Search results for: stock return

Authors: Oluwaseun Adeleke, Samuel O. Ikani, Fidelis Edet, Anthony Nwala, Mopelola Raji, Simeon Christian Chukwu

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Background: The Delivering Innovations in Selfcare (DISC) project aims to increase access to self-care options for women of reproductive age, starting with self-inject subcutaneous depot medroxyprogesterone acetate (DMPA-SC) contraception services. However, the project has faced challenges in ensuring the continuous availability of the commodity in health facilities. Although most states in the country rely on the federal ministry of Health for supplies, some are gradually funding the procurement of Family Planning (FP) commodities. This attempt is, however, often accompanied by procurement delays and purchases inadequate to meet demand. This dilemma was further exacerbated by the commencement of demand generation activities by the project in supported states which geometrically increased commodity utilization rates and resulted in receding stock and occasional service disruptions. Strategies: The project deployed various strategies were implemented to ensure the continuous availability of commodities. These include facilitating inter-facility transfer, monthly tracking of commodity utilization, and alerting relevant authorities when stock levels reach a minimum. And supporting state-level procurement of DMPA-SC commodities through catalytic interventions. Results: Effective monitoring of commodity inventory at the facility level and strategic engagement with federal and state-level logistics units have proven successful in mitigating stock-out of commodities. It has helped secure up to 13,000 units of DMPA-SC commodities from federal logistics units and enabled state units to prioritize supported sites. This has ensured the continuity of DMPA-SC services and an increasing trend in the practice of self-injection. Conclusion: A functional supply chain is crucial to achieving commodity security, and without it, health programs cannot succeed. Stakeholder engagement, stock management and catalytic interventions have provided both short- and long-term measures to mitigate stock-outs and ensured a consistent supply of commodities to clients.

Keywords: family planning, contraception, DMPA-SC, self-care, self-injection, commodities, stock-out

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Authors: Bel Abed Ines Mariem

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Different stock markets keep changing their exchange structure for the only purpose of improving the functioning of their markets. This paper investigates the effects of the transfer from one trading category to another in the Tunisian Stock Exchange on market price and liquidity. The sample consists of 40 securities transferred from call auction to continuous auction and conversely during the period between 2004 and 2013. The methodology used is the event study. Empirical results show an interesting phenomenon observed; stocks transferred to the call system have experienced an improvement on their price and liquidity especially for less liquid ones. However, price and liquidity for stocks transferred from call system to continuous system have decreased.

Keywords: microstructure, call auction, continuous auction, price, liquidity and event study

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Authors: Frankie Burgos, Emely Munar, Conrado Basa

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This paper aimed at developing an artificial neural network (ANN) model specifically for the Philippine Stock Exchange index closing value. The inputs to the ANN are US Dollar and Philippine Peso(USD-PHP) exchange rate, GDP growth of the country, quarterly inflation rate, 10-year bond yield, credit rating of the country, previous open, high, low, close values and volume of trade of the Philippine Stock Exchange Index (PSEi), gold price of the previous day, National Association of Securities Dealers Automated Quotations (NASDAQ), Standard and Poor’s 500 (S & P 500) and the iShares MSCI Philippines ETF (EPHE) previous closing value. The target is composed of the closing value of the PSEi during the 627 trading days from November 3, 2011, to May 30, 2014. MATLAB’s Neural Network toolbox was employed to create, train and simulate the network using multi-layer feed forward neural network with back-propagation algorithm. The results satisfactorily show that the neural network developed has the ability to model the PSEi, which is affected by both internal and external economic factors. It was found out that the inputs used are the main factors that influence the movement of the PSEi closing value.

Keywords: artificial neural networks, artificial intelligence, philippine stocks exchange index, stocks trading

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Authors: Azaz Zaman, Mirazur Rahman

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Capital market is a crucial financial market place where companies and the government can raise long-term funds and, at the same time, investors get the opportunity to invest in the listed companies. Capital markets play a vital role not only in shifting the funds from surplus entity to deficit for investment, but also in the overall economic development of any developing country like Bangladesh. Being the first and biggest capital market of Bangladesh, Dhaka Stock Exchange (DSE) is the prime bourse of the country. The differences in the investment preference— among three broad categories of investors in DSE including individual investors, institutional investors, and government— are easily observed. Authors of this article have used five categories of investors such as sponsors or directors of the company, institutional investors, foreign investors, government, and the general public in order to present a comparative analysis of their investment patterns. Obtaining data on the percentage of investment by these five types of investors in different sectors from the DSE website, this study aims to analyze the sector-wise investment preference of these investors using August 2018 data. The study has found that the sponsors or directors of the company have the highest percentage of investment in the textile industry which is close to 16%. The Bangladesh government, as an investor, has the highest percentage of investment in the fuel & power sector, approximately 32%. It has also found that the mutual funds' sector is mostly financed by institutional investors, nearly 28%. Foreign investors have their most investments in the banking sector, which is close to 22%. It has also revealed that the textile sector is mostly financed by the general public, close to 17%. Nevertheless, general public, surprisingly, has the lowest percentage of investment in the telecommunication sector, which is 0.10%.

Keywords: stock market investment, Dhaka stock exchange, capital market, Bangladesh

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Authors: Cheng-yu Hsieh, Bo Zhang, Ahmed Hambaba

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Stock market prediction has long been an area of interest for both expert analysts and investors, driven by its complexity and the noisy, volatile conditions it operates under. This research examines the efficacy of combining the Patch Time Series Transformer (PatchTST) with wavelet transforms, specifically focusing on Haar and Daubechies wavelets, in forecasting the adjusted closing price of the S&P 500 index for the following day. By comparing the performance of the augmented PatchTST models with traditional predictive models such as Recurrent Neural Networks (RNNs), Convolutional Neural Networks (CNNs), Long Short-Term Memory (LSTM) networks, and Transformers, this study highlights significant enhancements in prediction accuracy. The integration of the Daubechies wavelet with PatchTST notably excels, surpassing other configurations and conventional models in terms of Mean Absolute Error (MAE) and Mean Squared Error (MSE). The success of the PatchTST model paired with Daubechies wavelet is attributed to its superior capability in extracting detailed signal information and eliminating irrelevant noise, thus proving to be an effective approach for financial time series forecasting.

Keywords: deep learning, financial forecasting, stock market prediction, patch time series transformer, wavelet transform

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Authors: Christian Bucio Pacheco, Miriam Magnolia Sosa Castro, María Alejandra Cabello Rosales

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This paper aims to analyze the contagion effect among the stock markets of the BRIC+M block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increasing on dependence parameters during crisis periods. The dependence parameters are estimated through copula approach in a period of time from July 1997 to December 2015. During this period there are instability and calm episodes, allowing to analyze changes in the relations of dependence. Empirical results show strong evidence of time-varying dependence among the BRIC+M markets and an increasing dependence relation during global financial crisis period.

Keywords: BRIC+M Block, Contagion effect, Copula, dependence

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Authors: Andrea Paltrinieri, Alberto Dreassi, Stefano Miani, Alex Sclip

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The financial crises caused a collapse in prices of most asset classes, raising the attention on alternative investments such as Sukuk, a smaller, fast growing but often misunderstood market. We study diversification benefits of Sukuk, their correlation with other asset classes and the effects of their inclusion in investment portfolios of institutional and retail investors, through a comprehensive comparison of their risk/return profiles during and after the financial crisis. We find a beneficial performance adjusted for the specific volatility together with a lower correlation especially during the financial crisis. The distribution of Sukuk returns is positively skewed and leptokurtic, with a risk/return profile similarly to high yield bonds. Overall, our results suggest that Sukuk present diversification opportunities, a significant volatility-adjusted performance and lower correlations especially during the financial crisis. Our findings are relevant for a number of institutional investors. Long term investors, such as life insurers would benefit from Sukuk’s protective features during financial crisis yet keeping return and growth opportunities, whereas banks would gain due to their role of placers, advisors, market makers or underwriters.

Keywords: sukuk, zero beta asset, asset allocation, sukuk market

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Authors: Seyedmohsen Mortazavi

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The purpose of this research is to investigate the personality types of internal auditors on the quality of financial reporting in companies admitted to the Tehran Stock Exchange. Personality type is one of the issues that emphasizes the field of auditors' behavior, and this field has attracted the attention of shareholders and stock companies today, because the auditors' personality can affect the type of financial reporting and its quality. The research is applied in terms of purpose and descriptive and correlational in terms of method, and a researcher-made questionnaire was used to check the research hypotheses. The statistical population of the research is all the auditors, accountants and financial managers of the companies admitted to the Tehran Stock Exchange, and due to their large number and the uncertainty of their exact number, 384 people have been considered as a statistical sample using Morgan's table. The researcher-made questionnaire was approved by experts in the field, and then its validity and reliability were obtained using software. For the validity of the questionnaire, confirmatory factor analysis was first examined, and then using divergent and convergent validity; Fornell-Larker and cross-sectional load test of the validity of the questionnaire were confirmed; Then, the reliability of the questionnaire was examined using Cronbach's alpha and composite reliability, and the results of these two tests showed the appropriate reliability of the questionnaire. After checking the validity and reliability of the research hypotheses, PLS software was used to check the hypotheses. The results of the research showed that the personalities of internal auditors can affect the quality of financial reporting; The personalities investigated in this research include neuroticism, extroversion, flexibility, agreeableness and conscientiousness, all of these personality types can affect the quality of financial reporting.

Keywords: flexibility, quality of financial reporting, agreeableness, conscientiousness

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Authors: Abi Miller, Eleanor Wilson, Claire Diver

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Background: UK Head and Neck Cancer incidence and prevalence were rising related to better treatment outcomes and changed demographics. More people of working-age now survive Head and Neck Cancer. For individuals, work provides income, purpose, and social connection. For society, work increases economic productivity and reduces welfare spending. In the UK, a cancer diagnosis is classed as a disability and more disabled people leave the workplace than non-disabled people. Limited evidence exists on return-to-work after Head and Neck Cancer, with no UK qualitative studies. Head and Neck Cancer survivors appear to return to work less when compared to other cancer survivors. This study aimed to explore the effects of Head and Neck Cancer disability on survivors’ return-to-work experience. Methodologies: This was an exploratory qualitative study using a critical realist approach to carry out semi-structured one-off interviews with Head and Neck Cancer survivors who had returned to work. Interviews were informed by an interview guide and carried out remotely by Microsoft Teams or telephone. Interviews were transcribed verbatim, pseudonyms allocated, and transcripts anonymized. Data were interpreted using Reflexive Thematic Analysis. Findings: Thirteen Head and Neck Cancer survivors aged between 41 -63 years participated in interviews. Three major themes were derived from the data: changed identity and meaning of work after Head and Neck Cancer, challenging and supportive work experiences and impact of healthcare professionals on return-to-work. Participants described visible physical appearance changes, speech and eating challenges, mental health difficulties and psycho-social shifts following Head and Neck Cancer. These factors affected workplace re-integration, ability to carry out work duties, and work relationships. Most participants experienced challenging work experiences, including stigmatizing workplace interactions and poor communication from managers or colleagues, which further affected participant confidence and mental health. Many participants experienced job change or loss, related both to Head and Neck Cancer and living through a pandemic. A minority of participants experienced strategies like phased return, which supported workplace re-integration. All participants, bar one, wanted conversations with healthcare professionals about return-to-work but perceived these conversations as absent. Conclusion: All participants found returning to work after Head and Neck Cancer to be a challenging experience. This appears to be impacted by participant physical, psychological, and functional disability following Head and Neck Cancer, work interaction and work context.

Keywords: disability, experience, head and neck cancer, qualitative, return-to-work

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Authors: L. Feleagă, M. Dumitrașcu, N. Feleagă

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This article is a research on corporate governance. The aim of the study is to focus a special attention on the importance of corporate social responsibility and corporate governance, which are relevant, indeed necessary, for organizations. In this regard, we analyzed the corporate social responsibility in the context of corporate governance for companies listed on Bucharest and Bombay Stock Exchange. Therefore, we bring into the spotlight some differences between India and Romania linked with the importance ascribed to corporate social responsibility of a company. We presented the results of the demarche and we concluded suggestions regarding further research in this area. The study increases the awareness, identifies and articulates desirable behaviors, which are not intended to be exhaustive.

Keywords: corporate governance, corporate social responsibility, disclosure, listed companies

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Authors: Saad Bin Nasir

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The research will examine the role of corporate governance (CG) practices on firm’s financial performance. Population of this research will be manufacture sector of Pakistan. For the purposes of measurement of impact of corporate governance practices such as board size, board independence, ceo/chairman duality, will take as independent variables and for the measurement of firm’s performance return on assets and return on equity will take as dependent variables. Panel data regression model will be used to estimate the impact of CG on firm performance.

Keywords: corporate governance, board size, board independence, leadership

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Authors: Randall E. Osborne, Seth A. Doty

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As participation in organized sports increases, so does the risk of sustaining an athletic injury. These unfortunate injuries result in missed time from practice and, inevitably, the field of competition. Recovery time plays a pivotal role in the overall rehabilitation of the athlete. With time and rehabilitation, an athlete’s physical injury can be properly treated. However, there seem to be few measures assessing psychological recovery from injury. Although an athlete has been cleared to return to play, there may still be lingering doubt about their injury. Overall, there is a vast difference between being physically cleared to play and being psychologically ready to return to play. Certain personality traits might serve as predictors of an individual’s rate of psychological recovery from an injury. The purpose of this research study is to explore the correlations between athletes’ personality and their recovery from an athletic injury, specifically, examining how locus of control has been utilized through other studies and can be beneficial to the current study. Additionally, this section will examine the link between hardiness and coping strategies. In the current study, mental toughness is being tested, but it is important to determine the link between these two concepts. Hardiness and coping strategies are closely related and can play a major role in an athlete’s mental toughness. It is important to examine competitive trait anxiety to illustrate perceived anxiety during athletic competition. The Big 5 and Social Support will also be examined in conjunction with recovery from athletic injury. Athletic injury is a devastating and common occurrence that can happen in any sport. Injured athletes often require resources and treatment to be able to return to the field of play. Athletes become more involved with physical and mental treatment as the length of recovery time increases. It is very reasonable to assume that personality traits would be predictive of athlete recovery from injury. The current study investigated the potential relationship between personality traits and recovery time; more specifically, the personality traits of locus of control, hardiness, social support, competitive trait anxiety, and the “Big 5” personality traits. Results indicated that athletes with a higher internal locus of control tend to report being physically ready to return to play and “ready” to return to play faster than those with an external locus of control. Additionally, Openness to Experience (among the Big 5 personality dimensions) was also related to the speed of return to play.

Keywords: athlete, injury, personality, readiness to play, recovery

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Authors: Jasna Prester, Najla Podrug, Davor Filipović

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Manufacturing companies invest a significant amount of sales into material resources for production. In our sample, 58% of sales is used for manufacturing inputs, while only 24% of sales is used for salaries. This means that if a company is looking to reduce costs, the greater potential is in reduction of material costs than downsizing. This research shows that manufacturing companies in Croatia did realize material savings in last three years. It is also shown by which technologies they achieved materials cost savings. Through literature research, we found research gap as to which technologies reduce material consumption. As methodology of research four regression analyses are used to prove our findings.

Keywords: Croatia, materials savings strategies, technologies, return on sales

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Authors: Juniarti, Agus Arianto Toly

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This study aims to examine the effect of capital expenditure on the investors’ responses. The respondents were companies with the best stock performance in each sector in 2017. The observation period is 2017 to 2019. Top 10 companies in each sector with the best stock performance in companies listed on the Indonesia Stock Exchange were selected. The main variables are a growth signal which is proxied by growth in capital spending and capital expenditure, and risk and investor response, which is proxied by CAR. Financial performance as measured by ROA is a control variable in this study. The results showed that the signal of growth as measured by capital expenditures responded positively by the market, the risk moderates this influence, companies with high risk will be responded negatively by investors and vice versa. This finding corrects previous findings that only looked at the signal aspect of growth, without linking it to risk. In addition, these findings reinforce the argument that investors buy the future of the company, not a momentary financial performance. This can be seen from the absence of ROA influence on investor response. This study found that companies need to manage risk appropriately, because the risk aspect of the company is a crucial factor for investors. High risks will eliminate the benefits of strategic decisions in this case in the form of capital expenditures.

Keywords: capital expenditure, growth signals, investor response, risk

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Authors: Yi-Min Lan, Hung-Wen Cheng, Hsuan-Ling Chang, Jou-Ping Yu

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The study applies machine learning models to construct momentum strategies and utilizes the information coefficient as an indicator for selecting stocks with strong and weak momentum characteristics. Through this approach, the study has built investment portfolios capable of generating superior returns and conducted a thorough analysis. Compared to existing research on momentum strategies, machine learning is incorporated to capture non-linear interactions. This approach enhances the conventional stock selection process, which is often impeded by difficulties associated with timeliness, accuracy, and efficiency due to market risk factors. The study finds that implementing bidirectional momentum strategies outperforms unidirectional ones, and momentum factors with longer observation periods exhibit stronger correlations with returns. Optimizing the number of stocks in the portfolio while staying within a certain threshold leads to the highest level of excess returns. The study presents a novel framework for momentum strategies that enhances and improves the operational aspects of asset management. By introducing innovative financial technology applications to traditional investment strategies, this paper can demonstrate significant effectiveness.

Keywords: information coefficient, machine learning, momentum, portfolio, return prediction

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Authors: Mussa Hussaini, Supasith Chonglerttham

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Stocks are usually classified according to their characteristics which are unique enough such that the performance of each category can be differentiated from another. The reasons behind such classifications in the financial market are sometimes financial innovation or it can also be because of finding a premium in a group of stocks with similar features. One of the major classifications in stocks market is called momentum strategy. Based on this strategy stocks are classified according to their past performances into past winners and past losers. Momentum in a stock market refers to the idea that stocks will keep moving in the same direction. In other word, stocks with rising prices (past winners stocks) will continue to rise and those stocks with falling prices (past losers stocks) will continue to fall. The performance of this classification has been well documented in numerous studies in different countries. These studies suggest that past winners tend to outperform past losers in the future. However, academic research in this direction has been limited in countries such as Thailand and to the best of our knowledge, there has been no such study in Thailand after the financial crisis of 1997. The significance of this study stems from the fact that Thailand is an open market and has been encouraging foreign investments as one of the means to enhance employment, promote economic development, and technology transfer and the main equity market in Thailand, the Stock Exchange of Thailand is a crucial channel for Foreign Investment inflow into the country. The equity market size in Thailand increased from $1.72 billion in 1984 to $133.66 billion in 1993, an increase of over 77 times within a decade. The main contribution of this paper is evidence for size category in the context of the equity market in Thailand. Almost all previous studies have focused solely on large stocks or indices. This paper extends the scope beyond large stocks and indices by including small and tiny stocks as well. Further, since there is a distinct absence of detailed academic research on momentum strategy in the Stock Exchange of Thailand after the crisis, this paper also contributes to the extension of existing literature of the study. This research is also of significance for those researchers who would like to compare the performance of this strategy in different countries and markets. In the Stock Exchange of Thailand, we examined the performance of momentum strategy from 2010 to 2014. Returns on portfolios are calculated on monthly basis. Our results on momentum strategy confirm that there is positive momentum profit in large size stocks whereas there is negative momentum profit in small size stocks during the period of 2010 to 2014. Furthermore, the equal weighted average of momentum profit of both small and large size category do not provide any indication of overall momentum profit.

Keywords: momentum strategy, past loser, past winner, stock exchange of Thailand

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Authors: Adel M. Qatawneh

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This paper aimed to determine the importance of knowledge innovation for external audit on anti-corruption in the entire Jordanian bank companies are listed in Amman Stock Exchange (ASE). The study importance arises from the need to recognize the Knowledge innovation for external audit and anti-corruption as the development in the world of business, the variables that will be affected by external audit innovation are: reliability of financial data, relevantly of financial data, consistency of the financial data, Full disclosure of financial data and protecting the rights of investors to achieve the objectives of the study a questionnaire was designed and distributed to the society of the Jordanian bank are listed in Amman Stock Exchange. The data analysis found out that the banks in Jordan have a positive importance of Knowledge innovation for external audit on anti-corruption. They agree on the benefit of Knowledge innovation for external audit on anti-corruption. The statistical analysis showed that Knowledge innovation for external audit had a positive impact on the anti-corruption and that external audit has a significantly statistical relationship with anti-corruption, reliability of financial data, consistency of the financial data, a full disclosure of financial data and protecting the rights of investors.

Keywords: knowledge innovation, external audit, anti-corruption, Amman Stock Exchange

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Authors: Achsania Hendratmi, Puji Sucia Sukmaningrum, Fatin Fadhilah Hasib, Nisful Laila

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The research aimed to know the influence of Capital Adequacy Ratio (CAR), Return on Assets (ROA) and Size of the Financing to Deposit Ratio (FDR) Islamic Banks in Malaysia by using eleven Islamic Banks in Indonesia and fifteen Islamic Banks in Malaysia in the period 2012 to 2016 as samples. The research used a quantitative approach method, and the analysis technique used multiple linear regression. Based on the result of t-test (partial), CAR, ROA and size significantly affect of FDR. While the results of f-test (simultaneous) showed that CAR, ROA and Size significant effect on FDR.

Keywords: capital adequacy ratio, financing to deposit ratio, return on assets, size

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Authors: H. Ahmed, A. Persson, L. Sundqvist, B. Biorkman

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Numerous amounts of metallurgical dusts and sludge containing iron as well as some other valuable elements such as Zn, Pb and C are annually produced in the steelmaking industry. These alternative iron ore resources (fines) with unsatisfying physical and metallurgical properties are difficult to recycle. However, agglomerating these fines to be further used as a feed stock for existing iron and steel making processes is practiced successfully at several plants but for limited extent. In the present study, briquettes of integrated steelmaking industry waste materials (namely, BF-dust and sludge, BOF-dust and sludge) were used as feed stock to produce direct reduced iron (DRI). Physical and metallurgical properties of produced briquettes were investigated by means of TGA/DTA/QMS in combination with XRD. Swelling, softening and melting behavior were also studied using heating microscope.

Keywords: iron and steel wastes, recycling, self-reducing briquettes, thermogravimetry

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Authors: Maher Agi, Hardik Soni

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This paper presents a deterministic model for optimized control of the inventory of a perishable product subject to both physical deterioration and degradation of its freshness condition. The demand for the product depends on its current inventory level and freshness condition. Our model allows for any positive amount of end of cycle inventory. Some useful conditions that characterize the optimal solution of the model are derived and an algorithm is presented for finding the optimal values of the price, the inventory cycle, the end of cycle inventory level and the order quantity. Numerical examples are then given. Our work shows how the product freshness in conjunction with the inventory deterioration affects the inventory management decisions.

Keywords: inventory management, lot sizing, perishable products, deteriorating inventory, age-dependent demand, stock-dependent demand

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Authors: Su-Ping Liu, Yue Tian, Yifan Shen

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This study investigates the effect of corporate governance on earnings management when firms have reported a long stream of earnings increases (hereafter referred to as earnings beaters). We expect that good quality of corporate governance decreases the probability of income-increasing earnings management. We employ transparent tools to capture firms’ opportunistic management behavior, specifically, the repurchase of stock. In addition, we use corporate governance proxies to measure the degree of corporate governance, including board size, board independence, CEO duality, and the frequency of meeting. The results hold after the controlling of variables that suggested in prior literature. We expect that the simple technique, that is, firms’ degree of corporate governance, to be used as an inexpensive first step in detecting earnings management.

Keywords: corporate governance, earnings management, earnings patterns, stock repurchase

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Authors: Manel Youssef, Lotfi Belkacem

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This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors.

Keywords: oil prices, stock indices returns, oil volatility, contagion, DCC-multivariate (FI) GARCH

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Authors: Gurmail Singh

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Effective supply chain is the main priority of every organization which is the outcome of strategic corporate investments with deliberate management action. Value-driven supply chain is defined through development, procurement and by configuring the appropriate resources, metrics and processes. However, responsiveness of the supply chain can be improved by proper coordination. So the Bullwhip effect (BWE) and Net stock amplification (NSAmp) values were anticipated and used for the control of inventory in organizations by both discrete wavelet transform-Artificial neural network (DWT-ANN) and Adaptive Network-based fuzzy inference system (ANFIS). This work presents a comparative methodology of forecasting for the customers demand which is non linear in nature for a multilevel supply chain structure using hybrid techniques such as Artificial intelligence techniques including Artificial neural networks (ANN) and Adaptive Network-based fuzzy inference system (ANFIS) and Discrete wavelet theory (DWT). The productiveness of these forecasting models are shown by computing the data from real world problems for Bullwhip effect and Net stock amplification. The results showed that these parameters were comparatively less in case of discrete wavelet transform-Artificial neural network (DWT-ANN) model and using Adaptive network-based fuzzy inference system (ANFIS).

Keywords: bullwhip effect, hybrid techniques, net stock amplification, supply chain flexibility

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Authors: Wee Tong Liaw, Elaine Wong Yee Sing

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The main objective and focus of this study are to establish the significance of a sustained health promoting workplace on stock and portfolio returns focusing on companies listed on the Singapore stock exchange, using a two-factor model comprising of the single factor CAPM and a 'health promoting workplace' factor. The 'health promoting workplace' factor represents the excess returns derived between two portfolios of component stocks that, when combined, would represent a top tier stock market index in Singapore, namely the STI index. The first portfolio represents companies that are independently assessed by the Singapore’s Health Award, SHA, to have a sustained and comprehensive health promoting workplace (SHA-STI portfolio) and the second portfolio represents companies that had not been independently assessed (Non-SHA STI portfolio). Since 2001, many companies in Singapore have voluntarily participated in the bi-annual Singapore HEALTH Award initiated by the Health Promotion Board of Singapore (HPB). The Singapore HEALTH Award (SHA), is an industry-wide award and assessment process. SHA assesses and recognizes employers in Singapore for implementing a comprehensive and sustainable health promotion programme at their workplaces. When using a ten year holding period instead of a one year holding period, excess returns in the SHA-STI portfolio over Non-SHA STI portfolio were consistently being observed over all test periods, during 2001 to 2013. In addition, when applied to the SHA-STI portfolio, results from the Two Factor Model consistently revealed higher explanatory powers across all test periods for the portfolio as well as all the individual component stocks in SHA-STI portfolio, than the single factor CAPM model. However, with respect to attaining higher level of achievement in the Singapore Health Award, this study did not show any incentive for selecting listed companies that have achieved a higher level of award. Results from this study would give further insights to investors and fund managers alike who intend to consider health promoting workplace as a risk factor in their stock or portfolio selection process, in particular for investors who have a preference for STI’s component stocks and with a longer investment horizon. Key micro factors like management abilities, business development strategies and production capabilities that meet the needs of market would create the demand for a company’s product(s) or service(s) and consequently contribute to its top line and profitability. Thereafter, the existence of a sustainable health promoting workplace would be a key catalytic factor in sustaining a productive workforce needed to support the continued success of a profitable business.

Keywords: asset pricing model, company's performance, stock returns, financial risk factor, sustained health promoting workplace

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Authors: Fatemehsadat Mortazavizadeh, Amin Dehghani, Majid Mirzaei, Nurulhuda Binti Mohammad Ramli, Adnan Dehghani

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Flood is Malaysia's most common and serious natural disaster. Kelantan River Basin is a tropical basin that experiences a rainy season during North-East Monsoon from November to March. It is also one of the hardest hit areas in Peninsular Malaysia during the heavy monsoon rainfall. Considering the consequences of the flood events, it is essential to develop the flood inundation map as part of the mitigation approach. In this study, the delineation of flood inundation zone in the area of Kelantan River basin using a hydrodynamic model is done by HEC-RAS, QGIS and ArcMap. The streamflow data has been generated with the weather generator based on the observation data. Then, the data is statistically analyzed with the Extreme Value (EV1) method for 2-, 5-, 25-, 50- and 100-year return periods. The minimum depth, maximum depth, mean depth, and the standard deviation of all the scenarios, including the OBS, are observed and analyzed. Based on the results, generally, the value of the data increases with the return period for all the scenarios. However, there are certain scenarios that have different results, which not all the data obtained are increasing with the return period. Besides, OBS data resulted in the middle range within Scenario 1 to Scenario 40.

Keywords: flood inundation, kelantan river basin, hydrodynamic model, extreme value analysis

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Authors: Krishang Surapaneni

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The goal of this project is to determine how to predict important aspects of options, including the ask price. We want to compare different machine learning models to learn the best model and the best hyperparameters for that model for this purpose and data set. Option pricing is a relatively new field, and it can be very complicated and intimidating, especially to inexperienced people, so we want to create a machine learning model that can predict important aspects of an option stock, which can aid in future research. We tested multiple different models and experimented with hyperparameter tuning, trying to find some of the best parameters for a machine-learning model. We tested three different models: a Random Forest Regressor, a linear regressor, and an MLP (multi-layer perceptron) regressor. The most important feature in this experiment is the ask price; this is what we were trying to predict. In the field of stock pricing prediction, there is a large potential for error, so we are unable to determine the accuracy of the models based on if they predict the pricing perfectly. Due to this factor, we determined the accuracy of the model by finding the average percentage difference between the predicted and actual values. We tested the accuracy of the machine learning models by comparing the actual results in the testing data and the predictions made by the models. The linear regression model performed worst, with an average percentage error of 17.46%. The MLP regressor had an average percentage error of 11.45%, and the random forest regressor had an average percentage error of 7.42%

Keywords: finance, linear regression model, machine learning model, neural network, stock price

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Authors: Nguyen Ngoc Que Tran

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Purpose: The purpose of this paper is to investigate the relationship between internal market orientation, external market orientation, employee commitment and job satisfaction. Design/methodology/approach: This study collected data through a survey and utilized simple linear regression and multiple regression analysis to determine if there was any support for the research hypotheses as presented in the previous chapter. Findings: Using data from 256 employees of four leading joint stock banks in Vietnam, the empirical results indicates that employee commitment is positively related with external market orientation, job satisfaction is positively related to employee commitment, and employee commitment and job satisfaction are positively related to external market orientation. However, job satisfaction has no significant positive effect on external market orientation. Theoretical contribution: The primary contribution to marketing theory arising from this study is the integration of job satisfaction, employee commitment, and external market orientation in a single research model. Practical implications: The major contribution to practice is an external market oriented bank has to respond rapidly to the future needs and preferences of its customers. This could result in high levels of commitment to the service process and in doing so provide Vietnamese joint-stock commercial banks with a competitive advantage. The finding is important for the banking service sector in general and the Vietnamese banking industry in particular.

Keywords: employee commitment, job satisfaction and external market orientation, vietnam, bank

Procedia PDF Downloads 394

Authors: Hamed Homaei, Seyed Reza Hejazi, Iraj Mahdavi

Abstract:

Return policy (RP) is a strategy for supply chain coordination, whereby the retailer returns the unsold products to the manufacturer or the manufacturer offers a credit on unsold products to the retailer at the end of selling season. Early order commitment (EOC) is another efficient mechanism for channel coordination wherein the retailer commits to purchasing from the manufacturer a fixed order quantity a few periods in advance of the regular delivery lead time. This paper studies the coordination issue of a two-level supply chain with one retailer and one manufacturer through combining two mentioned contracts. The main purpose of this paper is to present an analytical model to show that how the contract which is created by combining RP and EOC can improve supply chain performance. Numerical analyses show that the supply chain coordination through mentioned contract in compare with EOC mechanism, can improve supply chain performance under certain ranges of model parameters. Furthermore, some numerical analyses are done to determine the best buyback price in order to achieve maximum cost saving in the supply chain. Finally, a revenue sharing scheme is presented in order to achieve a win-win condition in the supply chain.

Keywords: supply chain coordination, early order commitment, return policy, revenue sharing

Procedia PDF Downloads 269

Authors: Semra Turkan

Abstract:

In this paper, we have examined the factors that affect the productivity of Turkey’s Top 500 Industrial Enterprises in 2014. The labor productivity of enterprises is taken as an indicator of productivity of industrial enterprises. When the relationships between some financial ratios and labor productivity, it is seen that there is a nonparametric relationship between labor productivity and return on sales. In addition, the distribution of labor productivity of enterprises is right-skewed. If the dependent distribution is skewed, the quantile regression is more suitable for this data. Hence, the nonparametric relationship between labor productivity and return on sales by quantile smoothing splines.

Keywords: quantile regression, smoothing spline, labor productivity, financial ratios

Procedia PDF Downloads 287

Authors: Nabil Elkhatri, Mohamed Louay Metougui, Ngonidzashe Chirinda

Abstract:

Mining activities have left a legacy of degraded landscapes, prompting urgent efforts for ecological restoration. Reforestation holds promise as a potent tool to rehabilitate these old mining sites, with the potential to sequester carbon and contribute to climate change mitigation. This study focuses on evaluating the carbon stock and sequestration potential of reforestation species in the context of Morocco's mining areas, employing the DeNitrification-DeComposition (DNDC) model. The research is grounded in recognizing the need to connect theoretical models with practical implementation, ensuring that reforestation efforts are informed by accurate and context-specific data. Field data collection encompasses growth patterns, biomass accumulation, and carbon sequestration rates, establishing an empirical foundation for the study's analyses. By integrating the collected data with the DNDC model, the study aims to provide a comprehensive understanding of carbon dynamics within reforested ecosystems on old mining sites. The major findings reveal varying sequestration rates among different reforestation species, indicating the potential for species-specific optimization of reforestation strategies to enhance carbon capture. This research's significance lies in its potential to contribute to sustainable land management practices and climate change mitigation strategies. By quantifying the carbon stock and sequestration potential of reforestation species, the study serves as a valuable resource for policymakers, land managers, and practitioners involved in ecological restoration and carbon management. Ultimately, the study aligns with global objectives to rejuvenate degraded landscapes while addressing pressing climate challenges.

Keywords: carbon stock, carbon sequestration, DNDC model, ecological restoration, mining sites, Morocco, reforestation, sustainable land management.

Procedia PDF Downloads 59