Search results for: stock market anomalies

Authors: Admassu Addi, Sebesebe Demissew, Teshome Soromessa, Zemede Asfaw

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This study measures the carbon stock of the Moist Afromontane Gesha-Sayilem forest found in Gesha and Sayilem District in southwest Ethiopia. A stratified sampling method was used to identify the number of sampling point through the Global Positioning System. A total of 90 plots having nested plots to collect tree species and soil data were demarcated. The results revealed that the total carbon stock of the forest was 362.4 t/ha whereas the above ground carbon stock was 174.95t/ha, below ground litter, herbs, soil, and dead woods were 34.3,1.27, 0.68, 128 and 23.2 t/ha (up to 30 cm depth) respectively. The Gesha- Sayilem Forest is a reservoir of high carbon and thus acts as a great sink of the atmospheric carbon. Thus conservation of the forest through introduction REDD+ activities is considered an appropriate action for mitigating climate change.

Keywords: carbon sequestration, carbon stock, climate change, allometric, Ethiopia

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Authors: Hamid Rostami Jaz, Kamran Ameri Siahooei

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Up to now different methods have been used to forecast the index returns and the index rate. Artificial intelligence and artificial neural networks have been one of the methods of index returns forecasting. This study attempts to carry out a comparative study on the performance of different Radial Base Neural Network and Feed-Forward Perceptron Neural Network to forecast investment returns on the index. To achieve this goal, the return on investment in Tehran Stock Exchange index is evaluated and the performance of Radial Base Neural Network and Feed-Forward Perceptron Neural Network are compared. Neural networks performance test is applied based on the least square error in two approaches of in-sample and out-of-sample. The research results show the superiority of the radial base neural network in the in-sample approach and the superiority of perceptron neural network in the out-of-sample approach.

Keywords: exchange index, forecasting, perceptron neural network, Tehran stock exchange

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Authors: Changju Lee, Seungmo Ku, Sondo Kim, Woojin Chang

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How to detecting financial bubble? Addressing this simple question has been the focus of a vast amount of empirical research spanning almost half a century. However, financial bubble is hard to observe and varying over the time; there needs to be more research on this area. In this paper, we used abnormal difference between common stocks price and those preferred stocks price to explain financial bubble. First, we proposed the ‘W-index’ which indicates spread between common stocks and those preferred stocks in stock market. Second, to prove that this ‘W-index’ is valid for measuring financial bubble, we showed that there is an inverse relationship between this ‘W-index’ and S&P500 rate of return. Specifically, our hypothesis is that when ‘W-index’ is comparably higher than other periods, financial bubbles are added up in stock market and vice versa; according to our hypothesis, if investors made long term investments when ‘W-index’ is high, they would have negative rate of return; however, if investors made long term investments when ‘W-index’ is low, they would have positive rate of return. By comparing correlation values and adjusted R-squared values of between W-index and S&P500 return, VIX index and S&P500 return, and TED index and S&P500 return, we showed only W-index has significant relationship between S&P500 rate of return. In addition, we figured out how long investors should hold their investment position regard the effect of financial bubble. Using this W-index, investors could measure financial bubble in the market and invest with low risk.

Keywords: financial bubble detection, future return, forecasting, pairs trading, preferred stocks

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Authors: Feijoo E. Colomine Duran, Carlos E. Peñaloza Corredor

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There modeling component selection financial investment (Portfolio) a variety of problems that can be addressed with optimization techniques under evolutionary schemes. For his feature, the problem of selection of investment components of a dichotomous relationship between two elements that are opposed: The Portfolio Performance and Risk presented by choosing it. This relationship was modeled by Markowitz through a media problem (Performance) - variance (risk), ie must Maximize Performance and Minimize Risk. This research included the study and implementation of multi-objective evolutionary techniques to solve these problems, taking as experimental framework financial market equities Colombia Stock Exchange between 2009-2015. Comparisons three multiobjective evolutionary algorithms, namely the Nondominated Sorting Genetic Algorithm II (NSGA-II), the Strength Pareto Evolutionary Algorithm 2 (SPEA2) and Indicator-Based Selection in Multiobjective Search (IBEA) were performed using two measures well known performance: The Hypervolume indicator and R_2 indicator, also it became a nonparametric statistical analysis and the Wilcoxon rank-sum test. The comparative analysis also includes an evaluation of the financial efficiency of the investment portfolio chosen by the implementation of various algorithms through the Sharpe ratio. It is shown that the portfolio provided by the implementation of the algorithms mentioned above is very well located between the different stock indices provided by the Colombia Stock Exchange.

Keywords: finance, optimization, portfolio, Markowitz, evolutionary algorithms

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Authors: Morten Brøgger, Kim Wittchen

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Focus on reducing energy consumption in existing buildings at large scale, e.g. in cities or countries, has been increasing in recent years. In order to reduce energy consumption in existing buildings, political incentive schemes are put in place and large scale investments are made by utility companies. Prioritising these investments requires a comprehensive overview of the energy consumption in the existing building stock, as well as potential energy-savings. However, a building stock comprises thousands of buildings with different characteristics making it difficult to model energy consumption accurately. Moreover, the complexity of the building stock makes it difficult to convey model results to policymakers and other stakeholders. In order to manage the complexity of the building stock, building archetypes are often employed in building stock energy models (BSEMs). Building archetypes are formed by segmenting the building stock according to specific characteristics. Segmenting the building stock according to building type and building age is common, among other things because this information is often easily available. This segmentation makes it easy to convey results to non-experts. However, using a single archetypical building to represent all buildings in a segment of the building stock is associated with loss of detail. Thermal characteristics are aggregated while other characteristics, which could affect the energy efficiency of a building, are disregarded. Thus, using a simplified representation of the building stock could come at the expense of the accuracy of the model. The present study evaluates the accuracy of a conventional archetype-based BSEM that segments the building stock according to building type- and age. The accuracy is evaluated in terms of the archetypes’ ability to accurately emulate the average energy demands of the corresponding buildings they were meant to represent. This is done for the buildings’ energy demands as a whole as well as for relevant sub-demands. Both are evaluated in relation to the type- and the age of the building. This should provide researchers, who use archetypes in BSEMs, with an indication of the expected accuracy of the conventional archetype model, as well as the accuracy lost in specific parts of the calculation, due to use of the archetype method.

Keywords: building stock energy modelling, energy-savings, archetype

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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: Olumide J. Adedapo

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In this work, geothermal energy resource maps of the Niger Delta Basin were constructed using borehole thermal log data from over 300 deep wells. Three major geothermal anomalies were delineated and quantitatively interpreted in both onshore and offshore parts of the Niger Delta. The geothermal maps present the distribution of geothermal energy stored in the sedimentary rock mass in two ways: the accessible resources in depth interval 0-4000 m and static geothermal energy resources stored in the complete sedimentary infill of the basin (from the ground surface to the basement). The first map shows two major onshore anomalies, one in the north (with maximum energy values, 800 GJ/m2), another in the east to northeastern part (maximum energy values of 1250–1500 GJ/m2). Another two major anomalies occur offshore, one in the south with values of 750-1000 GJ/m2, occurring at about 100 km seawards and the other, in the southwest offshore with values 750-1250 GJ/m2, still at about 100 km from the shore. A second map of the Niger Delta shows a small anomaly in the northern part with the maximum value of 1500 GJ/m2 and a major anomaly occurring in the eastern part of the basin, onshore, with values of 2000-3500 GJ/m2. Offshore in the south and southwest anomalies in the total sedimentary rock mass occur with highest values up to 4000GJ/m2, with the southwestern anomaly extending west to the shore. It is much of interest to note the seaward–westward extension of these anomalies both in size, configuration, and magnitude for the geothermal energy in the total sedimentary thickness to the underlying basement. These anomalous fields show the most favourable locations and areas for further work on geothermal energy resources.

Keywords: geothermal energy, offshore, Niger delta, basin

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Authors: Meltem Gurunlu

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One of the central problems in corporate finance is the allocation of funds. This usually takes two forms: allocation of funds across firms in an economy or allocation of funds across projects or business units within a firm. The first one is typically related to the external markets (the bond market, the stock market, banks and finance companies) whereas the second form of the capital allocation is related to the internal capital markets in which corporate headquarters allocate capital to their business units. (within-group transfers, within-group credit markets, and within-group equity market). The main aim of this study is to investigate the nature of capital allocation dynamics by comparing the relevant studies carried out on external and internal capital markets with paying special significance to the business groups.

Keywords: internal capital markets, external capital markets, capital structure, capital allocation, business groups, corporate finance

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Authors: Charles-Olivier Amédée-Manesme, Benoit Faye, Eric Le Fur

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In this paper, the heterogeneity of the Bordeaux Legends 50 wine market price segment is addressed. For this purpose, quantile regression is applied – with market segmentation based on wine bottle price quantile – and the hedonic price of wine attributes is computed for various price segments of the market. The approach is applied to a major privately held data set which consists of approximately 30,000 transactions over the 2003–2014 period. The findings suggest that the relative hedonic prices of several wine attributes differ significantly among deciles. In particular, the elasticity coefficient of the expert ratings shows strong variation among prices. If - as suggested in the literature - expert ratings have a positive influence on wine price on average, they have a clearly decreasing impact over the quantiles. Finally, the lower the wine price, the higher the potential for price appreciation over time. Other variables such as chateaux or vintage are also shown to vary across the distribution of wine prices. While enhancing our understanding of the complex market dynamics that underlie Bordeaux wines’ price, this research provides empirical evidence that the QR approach adequately captures heterogeneity among wine price ranges, which simultaneously applies to wine stock, vintage and auctions’ house.

Keywords: hedonics, market segmentation, quantile regression, heterogeneity, wine economics

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Authors: Zane Turner, Kevin Labille, Susan Gauch

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Sentiment analysis is a broad and expanding field that aims to extract and classify opinions from textual data. Lexicon-based approaches are based on the use of a sentiment lexicon, i.e., a list of words each mapped to a sentiment score, to rate the sentiment of a text chunk. Our work focuses on predicting stock price change using a sentiment lexicon built from financial conference call logs. We present a method to generate a sentiment lexicon based upon an existing probabilistic approach. By using a domain-specific lexicon, we outperform traditional techniques and demonstrate that domain-specific sentiment lexicons provide higher accuracy than generic sentiment lexicons when predicting stock price change.

Keywords: computational finance, sentiment analysis, sentiment lexicon, stock movement prediction

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Authors: Zane Turner, Kevin Labille, Susan Gauch

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Sentiment analysis is a broad and expanding field that aims to extract and classify opinions from textual data. Lexicon-based approaches are based on the use of a sentiment lexicon, i.e., a list of words each mapped to a sentiment score, to rate the sentiment of a text chunk. Our work focuses on predicting stock price change using a sentiment lexicon built from financial conference call logs. We introduce a method to generate a sentiment lexicon based upon an existing probabilistic approach. By using a domain-specific lexicon, we outperform traditional techniques and demonstrate that domain-specific sentiment lexicons provide higher accuracy than generic sentiment lexicons when predicting stock price change.

Keywords: computational finance, sentiment analysis, sentiment lexicon, stock movement prediction

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Authors: Rebeca Ramirez Acosta, Sebastian Lenhoff

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Decision makers worldwide need to determine if the implementation of a new market mechanism will contribute to the sustainability and resilience of the power system. Due to smart grid technologies, new products in the distribution and transmission system can be traded; however, the impact of changing a market rule will differ between several regions. To test systematically those impacts, a market categorization has been compiled and organized in a smart grid market testing toolbox. This toolbox maps all actual energy products and sets the basis for running a co-simulation test with the new rule to be implemented. It will help to measure the impact of the new rule, based on the sustainable and resilience indicators.

Keywords: co-simulation, electricity market, smart grid market, market testing

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Authors: Vera Jancurova

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The financial theory is dominated by the believe that weekday effect has disappeared from current markets. The purpose of this article is to study anomalies, especially weekday effect, at real markets that disrupt the efficiency of financial markets. The research is based on the analyses of historical daily exchange rates of significant world indices to determine the presence of weekday effects on financial markets. The methodology used for the study is based on the analyzes of daily averages of particular indexes for different time periods. Average daily gains were analyzed for their whole time interval and then for particular five and ten years periods with the aim to detect the presence on current financial markets. The results confirm the presence of weekday effect at the most significant indices - for example: Nasdaq, S & P 500, FTSE 100 and the Hang Seng. It was confirmed that in the last ten years, the weekend effect disappeared from financial markets. However in last year’s the indicators show that weekday effect is coming back. The study shows that weekday effect has to be taken into consideration on financial markets, especially in the past years.

Keywords: indices, anomalies, behavioral finance, weekday effect

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Authors: A. Hidalgo, A. Desportes, E. Bonin, A. Kadaoui, T. Bouaricha

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Present paper is concerned with portfolio management with Black-Litterman (B-L) model. Considered stocks are exclusively limited to large companies stocks on US market. Results obtained by application of the model are presented. From analysis of collected Dow Jones stock data, remarkable explicit analytical expression of optimal B-L parameter τ, which scales dispersion of normal distribution of assets mean return, is proposed in terms of standard deviation of covariance matrix. Implementation has been developed in Matlab environment to split optimization in Markovitz sense from specific elements related to B-L representation.

Keywords: Black-Litterman, Markowitz, market data, portfolio manager opinion

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Authors: Bengan Simbarashe Manwere

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The entire African continent, comprising 55 countries, holds a 2% share of the global carbon market. The World Bank attributes the continent’s insignificant share and participation in the carbon market to the limited access to electricity. Approximately 800 million people spread across 47 African countries generate as much power as Spain, with a population of 45million. Only South Africa and North Africa have carbon-reduction investment opportunities on the continent and dominate the 2% market share of the global carbon market. On the back of the 2015 Paris Agreement, South Africa signed into law the Carbon Tax Act 15 of 2019 and the Customs and Excise Amendment Act 13 of 2019 (Gazette No. 4280) on 1 June 2019. By these laws, South Africa was ushered into the league of active global carbon market players. By increasing the cost of production by the rate of R120/tCO2e, the tax intentionally compels the internalization of pollution as a cost of production and, relatedly, stimulate investment in clean technologies. The first phase covered the 1 June 2019 – 31 December 2022 period during which the tax was meant to escalate at CPI + 2% for Scope 1 emitters. However, in the second phase, which stretches from 2023 to 2030, the tax will escalate at the inflation rate only as measured by the consumer price index (CPI). The Carbon Tax Act provides for carbon allowances as mitigation strategies to limit agents’ carbon tax liability by up to 95% for fugitive and process emissions. Although the June 2019 Carbon Tax Act explicitly makes provision for a carbon trading scheme (CTS), the carbon trading regulations thereof were only finalised in December 2020. This points to a delay in the establishment of a carbon trading scheme (CTS). Relatedly, emitters in South Africa are not able to benefit from the 95% reduction in effective carbon tax rate from R120/tCO2e to R6/tCO2e as the Johannesburg Stock Exchange (JSE) has not yet finalized the establishment of the market for trading carbon credits. Whereas most carbon trading schemes have been designed and constructed from the beginning as new tailor-made systems in countries the likes of France, Australia, Romania which treat carbon as a financial product, South Africa intends, on the contrary, to leverage existing trading infrastructure of the Johannesburg Stock Exchange (JSE) and the Clearing and Settlement platforms of Strate, among others, in the interest of the Paris Agreement timelines. Therefore the carbon trading scheme will not be constructed from scratch. At the same time, carbon will be treated as a commodity in order to align with the existing institutional and infrastructural capacity. This explains why the Carbon Tax Act is silent about the involvement of the Financial Sector Conduct Authority (FSCA).For South Africa, there is need to establish they equilibrium stability of the CTS. This is important as South Africa is an innovator in carbon trading and the successful trading of carbon credits on the JSE will lead to imitation by early adopters first, followed by the middle majority thereafter.

Keywords: carbon trading scheme (CTS), Johannesburg stock exchange (JSE), carbon tax act 15 of 2019, South Africa

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Authors: Lynmar M. Didal, Ramises G. Manzano Jr., Jacque Bon-Isaac C. Aboy

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This study analyzes the performance of global minimum variance and naive portfolios across different economic periods, using monthly stock returns from the Philippine Stock Exchange Index (PSEI), S&P 500, and Dow Jones Industrial Average (DOW). The performance is evaluated through the Sharpe ratio, Sortino ratio, Jensen’s Alpha, Treynor ratio, and Information ratio. Additionally, the study investigates the impact of short selling on portfolio performance. Six-time periods are defined for analysis, encompassing events such as the global financial crisis and the COVID-19 pandemic. Findings indicate that the Naive portfolio generally outperforms the GMV portfolio in the S&P 500, signifying higher returns with increased volatility. Conversely, in the PSEI and DOW, the GMV portfolio shows more efficient risk-adjusted returns. Short selling significantly impacts the GMV portfolio during mid-GFC and mid-COVID periods. The study offers insights for investors, suggesting the Naive portfolio for higher risk tolerance and the GMV portfolio as a conservative alternative.

Keywords: portfolio performance, global minimum variance, naïve portfolio, risk-adjusted metrics, short-selling

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Authors: Cameron Truong, Mikhail Bhatia, Yangyang Chen, Viet Nga Cao

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Using a sample of U.S. firms between 1996 and 2011, this paper documents a positive association between options trading volume and future stock price crash risk. This relation is evidently more pronounced among firms with higher information asymmetry, business uncertainty, and short-sale constraints. In a dichotomous cross-sectional setting, we also document that firms with options trading have higher future crash risk than firms without options trading. We further show in a difference-in-difference analysis that firms experience an increase in crash risk immediately after the listing of options. The results suggest that options traders are able of identifying bad news hoarding by management and choose to trade in a liquid options market in anticipation of future crashes.

Keywords: bad news hoarding, cross-sectional setting, options trading, stock price crash

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Authors: Yangrae Cho, Jinseok Kim, Yongtae Park

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Mobile app service ecosystem has been abruptly emerged, explosively grown, and dynamically transformed. In contrast with product markets in which product sales directly cause increment in firm’s income, customer’s usage is less visible but more valuable in service market. Especially, the market situation with cutthroat competition in mobile app store makes securing and keeping of users as vital. Although a few service firms try to manage their apps’ usage patterns by fitting on S-curve or applying other forecasting techniques, the time series approaches based on past sequential data are subject to fundamental limitation in the market where customer’s attention is being moved unpredictably and dynamically. We therefore propose a new conceptual approach for detecting usage pattern of mobile app service with Hidden Markov Model (HMM) which is based on the dual stochastic structure and mainly used to clarify unpredictable and dynamic sequential patterns in voice recognition or stock forecasting. Our approach could be practically utilized for app service firms to manage their services’ lifecycles and academically expanded to other markets.

Keywords: mobile app service, usage pattern, Hidden Markov Model, pattern detection

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Authors: Qiang Bu

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This paper compares the explanatory power of sentiment level and sentiment shock. The preliminary test results show that sentiment shock plays a more significant role in explaining stocks returns, including the raw return and abnormal return. We also find that sentiment shock beta has a higher statistical significance than sentiment beta. These finding sheds new light on the relationship between investor sentiment and stock returns.

Keywords: sentiment level, sentiment shock, explanatory power, abnormal stock return, beta

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Authors: Shpetim Rezniqi

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Financial Policies in the process of global crisis the current crisis has swept the world with special emphasis, most developed countries, those countries which have most gross -product world and you have a high level of living.Even those who are not experts can describe the consequences of the crisis to see the reality that is seen, but how far will it go this crisis is impossible to predict. Even the biggest experts have conjecture and large divergence, but agree on one thing: - The devastating effects of this crisis will be more severe than ever before and can not be predicted.Long time, the world was dominated economic theory of free market laws. With the belief that the market is the regulator of all economic problems. The market, as river water will flow to find the best and will find the necessary solution best. Therefore much less state market barriers, less state intervention and market itself is an economic self-regulation. Free market economy became the model of global economic development and progress, it transcends national barriers and became the law of the development of the entire world economy. Globalization and global market freedom were principles of development and international cooperation. All international organizations like the World Bank, states powerful economic, development and cooperation principles laid free market economy and the elimination of state intervention. The less state intervention much more freedom of action was this market- leading international principle. We live in an era of financial tragic. Financial markets and banking in particular economies are in a state of thy good, US stock markets fell about 40%, in other words, this time, was one of the darkest moments 5 since 1920. Prior to her rank can only "collapse" of the stock of Wall Street in 1929, technological collapse of 2000, the crisis of 1973 after the Yom Kippur war, while the price of oil quadrupled and famous collapse of 1937 / '38, when Europe was beginning World war II In 2000, even though it seems like the end of the world was the corner, the world economy survived almost intact. Of course, that was small recessions in the United States, Europe, or Japan. Much more difficult the situation was at crisis 30s, or 70s, however, succeeded the world. Regarding the recent financial crisis, it has all the signs to be much sharper and with more consequences. The decline in stock prices is more a byproduct of what is really happening. Financial markets began dance of death with the credit crisis, which came as a result of the large increase in real estate prices and household debt. It is these last two phenomena can be matched very well with the gains of the '20s, a period during which people spent fists as if there was no tomorrow. All is not away from the mouth of the word recession, that fact no longer a sudden and abrupt. But as much as the financial markets melt, the greater is the risk of a problematic economy for years to come. Thus, for example, the banking crisis in Japan proved to be much more severe than initially expected, partly because the assets which were based more loans had, especially the land that falling in value. The price of land in Japan is about 15 years that continues to fall. (ADRI Nurellari-Published in the newspaper "Classifieds"). At this moment, it is still difficult to çmosh to what extent the crisis has affected the economy and what would be the consequences of the crisis. What we know is that many banks will need more time to reduce the award of credit, but banks have this primary function, this means huge loss.

Keywords: globalisation, finance, crisis, recomandation, bank, credits

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Authors: Noha El Toukhy

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The ‘beauty is good” stereotype suggests that people perceive attractive people as having several positive characteristics. Likewise, an “anomalous-is-bad” stereotype is hypothesized to facilitate biases against people with anomalous or less attractive faces. Researchers integrated both into a stereotype content model, which is one of the frameworks used in this study to assess how facial anomalies influence people’s social attitudes and, specifically, people’s ratings of warmth and competence. The mind perception theory, as well as the assessment of animalistic and mechanistic dehumanization against facially anomalous people, are two further frameworks that we are using in this study. This study will test the hypothesis that people have negative attitudes towards people with facial anomalies. We also hypothesize that people have negative biases toward faces with visible differences compared to faces without such differences regardless of the specific type of anomaly, as well as that individual differences in psychological dispositions bear on the expression of the anomalous-is-bad stereotype. Using highly controlled and some never-before-used face stimuli, this pre-registered study examines whether moral character influences perceptions of attractiveness, warmth, and competence for facial anomalies.

Keywords: adolescents, attractiveness, competence, social attitudes, warmth

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Authors: Ogunwole Cecilia Oluwakemi, Wahid Damilola Olanipekun, Omoyele Olufemi Samuel, Timothy Ayomitunde Aderemi

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The issues relating to corporate governance in both locally and internationally managed firms cannot be overemphasized because the lack of efficient corporate governance could orchestrate serious problems in any organization. Against this backdrop, this study examines the nexus between corporate governance and performance of firms from 2012 to 2020, using the case study of the Nigerian stock exchange. Consequently, data was collected from forty (40) listed firms on the Nigerian Stock Exchange. The study employed a fixed effect technique of estimation to address the objective of the study. It was discovered from the study that the influence of corporate governance components such as gender diversity, board independence and managerial ownership led to a significant positive impact on the performance of the firms under the investigation. In view of the above finding, this study makes the following recommendations for the policymakers in Nigeria that anytime the goal of the policymakers is the improvement of performance of the listed firms in the Nigerian stock exchange, board independence and a balance in the inclusion of male and female among the board of directors should be encouraged in these firms.

Keywords: corporate, governance, firms, performance, Nigeria, stock, exchange

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Authors: Fotis I. Giasemis, Alexandros Sopasakis

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This study focuses on detecting traffic anomalies using generative models applied to real-time observations. By integrating a Graph Neural Network with an attention-based mechanism within the Spatiotemporal Generative Adversarial Network framework, we enhance the capture of both spatial and temporal dependencies in traffic data. Leveraging minute-by-minute observations from cameras distributed across Gothenburg, our approach provides a more detailed and precise anomaly detection system, effectively capturing the complex topology and dynamics of urban traffic networks.

Keywords: traffic, anomaly detection, GNN, GAN

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Authors: Lindrianasari Stefanie, Aminah Khairudin

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This study aims to provide empirical evidence regarding the ability of Price to Earnings Ratio and PEG Ratio in predicting future stock returns issuers. The samples used in this study are stocks that go into LQ45. The main contribution is to assign empirical evidence if the PEG Ratio can provide optimum return compared to Price to Earnings Ratio. This study used a sample of the entire company into the group LQ45 with the period of observation. The data used is limited to the financial statements of a company incorporated in LQ45 period July 2013-July 2014, using the financial statements and the position of the company's closing stock price at the end of 2010 as a reference benchmark for the growth of the company's stock price compared to the closing price of 2013. This study found that the method of PEG Ratio can outperform the method of PE ratio in predicting future returns on the stock portfolio of LQ45.

Keywords: price to earnings growth, price to earnings ratio, future returns, stock price

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Authors: Norm Josephy, Lucy Kimball, Victoria Steblovskaya

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Hedging of a portfolio of European options under proportional transaction costs is considered. Our discrete time financial market model extends the binomial market model with transaction costs to the case where the underlying stock price ratios are distributed over a bounded interval rather than over a two-point set. An optimal hedging strategy is chosen from a set of admissible non-self-financing hedging strategies. Our approach to optimal hedging of a portfolio of options is based on theoretical foundation that includes determination of a no-arbitrage option price interval as well as on properties of the non-self-financing strategies and their residuals. A computational algorithm for optimizing an investor relevant criterion over the set of admissible non-self-financing hedging strategies is developed. Applicability of our approach is demonstrated using both simulated data and real market data.

Keywords: extended binomial model, non-self-financing hedging, optimization, proportional transaction costs

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Authors: Howard Chitimira

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The European Union (EU) was probably the first body to establish multinational anti-market abuse laws aimed at enhancing the detection and curbing of cross-border market abuse activities in its member states. Put differently, the EU Insider Dealing Directive was adopted in 1989 and was the first law that harmonised the insider trading ban among the EU member states. Thereafter, the European Union Directive on Insider Dealing and Market Manipulation (EU Market Abuse Directive) was adopted in a bid to improve and effectively discourage all the forms of market abuse in the EU’s securities and financial markets. However, the EU Market Abuse Directive had its own gaps and flaws. In light of this, the Market Abuse Regulation and the Criminal Sanctions for Market Abuse Directive were enacted to repeal and replace the EU Market Abuse Directive in 2016. The article examines the adequacy of the EU Market Abuse Directive and its implementation in the United Kingdom (UK) prior to the British exit (Brexit). This is done to investigate the possible implications of the Brexit referendum outcome of 23 June 2016 on the future regulation of market abuse in the UK.

Keywords: market abuse, insider trading, market manipulation, European Union, United Kingdom

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Authors: Adhitya Mangala, Yobel

Abstract:

Bittuang geothermal prospect area located at Tana Toraja district, South Sulawesi. The geothermal system of the area related to Karua Volcano eruption product. This area has surface manifestation such as fumarole, hot springs, sinter silica and mineral alteration. Those prove that there are hydrothermal activities in the subsurface. However, the project and development of the area have not implemented yet. One of the important elements in geothermal exploration is to determine upflow and outflow zone. This information very useful to identify the target for geothermal wells and development which it is a risky task. The methods used in this research were Mercury (Hg) anomalies in soil, soil and manifestation temperature distribution and fault fracture density from 93 km² research area. Hg anomalies performed to determine the distribution of hydrothermal alteration. Soil and manifestation temperature distribution were conducted to estimate heat distribution. Fault fracture density (FFD) useful to determine fracture intensity and trend from surface observation. Those deliver Hg anomaly map, soil and manifestation temperature map that combined overlayed to fault fracture density map and geological map. Then, the conceptual model made from north – south, and east – west cross section to delineate upflow and outflow zone in this area. The result shows that upflow zone located in northern – northeastern of the research area with the increase of elevation and decrease of Hg anomalies and soil temperature. The outflow zone located in southern - southeastern of the research area which characterized by chloride, chloride - bicarbonate geothermal fluid type, higher soil temperature, and Hg anomalies. The range of soil temperature distribution from 16 – 19 °C in upflow and 19 – 26.5 °C in the outflow. The range of Hg from 0 – 200 ppb in upflow and 200 – 520 ppb in the outflow. Structural control of the area show northwest – southeast trend. The boundary between upflow and outflow zone in 1550 – 1650 m elevation. This research delivers the conceptual model with innovative methods that useful to identify a target for geothermal wells, project, and development in Bittuang geothermal prospect area.

Keywords: Bittuang geothermal prospect area, Hg anomalies, soil temperature, upflow and outflow zone

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Authors: Juniarti, Agus Arianto Toly

Abstract:

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

Procedia PDF Downloads 141

Authors: Riyadh Jamegh, Alla Eldin Kassam, Sawsan Sabih

Abstract:

In order to overcome uncertainty conditions and inability to meet customers' requests due to these conditions, organizations tend to reserve a certain safety stock level (SSL). This level must be chosen carefully in order to avoid the increase in holding cost due to excess in SSL or shortage cost due to too low SSL. This paper used soft computing fuzzy logic to identify optimal SSL; this fuzzy model uses the dynamic concept to cope with high complexity environment status. The proposed model can deal with three input variables, i.e., demand stability level, raw material availability level, and on hand inventory level by using dynamic fuzzy logic to obtain the best SSL as an output. In this model, demand stability, raw material, and on hand inventory levels are described linguistically and then treated by inference rules of the fuzzy model to extract the best level of safety stock. The aim of this research is to provide dynamic approach which is used to identify safety stock level, and it can be implanted in different industries. Numerical case study in the dairy industry with Yogurt 200 gm cup product is explained to approve the validity of the proposed model. The obtained results are compared with the current level of safety stock which is calculated by using the traditional approach. The importance of the proposed model has been demonstrated by the significant reduction in safety stock level.

Keywords: inventory optimization, soft computing, safety stock optimization, dairy industries inventory optimization

Procedia PDF Downloads 126

Authors: S. M. Moustafa, A. Ezzat, Y. S. Taha, G. H. Hassib, S. Hamada

Abstract:

After the occurrence of 14, Nov, 1981 earthquake (M = 5.3), on Kalabska fault, south of Egypt, seismic stations distributed in and around the Kalabsha area, in order to monitoring, recording and studying the seismic activity in the area. In addition of that, from 1989 a number of piezometer wells drilled in the same area, distribed on at the both side of the active faults area and in different water bearing formations, in order to measuring the groundwater parameters (level, temperature, ph, and conductivity) to monitoring the relationship between those parameters and the seismic activity at Kalabsha area. The behavior of groundwater due to seismic activity over the world studied by several scientists i.e. H. Wakita (1979) on Izu-Oshima earthquake (M= 7.0) at Japan, M. E. Contadakis & G.asteriadis (1972), and Evans (1966), they found an anomalies on groundwater measurements prior, co, and post the occurrence of bigger earthquakes, referring to the probability of precursory evidence of impending earthquakes. In Kalabsha area south of Egypt, this study has been done using recorded seismic data, and the measurements of underground water parameters. same phenomena of anomalies founded on groundwater measurements pre, co. and post the occurrence of earthquakes with magnitude bigger than 3, and no systematic regularity exists for epicenter distance, duration of anomalies or time lag between anomalies appear and occurrence of events. Also the results found present strong relation between the groundwater in the upper unconfined aquifer Nubian Sandstone formation, and Kalabsha seismic activity, otherwise no relation between the seismic activities in the area with the deep groundwater in the lower confined aquifer Sandstone.

Keywords: seismicity, groundwater, Aswan, Egypt

Procedia PDF Downloads 382