Search results for: asymmetry volatility

Authors: Yegnanew A. Shiferaw

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Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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Authors: Vincenzo Russo, Rosella Giacometti

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The paper aims to assess the insurance industry's resilience under Solvency II against adverse scenarios. Starting from the economic balance sheet available under Solvency II for insurance and reinsurance undertakings, we assume that assets and liabilities follow a bivariate geometric Brownian motion (GBM). Then, using the results available under Margrabe's formula, we establish an analytical solution to calibrate the volatility of the asset-liability ratio. In such a way, we can estimate the probability of default and the probability of breaching the undertaking's Solvency Capital Requirement (SCR). Furthermore, since estimating the volatility of the Solvency Ratio became crucial for insurers in light of the financial crises featured in the last decades, we introduce a novel measure that we call Resiliency Ratio. The Resiliency Ratio can be used, in addition to the Solvency Ratio, to evaluate the insurance industry's resilience in case of adverse scenarios. Finally, we introduce a simplified stress test tool to evaluate the economic balance sheet under stressed conditions. The model we propose is featured by analytical tractability and fast calibration procedure where only the disclosed data available under the Solvency II public reporting are needed for the calibration. Using the data published regularly by the European Insurance and Occupational Pensions Authority (EIOPA) in an aggregated form by country, an empirical analysis has been performed to calibrate the model and provide the related results at the country level.

Keywords: Solvency II, solvency ratio, volatility of the asset-liability ratio, probability of default, probability to breach the SCR, resilience ratio, stress test

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

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A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic

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Authors: Yi-Tun Huang, Chih-Yang Wu, Shu-Wei Huang

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In this work, we examine fluid mixing in a full three-stream mixing channel with longitudinal vortex generators (LVGs) built on the channel bottom by numerical simulation and experiment. The effects of the asymmetrical arrangement and the attack angle of the LVGs on fluid mixing are investigated. The results show that the micromixer with LVGs at a small asymmetry index (defined by the ratio of the distance from the center plane of the gap between the winglets to the center plane of the main channel to the width of the main channel) is superior to the micromixer with symmetric LVGs and that with LVGs at a large asymmetry index. The micromixer using five mixing modules of the LVGs with an attack angle between 16.5 degrees and 22.5 degrees can achieve excellent mixing over a wide range of Reynolds numbers. Here, we call a section of channel with two pairs of staggered asymmetrical LVGs a mixing module. Besides, the micromixer with LVGs at a small attack angle is more efficient than that with a larger attack angle when pressure losses are taken into account.

Keywords: microfluidics, mixing, longitudinal vortex generators, two stream interfaces

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Authors: Vipin Kumar, Girish S. Setlur

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Graphene has been recognized as a promising 2D material with many new properties. However, pristine graphene is gapless which hinders its direct application towards graphene-based semiconducting devices. Graphene is a zero-gapp and linearly dispersing semiconductor. Massless charge carriers (quasi-particles) in graphene obey the relativistic Dirac equation. These Dirac fermions show very unusual physical properties such as electronic, optical and transport. Graphene is analogous to two-level atomic systems and conventional semiconductors. We may expect that graphene-based systems will also exhibit phenomena that are well-known in two-level atomic systems and in conventional semiconductors. Rabi oscillation is a nonlinear optical phenomenon well-known in the context of two-level atomic systems and also in conventional semiconductors. It is the periodic exchange of energy between the system of interest and the electromagnetic field. The present work describes the phenomenon of Rabi oscillations in graphene based systems. Rabi oscillations have already been described theoretically and experimentally in the extensive literature available on this topic. To describe Rabi oscillations they use an approximation known as rotating wave approximation (RWA) well-known in studies of two-level systems. RWA is valid only near conventional resonance (small detuning)- when the frequency of the external field is nearly equal to the particle-hole excitation frequency. The Rabi frequency goes through a minimum close to conventional resonance as a function of detuning. Far from conventional resonance, the RWA becomes rather less useful and we need some other technique to describe the phenomenon of Rabi oscillation. In conventional systems, there is no second minimum - the only minimum is at conventional resonance. But in graphene we find anomalous Rabi oscillations far from conventional resonance where the Rabi frequency goes through a minimum that is much smaller than the conventional Rabi frequency. This is known as anomalous Rabi frequency and is unique to graphene systems. We have shown that this is attributable to the pseudo-spin degree of freedom in graphene systems. A new technique, which is an alternative to RWA called asymptotic RWA (ARWA), has been invoked by our group to discuss the phenomenon of Rabi oscillation. Experimentally accessible current density shows different types of threshold behaviour in frequency domain close to the anomalous Rabi frequency depending on the system chosen. For single layer graphene, the exponent at threshold is equal to 1/2 while in case of bilayer graphene, it is computed to be equal to 1. Bilayer graphene shows harmonic (anomalous) resonances absent in single layer graphene. The effect of asymmetry and trigonal warping (a weak direct inter-layer hopping in bilayer graphene) on these oscillations is also studied in graphene systems. Asymmetry has a remarkable effect only on anomalous Rabi oscillations whereas the Rabi frequency near conventional resonance is not significantly affected by the asymmetry parameter. In presence of asymmetry, these graphene systems show Rabi-like oscillations (offset oscillations) even for vanishingly small applied field strengths (less than the gap parameter). The frequency of offset oscillations may be identified with the asymmetry parameter.

Keywords: graphene, Bilayer graphene, Rabi oscillations, Dirac fermion systems

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Authors: Maria Debora Braga, Luigi Riso, Maria Grazia Zoia

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Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap.

Keywords: risk parity, portfolio kurtosis, risk diversification, asset allocation

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Authors: Muhammad Ilham Agus Salim, Mohammad Ali

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In this article, we have elaborated a study over the nature of Islamic financial transaction by comparing between Dinar and IDR currency in Indonesia. We have found the interesting issue among scholars and practitioners in which Dinar would be a single currency ASEAN Economic Community (AEC), then becoming motivation and added value research. The assessment among dinar volatility analysis for three years ago and IDR fluctuation as well as outlook qualitative test regarding dinar are components of analysis that weak Indonesian currency should be altered to be better coinage. The value of dinar more stable than IDR and also eligible as a currency e.g. limited quantities, easy to carry, durable, easy to saved, and has the same quality. On the other hand, the existing of IDR has defeated by inflation. The EViews program explained that Dinar at current level still fluctuate, but in the first different have fixed variant. The result of analysis describing that dinar has potential as the medium exchange, because the material of dinar is relevant and feasible since 14 century until present. Therefore, dinar should be considered to solve Indonesia crisis today.

Keywords: medium of exchange, dinar & IDR currency, volatility analysis, EViews program

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Authors: Baoubadi Atozou, Koffi Akakpo

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Since the decade 2000, the use of foodstuffs such as corn, wheat, and soybeans in biofuel production has been growing sharply in the United States, Canada, and Europe. Thus, prices for these agricultural products are rising in the world market. These cereals are the most important source of calorific energy for West African Economic and Monetary Union (WAEMU) countries members’ population. These countries are highly dependent on imports of most of these products. Thereby, rising prices can have an important impact on import levels and consequently on food security in these countries. This study aims to analyze the interrelationship between the prices of these commodities and their volatilities, and their effects on imports of these agricultural products by each WAEMU ’country member. The Autoregressive Distributed Lag (ARDL) model, the GARCH Multivariate model, and the Granger Causality Test are used in this investigation. The results show that import levels are highly and significantly sensitive to price changes as well as their volatility. In the short term as well as in the long term, there is a significant relationship between the prices of these products. There is a positive relationship in general between price volatility. And these volatilities have negative effects on the level of imports. The market characteristics affect food security in these countries, especially access to food for vulnerable and low-income populations. The policies makers must adopt viable strategies to increase agricultural production and limit their dependence on imports.

Keywords: price volatility, import of agricultural products, food safety, WAEMU

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional g-Brownian motion, Taylor's series of fractional order, uncertain volatility

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Authors: Eyhab El-Kharashi, Maher El-Dessouki

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The paper is dedicated to precise assessment of the induction motor output energy during the unbalanced operation. Since many years ago and until now the voltage complex unbalance factor (CVUF) is used only to assess the output energy of the induction motor while this output energy for asymmetry supply voltage does not depend on the value of unbalanced voltage only but also on the machine parameters. The paper illustrates the variation of the two unbalance factors, complex voltage unbalance factor (CVUF) and impedance unbalance factor (IUF), with positive sequence voltage component, reveals that degree and manner of unbalance in supply voltage. From this point of view the paper delineates the current unbalance factor (CUF) to exactly reflect the output energy during unbalanced operation. The paper proceeds to illustrate the importance of using this factor in the multi-machine system to precise prediction of the output energy during the unbalanced operation. The use of the proposed unbalance factor (CUF) avoids the accumulation of the error due to more than one machine in the system which is expected if only the complex voltage unbalance factor (CVUF) is used.

Keywords: induction motor, electromagnetic torque, voltage unbalance, energy conversion

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Authors: Abdul Kader

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This paper attempts to investigate several contributory factors to recent volatility in the Islamic Banking sector of Bangladesh. In particular, the study explores corporate governance, credit management, credit regulations, inept board of directors, using religious sentiment as a means to deceive general people, and the degree of political interference as potential contributory factors. To find the correlation among different variables, semi-structured questionnaires were distributed among the clients, bank managers, some Banking scholars and ex-members of the board of directors of three Islamic Banks in Bangladesh. Later, ten interviews were collected from key informants to gain in-depth information about the present mismanagement of Islamic Banks in Bangladesh. After then, data were analyzed using statistical software and substantiated by secondary sources like newspapers, reports and investigative reports aired in screen media. The paper found a correlation between almost all contributory factors and recent unstable conditions in the Islamic banking sector. After performing regression analysis, this paper found a more significant relationship between some of the contributory factors with Banking volatility than others. For instance, credit management, inept board of directors, depriving customers of proving no profit in the name of business—no interest-- and political interference have a strong significant positive correlation with the present poor condition of Islamic Banking. This paper concludes that while internal management is important in recovering the losses, the government needs to ensure framing better policy for the Islamic Banking system, Central Bank needs to supervise and monitor all Islamic banks meticulously and loan receivers must go through the impartial evaluation and approved by the representatives of the Central Shariah Board. This paper also recommends that there is a need to strengthen the auditing system and improve regulatory oversight of the Islamic Banks in Bangladesh. Policy recommendations that this paper put forward could provide an outline for dealing with the existing challenging condition of Islamic Banks and these could be applied to similar problems in other countries where the Islamic Banking model exists.

Keywords: Islamic bank, volatility in banking sector, shariah law, credit management, political interference

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Authors: Rafat Alwazna

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Technical lexicon is witnessing a large upsurge in the use of new terminologies whose emergence is an inevitable result of the spread of high-quality technology, the existence of scientific paradigms and the fast growth of research in different disciplines. One important subfield of terminology is legal terminology, which forms a crucial part of legal studies, and whose translation from one legal system into another is deemed a formidable and arduous task that needs to be properly performed by legal translators. Indeed, the issue of untranslatability of legal terms, particularly between originally unrelated languages, like legal Arabic and legal English, has long been a real challenge in legal translation. It stems from the conceptual incongruency between legal terms of different legal languages, which are derived from different legal cultures and legal systems. Such conceptual asymmetry is owing to the fact that law has no universal reference and that legal language is what determines the degree of difference in conceptual correspondence. The present paper argues that although conceptual asymmetry, which is the main reason for the issue of untranslatability of legal terms, cannot be denied in legal translation, there exist certain translation techniques which, if properly adopted, would resolve the issue of untranslatability of legal terms and therefore achieve acceptable legal translation. Hence, the question of untranslatability of legal terms should no longer exist within the context of legal translation.

Keywords: conceptual incongruency, Legal terms, translation techniques, untranslatability

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Authors: Finbarr Murphy, Wei Xu, Xian Xu

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The embedding of digital technologies in the global economy has attracted increasing attention from economists. With a large and detailed dataset, this study examines the specific case where consumers have a choice between offline and digital channels in the context of insurance purchases. We find that digital channels screen consumers with lower unobserved risk. For the term life, endowment, and disease insurance products, the average risk of the policies purchased through digital channels was 75%, 21%, and 31%, respectively, lower than those purchased offline. As a consequence, the lower unobserved risk leads to weaker information asymmetry and higher profitability of digital channels. We highlight three mechanisms of the risk screening effect: heterogeneous marginal influence of channel features on insurance demand, the channel features directly related to risk control, and the link between the digital divide and risk. We also find that the risk screening effect mainly comes from the extensive margin, i.e., from new consumers. This paper contributes to three connected areas in the insurance context: the heterogeneous economic impacts of digital technology adoption, insurer-side risk selection, and insurance marketing.

Keywords: digital economy, information asymmetry, insurance, mobile application, risk screening

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Authors: Vithaya Intaraphimol

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This research investigates the effect of financial accounting information and non-financial accounting reports on corporate credibility via strength of board of directors and market environment volatility as moderating effect. Data in this research is collected by questionnaire form non-financial companies listed on the Stock Exchange of Thailand. Multiple regression statistic technique is chosen for analyzing the data. The empirical results find that firms with greater financial accounting information reports and non-financial accounting information reports will gain greater corporate credibility. Therefore, the corporate reporting has the value for the firms. Moreover, the strength of board of directors will positively moderate the financial and non-financial accounting information reports and corporate credibility relationship. Whereas, market environment volatility will negatively moderate the financial and nonfinancial accounting information reports and corporate credibility relationship.

Keywords: corporate credibility, financial and non-financial reports, firms performance, economics

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Authors: Tarik Bazgour, Cedric Heuchenne, Danielle Sougne

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We examine time variation in the market beta of portfolios sorted on quality, liquidity level and liquidity beta characteristics across stock market phases. Using US stock market data for the period 1970-2010, we find, first, the US stock market was driven by four regimes. Second, during the crisis regime, low (high) quality, high (low) liquidity beta and illiquid (liquid) stocks exhibit an increase (a decrease) in their market betas. This finding is consistent with the flight-to-quality and liquidity phenomena. Third, we document the same pattern across stocks when the market volatility is low. We argue that, during low volatility times, investors shift their portfolios towards low quality and illiquid stocks to seek portfolio gains. The pattern observed in the tranquil regime can be, therefore, explained by a flight-to-low-quality and to illiquidity. Finally, our results reveal that liquidity level is more important than liquidity beta during the crisis regime.

Keywords: financial crises, quality, liquidity, liquidity risk, regime-switching models

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Authors: Ameen Alshugaa, Abul Mansur Masih

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This paper sheds light on the economic impacts of political uncertainty caused by the civil uprisings that swept the Arab World and have been collectively known as the Arab Spring. Measuring documented effects of political uncertainty on regional stock market indices, we examine the impact of the Arab Spring on the volatility of stock markets in eight countries in the Middle East and North Africa (MENA) region: Egypt, Lebanon, Jordon, United Arab Emirate, Qatar, Bahrain, Oman and Kuwait. This analysis also permits testing the existence of financial contagion among equity markets in the MENA region during the Arab Spring. To capture the time-varying and multi-horizon nature of the evidence of volatility and contagion in the eight MENA stock markets, we apply two robust methodologies on consecutive data from November 2008 to March 2014: MGARCH-DCC, Continuous Wavelet Transforms (CWT). Our results indicate two key findings. First, the discrepancies between volatile stock markets of countries directly impacted by the Arab Spring and countries that were not directly impacted indicate that international investors may still enjoy portfolio diversification and investment in MENA markets. Second, the lack of financial contagion during the Arab Spring suggests that there is little evidence of cointegration among MENA markets. Providing a general analysis of the economic situation and the investment climate in the MENA region during and after the Arab Spring, this study bear significant importance for policy makers, local and international investors, and market regulators.

Keywords: Portfolio Diversification , MENA Region , Stock Market Indices, MGARCH-DCC, Wavelet Analysis, CWT

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Authors: Sayed Kifayat Shah, Tang Zhongjun, Arfa Tanveer

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This study explores the significant heatwave effect on stock return and volatility. Using an ARCH/GARCH approach, it examines the relationship between the heatwave of Karachi, Islamabad, and Lahore on the KSE-100 index. It also explores the impact of heatwave on returns of the pharmaceutical and electronics industries. The empirical results confirm that that stock return is positively related to the heat waves of Karachi, negatively related to that of Islamabad, and is not affected by the heatwave of Lahore. Similarly, pharmaceutical and electronics indices are also positively related to heatwaves. These differences in results can be ascribed to the change in the behavior of the residents of that city. The outcomes are useful for understanding an investor's behavior reacting to weather and fluxes in stock price related to heatwave severity levels. The results can support investors in fixing biases in behavior.

Keywords: ARCH/GARCH model, heat wave, KSE-100 index, stock market return

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Authors: Zahid Ahmad, Nosheen Imran, Nauman Ali, Farah Amir

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The objective of the study is to forecast the US Dollar and Pak Rupee exchange rate by using time series models. For this purpose, daily exchange rates of US and Pakistan for the period of January 01, 2007 - June 2, 2017, are employed. The data set is divided into in sample and out of sample data set where in-sample data are used to estimate as well as forecast the models, whereas out-of-sample data set is exercised to forecast the exchange rate. The ADF test and PP test are used to make the time series stationary. To forecast the exchange rate ARIMA model and GARCH model are applied. Among the different Autoregressive Integrated Moving Average (ARIMA) models best model is selected on the basis of selection criteria. Due to the volatility clustering and ARCH effect the GARCH (1, 1) is also applied. Results of analysis showed that ARIMA (0, 1, 1 ) and GARCH (1, 1) are the most suitable models to forecast the future exchange rate. Further the GARCH (1,1) model provided the volatility with non-constant conditional variance in the exchange rate with good forecasting performance. This study is very useful for researchers, policymakers, and businesses for making decisions through accurate and timely forecasting of the exchange rate and helps them in devising their policies.

Keywords: exchange rate, ARIMA, GARCH, PAK/USD

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Authors: Sohanur Rahman, Elisabeth Sinnewe, Larelle (Ellie) Chapple, Sarah Osborne

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Greater political attention to global climate change exposes firms to a higher level of political uncertainty, which can lead to adverse capital market consequences. However, a higher level of discourse on environment-specific political risk (EPR) between management and investors can mitigate information asymmetry, followed by less stock price crash risk. This study examines whether EPR discourse in discourse in the earnings conference calls (ECC) reduces firm-level stock price crash risk in the US market. This research also explores if adverse disclosures via media channels further moderates the association between EPR on crash risk. Employing a dataset of 28,933 firm-year observations from 2002 to 2020, the empirical analysis reveals that EPR discourse in ECC reduces future stock price crash risk. However, adverse disclosures via media channels can offset the favourable effect of EPR discourse on crash risk. The results are robust to the potential endogeneity concern in a quasi-natural experiment setting.

Keywords: earnings conference calls, environment, environment-specific political risk discourse, environmental disclosures, information asymmetry, reputation risk, stock price crash risk

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Authors: Anocha Rojanapanich

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This research investigates the effect of financial accounting information and non-financial accounting reports on corporate credibility via strength of board of directors and market environment volatility as moderating effect. Data in this research is collected by questionnaire form non-financial companies listed on the Stock Exchange of Thailand. Multiple regression statistic technique is used for analyzing the data. Results find that firms with greater financial accounting information reports and non-financial accounting information reports will gain greater corporate credibility. Therefore, the corporate reporting has the value for the firms. Moreover, the strength of board of directors will positively moderate the financial and non-financial accounting information reports and corporate credibility relationship. And market environment volatility will negatively moderate the financial and nonfinancial accounting information reports and corporate credibility relationship and the contribution of accounting information reports on corporate credibility is generated to the corporate image. That is the corporate image has affected by corporate credibility.

Keywords: corporate credibility, financial and non-financial reports, firms performance, corporate image

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Authors: Shantanu Vyas, Neerja Meena

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Facial infiltrating lipomatosis is a rare lipomatous lesion, first described by Slavin in 1983. It is a benign pseudotumor pathology. It corresponds to a non-encapsulated collection of mature adipocytes infiltrating the local tissue and hyperplasia of underlying bone leading to a craniofacial deformity. Very few cases have been reported in the literature. We report the case of a 19-year-old female patient, who was consulted for a swelling of the right hemiface progressively evolving since birth. Physical examination revealed facial asymmetry. On palpation, the mass was soft, painless, not compressible, not pulsatile, not fluctuating. In view of the asymptomatic nature and slow progression of the lesion, a lipomatous tumour, namely lipoma, was suggested. CT scan image shows a hyperplastic subcutaneous fat on the right hemiface. On the right jugal and temporal areas, there is a subcutaneous formation of fatty density, poorly limited, with no detectable peripheral capsule. It merges with the adjacent fat. In the bone window, there was a hyperplasia of underlying bone. Facial lipomatosis infiltration of the face is a benign pseudotumor pathology. As a result, it can be confused with other disorders, in particular, hemifacial hyperplasia. Combination of physical and radiological findings can establish the diagnosis. Surgical treatment is done for cosmetic purposes.

Keywords: cosmetic correction and facial assemetry, aesthetic results, facial infiltration, surgery

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Authors: Mohsun Rasim Alizada, Azar Inshalla Ahmdov

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Prompt photons are perhaps the most versatile tools for studying the dynamics of relativistic collisions of heavy ions. The study of photon radiation is of interest that in most hadron interactions, photons fly out as a background to other studied signals. The study of the birth of prompt photons in nucleon-nucleon collisions was previously carried out in experiments on Relativistic Heavy Ion Collider (RHIC) and the Large Hadron Collider (LHC). Due to the large energy of colliding nucleons, in addition to prompt photons, many different elementary particles are born. However, the birth of additional elementary particles makes it difficult to determine the accuracy of the effective section of the birth of prompt photons. From this point of view, the experiments planned on the Nuclotron-based Ion Collider Facility (NICA) complex will have a great advantage, since the energy obtained for colliding heavy ions will reduce the number of additionally born elementary particles. Of particular importance is the study of the processes of birth of prompt photons to determine the gluon leaving hadrons since the photon carries information about a rigid subprocess. At present, paper production of prompt photon in Compton scattering of quark-gluon and annihilation of quark–antiquark processes is investigated. The matrix elements Compton scattering of quark-gluon and annihilation of quark-antiquark pair processes has been written. The Square of matrix elements of processes has been calculated in FeynCalc. The phase volume of subprocesses has been determined. Expression to calculate the differential cross-section of subprocesses has been obtained: Given the resulting expressions for the square of the matrix element in the differential section expression, we see that the differential section depends not only on the energy of colliding protons, but also on the mass of quarks, etc. Differential cross-section of subprocesses is estimated. It is shown that the differential cross-section of subprocesses decreases with the increasing energy of colliding protons. Asymmetry coefficient with polarization of colliding protons is determined. The calculation showed that the squares of the matrix element of the Compton scattering process without and taking into account the polarization of colliding protons are identical. The asymmetry coefficient of this subprocess is zero, which is consistent with the literary data. It is known that in any single polarization processes with a photon, squares of matrix elements without taking into account and taking into account the polarization of the original particle must coincide, that is, the terms in the square of the matrix element with the degree of polarization are equal to zero. The coincidence of the squares of the matrix elements indicates that the parity of the system is preserved. The asymmetry coefficient of annihilation of quark–antiquark pair process linearly decreases from positive unit to negative unit with increasing the production of the polarization degrees of colliding protons. Thus, it was obtained that the differential cross-section of the subprocesses decreases with the increasing energy of colliding protons. The value of the asymmetry coefficient is maximal when the polarization of colliding protons is opposite and minimal when they are directed equally. Taking into account the polarization of only the initial quarks and gluons in Compton scattering does not contribute to the differential section of the subprocess.

Keywords: annihilation of a quark-antiquark pair, coefficient of asymmetry, Compton scattering, effective cross-section

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Authors: Fauzia Dianawati, Riska W. Purnomo

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Food and agricultural sector become the biggest sector contributing to inflation in Indonesia. Especially in Wonogiri district, red cayenne pepper was the biggest sector contributing to inflation on 2016. A national statistic proved that in recent five years red cayenne pepper has the highest average level of fluctuation among all commodities. Some factors, like supply chain, price disparity, production quantity, crop failure, and oil price become the possible factor causes high volatility level in red cayenne pepper price. Therefore, this research tries to find the key factor causing fluctuation on red cayenne pepper by using ARCH/GARCH method. The method could accommodate the presence of heteroscedasticity in time series data. At the end of the research, it is statistically found that the second level of supply chain becomes the biggest part contributing to inflation with 3,35 of coefficient in fluctuation forecasting model of red cayenne pepper price. This model could become a reference to the government to determine the appropriate policy in maintaining the price stability of red cayenne pepper.

Keywords: ARCH/GARCH, forecasting, red cayenne pepper, volatility, supply chain

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Authors: Bangkit Adhi Nugraha, Bambang Suripto

Abstract:

On September 2016 Bank Indonesia (BI) release regulation no.18/18/PBI/2016 that permit bank clients for using the FX option call spread USD/IDR. Basically, this product is a combination between clients buy FX call option (pay premium) and sell FX call option (receive premium) to protect against currency depreciation while also capping the potential upside with cheap premium cost. BI classifies this product as a structured product. The structured product is combination at least two financial instruments, either derivative or non-derivative instruments. The call spread is the first structured product against IDR permitted by BI since 2009 as response the demand increase from Indonesia firms on FX hedging through derivative for protecting market risk their foreign currency asset or liability. The composition of hedging products on Indonesian FX market increase from 35% on 2015 to 40% on 2016, the majority on swap product (FX forward, FX swap, cross currency swap). Swap is formulated by interest rate difference of the two currency pairs. The cost of swap product is 7% for USD/IDR with one year USD/IDR volatility 13%. That cost level makes swap products seem expensive for hedging buyers. Because call spread cost (around 1.5-3%) cheaper than swap, the most Indonesian firms are using NDF FX call spread USD/IDR on offshore with outstanding amount around 10 billion USD. The cheaper cost of call spread is the main advantage for hedging buyers. The problem arises because BI regulation requires the call spread buyer doing the dynamic hedging. That means, if call spread buyer choose strike price 1 and strike price 2 and volatility USD/IDR exchange rate surpass strike price 2, then the call spread buyer must buy another call spread with strike price 1’ (strike price 1’ = strike price 2) and strike price 2’ (strike price 2’ > strike price 1‘). It could make the premium cost of call spread doubled or even more and dismiss the purpose of hedging buyer to find the cheapest hedging cost. It is very crucial for the buyer to choose best optimum strike price before entering into the transaction. To help hedging buyer find the optimum strike price and avoid expensive multiple premium cost, we observe ten years 2005-2015 historical data of USD/IDR volatility to be compared with the price movement of the call spread USD/IDR using Garman–Kohlhagen Model (as a common formula on FX option pricing). We use statistical tools to analysis data correlation, understand nature of call spread price movement over ten years, and determine factors affecting price movement. We select some range of strike price and tenor and calculate the probability of dynamic hedging to occur and how much it’s cost. We found USD/IDR currency pairs is too uncertain and make dynamic hedging riskier and more expensive. We validated this result using one year data and shown small RMS. The study result could be used to understand nature of FX call spread and determine optimum strike price for hedging plan.

Keywords: FX call spread USD/IDR, USD/IDR volatility statistical analysis, Garman–Kohlhagen Model on FX Option USD/IDR, Bank Indonesia Regulation no.18/18/PBI/2016

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Authors: Debasis Mondal, Chandan Datta, S. K. Sazim

Abstract:

Quantum coherence is a key resource like entanglement and discord in quantum information theory. Wigner- Yanase skew information, which was shown to be the quantum part of the uncertainty, has recently been projected as an observable measure of quantum coherence. On the other hand, the quantum speed limit has been established as an important notion for developing the ultra-speed quantum computer and communication channel. Here, we show that both of these quantities are related. Thus, cast coherence as a resource to control the speed of quantum communication. In this work, we address three basic and fundamental questions. There have been rigorous attempts to achieve more and tighter evolution time bounds and to generalize them for mixed states. However, we are yet to know (i) what is the ultimate limit of quantum speed? (ii) Can we measure this speed of quantum evolution in the interferometry by measuring a physically realizable quantity? Most of the bounds in the literature are either not measurable in the interference experiments or not tight enough. As a result, cannot be effectively used in the experiments on quantum metrology, quantum thermodynamics, and quantum communication and especially in Unruh effect detection et cetera, where a small fluctuation in a parameter is needed to be detected. Therefore, a search for the tightest yet experimentally realisable bound is a need of the hour. It will be much more interesting if one can relate various properties of the states or operations, such as coherence, asymmetry, dimension, quantum correlations et cetera and QSL. Although, these understandings may help us to control and manipulate the speed of communication, apart from the particular cases like the Josephson junction and multipartite scenario, there has been a little advancement in this direction. Therefore, the third question we ask: (iii) Can we relate such quantities with QSL? In this paper, we address these fundamental questions and show that quantum coherence or asymmetry plays an important role in setting the QSL. An important question in the study of quantum speed limit may be how it behaves under classical mixing and partial elimination of states. This is because this may help us to choose properly a state or evolution operator to control the speed limit. In this paper, we try to address this question and show that the product of the time bound of the evolution and the quantum part of the uncertainty in energy or quantum coherence or asymmetry of the state with respect to the evolution operator decreases under classical mixing and partial elimination of states.

Keywords: completely positive trace preserving maps, quantum coherence, quantum speed limit, Wigner-Yanase Skew information

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Authors: Santi Termprasertsakul, Jakkrich Jearviriyaboonya

Abstract:

This paper studies the market power and pricing behavior of products in iron and steel industry by investigating the impact of vertical product differentiation (VPD) on exchange rate pass-through (ERPT). Vietnam has become one of the major trading partners of Thailand since 2017. The iron and steel export value to Vietnam is more than $300 million a year. Particularly, the average growth rate of importing iron and steel is approximately 30% per year. The VPD is applied to analyze the quality difference of iron and steel between Thailand and Vietnam. The 20 products in iron and steel industry are investigated. The monthly pricing behavior of Harmonized Commodity Description and Coding System 4-digit products is observed from 2010 to 2019. The Nonlinear Autoregressive Distributed Lag is also used to analyze the asymmetry of ERPT in this paper. The empirical results basically reveal an incomplete pass-through between Thai Baht and Vietnamese Dong. The ERPT also varies with the degree of VPD. The product with higher VPD, indicating higher unit values, has higher ERPT. This result suggests the higher market power of the Thai iron and steel industry. In addition, the asymmetry of ERPT exists.

Keywords: exchange rate pass-through, iron and steel industry, pricing behavior, vertical product differentiation

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Authors: Abderrazek Ben Maatoug, Ibrahim Fatnassi, Wassim Ben Ayed

Abstract:

In this paper we investigate the issue of market risk quantification for Middle East and North Africa (MENA) Islamic market equity. We use Value-at-Risk (VaR) as a measure of potential risk in Islamic stock market, for long and short position, based on Riskmetrics model and the conditional parametric ARCH class model volatility with normal, student and skewed student distribution. The sample consist of daily data for the 2006-2014 of 11 Islamic stock markets indices. We conduct Kupiec and Engle and Manganelli tests to evaluate the performance for each model. The main finding of our empirical results show that (i) the superior performance of VaR models based on the Student and skewed Student distribution, for the significance level of α=1% , for all Islamic stock market indices, and for both long and short trading positions (ii) Risk Metrics model, and VaR model based on conditional volatility with normal distribution provides the best accurate VaR estimations for both long and short trading positions for a significance level of α=5%.

Keywords: value-at-risk, risk management, islamic finance, GARCH models

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Authors: Wajid Mumtaz, Aamir Saeed Malik, Syed Saad Azhar Ali, Mohd Azhar Mohd Yasin

Abstract:

In this paper, a technique based on electroencephalogram (EEG) analysis is presented, aiming for diagnosing major depressive disorder (MDD) among a potential population of MDD patients and healthy controls. EEG is recognized as a clinical modality during applications such as seizure diagnosis, index for anesthesia, detection of brain death or stroke. However, its usability for psychiatric illnesses such as MDD is less studied. Therefore, in this study, for the sake of diagnosis, 2 groups of study participants were recruited, 1) MDD patients, 2) healthy people as controls. EEG data acquired from both groups were analyzed involving inter-hemispheric asymmetry and composite permutation entropy index (CPEI). To automate the process, derived quantities from EEG were utilized as inputs to classifier such as logistic regression (LR) and support vector machine (SVM). The learning of these classification models was tested with a test dataset. Their learning efficiency is provided as accuracy of classifying MDD patients from controls, their sensitivities and specificities were reported, accordingly (LR =81.7 % and SVM =81.5 %). Based on the results, it is concluded that the derived measures are indicators for diagnosing MDD from a potential population of normal controls. In addition, the results motivate further exploring other measures for the same purpose.

Keywords: major depressive disorder, diagnosis based on EEG, EEG derived features, CPEI, inter-hemispheric asymmetry

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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: Marco Barassi, Nicola Spagnolo

Abstract:

This paper uses a DCC-GARCH model framework to examine mean and volatility spillovers (i.e. causality in mean and variance) dynamics between financial centers and the stock market indexes of the BRICS countries. In addition, tests for changes in the transmission mechanism are carried out by first testing for structural breaks and then setting a dummy variable to control for the 2008 financial crises. We use weekly data for nine countries, four financial centers (Germany, Japan, UK and USA) and the five BRICS countries (Brazil, Russia, India, China and South Africa). Furthermore, we control for monetary policy using domestic interest rates (90-day Treasury Bill interest rate) over the period 03/1/1990 - 04/2/2014, for a total of 1204 observations. Results show that the 2008 financial crises changed the causality dynamics for most of the countries considered. The same pattern can also be observed in conditional correlation showing a shift upward following the turbulence associated to the 2008 crises. The magnitude of these effects suggests a leading role played by the financial centers in effecting Brazil and South Africa, whereas Russia, India and China show a higher degree of resilience.

Keywords: financial crises, DCC-GARCH model, volatility spillovers, economics

Procedia PDF Downloads 335