The asymmetric price-volume relation revisited: evidence from Qatar

2018 ◽  
Vol 12 (2) ◽  
pp. 193-219 ◽  
Author(s):  
Walid M.A. Ahmed
Keyword(s):  
Financial Services ◽  
Stock Price ◽  
Trading Volume ◽  
Emerging Market ◽  
Return Volatility ◽  
Data Set ◽  
Content Type ◽  
Level Data ◽  
The Future ◽  
Volume Relation

Purpose This study aims to revisit the stock price–volume relations, providing new evidence from the emerging market of Qatar. In particular, three main issues are examined using both aggregate market- and sector-level data. First, the return–volume relation and whether or not this relation is asymmetric. Second, the common characteristics of return volatility; and third, the nature of the relation between trading volume and return volatility. Design/methodology/approach The study uses the OLS and VAR modeling approaches to examine the contemporaneous and dynamic (causal) relations between index returns and trading volume, respectively, while an EGARCH-X(1,1) model is used to analyze the volatility–volume relation. The data set comprises daily index observations and the corresponding trading volumes for the entire market and the individual seven sectors of the Qatar Exchange (i.e. banks and financial services, consumer goods and services, industrials, insurance, real estate, telecommunications and transportation). Findings The empirical analysis reports evidence of a positive contemporaneous return–volume relation in all sectors barring transportation and insurance. This relation appears to be asymmetric for all sectors. For the market and almost all sectors, there is no significant causality between returns and volume. By and large, these findings lend support for the implications of the mixture of distributions hypothesis (MDH). Lastly, the information content of lagged volume seems to have an important role in predicting the future dynamics of return volatility in all sectors, with the industrials being the exception. Practical implications The findings provide important implications for portfolio managers and investors, given that the volume of transactions is generally found to be informative about the price movement of sector indices. Specifically, tracking the behavior of trading volume over time can give a broad portrayal of the future direction of market prices and volatility of equity, thereby enriching the information set available to investors for decision-making. Originality/value Based on both market- and sector-level data from the emerging stock market of Qatar, this study attempts to fill an important void in the literature by examining the return–volume and volatility–volume linkages.

Execution costs, investability, and actual foreign investment in emerging markets

2019 ◽  
Vol 10 (2) ◽  
pp. 143-167
Author(s):  
Hee-Joon Ahn ◽  
Jun Cai ◽  
Yan-Leung Cheung
Keyword(s):  
Foreign Investment ◽  
Stock Price ◽  
Financial Liberalization ◽  
Emerging Market ◽  
Return Volatility ◽  
Cross Sectional ◽  
Content Type ◽  
Execution Costs ◽  
The Mean ◽  
Emerging Market Firms

Purpose This paper focuses on execution costs as liquidity measure. Execution costs are related to volatility and are an important component of a firm’s cost of capital. The purpose of this paper is to examine whether emerging market firms have lower execution costs when they face less restrictions on foreign investment and when they have more foreign shareholders. Design/methodology/approach The authors begin by documenting the cross-sectional behavior of execution costs. The authors then obtain preliminary evidence on the interaction between execution costs, the investability index and actual foreign investment. These results foreshadow those the authors obtain with the regression analysis. The ordinary least square results show that more investable firms have lower execution costs after the authors control for firm size, stock price, return volatility, industry effects and country effects. This evidence is very robust and highly significant. Direct foreign ownership (FO) in emerging market firms also appear to be associated with lower execution costs. The economic benefit from lowering the investability index on trade execution costs is highly significant. Findings Using a large cross-sectional sample from 23 emerging markets, the authors show that firms with more ex ante restrictions on FO, measured by the investability index, have lower execution costs, such as quoted spreads (QS) and effective spreads (ES), after the authors control for firm size, stock price, return volatility, industry factors and country effects. In addition, direct FO in emerging market firms appears to be associated with lower execution costs. However, ex ante restrictions on FO dominate the influence of direct FO. For a 0.5 increase in the investability index in the range of 0–1, the QS will be reduced by 17 percent of the mean QS, and the ES will be reduced by 12 percent of the mean ES from the sample stocks. Originality/value There are important differences between the approach and most of the financial liberalization studies. First, whereas most of the earlier studies are conducted at the level of country or market analysis, the investigation is at the level of individual stocks. Second, the authors focus on a cross-sectional association that avoids a criticism leveled at time series analyses. Over-time studies often use specific time points to represent financial liberalization watersheds. This approach can be misleading when financial liberalizations are viewed as processes that unfold over time. Third, the proxies for financial openness are available not only for individual firms across markets, but the authors also make a distinction between potential and actual foreign investment. The authors further categorize actual foreign investment into direct and indirect FO.

A three-stage model of the volatility-volume relation in the Junk bond market during the 2007-2008 financial crisis

2019 ◽  
Vol 46 (1) ◽  
pp. 139-158
Author(s):  
Ehab Yamani
Keyword(s):  
Financial Crisis ◽  
Regression Model ◽  
Trading Volume ◽  
Bond Market ◽  
Return Volatility ◽  
2008 Financial Crisis ◽  
Content Type ◽  
Censored Regression Model ◽  
Volume Relation ◽  
Stage 1

Purpose The purpose of this paper is to examine the joint dynamics of volatility–volume relation in the high-yield (junk) corporate bond market during the 2007–2008 financial crisis. Design/methodology/approach The author proposes a new empirical model of three-stage equations to better estimate the volume–volatility relation that helps in alleviating three econometrical problems. In Stage 1, the author estimates the fitted values of trading volume using a censored regression model, to alleviate the truncation problems of using Transaction Reporting and Compliance Engine data. In Stage 2, the author calculates the fitted values of bond return volatility using asymmetric Sign-GARCH model, to control for the asymmetric volatility in return series. In Stage 3, the author uses the fitted values of trading volume from the censored regression model (Stage 1) and the fitted values of return volatility from the GARCH model (Stage 2), to better alleviate the endogeneity problems between both variables. Findings The central finding is that conclusions about the statistical significance and the direction of the volume–volatility relationship in the junk bond market are dependent on the econometric methodology used. Originality/value From a practitioner perspective, it is important for professional traders holding positions in fixed income securities in their trading accounts to be aware of their asymmetric time-varying volume–volatility shifting trends. Such knowledge helps traders diversify their positions and manage their portfolios more appropriately.

How do resources and diversification strategy explain the performance consequences of internationalization?

2014 ◽  
Vol 52 (5) ◽  
pp. 897-915 ◽  
Author(s):  
Yan Chen ◽  
Yiwei Jiang ◽  
Chengqi Wang ◽  
Wen Chung Hsu
Keyword(s):  
Emerging Market ◽  
Product Diversification ◽  
Firm Resources ◽  
Diversification Strategy ◽  
Data Set ◽  
Content Type ◽  
Listed Firms ◽  
Performance Consequences ◽  
Performance Effects ◽  
And Performance

Purpose – The purpose of this paper is to examine how firm resources and diversification strategy explain the performance consequences of internationalization of emerging market enterprises. Design/methodology/approach – The paper conducts a regression analysis by using a novel panel data set comprising of 685 listed Chinese firms over the period of 2008-2011. Findings – The results show that the relationship between internationalization and performance is inverse U-shaped. Further, marketing resources play a greater role in enhancing the performance effects of internationalization than technological resources do. Related product diversification enhances the performance effects, while unrelated product diversification does the contrary. Research limitations/implications – The study focusses on listed firms in one country, and as a result, the findings cannot be generalized to non-listed firms and firms in other countries. Practical implications – This paper offers guidelines for international managers to improve performance of internationalization by developing a particular type of resources and diversification strategy. Originality/value – This paper extends the literature on the functional form of the internationalization-performance relationship, and further suggests that the analysis of the performance consequences of internationalization should go beyond the nexus between internationalization and performance, and focusses on firm-specific resources and strategies that may facilitate or constrain the performance effects of internationalization.

scholarly journals Subnational institutions and open innovation: evidence from China

2017 ◽  
Vol 55 (9) ◽  
pp. 1942-1955 ◽  
Author(s):  
Fei Sun ◽  
Junjie Hong ◽  
Xiuying Ma ◽  
Chengqi Wang
Keyword(s):  
Open Innovation ◽  
Design Methodology ◽  
Emerging Market ◽  
Market Development ◽  
Data Set ◽  
Content Type ◽  
Complementary Effect ◽  
Performance Consequences ◽  
Prior Literature ◽  
External Actors

Purpose The purpose of this paper is to examine how subnational institutions within a country explain the performance consequences of open innovation (OI) in emerging market enterprises (EMEs). Design/methodology/approach The paper conducts a regression analysis by using a novel panel data set comprising of 438 innovative Chinese firms over the period of 2008-2011. Findings The authors show that although on average openness to external actors improves innovation performance this effect is pronounced for EMEs that operate in subnational regions with a higher level of intellectual property rights (IPR) enforcement and of factor market development. The findings point to the context-dependent nature of OI strategy and the complementary effect of institutional parameters in emerging markets and help to reconcile the contrasting findings regarding the effect of OI in the prior literature. Originality/value This paper extends the literature on OI by suggesting that the analysis of the performance consequences of OI strategy should go beyond the nexus between OI and firm performance, and instead, focus on subnational-specific institutions, such as region-specific IPR enforcement, factor market development and intermediation market development, that may facilitate or constrain the effect of OI model.

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.

Intraday analysis of regulation change in microstructure: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Eyup Kadioglu
Keyword(s):  
Trading Volume ◽  
Emerging Market ◽  
Lunch Break ◽  
Content Type ◽  
Call Auction ◽  
Regulation Change ◽  
Intraday Volatility ◽  
Continuous Trading ◽  
The Impact ◽  
Mixture Of Distribution Hypothesis

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

Fintech growth outpaces regulation in Indonesia

2021 ◽  
Keyword(s):  
Data Sharing ◽  
Financial Services ◽  
Public Confidence ◽  
Tier 2 ◽  
Content Type ◽  
Cross Border ◽  
The Future ◽  
Future Growth

Significance E-payment transaction volumes have risen dramatically as more people shop online and embrace non-cash payments. Moreover, fintechs are expanding into new segments of the financial services market such as crowdfunding and insurance. The future growth and resilience of this ecosystem depend on updating the regulatory and data protections framework, which is underway. Impacts Legislation on cross-institution and cross-border data sharing would be crucial to boost public confidence in fintechs. Continued growth of fintechs will increase the demand for cybersecurity services. Tier 2 cities will become increasingly important digital markets.

Knowledge management and social entrepreneurship education: lessons learned from an exploratory two-country study

2019 ◽  
Vol 23 (10) ◽  
pp. 1984-2006 ◽  
Author(s):  
George Thomas Solomon ◽  
Nawaf Alabduljader ◽  
Ravi S. Ramani
Keyword(s):  
Knowledge Management ◽  
Social Entrepreneurship ◽  
Social Issues ◽  
Entrepreneurship Education ◽  
Growth Potential ◽  
Data Set ◽  
Content Type ◽  
Course Offerings ◽  
The Future ◽  
The Usa

Purpose Social entrepreneurship courses are among the fastest growing category of course offerings to entrepreneurship students (Brock and Kim, 2011) because both high growth potential- and steady growth-social ventures can create value and help solve social issues effectively and efficiently. As knowledge disseminators, entrepreneurship educators are in prime position to develop the knowledge, skills and abilities of students, which, in turn, increases their intentions to start a social venture and their ability to manage and grow their venture. Students gain an understanding about the role of entrepreneurship in addressing social opportunities, as well as knowledge related to starting, managing and growing social entrepreneurship ventures. This paper is divided into three parts. First, the authors broadly discuss the concept of social entrepreneurship. Second, the authors present an overview of the field of social entrepreneurship education (SEE) and its evolution. Finally, the authors supplement this review with an analytical examination of SEE, in which the authors present results of a cross-country analysis survey of over 200 entrepreneurship education programs in the USA and Canada. This paper aims to present information about: student enrollment in social entrepreneurship courses in comparison to other entrepreneurship courses; the frequency of offering social entrepreneurship courses and programs compared to other entrepreneurship courses and programs; and future trends in SEE. The results revealed a strong demand for social entrepreneurship from students, room for improvement in terms of the supply of course offerings, and a strong belief in the continued growth of social entrepreneurship. The authors conclude with suggestions about the future of SEE. Design/methodology/approach Analysis of secondary data derived from the oldest and most-frequently cited sources regarding entrepreneurship education in the USA and a novel data set examining entrepreneurship education in Canada. Both data sets were collected using an online self-report survey. Findings Demand for SEE continues to rise in both the USA and Canada. However, course and program offerings have not kept pace. Prominent trends in social entrepreneurship such as cross-campus programs and addressing the evolving demographics of students in higher education institutions need more attention. Originality/value A cross-cultural study of SEE that provides a high-level view of the state of the field today. In addition, the paper outlines the potential of the field of knowledge management for the future of SEE.

scholarly journals The internationalization of African fintech firms: marketing strategies for successful intra-Africa expansion

2020 ◽  
Vol 37 (2) ◽  
pp. 299-317 ◽  
Author(s):  
Zara Hammerschlag ◽  
Geoff Bick ◽  
John Manuel Luiz
Keyword(s):  
Financial Services ◽  
Capital Investment ◽  
Emerging Market ◽  
Marketing Strategies ◽  
Structured Interviews ◽  
African Countries ◽  
Content Type ◽  
Venture Capital Investment ◽  
Market Expansion ◽  
Strategy Adaptation

PurposeThe purpose of this study is to explore how African fintech firms adapt their marketing strategies for successful market expansion into new African countries.Design/methodology/approachThis exploratory study is qualitative in nature and utilizes semi-structured interviews at 14 African fintech firms.FindingsThe study reveals that, during intra-Africa expansion, firms adapt their marketing strategies by working with local people, prioritizing customer education, creating personal relationships with customers, adapting their communication strategies and pricing strategies and using social media. The strategies that have been most effective involve including the community in the marketing process, prioritizing relationships, segmenting customers geographically, educating customers about products, using local distribution partners and having a flexible approach to strategy adaptation.Practical implicationsIt has been argued that technological innovation in Africa in areas such as financial services is a critical driver of its future development, because of the opportunity it presents to promote financial inclusion. Through an increase in venture capital investment on the continent, technological innovations in financial services have grown exponentially, and this study contributes to the understanding of the marketing strategies employed to gain market traction.Originality/valueThis study proposes that African fintech firms adopt a bottom-up, value proposition-driven marketing strategy to successfully navigate the environment. The proposed framework provides a lens through which to understand the components of successful strategy adaptation in Africa, against the backdrop of the unique market challenges inherent in this emerging market continent.

Dividend policy and probability of extreme returns

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohammed Bouaddi ◽  
Omar Farooq ◽  
Neveen Ahmed
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Dividend Policy ◽  
Actual State ◽  
Content Type ◽  
Market Participants ◽  
Dividend Payments ◽  
Ex Post ◽  
Ex Ante ◽  
The Future

PurposeThis study examines the effect of dividend policy on the ex ante probability of stock price crash and the ex ante probability stock price jump.Design/methodology/approachWe use the data of publicly listed non-financial firms from France and the ex ante measures of crash and jump probabilities (based on the Flexible Quadrants Copulas) to test our hypothesis during the period between 1997 and 2019.FindingsOur results show that dividend payments are negatively associated with the ex ante probability of crash and positively associated with the ex ante probability of jump. Our results are robust across various sub-samples and across different proxies of dividend policy. Our findings also hold when we use ex-post measures of crash and jump probabilities.Originality/valueUnlike prior literature, we use ex ante measures of crash and jump probabilities. The main advantage of this forward looking measure is that it allows for more flexibility by modeling the dependence between market returns and stock returns as functions of their actual state. Our measure is also consistent with the behavior of investors and market participants in a way that the market participants do not know the future outcome with certainty, but rather they are anticipating the future.

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