The Relation Between Trading Volume Concentration and Stock Returns

The Taiwan Stock Exchange discloses data on daily trading volume across brokerage firms for each listed stock. Market practitioners suggest that the concentration of trading volume contains information on the trading behaviors of big players. We use the Gini Coefficient to measure the degree of concentration, upon which a trading strategy is proposed. We conduct an event study to examine whether such a strategy will yield abnormal returns. Our sample contains 375 listed companies with events identified during the sample period from February 2020 to August 2020. The empirical results show that the trading signal based on the Gini coefficient is informative and that most of the average abnormal returns after the event date are significantly positive with the cumulative average abnormal returns increasing almost monotonically up to the end day of the event window. Consistent with prior studies in which different measures of concentration are utilized, our findings provide additional evidence that the Gini Coefficient could help investors to develop profitable stock selection and market timing strategies.

Big data and Belmont: On the ethics and research implications of consumer-based datasets

Consumer-based datasets are the products of data brokerage firms that agglomerate millions of personal records on the adult US population. This big data commodity is purchased by both companies and individual clients for purposes such as marketing, risk prevention, and identity searches. The sheer magnitude and population coverage of available consumer-based datasets and the opacity of the business practices that create these datasets pose emergent ethical challenges within the computational social sciences that have begun to incorporate consumer-based datasets into empirical research. To directly engage with the core ethical debates around the use of consumer-based datasets within social science research, I first consider two case study applications of consumer-based dataset-based scholarship. I then focus on three primary ethical dilemmas within consumer-based datasets regarding human subject research, participant privacy, and informed consent in conversation with the principles of the seminal Belmont Report.

Exploring the nonlinear effect of size on profitability: evidence from an insurance brokerage industry in an emerging market

PurposeThis study examines the possible nonlinear effect of size on stakeholder and shareholder profitability in the Ghanaian insurance brokerage industry.Design/methodology/approachThis study employs a panel dataset of 64 Ghanaian insurance brokerage firms spanning 2011–2015. Static [ordinary least squares (OLS), fixed effect and random effect and dynamic (two-step generalized method of moments (GMM))] estimation techniques are employed to analyze the data.FindingsThe study finds the existence of both economies and diseconomies of scale and scope theories in the Ghanaian insurance brokerage industry confirming the existence of nonlinear nexus between size and performance. This finding is consistent for both stakeholder and shareholder profit performance. Thus, the results show that size improves profitability of insurance brokerage firms, but beyond a certain threshold, the relationship turns negative as size negatively affects profitability.Practical implicationsThe research findings have implications for both policy and research; the study recommends that Ghanaian brokerage managers should understand that not all growth is good and exercise a duty of care when applying growth strategies by monitoring size effect on performance so as not to go beyond the inflection point. Further research can be done to examine this effect in other contexts, timeframes and jurisdictions.Originality/valueThis research is unique in that it employs a panel dataset consisting of 96% of insurance brokerage firms in Ghana whilst employing both static and nonstatic regression models to examine the effect of size. The research analysis adopted is robust, and the findings are significant. Also, the lack of empirical studies on the operations and dealings of auxiliary institutions such as the insurance brokerage firms adds value to this research.

Stock Returns and The Weather Effect: the Case of Ghana

In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

A Longitudinal Study on Dividend Policy and Shareholders’ Wealth Creation of FMCG Sector in India

The key aim of this research article is to analyze the performance of firms through dividend policy variables and shareholders’ wealth creation of the Fast moving consumer goods (FMCG) sector of India. The selected companies comprise of all listed Nifty FMCG Index firms in National stock exchange. The variables like Dividend payout ratio (DPR), dividend yield (DY) and dividend per share (DPS) for dividend policy analysis and Market value added (MVA) were examined over a period of 10 years (2010-2019). Authors used Statistical tools like Spearman’s Correlation, Kruskal Wallis (KW) H test and Post hoc test of Dunn-Bonferroni. Results found that there is a statistically significant and positive relationship between dependent and independent variables. KW test result shows that there is a significant difference between performance of sample firms. Post hoc test also validated the results of Kruskal Wallis test by considering pair wise comparison. Moreover, From the calculation of Market Value added (MVA), it was found that ITC added the highest wealth for its shareholders’ during the entire study period followed by Hindustan Unilever Limited (HUL) and Dabur India Limited. Godrej Industries added positive but lowest market value during the study period. All the selected firms created wealth for their shareholders. The study can be useful to the prospective investors and investment or brokerage firms to make investment decisions for the long term. Moreover, research can be further carried out by considering other areas like operational efficiency, Profitability and so on.

Explaining the Disposition Bias among Investors: The Mediatory Role of Personality, Financial Literacy, Behavioral Bias and Risk Tolerance

Investors are frequently subjected to cognitive error. They often sell stocks that have increased in value, while keeping stocks that have dropped in value. We proposed a theoretical framework explaining what factors affect this disposition bias and how. According to the proposed theory, Disposition bias is affected through risk tolerance, financial literacy, and behavioural biases. Lower risk tolerance and low financial literacy can aggravate disposition bias. We also proposed that personality factors such as Superego, Parsimony, Orderliness, and Obstinacy also influences both the level of financial literacy as well as behavioural biases that in turn affect disposition bias. Empirical validity was established by conducted a survey using close ended questionnaire. Data was collected from 182 investors trading through 3 brokerage firms in Karachi. Confirmatory factor analysis and structured equation modelling were used for analysis. The results suggested that financial literacy significantly affect all behavioural biases (except Representativeness) as well as Disposition Bias. Higher financial literacy will tend to show less disposition bias and they better can make portfolio decision. Similarly, risk tolerance also affects disposition biases as a risk-averse investor will tend to show more disposition bias. Among the behavioural factors, Anchoring, overconfidence, and loss aversion affect disposition biases. Overconfidence also seems to affect risk tolerance. Personality traits like superego and parsimony seem to affect almost all the behavioural biases. Similarly, superego and parsimony affect risk tolerance. Similarly, Superego and obstinacy affected financial literacy. This finding will help investors to better manage their portfolio by mitigating these biases.

The Customer Orientation Service of Spanish Brokers in the Insurance Industry: The Advisory Service of the Insurance Distribution Channel Bancassurance

This research focuses on the customer orientation of insurance brokers, whose activity is regulated by the Law on the mediation of private insurances and reinsurances. The goal is to ascertain whether the intermediation inherent in the insurance broker’s activity, which implies a customer-oriented service, entails a positive behaviour that transcends the immediate environment, reaching society. This study presents a comparative analysis between the insurance brokerage society, characterised by a personalised customer service, and banks’ advisory services on insurance. To this end, the study uses a sample of insurance brokerage firms in Spain. The results presented in this study suggest that the customer values the advisory service provided by the broker. However, for a particular business segment in standardized insurance products and products related to banking assets, customers are more likely to resort to the bank’s services. In addition, the results indicate that the commission percentages applied by the entities operating in the banking insurance channel exceed those perceived by the insurance broker. With all this, intermediation in the development of the insurer’s activity can entail social behaviour that involves customer-orientation and, possibly, social service and environmental performance.

An Integrated Model of Perceived Risk and Risk-Reducing Strategies in the Tunisian Stock Market

This chapter examines the antecedents and consequences of the perceived risk of investors towards the Tunisian stock market. A questionnaire was developed and distributed to 411 individual investors chosen by 24 brokerage firms. Using the structural equation model, we operationalize the risk following the psychometric paradigm according to subjective variables (i.e. familiarity and controllability). Results prove that controllability is a significant factor in the formation of perceived risk. We also show that several factors related to the investor, the listed companies and to the stock market can influence the perceived risk by the investor towards the Tunisian stock market. Similarly, we find that perceived risk leads to intensive information search, good performance and a strong reinvestment intention. These results attest the importance of the risk perception in the decision-making process.

Impacto das variáveis bursáteis no desempenho financeiro das corretoras independentes

<p>The 21st Century has seen important innovations in stock markets, particularly the widespread adoption of automatic trading systems, which, allied to high-speed information systems, have increased efficiency and competition among stock brokers. In this context, we investigate the impacts of these changes on independent Brazilian brokerage firms. Results based on a 52-month sample period suggest a small effect of the Bovespa index, market volatility and traded volume<br />on brokers firms financial performance, indicating a still-limited impact of new technologies of automatic trading and high-speed information on the Brazilian market.</p>