Spillovers between output and stock prices: a wavelet approach

2016 ◽  
Vol 33 (4) ◽  
pp. 625-637 ◽  
Author(s):  
David G. McMillan ◽  
Aviral Kumar Tiwari
Keyword(s):  
Stock Prices ◽  
Design Methodology ◽  
Data Set ◽  
Raw Data ◽  
Policy Makers ◽  
Content Type ◽  
Market Participants ◽  
Long Run ◽  
Annual Time Series ◽  
Annual Time

Purpose This paper seeks to examine the nature of spillovers between output and stock prices using both a long annual time series spanning 200 years and a shorter but quarterly observed data set. Design/methodology/approach The authors’ particular interest is to examine both the time-varying nature of the spillovers and spillovers across the frequency using wavelet analysis. Findings The results reveal an interesting detail that is missed when considering spillovers for the raw data. Using annual long run data, spillovers in the raw data are in the order of approximately 10 per cent for stocks to output and 25 per cent for output to stocks. But this increases up to 50 per cent and above (in both directions) when considering different frequencies. Similar results are reported with the quarterly data, although the differences between the raw data and the wavelets are smaller in nature. Finally, output explains more of the variation in stocks than stocks explains in output. Originality/value The nature of these results is important for policy-makers, market participants and academics alike, while the use of wavelets provides information across different frequencies.

Is Chinese or American maize price effective for trading and policy-making reference?

2014 ◽  
Vol 6 (3) ◽  
pp. 470-484
Author(s):  
Yunxian Yan ◽  
Lu Tian ◽  
Yuejie Zhang
Keyword(s):  
Policy Making ◽  
Wholesale Price ◽  
Price Transmission ◽  
Spot Price ◽  
Policy Makers ◽  
Content Type ◽  
Market Participants ◽  
Long Run ◽  
American Maize ◽  
Futures Price

Purpose – The purpose of this paper is to discover an effective maize price for trading and policy-making reference by assessing the price transmission of the US spot and futures maize prices to Chinese counterparts. Design/methodology/approach – The authors apply a systematic, quantitative method to analyze the integration between US and Chinese maize markets. Based on the residuals of the variables through error correction model, the directed acyclic graph (DAG) among six price variables is conducted. With consideration of the dependence on and direction of six price variables, the variance decomposition of each variable is calculated. Findings – This paper shows that the vertical price transmission passes from wholesale price to farm-gate price. The horizontal price transmission ranges from spot price to futures price at the domestic market and from the American spot price to domestic spot price, from the American spot price to domestic futures price and from the American futures price to domestic futures price. The American maize spot and futures prices, and in particular the spot price, have greater effects on domestic maize prices contemporaneously. It also indicates that the American spot price is the leader price in the long run at both maize markets. Originality/value – This paper contributes by using the DAG method in this paper. It also contributes by helping policy makers and market participants find the leading prices and offers insight into ways of gaining power of price setting in the maize market.

The impact of corruption on sport demand

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Carlo Amenta ◽  
Paolo Di Betta
Keyword(s):  
Design Methodology ◽  
Linear Models ◽  
Negative Externalities ◽  
Data Set ◽  
Content Type ◽  
Long Run ◽  
Log Linear ◽  
Systemic Corruption ◽  
The Impact

PurposeThe article presents an empirical analysis that evaluates the effects of a systemic corruption scandal on the demand in the short and the long run. In 2006, the Calciopoli scandal uncovered the match rigging in the Italian soccer first division. The exemplary sportive sanction of relegating the primary culprit to the second division imposed further negative externalities on the other clubs. Should we prefer the sportive sanction on the team or the monetary fines for the club?Design/methodology/approachWe estimated two log-linear models of the demand side (stadium attendance) using a fixed effect estimator, on two panel data set made of all the Italian soccer clubs in the first and second division (Serie A and Serie B) for the seasons 2004/2005 to 2009/2010, considering the relegation of the Juventus as the event which impacted the demand for soccer.FindingsRelegating Juventus to Serie B caused an immediate decrease of 18.4% in the attendance for all the teams, both in Serie A and in Serie B, for the three seasons considered, and 1% decrease when all the seasons are considered to measure the fallout of the scandal on the fans' disaffection.Originality/valueThe effect of corruption in sport on demand is an important issue, and there are few studies already published. As for sports economics and management, our results are of interest for sport-governing bodies – as a case study that can help in designing a more effective sanctioning system to prevent corruption episodes.

scholarly journals The Small and Medium Enterprises and Poverty in Pakistan: An Empirical Analysis

2013 ◽  
Vol 8 (2) ◽  
Author(s):  
Sharafat Ali
Keyword(s):  
Time Series Data ◽  
Small And Medium Enterprises ◽  
Series Data ◽  
Small Scale ◽  
Policy Makers ◽  
Long Run ◽  
Annual Time Series ◽  
Medium Enterprises ◽  
Small Scale Industries ◽  
Annual Time

Small and Medium Enterprises (SMEs) have got very much importance in the economic growth, employment generation and poverty alleviation in the economy. The annual time series data is used for examination of impact of SMEs on poverty in Pakistan for the period of 1972-2008. The study utilizes Johansen cointegration and error correction mechanism to examine long run and short impacts small scale industries and other explanatory variable on poverty in Pakistan. The results of the study confirm a strong and poverty alleviating impact of small scale industries’ output in Pakistan. The study the economic policy makers to focus on the establishment of formal financial markets to overcome the financial constraints faced by the SME sector in Pakistan. Simplification of lending procedures, enforcement of credit rights, and reduction in credit costs would be helpful for the establishment of robust SME sector in Pakistan.

Management reporting complexity and earnings management: evidence from the Baltic markets

2020 ◽  
Vol 16 (1) ◽  
pp. 47-69
Author(s):  
Anete Pajuste ◽  
Elva Poriete ◽  
Reinis Novickis
Keyword(s):  
Earnings Management ◽  
Design Methodology ◽  
Positive Relationship ◽  
Linear Regression Analysis ◽  
Listed Companies ◽  
Data Set ◽  
Content Type ◽  
Market Participants ◽  
The Baltic ◽  
Management Reporting

PurposeThis paper explores how the text complexity and content of management discussion and analysis (MD&A) relate to earnings management in Baltic listed companies.Design/methodology/approachUsing a panel data set of 250 firm-year observations from the Baltic markets in the period 2012–2016, this paper uses linear regression analysis to examine the relation between earnings management and reporting complexity.FindingsThe results show that earnings could be managed in about 6–11% of firm-years, depending on specification, and there is a positive relationship between earnings management and reporting complexity; however, this relationship is confined to more liquid companies. The authors argue that higher scrutiny by market participants in more liquid companies incentivizes managers to obfuscate negative financial results through report complexity.Originality/valueThis paper presents a novel application of the opportunistic perspective of positive accounting theory (PAT) in relation to managers' choice of reporting complexity. The findings of this paper contribute by providing empirical evidence for strategic reporting by managers and can be useful for regulators and investors that should monitor the level of reporting complexity in the listed companies.

scholarly journals The relationship between self-employment and unemployment in the long-run

2016 ◽  
Vol 43 (3) ◽  
pp. 358-379 ◽  
Author(s):  
George Saridakis ◽  
Miguel Angel Mendoza ◽  
Rebeca I. Muñoz Torres ◽  
Jane Glover
Keyword(s):  
Design Methodology ◽  
Structural Breaks ◽  
Panel Cointegration ◽  
Data Set ◽  
Content Type ◽  
Self Employment ◽  
Long Run ◽  
Wide Range ◽  
Short Run ◽  
The Relationship

Purpose – Although a lot of research has been done on the link between self-employment and unemployment, often focusing on the short-run of the relationship, the long-run association between the two variables has not received adequate attention. The paper aims to discuss these issues. Design/methodology/approach – In this paper the authors examine the long-run relationship between self-employment and unemployment using panel cointegration methods allowing for structural breaks and covering a wide range of European OECD countries using the COMPENDIA data set over the period 1990-2011. Findings – The findings indicate that a long-run relationship between self-employment and unemployment exist in the panel, but the cointegrating coefficients are unstable. Originality/value – The estimates finds positive and statistically significant long-run association between self-employment and unemployment exists for more than 50 per cent of the countries included in the sample after the break. For the rest of the countries the authors find either negative or statistically insignificant association.

Identifying landmark publications in the long run using field-normalized citation data

2018 ◽  
Vol 74 (2) ◽  
pp. 278-288 ◽  
Author(s):  
Lutz Bornmann ◽  
Adam Ye ◽  
Fred Ye
Keyword(s):  
Design Methodology ◽  
Citation Impact ◽  
Practical Reasons ◽  
Data Set ◽  
Content Type ◽  
Long Run ◽  
History Of ◽  
High Level ◽  
Citation History ◽  
Very High

Purpose The purpose of this paper is to propose an approach for identifying landmark papers in the long run. These publications reach a very high level of citation impact and are able to remain on this level across many citing years. In recent years, several studies have been published which deal with the citation history of publications and try to identify landmark publications. Design/methodology/approach In contrast to other studies published hitherto, this study is based on a broad data set with papers published between 1980 and 1990 for identifying the landmark papers. The authors analyzed the citation histories of about five million papers across 25 years. Findings The results of this study reveal that 1,013 papers (less than 0.02 percent) are “outstandingly cited” in the long run. The cluster analyses of the papers show that they received the high impact level very soon after publication and remained on this level over decades. Only a slight impact decline is visible over the years. Originality/value For practical reasons, approaches for identifying landmark papers should be as simple as possible. The approach proposed in this study is based on standard methods in bibliometrics.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

scholarly journals The role of uniqueness in destination branding: the case of historical Portsmouth harbor

2015 ◽  
Vol 10 (2) ◽  
pp. 198-213 ◽  
Author(s):  
Alexandros Apostolakis ◽  
Shabbar Jaffry ◽  
Faye Sizeland ◽  
Adam Cox
Keyword(s):  
Competitive Advantage ◽  
Design Methodology ◽  
Regional Level ◽  
Destination Branding ◽  
Policy Makers ◽  
Content Type ◽  
City Brand ◽  
High Profile ◽  
Local Resources

Purpose – The purpose of this paper is to examine the potential for utilizing a unique resource, such as the Historic Portsmouth Harbor, in order to differentiate the local brand. Design/methodology/approach – The objective of the paper is to examine the role of unique local resources and attractions as a source of competitive advantage through destination branding. Findings – The main findings of the paper indicate that policy makers and destination managers should more proactively utilize the unique elements of the Historic Portsmouth Harbor “brand,” as opposed to the commonplace “waterfront city” brand. This could be achieved by staging events of international significance or through a bid for gaining world heritage status. In addition to that, the paper argues that in order for this branding initiative to have a higher impact, a prominent high profile individual should be appointed. This individual could act as a leader or “brand ambassador” in order to attract stakeholder interest and participation. Originality/value – The paper could be of value to destination managers and marketing organizations in a local, sub-regional and regional level.

scholarly journals A surrogate-based generic classifier for Chinese TV series reviews

2017 ◽  
Vol 45 (2) ◽  
pp. 66-74
Author(s):  
Yufeng Ma ◽  
Long Xia ◽  
Wenqi Shen ◽  
Mi Zhou ◽  
Weiguo Fan
Keyword(s):  
Design Methodology ◽  
Experimental Result ◽  
Digital Information ◽  
Data Set ◽  
Content Type ◽  
Category Labels ◽  
Information Supply Chain ◽  
Feature Selection Techniques ◽  
Practical Implications

Purpose The purpose of this paper is automatic classification of TV series reviews based on generic categories. Design/methodology/approach What the authors mainly applied is using surrogate instead of specific roles or actors’ name in reviews to make reviews more generic. Besides, feature selection techniques and different kinds of classifiers are incorporated. Findings With roles’ and actors’ names replaced by generic tags, the experimental result showed that it can generalize well to agnostic TV series as compared with reviews keeping the original names. Research limitations/implications The model presented in this paper must be built on top of an already existed knowledge base like Baidu Encyclopedia. Such database takes lots of work. Practical implications Like in digital information supply chain, if reviews are part of the information to be transported or exchanged, then the model presented in this paper can help automatically identify individual review according to different requirements and help the information sharing. Originality/value One originality is that the authors proposed the surrogate-based approach to make reviews more generic. Besides, they also built a review data set of hot Chinese TV series, which includes eight generic category labels for each review.

Risk-based capital regulation revisited: evidence from the early 2000s

2015 ◽  
Vol 23 (2) ◽  
pp. 115-134 ◽  
Author(s):  
Thomas L. Hogan ◽  
Neil R. Meredith ◽  
Xuhao (Harry) Pan
Keyword(s):  
Design Methodology ◽  
Banking Regulation ◽  
Bank Performance ◽  
Capital Regulation ◽  
Data Set ◽  
Content Type ◽  
Future Performance ◽  
Capital Ratios ◽  
Using Data ◽  
Capital Regulations

Purpose – The purpose of this study is to replicate Avery and Berger’s (1991) analysis using data from 2001 through 2011. Although risk-based capital (RBC) regulation is a key component of US banking regulation, empirical evidence of the effectiveness of these regulations has been mixed. Among the first studies of RBC regulation, Avery and Berger (1991) provide evidence from data on US banks that new RBC regulations outperformed old capital regulations from 1982 through 1989. Design/methodology/approach – Using data from the Federal Reserve’s Call Reports, the authors compare banks’ capital ratios and RBC ratios to five measures of bank performance: income, standard deviation of income, non-performing loans, loan charge-offs and probability of failure. Findings – Consistent with Avery and Berger (1991), the authors find banks’ risk-weighted assets to be significant predictors of their future performance and that RBC ratios outperform regular capital ratios as predictors of risk. Originality/value – The study improves on Avery and Berger (1991) by using an updated data set from 2001 through 2011. The authors also discuss some potential limitations of this method of analysis.

Sign in / Sign up

Export Citation Format

Share Document