Do the calendar anomalies still exist? Evidence from Indian currency market

2016 ◽  
Vol 42 (2) ◽  
pp. 136-150 ◽  
Author(s):  
Satish Kumar ◽  
Rajesh Pathak
Keyword(s):  
Least Square ◽  
January Effect ◽  
Currency Markets ◽  
Content Type ◽  
Currency Market ◽  
Before And After ◽  
Calendar Anomalies ◽  
Ordinary Least Square Regression ◽  
The 2008 Financial Crisis ◽  
Using Data

Purpose – The purpose of this paper is to examine the presence of the day-of-the-week (DOW) and January effect in the Indian currency market for selected currency pairs; USD-(Indian rupee) INR, EUR-INR, GBP-INR and JPY-INR, from January, 1999 to December, 2014. Design/methodology/approach – Ordinary least square regression analysis is used to examine the presence of DOW and January effect to test the efficiency of the Indian currency market. The sample period is later divided into two sub-periods, that is, pre- and post-2008 to capture the behavior of returns before and after the 2008 financial crisis. Further, the authors also use the non-parametric technique, the Kruskal-Wallis test, to provide robustness check for the results. Findings – The results indicate that the returns during Monday to Wednesday are positive and higher than the returns on Thursday and Friday which show negative returns. The returns during January are found to be higher than the returns during rest of the year. Further, all currencies exhibit significant DOW and January effects in pre-crisis period, however, post-crisis; these effects disappear for all currencies indicating that the markets have become more efficient in the later time. The findings can be further attributed to the increased intervention in the forex markets by the Reserve Bank of India after the crisis. Practical implications – The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of DOW or January effect which in turn indicates that the currency markets have become more efficient with time. The results are in conformity with those reported for the developed markets. The results might be appealing to the practitioners as well in a way that they can consider the state of financial market for financial decision making. Originality/value – The authors provide the first study to examine the calendar anomalies (DOW and January effect) across a range of emerging currencies using 16 years of data from January, 1999 to December, 2014. To the best of the authors’ knowledge, no study has yet examined these calendar anomalies in the currency markets using data which covers two important periods, pre-2008 and post-2008.

Turn-of-month effect in the Indian currency market

2015 ◽  
Vol 11 (2) ◽  
pp. 232-243 ◽  
Author(s):  
Satish Kumar
Keyword(s):  
Financial Crisis ◽  
Least Square ◽  
Sample Period ◽  
Currency Markets ◽  
2008 Financial Crisis ◽  
Content Type ◽  
Currency Market ◽  
Before And After ◽  
Calendar Anomalies ◽  
Ordinary Least Square Regression

Purpose – The purpose of this paper is to examine the presence of the turn-of-month effect in the Indian currency market for selected currency pairs: USD-INR, EUR-INR, GBP-INR and JPY-INR, from January 1999 to April 2014. Design/methodology/approach – Ordinary least square regression analysis is used to examine the presence of the turn-of-month effect and to test the efficiency of the Indian currency market. The characteristics of the returns during the turn-of-month days are compared with that of the non-turn-of-month trading days. The sample period is later divided into two sub-periods, that is, pre- and post-2008 to capture the behavior of returns before and after the 2008 financial crisis. Findings – The results indicate the existence of pricing patterns which are unique to individual currencies. For the entire sample period, USD and JPY exhibit turn-of-month effect and the returns in turn-of-month trading days are significantly lower than the returns during non-turn-of-month trading days. For the sub-period before 2008, all the currencies exhibit significant turn-of-month effects and the returns in the turn-of-month trading days are significantly lower than those in the non-turn-of-month trading days. However, post-2008; this effect vanishes for all the currencies except for USD. Practical implications – The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of turn-of-month effect which in turn indicates that the currency markets have become more efficient with time. The results are in conformity with those reported for the developed markets. Originality/value – To the best of the author’s knowledge, no study has yet examined these calendar anomalies in the currency markets using data which covers two important periods, pre-2008 and post-2008. Therefore, we provide a pioneer study in which we analyze the calendar anomalies in an emerging currency market (India) by segregating the data before and after 2008 financial crisis.

On the disappearance of calendar anomalies: have the currency markets become efficient?

2018 ◽  
Vol 35 (3) ◽  
pp. 441-456 ◽  
Author(s):  
Satish Kumar
Keyword(s):  
Least Square ◽  
January Effect ◽  
Currency Markets ◽  
Content Type ◽  
Ordinary Least Square ◽  
Wide Range ◽  
The Us ◽  
Financial Decision ◽  
Calendar Anomalies ◽  
Almost All

Purpose This study aims to examine the presence of the day-of-the-week (DOW), January and turn-of-month (TOM) effect in 20 currency pairs against the US dollar, from January, 1995 to December, 2014. Design/methodology/approach Ordinary least square with GARCH (1,1) framework is used to examine the presence of DOW, January and TOM effect to test the efficiency of the currency markets. The sample period is later divided into two sub-periods of equal length, that is, from 1995 to 2004 and 2005 to 2014, to explore the time-varying behavior of the calendar anomalies. Further, the authors also use the non-parametric technique, the Kruskal–Wallis test, to provide robustness check for the results. Findings For the DOW effect, the results indicate that the returns on Monday and Wednesday are negative and lower than the returns on Thursday and Friday which show positive and higher returns. The returns of all the currencies are higher (lower) in January (TOM trading days) and lower (higher) during rest of the year (non-TOM trading days). However, these calendar anomalies seem to have disappeared for almost all currencies during 2005 to 2014 and indicate that the markets have achieved a higher degree of efficiency in the later part of the sample. Practical implications The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of DOW, January or TOM effect, which in turn indicates that the currency markets have become more efficient with time. The results might be appealing to the practitioners as well in a way that they can consider the state of financial market for financial decision-making. Social implications The findings of lower returns on Monday and Wednesday and high returns during Thursday and Friday for all the currencies indicate that the foreign investors can take the advantage by going short on Monday and Wednesday and long on Thursday and Friday. Similarly, the returns of all the currencies are higher (lower) in January (TOM trading days) and lower (higher) during rest of the year (non-TOM trading days). During this period, investors in the currency markets could benefit themselves by taking long (short) positions in January (TOM trading days) and short (long) positions during rest of the year (non-TOM trading days). Originality/value The author provides a pioneer study on the presence of calendar anomalies (DOW, TOM and the January effect) across a wide range of currencies using 20 years of data from January 1995 to December 2014. To the best of the author’s knowledge, no study has examined the presence of January effect in the currency market; therefore, the author provides the first study in which January effect in a number of currencies is investigated.

The wage gap in Spain for temporary workers: the effects of the Great Recession

2019 ◽  
Vol 40 (7) ◽  
pp. 1319-1346
Author(s):  
Xisco Oliver ◽  
Maria Sard
Keyword(s):  
Great Recession ◽  
Wage Gap ◽  
Least Square ◽  
Wage Distribution ◽  
Temporary Workers ◽  
Content Type ◽  
The Great Recession ◽  
Before And After ◽  
Ordinary Least Square Regression ◽  
Permanent Workers

Purpose The purpose of this paper is to analyse the wage gap between temporary and permanent workers across the whole wage distribution, not just at the mean, and the evolution before and after the Great Recession on this gap in Spain. Design/methodology/approach An extended Mincer-type wage equation is estimated using ordinary least square regression and unconditional quantile regression. Then, the decomposition of the wage gap between workers with fixed-term and permanent contracts for each quantile is made using the Fortin, Lemieux and Firpo decomposition. Findings The results show that two workers, with identical characteristics, earn different salaries if they have a different type of contract. However, the wage gap is not constant across the wage distribution. The penalty for temporary workers is wider for higher wages. Moreover, the main part of the gap is due to observed characteristics, but other factors (unobserved characteristics and discrimination) become more relevant in the upper part of the wage distribution. Originality/value The study expands upon available studies for Spain in two points. First, it is the first paper to the knowledge that analyse both the wage gap between temporary and permanent workers across the wage distribution and its decomposition. Second, the paper explores what happened before and after the Great Recession. In the years that the paper analyses there is also a labour market reform.

Does franchising matter on IPO performance?

2017 ◽  
Vol 29 (10) ◽  
pp. 2535-2555 ◽  
Author(s):  
Ozgur Ozdemir ◽  
Murat Kizildag
Keyword(s):  
Initial Public Offering ◽  
Abnormal Returns ◽  
Restaurant Industry ◽  
Least Square ◽  
Content Type ◽  
Ipo Performance ◽  
Long Run ◽  
Ordinary Least Square Regression ◽  
Using Data ◽  
Public Offering

Purpose This paper has two main purposes. First, this paper aims to examine whether pre-initial public offering (IPO) franchising activity of issuing firms is priced in the financial markets and results in pricing differential between franchising and non-franchising firms at the time of IPO. Second, the paper aims to find out whether firms with pre-IPO franchising achieve better post-IPO stock performance compared to non-franchising firms. Design/methodology/approach To test research hypotheses, empirical models were developed and tested through ordinary least square regression analysis. Several data sources were used including Thomson One Banker’s SDC database, Compustat/CRSP and IPO prospectuses. Findings The paper provides further insights to the underpricing phenomenon surrounding IPOs and long-run performance of IPO shares subsequent to listing. Particularly, the study reveals that franchising firms underprice their issues to a higher degree compared to non-franchising firms, and franchising positively affects the post-IPO benchmark adjusted cumulative abnormal returns (CARs) over a three-year observation period. Research limitations/implications Because the study tests the proposed hypotheses using data only from the restaurant industry, the research results may lack generalizability. Therefore, researchers are encouraged to test similar hypotheses using larger sample sizes from other industries. Practical implications The study’s findings have important implications both for IPO issuers in positioning their offering and for IPO investors in comparing IPO stocks and forming long-run portfolios. Originality/value This paper contributes both to the IPO and franchising literatures by providing primary insights about how investors perceive pre-IPO franchising and incorporate their perception into their pricing at an IPO.

Tacit knowledge transfer in coopetition

2017 ◽  
Vol 10 (4) ◽  
pp. 453-468 ◽  
Author(s):  
Amit Kumar ◽  
Swarup Kumar Dutta
Keyword(s):  
Knowledge Transfer ◽  
Tacit Knowledge ◽  
Least Square ◽  
Service Firms ◽  
Content Type ◽  
Ordinary Least Square ◽  
Tacit Knowledge Transfer ◽  
Potential Benefits ◽  
Ordinary Least Square Regression ◽  
Empirical Context

Purpose The purpose of this paper is to understand how firms affiliated to business groups (BGs) are able to improve their innovation capability (IC) when engaged in coopetition (collaboration between competing firms). This study aims to explore the relationship between coopetitive relationship strength (CRS), the extent of tacit knowledge transfer (TKT) and IC as well as examine the moderating effect of both BG affiliation and coopetitive experience. Design/methodology/approach The paper examines inter-firm relationships within the empirical context of Indian manufacturing and service firms, by adopting (ordinary least square) regression analysis to test the various hypotheses. The central thesis is that the TKT in coopetition constitutes an important driver to the IC. Findings The paper provides some evidence that inter-firm CRS influences the extent of TKT, and the extent of TKT affects firm IC. The results support that firms in coopetition gain more if their coopetitive partner has a BG affiliation. In absence of a BG affiliation of any of the coopetitive partners, the buildup of TKT reduces as CRS is increased. Research limitations/implications Additional large-sample of data may attempt to validate relationships. The study, however, did not consider all enablers that are critical for TKT. Despite these limitations, analysis provides important and novel perspectives. Practical implications The paper contributes to develop executives’ practices in understanding potential benefits of coopetitive relationship. The implications of this research are important for managers seeking understanding of the management of coopetition. Originality/value The paper makes a modest attempt to investigate the various scenarios of the presence or absence of the moderation of BGs and its impact on CRS in the buildup of TKT. This is the first attempt to link coopetition to the TKT in the BG literature. This study also contributes to our understanding of coopetition in a non-western context.

Users’ perception of cybersecurity, trust and cloud computing providers’ performance

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hongjiang Xu ◽  
Sakthi Mahenthiran
Keyword(s):  
Cloud Computing ◽  
Structural Equation ◽  
Design Methodology ◽  
Positive Relationship ◽  
Least Square ◽  
Equation Modeling ◽  
Content Type ◽  
Ordinary Least Square ◽  
Ordinary Least Square Regression ◽  
Computing Literature

Purpose This study aims to develop a scale to measure the cloud provider’s performance and it investigates the factors that impact that performance from the users’ perspective. Design/methodology/approach This paper proposes a research framework, develops hypotheses and conducts a survey to test the framework. Findings The results from both ordinary least square regression and structural equation modeling analyzes indicate that information technology complexity negatively and significantly affects users’ perception of the cloud computing providers’ performance. Additionally, the trust in the supervisor significantly enhances the otherwise insignificant positive relationship between providers’ cybersecurity capability and users’ perception of their providers’ performance. Originality/value The research makes important contributions to the cloud computing literature, as it measures users’ perception of the cloud computing provider’s performance and links it with cybersecurity, technical complexity and incorporates both the trust in the client firm’s supervisor and the strength of cybersecurity offered by cloud computing provider.

What motivates Indian consumers’ to buy organic food in an emerging market?

2020 ◽  
Vol 12 (2) ◽  
pp. 97-113 ◽  
Author(s):  
Heerah Jose ◽  
Vijay Kuriakose ◽  
Moli P. Koshy
Keyword(s):  
Emerging Market ◽  
Organic Food ◽  
Food Products ◽  
Least Square ◽  
Third Party ◽  
Content Type ◽  
Indian Consumers ◽  
Perceived Price ◽  
Buffering Agent ◽  
Ordinary Least Square Regression

Purpose Indian consumers are showing an increased demand for organic food products; however, little is known about their intention to buy organic foods. The purpose of this paper is to understand how fear towards conventional food products motivates an individual to buy organic food products and whether trust and perceived price as contextual factors are able to enhance the buying intention. Design/methodology/approach A total of 275 valid responses were collected using a self-administrated structured questionnaire, representative of Indian consumers. An ordinary least square regression analysis was used to analyse the effect of trust and perceived price in influencing the relationship between consumers’ fear and intention to buy organic food products. Findings The moderating role of trust and perceived price in enhancing the direct relation between fear and intention was established. In addition, cluster analysis results revealed that married women with children are showing a greater interest in buying organic food products. Practical implications The findings of the study are of high importance to all stakeholders in organic food products, as selecting marketing practices which target consumers’ concern is an indispensable part of finding a niche for organic food products. Originality/value The findings suggest that even though consumers are fearful towards conventional food products, they displayed negative intention to buy organic food products when their trust towards the third party is low, thus confirming the importance of trust as a buffering agent.

Price premium of private placement: evidence from India

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Supriya Katti ◽  
Naval Verma ◽  
B.V. Phani ◽  
Chinmoy Ghosh
Keyword(s):  
Emerging Market ◽  
Least Square ◽  
Price Premium ◽  
Group Affiliation ◽  
Data Set ◽  
Content Type ◽  
Equity Issues ◽  
Private Placement ◽  
Ordinary Least Square Regression ◽  
Binary Probit

PurposeThis study identifies the factors responsible for obtaining price premium on privately placed equity in a developing market.Design/methodology/approachWe examine a unique data set of a special case of private placement of equity, Qualified Institutional Placement (QIP) in India purchased at a premium. The study analyzed 188 equity issues offered between September 2006 and December 2014. On average, we find that QIP issues received a price premium of 4.38%. The study employed binary probit and ordinary least square regression models to analyze the probability and magnitude of the premium.FindingsThe study attributes the price premium of QIP to certification effect through group affiliation, signaling through promoters' ownership and monitoring effect through existing institutional investors. These factors influence the probability of premium for QIP issues. However, group affiliation and institutional ownership do not significantly influence the magnitude of the premium.Originality/valueThe private placement of equity is usually offered at a discount. Our findings contribute to the existing literature by evaluating the premium obtained on private placement as a unique scenario in emerging market supported through certification hypothesis, monitoring hypothesis and signaling.

Labour supply behaviour of married women in Toronto

2016 ◽  
Vol 43 (3) ◽  
pp. 418-431 ◽  
Author(s):  
Wasanthi Thenuwara ◽  
Bryan Morgan
Keyword(s):  
Labour Supply ◽  
Labour Force ◽  
Estimation Procedure ◽  
Married Women ◽  
Least Square ◽  
Step Method ◽  
Content Type ◽  
Supply Elasticity ◽  
Using Data ◽  
The Unemployed

Purpose – The purpose of this paper is to investigate the connection between labour supply and the wages of married women of different ages in Toronto using data from the 2010 Labour Force Survey of Canada. Design/methodology/approach – The authors employ three econometric techniques, ordinary least square, 2 stage least square and the Heckman two-step method to estimate the supply elasticities. The first two focus on the wage rate and hours conditional on the subjects being employed whereas the third method controls for sample selectivity bias by including the unemployed. Bootstrap test statistics are produced when the normality assumption for the error terms is found to be violated. Findings – The aggregate labour supply elasticity for married women in Toronto is estimated to be 0.053 which similar to value found for Canada for a whole in a previous study even though Toronto is much more diverse culturally than average. The labour supply elasticities for 25-34 year old and 35-44 year old married are estimated to be 0.108 and 0.079, respectively. The supply elasticity for married women aged 45-59 is not significantly different from 0. Originality/value – The paper shows that younger married women in Toronto are more responsive to an increase in wages than older women. The estimation procedure and the testing of the significance of coefficients are more rigorous than previous studies.

Where is the love?

2014 ◽  
Vol 26 (4) ◽  
pp. 572-592 ◽  
Author(s):  
Lina Xiong ◽  
Ceridwyn King ◽  
Clark Hu
Keyword(s):  
Program Effectiveness ◽  
Least Square ◽  
Loyalty Programs ◽  
Future Research ◽  
Loyalty Program ◽  
Content Type ◽  
Price Premiums ◽  
Expected Benefits ◽  
Ordinary Least Square Regression ◽  
Norm Of Reciprocity

Purpose – The purpose of this study is to explore polygamous program loyalty in hotel loyalty programs and the relationship between members’ behavioral loyalty and their perceptions of the program effectiveness. Design/methodology/approach – Descriptive statistics, discriminant analysis, ordinary least square regression and one-way ANOVA methods. Findings – This study suggests that the flexibility to purchase points in a loyalty program is significantly associated with the polygamous program loyalty. Members will stay in only one program if they perceive such flexibility. Although members tend to emphasize purchasing accommodation from the loyalty programs’ hotels, they do not necessarily advocate or pay price premiums for the brand. Compared with basic members, elite members exhibit higher levels of loyalty behaviors in general, but not in terms of paying price premiums. Research limitations/implications – The results suggest that how customers value a loyalty program can differentiate the number of membership(s) they have. Increasing the flexibility of point purchase in hotel loyalty programs encourages customers to stay in only one program. With a majority of the participants in the study being senior travelers, the results and implications should be generalized only in the senior market. A larger and more diverse sample is recommended for future research. Practical implications – If loyalty programs seek to keep members from joining other loyalty programs, they should increase members’ likelihood to achieve their expected benefits such as increased flexibility of point purchase. In addition, loyalty programs should encourage, recognize and incentivize members’ reciprocal behaviors based on the norm of reciprocity to build a reciprocal chain in loyalty programs. However, in seeking sustained loyal behavior, loyalty programs need to demonstrate value beyond transactional rewards. Originality/value – This paper explores the reason why customers join multiple loyalty programs (i.e. polygamous program loyalty) and identifies a broken reciprocity link in hotel loyalty programs. Many members primarily focus on the utilities of loyalty programs rather than contributing back to the program; therefore, the norm of reciprocity is suggested to improve loyalty program effectiveness.

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