Assessing some stylized facts about financial market indexes: a Markov copula approach

2014 ◽  
Vol 41 (2) ◽  
pp. 253-271 ◽  
Author(s):  
Osvaldo Candido Silva Filho ◽  
Flavio Augusto Ziegelmann
Keyword(s):  
Financial Market ◽  
Trading Volume ◽  
Negative Relationship ◽  
Type Equation ◽  
Constant Term ◽  
Distribution Functions ◽  
Content Type ◽  
Time Dynamic ◽  
Time Dynamics ◽  
Market Indexes

Purpose – The aim of this paper is to measure and evaluate the relationship between returns-volatility and trading volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The time dynamic dependence parameter is allowed to evolve according to a restricted ARMA-type equation which includes a constant term that is driven by a hidden two-state first-order Markov chain. Findings – In using this time dynamics in conjunction with non-elliptical distribution functions and tail dependence measure, the authors are allowing for (and focusing on) non-linearities in the returns-volume-volatility relationship. The results support the assumption that current trading volume provides information about future volatility as well as that there is a negative relationship between returns and their volatilities in financial market indexes. Originality/value – The authors provide an interesting empirical interpretation for the regimes the authors have identified: in the high dependence regime the sequential information arrival hypothesis and/or noise trading hypothesis are valid, consequently future volatility prediction is possible and persistent but does not last indefinitely; in the low dependence regime, the future volatility prediction is more unlikely to occur, since both trading volume and return negatives have a low (near zero) relation with future volatility.

Factors influencing external audit fees of companies listed on Dubai Financial Market

2016 ◽  
Vol 9 (3) ◽  
pp. 346-363 ◽  
Author(s):  
Kamal Naser ◽  
Yousef Mohammad Hassan
Keyword(s):  
Financial Market ◽  
Audit Committee ◽  
Negative Relationship ◽  
Audit Fees ◽  
Arab Countries ◽  
Annual Reports ◽  
External Audit ◽  
Content Type ◽  
Middle East Countries ◽  
The Impact

Purpose This study aims to examine the underlying determinants that may influence external audit fees paid by Emirati nonfinancial companies listed on Dubai Financial Market (DFM). Design/methodology/approach Data used in this study are mainly collected from the 2011 annual reports and corporate governance reports published by the Emirati nonfinancial companies listed on DFM. Backward regression analysis is used to measure the impact of a set of company characteristics on Emirati non-financial listed firm’s audit delays. Findings The findings pointed to a significant and positive association between audit fees and each of corporate size and audit committee independence variables. A significant and negative relationship has been detected between external audit fees and business complexity. The findings also revealed that audit fees are not significantly associated with company’s profitability, risk, industry type, status of audit firm and audit report lag. Originality/value The paper helps in expanding limited existing literature about the determinants of audit fees in the Arab and Middle East countries generally and in the UAE context particularly. No prior attempt had been made to investigate the determinants of audit fees paid by Emirati firms listed on DFM because the disclosure of audit fees services provided by external auditors only became effective after April 30, 2010. The findings of the study may be generalized to other Arab countries, particularly neighboring Gulf Cooperation Council states, that have a similar socio-cultural environment.

Pricing efficiency of Saudi exchange traded funds (ETFs)

2020 ◽  
Vol 11 (3) ◽  
pp. 793-809
Author(s):  
Fahad Almudhaf ◽  
Bader Alhashel
Keyword(s):  
Trading Volume ◽  
Negative Relationship ◽  
Ordinary Least Squares ◽  
Research Approach ◽  
Exchange Traded Funds ◽  
Market Prices ◽  
Content Type ◽  
Market Participants ◽  
Pricing Efficiency ◽  
Trading Volumes

Purpose This paper aims to investigate the pricing efficiency of Saudi Sharia-compliant (i.e. Islamic) exchange-traded funds (ETFs). Design/methodology/approach The paper adheres to a positivist research philosophy with a deductive research approach where data is collected, analyzed and interpreted to examine a hypothesis. Ordinary least squares (OLS) regressions are applied to investigate pricing efficiency and persistence. Findings The results show that Saudi ETFs do not currently offer proper diversification for investors, possibly due to their low trading volumes and the delays of market prices in reflecting net asset value (NAV). On average, ETFs trade at a premium to their NAVs. Moreover, the authors find that the deviations of ETF prices from their NAVs (i.e. premiums or discounts) do not disappear in one day. The results reveal a significant positive relationship between the trading volume of Saudi ETFs and volatility, a significant positive correlation between ETF returns and contemporaneous deviations and a significant negative relationship between returns and lagged deviations. These findings can be interpreted as evidence against the market efficiency of Saudi ETFs. Practical implications Individual and institutional investors can use Saudi ETFs, especially as their efficiency improves with increased trading volume (liquidity). Saudi regulators must increase their efforts to educate market participants and expand the availability of information to enhance transparency and awareness of the benefits of investing in ETFs, which will positively affect liquidity and pricing efficiency in the future. Originality/value This paper is the first to perform empirical tests on Saudi ETFs. Saudi Arabia deserves further attention because it is the most significant stock market in the Gulf Cooperation Council and only recently allowed foreigners to participate.

Disposition effect at the market level: evidence from Indian stock market

2019 ◽  
Vol 12 (2) ◽  
pp. 69-82
Author(s):  
Sravani Bharandev ◽  
Sapar Narayan Rao
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Reference Points ◽  
Disposition Effect ◽  
Content Type ◽  
Ex Post ◽  
Abnormal Trading Volume ◽  
The Difference ◽  
Trading Volumes ◽  
Indian Stock Market

Purpose The purpose of this paper is to test the disposition effect at market level and propose an appropriate reference point for testing disposition at market level. Design/methodology/approach This is an empirical study conducted on 500 index stocks of NSE500 (National Stock Exchange). Winning and losing days for each stock are calculated using 52-week high and low prices as reference points. To test disposition effect, abnormal trading volumes of stocks are regressed on their percentage of winning (losing) days. Further using ANOVA, the difference between mean of percentage of winning (losing) days of high abnormal trading volume deciles and low abnormal trading volume deciles is tested. Findings Results show that a stock’s abnormal trading volume is positively influenced by the percentage of winning days whereas percentage of losing days show no such effect. Findings are consistent even after controlling for volatility and liquidity. ANOVA results show the presence of high percentage of winning days in higher deciles of abnormal trading volumes and no such pattern in case of losing days confirms the presence of disposition effect. Further an ex post analysis indicates that disposition prone investors accumulate losses. Originality/value This is the first study, which proposes the use of 52-week high and low prices as reference points to test the market-level disposition effect. Findings of this study enhance the limited literature available on disposition effect in emerging markets by providing evidence from Indian stock markets.

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.

Conflict and creativity in inter-organizational teams

2017 ◽  
Vol 28 (1) ◽  
pp. 74-102 ◽  
Author(s):  
Nan Hu ◽  
Zhi Chen ◽  
Jibao Gu ◽  
Shenglan Huang ◽  
Hefu Liu
Keyword(s):  
Shared Leadership ◽  
Negative Relationship ◽  
Task Conflict ◽  
Relationship Conflict ◽  
Curvilinear Relationship ◽  
Team Creativity ◽  
Content Type ◽  
Conflict Situations ◽  
Organizational Teams ◽  
Study Offer

Purpose This paper aims to examine the effects of task and relationship conflicts on team creativity, and the moderating role of shared leadership in inter-organizational teams. An inter-organizational team normally comprises employees from collaborated organizations brought together to conduct an initiative, such as product development. Practitioners and researchers have witnessed the prevalence of conflict in inter-organizational teams. Despite significant scholarly investigation into the importance of conflict in creativity, a deep theoretical understanding of conflict framework remains elusive. Design/methodology/approach A questionnaire survey was conducted in China to collect data. Consequently, 54 teams, which comprised 54 team managers and 276 team members, were deemed useful for the study. Findings By testing our hypotheses on 54 inter-organizational teams, we found that relationship conflict has a negative relationship with team creativity, whereas task conflict has an inverted U-shaped (curvilinear) relationship with team creativity. Furthermore, when shared leadership is stronger, the negative relationship with team creativity is weaker for relationship conflict, whereas the inverted U-shaped relationship with team creativity is stronger for task conflict. Research limitations/implications The main limitation is cross-sectional, which cannot establish causality in relationships. Despite this potential weakness, the present research provides insights into conflict, leadership and inter-organizational collaboration literature. Practical implications The findings of this study offer some guidance on how managers can intervene in the conflict situations of inter-organizational teams. Social implications Managers are struggling to identify ways to effectively manage team conflict when a team of diverse individuals across organizational boundaries are brought together to solve a problem. The findings of this study offer some guidance on how managers can intervene in the conflict situations of inter-organizational teams. Originality/value This paper provides understandings about how relationship and task conflicts affect team creativity in inter-organizational teams.

The reflexive turn in key account management

2014 ◽  
Vol 48 (11/12) ◽  
pp. 2071-2104 ◽  
Author(s):  
Markus Vanharanta ◽  
Alan J.P. Gilchrist ◽  
Andrew D. Pressey ◽  
Peter Lenney
Keyword(s):  
Empirical Studies ◽  
Negative Relationship ◽  
Success Rates ◽  
Key Account Management ◽  
Content Type ◽  
Account Management ◽  
Long Run ◽  
Key Account ◽  
And Performance ◽  
The Uk

Purpose – This study aims to address how and why do formal key account management (KAM) programmes hinder effective KAM management, and how can the problems of formalization in KAM be overcome. Recent empirical studies have reported an unexpected negative relationship between KAM formalization and performance. Design/methodology/approach – An 18-month (340 days) ethnographic investigation was undertaken in the UK-based subsidiary of a major US sports goods manufacturer. This ethnographic evidence was triangulated with 113 in-depth interviews. Findings – This study identifies how and why managerial reflexivity allows a more effectively combining of formal and post-bureaucratic KAM practices. While formal KAM programmes provide a means to initiate, implement and control KAM, they have an unintended consequence of increasing organizational bureaucracy, which may in the long-run hinder the KAM effectiveness. Heightened reflexivity, including “wayfinding”, is identified as a means to overcome many of these challenges, allowing for reflexively combining formal with post-bureaucratic KAM practices. Research limitations/implications – The thesis of this paper starts a new line of reflexive KAM research, which draws theoretical influences from the post-bureaucratic turn in management studies. Practical implications – This study seeks to increase KAM implementation success rates and long-term effectiveness of KAM by conceptualizing the new possibilities offered by reflexive KAM. This study demonstrates how reflexive skills (conceptualized as “KAM wayfinding”) can be deployed during KAM implementation and for its continual improvement. Further, the study identifies how KAM programmes can be used to train organizational learning regarding KAM. Furthermore, this study identifies how and why post-bureaucratic KAM can offer additional benefits after an organization has learned key KAM capabilities. Originality/value – A new line of enquiry is identified: the reflexive-turn in KAM. This theoretical position allows us to identify existing weakness in the extant KAM literature, and to show a practical means to improve the effectiveness of KAM. This concerns, in particular, the importance of managerial reflexivity and KAM wayfinding as a means to balance the strengths and weaknesses of formal and post-bureaucratic KAM.

Do corporate diversification and earnings management practices affect capital structure?

2015 ◽  
Vol 7 (4) ◽  
pp. 360-378 ◽  
Author(s):  
Ranjitha Ajay ◽  
R Madhumathi
Keyword(s):  
Capital Structure ◽  
Earnings Management ◽  
Management Practices ◽  
Negative Relationship ◽  
Corporate Diversification ◽  
Content Type ◽  
Diversification Strategies ◽  
Market Product ◽  
Diversified Firms ◽  
The Impact

Purpose – The purpose of this paper is to empirically examine the impact of earnings management on capital structure across firm diversification strategies. Design/methodology/approach – The study focuses on firms operating in the manufacturing sector (diversified and focused). Panel data methodology compares diversification strategies and identifies the impact of diversification strategy with earnings management practices on capital structure decision. Findings – International and product diversified firms have lower levels of leverage than focused firms in their capital structure. Asset-based earnings management is positive for diversified (market/product) firms. Earnings management using discretionary expenditure (project based) is found to be higher for market diversified but product-focused firms. Earning smoothing method is found to be significant for focused firms and shows a negative relationship with capital structure. Originality/value – This study offers an insight into the relationship between corporate diversification, earnings management and capital structure decisions of manufacturing firms. The results provide an important contribution to accounting and strategy literature. A distinction is made between market- and product-diversified firms and influence of earnings management practices (asset-based, project-based and earnings smoothing (ESM)) on capital structure decisions. Diversified firms (market/product) tend to have lower levels of leverage than focused firms and earnings management practices within firm groups significantly influence the capital structure decisions.

Intracranial volume-pressure relationship in man

1982 ◽  
Vol 56 (4) ◽  
pp. 524-528 ◽  
Author(s):  
Joseph Th. J. Tans ◽  
Dick C. J. Poortvliet
Keyword(s):  
Best Approximation ◽  
Continuous Monitoring ◽  
Fluid Pressure ◽  
Constant Term ◽  
Volume Index ◽  
Intracranial Volume ◽  
Content Type ◽  
The Best Approximation ◽  
Ventricular Fluid Pressure ◽  
Fine Print

✓ The pressure-volume index (PVI) was determined in 40 patients who underwent continuous monitoring of ventricular fluid pressure. The PVI value was calculated using different mathematical models. From the differences between these values, it is concluded that a monoexponential relationship with a constant term provides the best approximation of the PVI.

Examining the influence of mindfulness on organizational role stress (ORS): a monitor acceptance theory perspective

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Uma Warrier ◽  
Cyril Foropon ◽  
Melinda Chehimi
Keyword(s):  
Design Methodology ◽  
Negative Relationship ◽  
Role Stress ◽  
Role Overload ◽  
Cross Sectional ◽  
Content Type ◽  
Organizational Role ◽  
It Organization ◽  
Context Specific ◽  
Personal Inadequacy

PurposeThe purpose of this paper is to examine the influence of mindfulness on organizational role stress (ORS) based on the Monitor Acceptance Theory (MAT) perspective.Design/methodology/approachThis study is based on a cross-sectional data analysis collected from 137 employees working at an Indian IT organization located in Bangalore (India). ORS and MAAS scales have been used for measuring ORS and mindfulness, respectively.FindingsOverall, the study findings have indicated a negative relationship (r = −0.588) between mindfulness (M) and ORS. First, both personal inadequacy (PI) and self-role distance (SRD) are found to be predominantly impacted by M, whereas both role erosion (RE) and role overload (RO) appear to be less affected by mindfulness. Second, SRD appears to be the highest ORS sub-dimension among IT employees. Third, building on the extant literature, it can be inferred that “no one size fits all”, ORS is both organization and context specific.Originality/valueThis study pioneers to establish empirical evidence between M and ORS. Training employees on M can help in effectively handling ORS.

Research on the influencing factors of the switching behavior of Chinese social media users: QQ transfer to WeChat

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Cong Yin ◽  
Yujing Zhou ◽  
Peiyu He ◽  
Meng Tu
Keyword(s):  
Social Media ◽  
Structural Equation ◽  
Negative Relationship ◽  
Switching Behavior ◽  
Equation Modeling ◽  
Online Questionnaire ◽  
Content Type ◽  
Important Relationship ◽  
Transfer Behavior ◽  
Behavior Function

PurposeThis research takes the transfer behavior of users from Tencent QQ to WeChat as an example to discuss the wider transfer behavior of social media users on the Internet.Design/methodology/approachThis paper collects data through a combination of offline interviews and online questionnaire surveys, and utilizes data analysis tools to construct structural equation modeling (SEM). Using Statistical Product and Service Solutions (SPSS) Statistics 22.0 and Analysis of Moment Structures (AMOS) 22.0 software with SEM, this study was carried out to provide reasonable statistical support for relevant proposed hypotheses based on 368 effective samples acquired through the questionnaire.FindingsThe findings of this study show that subjective norm, transfer experience, social communication, and knowledge acquisition all have significant associations with transfer intention and switching behavior. To be specific, transfer intention exerts a positive association on switching behavior; function setting, privacy protection and personal innovation have a favorable association with transfer intention; transfer cost has a significantly negative relationship with transfer intention and switching behavior; function setting has no important relationship on switching behavior.Originality/valueThe research results provide a reference for improving the viscosity and loyalty of social media users in the new era and resolving the problem of user churn.

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