY) against the US dollar (USD).Design/methodology/approachTo ascertain the asymmetric behavior of dynamic correlations, the authors use the dynamic conditional correlation (DCC) model, the asymmetric dynamic conditional correlation (A-DCC) model and the diagonal BEKK model assuming Gaussian and Student’stdistribution. Several dummy variables have been included in order to identify the main periods related to Brexit.FindingsFindings show a negative impact of the pre-Brexit referendum period on the correlation between GBP and EUR, while there is no significant effect on GBP–JPY and EUR–JPY pairs. The loss of correlation in the GBP–EUR pairing has not recovered during the post-Brexit referendum period, which could be attributed to the uncertainty about the final impact of Brexit on British and Eurozone economies.Practical implicationsThe loss of correlation in the GBP–EUR pair has important implications for individual investors, portfolio managers and traders with respect to hedging activities, international trading and investment strategies.Originality/valueThe results are the first to address how Brexit has impacted on the co-movements between exchange rates using different multivariate models that allow for correlations to change over time.

Italy election is unlikely to yield a stable coalition

2018 ◽  
Keyword(s):  
Financial Market ◽  
Market Risk ◽  
Bond Markets ◽  
Content Type ◽  
Stable Coalition ◽  
Market Instability ◽  
Financial Market Risk

Significance The electorate is deeply divided in ways that make compromise between parties extremely difficult. Unless the centre-right overcomes its divisions, another election seems likely very soon. Impacts Electoral deadlock could alarm currency and bond markets. If the M5S and League become the largest parties overall and on the centre-right respectively, there will be a risk of market instability. Financial market risk will probably materialise if efforts to build a centre-right coalition fail. If there is deadlock but the PD and Forza Italia underwrite a caretaker, markets may react with equanimity (though voters will not).

Monetary tightening could skim frothy markets

2017 ◽  
Keyword(s):  
Financial Market ◽  
Bond Markets ◽  
German Government ◽  
Government Bonds ◽  
Content Type ◽  
Bank For International Settlements ◽  
Quarterly Review ◽  
Asset Classes ◽  
Market Valuations ◽  
Government Coalition

Subject Risk assets. Significance The Bank for International Settlements (BIS) warned of frothy financial-market valuations in its quarterly review on December 3. Overvaluation in several asset classes, including US equities and benchmark government bonds, in combination with monetary-stimulus withdrawal, increases the scope for a correction. Impacts Investors will continue to seek yield. Robust European growth will strenghten the euro against the dollar despite worries over the progress of German government coalition talks. Investors are worried about equity valuations, but a sustained sell-off is unlikely to occur without a sharp repricing in bond markets.

“My bad”: investigating service failure effects in self-service and full-service settings

2019 ◽  
Vol 33 (2) ◽  
pp. 181-191 ◽  
Author(s):  
Sören Köcher ◽  
Stefanie Paluch
Keyword(s):  
Service Delivery ◽  
Negative Impact ◽  
Service Failure ◽  
Delivery Mode ◽  
Content Type ◽  
Active Involvement ◽  
Service Failures ◽  
Study Results ◽  
Negative Effect ◽  
Self Service

PurposeCompanies in diverse branches offer a variety of service alternatives that typically differ in terms of the degree to which customers are actively involved in service delivery processes. The purpose of this paper is to explore potential differences in consumers’ reactions to service failures across services provided by a service employee (i.e. full-services) and services that require customers’ active involvement (i.e. self-services).Design/methodology/approachTwo 2 (full-service vs self-service) × 2 (no service failure vs service failure) scenario-based experiments in technological and non-technological contexts (i.e. ticket purchase and furniture assembly) were conducted.FindingsStudy results reveal that although service failures have a similar negative impact on satisfaction across both full-services and self-services, in the self-service context, the negative effect on the willingness to use the same service delivery mode again is attenuated.Research limitations/implicationsBy emphasizing the role of customers’ active involvement in the service delivery process, the study extends previous knowledge regarding customer response to service failures in different service settings.Practical implicationsBy highlighting that self-service customers’ future behavioral intentions are less severely affected by service failures, the authors present an additional feature of customer involvement in service delivery processes that goes beyond the previously recognized advantages.Originality/valueDespite the abundance of research on the effects of failure attributions, previous studies have predominantly examined main effects of attributions on customer responses, such that insights into potential moderating effects of failure attributions on established relationships – as investigated in this study – are still scarce.

The effect of weather on the European stock market

2016 ◽  
Vol 43 (9) ◽  
pp. 943-958 ◽  
Author(s):  
Nikolaos Sariannidis ◽  
Grigoris Giannarakis ◽  
Xanthi Partalidou
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Negative Impact ◽  
Weather Variables ◽  
Socially Responsible ◽  
Content Type ◽  
Daily Data ◽  
Macroeconomic Indicators ◽  
Significant Negative Impact ◽  
The Impact

Purpose The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables. Design/methodology/approach The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data. Findings The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns. Originality/value This study adds to the international literature by documenting the impact of weather variables on socially responsible companies.

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Berna Aydoğan ◽  
Gülin Vardar ◽  
Caner Taçoğlu
Keyword(s):  
Financial Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Impact ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Content Type ◽  
Volatility Spillovers ◽  
Dynamic Relationship ◽  
The Stability

PurposeThe existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.Design/methodology/approachApplying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.FindingsInterestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.Originality/valueOverall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

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