Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence

This study empirically examines the growth of return, volatility shocks, market efficiency and investors’ sentiment on prime ministers during their administration as a prime minister. Thus, various volatility forecasting measures are applied. It is observed that BSE return does not follow a random walk and inefficient during their tenures as a prime minister. ARCH measure confirms about volatility clustering. According to the EGARCH measure leverage effect does not exist, but the presence of this effect based on TARCH during the tenure of few prime ministers. Finally, the investors are trustful to those prime ministers who are elected from the Indian National Congress according to the growth of return.

A Novel Extended Higher-Order Moment Multi-Factor Framework for Forecasting the Carbon Price: Testing on the Multilayer Long Short-Term Memory Network

Predicting the carbon price accurately can not only promote the sustainability of the carbon market and the price driving mechanism of carbon emissions, but can also help investors avoid market risks and increase returns. However, previous research has only focused on the low-order moment perspective of the returns for predicting the carbon price, while ignoring the shock of extreme events and market asymmetry originating from its pricing factor markets. In this paper, a novel extended higher-order moment multi-factor framework (EHM-APT) was formed to improve the prediction and to capture the driving mechanism of the carbon price. Furthermore, a multi-layer and multi-variable Long Short-Term Memory Network (Multi-LSTM) model was constructed so that the parameters and structure could be determined experimentally for testing the performance of the proposed framework. The results show that the pricing framework considers the shock of extreme events and market asymmetry and can improve the prediction compared with a framework that does not consider the shock of higher-order moment terms. Additionally, the Multi-LSTM model is more competitive for prediction than other benchmark models. This conclusion proves the rationality and accuracy of the proposed framework. The application of the pricing framework encourages investors and financial institutions to pay more attention to the pricing factor of extreme events and market asymmetry for accurate price prediction and investment analysis.

ACCOUNTING OF THE FREQUENCY MARKET OPERATION ASYMMETRY

The processes taking place in the market of freight transportation, the possibility of their consideration when constructing supply chains have been analyzed in the article. Proposed levels of commodity flows management, recognized reasons for the implementation of the transport process. The model of the regulation of cargoes movement in all sections of the supply chain and the rationalization of the transport work distribution within at the time between the objects of this chain have been formed. It�s justified the way of transport process optimization as it cheking feature. The main goal of the model it�s reasonable to consider a quantitative assessment of the transportation asemmetry effect on the magnitude of transportation expenditures. Taking into account the existence of enterprises in various organizational and legal forms of activity, different ownership forms, complicated by the constant restriction of additional resources, financial risks, the imbalance of legislative and legal mechanisms of the transport facilities operation, and many other reasons, an approach was proposed for combining the process of goods delivery from producer to customer subjected to the existence of a single regulating and controlling entity. The methodological approach will enable promptly, qualitatively, and at minimum losses to fulfill an obligations on the goods transportation and, if necessary, taking into account available resources, constraints and conditions, to ensure the adjustment of the supply process in the most appropriate manner. The proposals of taking into account some kind of transportation market asymmetry under the generation of updating means and its impact alignment onto the decision-making of the optimal structure of traffic flows are adduced in the article.

Using downside risk in evaluating the performance of Malaysian mutual funds

Purpose – The purpose of this paper is to provide the modified measures of risk-adjusted performance evaluation of Malaysian mutual funds using the downside risk concepts, and promote the ability of managers and investors in making logical decisions under the market asymmetry condition. Design/methodology/approach – This study focusses on the performance evaluation of Malaysian mutual funds using eight modified measures of Sharpe, Treynor, M2, Jensen’s α, information ratio (IR), MSR, SPI, and leverage factor. These modified measures use the downside systematic risk and semi-standard deviation instead of systematic risk and conventional standard deviation, respectively, to evaluate the performance of Malaysian mutual funds over the period 2000-2011. Findings – The results indicate that the conventional measures of performance evaluation do not have a crucial influence on the relative evaluation of mutual funds. Three modified measures of Sharpe, Treynor, and M2 have a high correlation with the conventional Sharpe measure and can be used instead of the conventional Sharpe measure. Since, two modified measures of Treynor and M2 display a high rank correlation coefficient with the conventional Treynor measure, they can be replaced with this traditional measure. In addition, two modified IR and MSR measures along with the modified SPI and conventional SPI show very high rank correlation coefficients in relation to each other. The results also document a modified leverage factor less than one for all funds. It can be concluded that the strategy of un-levering the investor’s holding must be followed. Practical implications – The empirical evidence of this study can be utilized as inputs in the process of decision-making by different types of investors who are interested in participating especially in Malaysian stock market and generally in global stock market under the market asymmetry condition. Originality/value – The contribution of this study is to modify five measures of M2, IR, MSR, FPI, and leverage factor in the downside risk framework which is a work on a rather under-researched area.