Search results for: liquidity timing ability

Authors: Soumaya Ben Kheilifa, Dorra Mezzez Hmaied

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We propose two approaches to examine whether European hedge fund managers can time market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity timing. More importantly, this ability adds economic value to investors. Thus, it represents valuable managerial skill and a major source of European hedge funds’ performance. Also we show that the majority of these funds demonstrate liquidity timing ability especially during liquidity crisis. Finally, it emerged that our main evidence of liquidity timing remains significant after controlling for market timing and volatility timing.

Keywords: european hedge funds, liquidity timing ability, market liquidity, crisis

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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: Fatai O. Bakare

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This paper x-rays the liquidity problems exposed to by Islamic banks in terms of challenges in managing surplus as well as deficit liquidity positions and the attendant effects in the contemporary system of Islamic banking. Effective liquidity management is understood to be a cardinal consideration for sustainability of Islamic/non-interest banking in Nigeria and the world over. While a background is laid by considering the general situations at a global scale, a particular attention is devoted to the peculiar circumstances of the non-interest banking in Nigeria. In bring home the points various efforts of major notable supra-national institutions in bridging liquidity management gap in Islamic banks are presented. While it is believed that a good lesson could be learnt from the developmental phases of Malaysian Islamic banking system and the approaches to meeting its liquidity management problems, much emphasis is laid in maintaining that, although in the absence of political will to provide systemic support for non-interest banking in Nigeria, the challenge of liquidity management is not unsurmountable.

Keywords: deficit, liquidity management, non-interest, surplus

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Authors: Bel Abed Ines Mariem

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

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

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Authors: Tadele Tesfay Teame, Tsegaye Abrehame, Hágen István Zsombor

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Liquidity is one of the main concerns for banks, and thus achieving the optimum level of liquidity is critical. The main objective of this study is to discover the driving force of selected private commercial banks’ liquidity. In order to achieve the objective explanatory research design and quantitative research approach were used. Data has been collected from a secondary source of the sampled Ethiopian private commercial banks’ financial statements, the National Bank of Ethiopia, and the Minister of Finance, the sample covering the period from 2011 to 2022. Bank-specific and macroeconomic variables were analyzed by using the balanced panel fixed effect regression model. Bank’s liquidity ratio is measured by the total liquid asset to total deposits. The findings of the study revealed that bank size, capital adequacy, loan growth rate, and non-performing loan had a statistically significant impact on private commercial banks’ liquidity, and annual inflation rate and interest rate margin had a statistically significant impact on the liquidity of Ethiopian private commercial banks measured by L1 (bank liquidity). Thus, banks in Ethiopia should not only be concerned about internal structures and policies/procedures, but they must consider both the internal environment and the macroeconomic environment together in developing their strategies to efficiently manage their liquidity position and private commercial banks to maintain their financial proficiency shall have bank liquidity management policy by assimilating both bank-specific and macro-economic variables.

Keywords: liquidity, Ethiopian private commercial banks, liquidity ratio, panel data regression analysis

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Authors: Lianne M. Q. Lee, Mohammed Sharaf Shaiban

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The importance of bank liquidity management took center stage as policy makers promoted a more resilient global banking system after the market turmoil of 2007. The growing recognition of Islamic banks’ function of intermediating funds in the economy warrants the need to investigate its balance sheet structure which is distinct from its conventional counterparts. Given that asymmetric risk, transformation is inevitable; Islamic banks need to identify the liquidity risk within their distinctive balance sheet structure. Thus, there is a strong need to quantify and assess the liquidity position to ensure proper functioning of a financial institution. It is vital to measure bank liquidity because liquid banks face less liquidity risk. We examine this issue by using two alternative quantitative measures of liquidity creation “cat fat” and “cat nonfat” constructed by Berger and Bouwman (2009). “Cat fat” measures all on balance sheet items including off balance sheet, whilst the latter measures only on balance sheet items. Liquidity creation is measured over the period 2007-2014 in 14 countries where Islamic and conventional commercial banks coexist. Also, separately by bank size class as empirical studies have shown that liquidity creation varies by bank size. An interesting and important finding shows that all size class of Islamic banks, on average have increased creation of aggregate liquidity in real dollar terms over the years for both liquidity creation measures especially for large banks indicating that Islamic banks actually generates more liquidity to the economy compared to its conventional counterparts, including from off-balance sheet items. The liquidity creation for off-balance sheets by conventional banks may have been affected by the global financial crisis when derivatives markets were severely hit. The results also suggest that Islamic banks have the higher volume of assets and deposits and that borrowing/issues of bonds are less in Islamic banks compared to conventional banks because most products are interest-based. As Islamic banks appear to create more liquidity than conventional banks under both measures, it translates that the development of Islamic banking is significant over the decades since its inception. This finding is encouraging as, despite Islamic banking’s overall size, it represents growth opportunities for these countries.

Keywords: financial institution, liquidity creation, liquidity risk, policy and regulation

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Authors: Ugbor Raphael Oluchukwu

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Focusing on liquidity comes more naturally to a Chief Executive Officer than an Accountant who is trained to practice accrual accounting. When business is just commencing, it is essentially run on a cheque book (cash accounting) and for as long as there is cash in the accounts, the business is solvent. When complexity sets in and the business adopts financial accounting, the effect of liquidity and cash management becomes more pronounced. The management of cash no doubts impacts positively on the survival and growth of firms. What is in doubt is the amount of cash to be held by a firm as enough cash to enable the firm stay “afloat”. The focus of this paper is to determine liquidity and cash management in business, the Nigerian case. The specific objectives of the study are to do a theoretical review of the amount of cash to be held by a firm as enough cash to enable it stay afloat and to do a theoretical analysis to show the effect of cash flow on the survival and growth of firms in Nigeria.

Keywords: cash, firm survival, growth, liquidity management

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Authors: Ugbor Raphael Oluchukwu

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The survey research design was adopted to examine whether liquidity and cash management practices of owner-managed firms in South East Nigeria influence their profitability, growth and survival. Four independent variables (accounting systems, working capital management, budgetary control, and managerial planning) were used in the evaluation which was restricted to eight small firms. Results indicate that one variable, working capital management alone dominate the liquidity perception of owner managers. As a result, owner managers find it difficult to meet maturing business obligations as growth sets in. The study also reveals that the four independent variables have significant impact on the profitability, growth and survival of owner managed firms. Owner managers are therefore advised to undertake regular entrepreneurship training in order to upgrade their liquidity and cash management knowledge and practices to enhance their overall performance.

Keywords: liquidity management, owner-managed firm, profitability, survival

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Authors: Karolina Patora

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This article investigates liquidity risk management by banks, which has gained significant importance since the global financial crisis of 2008. The issue is of particular interest for countries like Poland, in which foreign capital plays a dominant role. Such an ownership structure poses certain risks to the local banking sector, which faces an increased probability of the withdrawal of funding or assets’ transfers abroad in case of a crisis. Both these factors can have a detrimental influence on the liquidity position of foreign-owned banks and hence negatively affect the financial stability of the whole banking sector. The aim of this study is to evaluate the impact of a dominating share of foreign investors in the Polish banking sector on the liquidity position of commercial banks. The study hypothesizes that the ownership structure of the Polish banking sector, in which there are banks predominantly controlled by foreign investors, does not pose a threat to the liquidity position of Polish banks. A supplementary research hypothesis is that the liquidity risk profile of foreign-owned banks differs from that of domestic banks. The sample consists of 14 foreign-owned banks and 5 domestic banks owned by local investors, which together constitute approximately 87% of the banking sector’s assets. The data covers the period of 2004–2014. The results of the regression models show no evidence of significant differences in terms of the dynamics of changes of the liquidity buffers between the foreign-owned and domestic banks, although the signs of the coefficients might suggest that the foreign-owned banks were decreasing the holdings of liquid assets at a slower pace over the examined period, compared to the domestic banks. However, no proof of the statistical significance of these findings has been found. The supplementary research hypothesis that the liquidity risk profile of foreign-controlled banks differs from that of domestic banks was rejected.

Keywords: foreign-owned banks, liquidity position, liquidity risk, financial stability

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Authors: Sadia Bibi, Karim Ullah

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Islamic banks have excess liquidity, which needs proper management to earn a high rate of return on them to remain competitive. However, they lack assets-backed avenues and rely on a few sukuks, which led them to liquidity management issues. Financial engineering comes forward to innovate and develop instruments for the requisite financial problem. Still, they face many challenges, explored in the context of liquidity management in Islamic banks. The rigorous literature review shows that Shariah compliance, competition from the conventional banks, lack of sufficient instruments, derivatives are still not accepted as legitimate products, the inter-bank market being less developed, and no possibility of lender of last resort is the six significant constraints to financial engineering for liquidity management of Islamic banks. To further explore the problem, a multiple case study strategy is used to extend and develop the theory with the philosophical stance of social constructivism. Narrative in-depth interviews over the telephone are conducted with key personnel at treasury departments of selected banks. Data is segregated and displayed using NVivo 11 software, and the thematic analysis approach identifies themes related to the constraints. The exploration of further constraints to financial engineering for liquidity management of Islamic banks achieves the research aim. The theory is further developed by the addition of three more constraints to the theoretical framework, which are i) lack of skilled human resources, ii) lack of unified vision, and iii) lack of government support to the Islamic banks. These study findings are fruitful for the use of the government, regulatory authorities of the banking sector, the State Bank of Pakistan (Central Bank), and the product design & development division of Islamic banks to make the financial engineering process feasible and resolve liquidity management issues of Islamic banks.

Keywords: financial engineering, liquidity management, Islamic banks, shariah compliance

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Authors: Settana M. Abdulh, Naila A. Sadalla, Yaseen H. Taha, Howaida Elshoush

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Side channel attacks are based on side channel information, which is information that is leaked from encryption systems. This includes timing information, power consumption as well as electromagnetic or even sound leaking which can exploited by an attacker. Implementing side channel attacks are possible if and only if an attacker has access to a cryptosystem. In this case, the attacker can exploit bad implementation in software or hardware which is not controlled by encryption implementer. Thus, he/she will represent a real threat to the security system. Several countermeasures have been proposed to eliminate side channel information vulnerability.Cache timing attack is a special type of side channel attack. Here, timing information is collected and analyzed by an attacker to guess sensitive information such as encryption key or plaintext. This paper reviews the technique applied in this attack and surveys the countermeasures against it, evaluating the feasibility and usability of each. Based on this evaluation, finally we pose several recommendations about using these countermeasures.

Keywords: AES algorithm, side channel attack, cache timing attack, cache timing countermeasure

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Authors: Byomakesh Debata, Jitendra Mahakud

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The recent financial crisis has been characterized by massive monetary policy interventions by the Central bank, and it has amplified the importance of liquidity for the stability of the stock market. This paper empirically elucidates the actual impact of monetary policy interventions on stock market liquidity covering all National Stock Exchange (NSE) Stocks, which have been traded continuously from 2002 to 2015. The present study employs a multivariate VAR model along with VAR-granger causality test, impulse response functions, block exogeneity test, and variance decomposition to analyze the direction as well as the magnitude of the relationship between monetary policy and market liquidity. Our analysis posits a unidirectional relationship between monetary policy (call money rate, base money growth rate) and aggregate market liquidity (traded value, turnover ratio, Amihud illiquidity ratio, turnover price impact, high-low spread). The impulse response function analysis clearly depicts the influence of monetary policy on stock liquidity for every unit innovation in monetary policy variables. Our results suggest that an expansionary monetary policy increases aggregate stock market liquidity and the reverse is documented during the tightening of monetary policy. To ascertain whether our findings are consistent across all periods, we divided the period of study as pre-crisis (2002 to 2007) and post-crisis period (2007-2015) and ran the same set of models. Interestingly, all liquidity variables are highly significant in the post-crisis period. However, the pre-crisis period has witnessed a moderate predictability of monetary policy. To check the robustness of our results we ran the same set of VAR models with different monetary policy variables and found the similar results. Unlike previous studies, we found most of the liquidity variables are significant throughout the sample period. This reveals the predictability of monetary policy on aggregate market liquidity. This study contributes to the existing body of literature by documenting a strong predictability of monetary policy on stock liquidity in an emerging economy with an order driven market making system like India. Most of the previous studies have been carried out in developing economies with quote driven or hybrid market making system and their results are ambiguous across different periods. From an eclectic sense, this study may be considered as a baseline study to further find out the macroeconomic determinants of liquidity of stocks at individual as well as aggregate level.

Keywords: market liquidity, monetary policy, order driven market, VAR, vector autoregressive model

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Authors: Maximilian Winkens, Matthias Goerke

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The state-oriented maintenance enables the preventive intervention before the failure of a component and guarantees avoidance of expensive breakdowns. Because the timing of the maintenance is defined by the component’s state, the remaining service life can be exhausted to the limit. The basic requirement for the state-oriented maintenance is the ability to define the component’s state. New potential for this is offered by gentelligent components. They are developed at the Corporative Research Centre 653 of the German Research Foundation (DFG). Because of their sensory ability they enable the registration of stresses during the component’s use. The data is gathered and evaluated. The methodology developed determines the current state of the gentelligent component based on the gathered data. This article presents this methodology as well as current research. The main focus of the current scientific work is to improve the quality of the state determination based on the life-cycle data analysis. The methodology developed until now evaluates the data of the usage phase and based on it predicts the timing of the gentelligent component’s failure. The real failure timing though, deviate from the predicted one because the effects from the production phase aren’t considered. The goal of the current research is to develop a methodology for state determination which considers both production and usage data.

Keywords: state-oriented maintenance, life-cycle data, gentelligent component, preventive intervention

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Authors: Ann Rousseau, Steven Eggermont

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The current study sought to explain pre-adolescents’ differential susceptibility to the internalization of mediated appearance ideals, using a three-wave panel survey of preadolescent girls and boys (N = 973, Mage = 11.14). Based on the premises of objectification theory and sexual script theory, we proposed a double role for pubertal timing and cross-sex interactions in preadolescents’ media internalization. More specifically, we expected pubertal timing and cross-sex interactions to (a) trigger higher levels of media internalization, directly and indirectly via body surveillance, and (b) positively moderate the relationship between objectifying media exposure and girls’ and boys’ media internalization. A first cross-lagged model tested whether the pubertal timing and cross-sex interactions could trigger preadolescents media internalization and body surveillance. Structural equation analysis indicated that pubertal timing (Wave1) positively predicted body surveillance and media internalization (both Wave3). Cross-sex involvement (Wave1) was positively linked to media internalization (Wave2), but body surveillance (Wave2) was not associated with cross-sex interactions. Results also showed a reciprocal interaction between media internalization (Wave 2 and 3) and body surveillance (Wave2 and 3). Multiple group analysis showed that the observed relationships did not vary by gender. A second moderated moderation model examined whether (a) the relationship between objectifying media exposure (television and magazines, both Wave1) and media internalization (Wave3) depended on pubertal timing (Wave1), and (b) the two-way interaction between objectifying media exposure (Wave1) and pubertal timing (Wave1) varied depending on cross-sex interactions (Wave1). Results revealed that cross-sex interactions functioned as a buffer against media internalization. For preadolescents who had fewer cross-sex interactions, early puberty (relative to peers) positively moderated the relationship between magazine exposure and the internalization of mediated appearance ideals. No significant relationships were found for television. Again, no gender difference could be observed. The present study suggests a double role for pubertal timing and cross-sex interactions in preadolescents media internalization, and indicate that early developers with few cross-sex experiences are particularly vulnerable for media internalization. Additionally, the current findings suggest that there is relative gender equity in magazines’ ability to cultivate media internalization among preadolescents.

Keywords: cross-sex interactions, media effects, objectification theory, pubertal timing

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Authors: Toufic Abd El-Latif Sadek

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The Asphalt object represents the asphalted areas, like roads. The best original data of thermal images occurred at a specific time during the days of the year, by preventing the gaps in times which give the close and same brightness from different objects, using seven sample objects, asphalt, concrete, metal, rock, dry soil, vegetation, and water. It has been found in this study a general timing equation for capturing satellite thermal images at different locations, depends on a fixed time the sunrise and sunset; Capture Time= Tcap =(TM*TSR) ±TS.

Keywords: asphalt, satellite, thermal images, timing equation

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Authors: Keunhong Chae, Seokho Yoon

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We address a new integer frequency offset (IFO) estimation scheme with an aid of a pilot for orthogonal frequency division multiplexing systems. After correlating each continual pilot with a predetermined scattered pilot, the correlation value is again correlated to alleviate the influence of the timing offset. From numerical results, it is demonstrated that the influence of the timing offset on the IFO estimation is significantly decreased.

Keywords: estimation, integer frequency offset, OFDM, timing offset

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Authors: Qing K. Zhu

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Very Large Scale Integration (VLSI) design becomes very complex due to the continuous integration of millions of gates in one chip based on Moore’s law. Designers have encountered numerous report files during design iterations using timing and noise analysis tools. This paper presented our work using data mining techniques combined with HTML tables to extract and represent critical timing/noise data. When we apply this data-mining tool in real applications, the running speed is important. The software employs table look-up techniques in the programming for the reasonable running speed based on performance testing results. We added several advanced features for the application in one industry chip design.

Keywords: VLSI design, data mining, big data, HTML forms, web, VLSI, EDA, timing, noise

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Authors: Nora Neuteboom

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This study investigates household financial behaviors during unemployment spells in the Netherlands using high-frequency transaction data through a event study specification integrating propensity score matching. In our specification, we contrasted treated individuals, who underwent job loss, with non-treated individuals possessing comparable financial characteristics. The initial onset of unemployment triggers a substantial surge in income, primarily attributed to transition payments, but swiftly drops post-unemployment, with unemployment benefits covering slightly over half of former salary earnings. Despite a re-employment rate of around half within six months, the treatment group experiences a persistent average monthly earnings reduction of approximately 600 EUR by month. Spending patterns fluctuate significantly, surging before unemployment due to transition payments and declining below non-treated individuals post-unemployment, indicating challenges to fully smooth consumption after job loss. Furthermore, our study disentangles the effects of transition payments and liquidity holdings on spending, revealing that transition payments exert a more pronounced and prolonged impact on consumption smoothing than liquidity holdings. Transition payments significantly stimulate spending, particularly in pin and iDEAL categories, contrasting a much smaller relative spending impact of liquidity holdings.

Keywords: household consumption, transaction data, big data, propensity score matching

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Authors: Toufic Abd El-Latif Sadek

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The asphalt object represents the asphalted areas like roads, and the concrete object represents the concrete areas like concrete buildings. The efficient extraction of asphalt and concrete objects from one satellite thermal image occurred at a specific time, by preventing the gaps in times which give the close and same brightness values between asphalt and concrete, and among other objects. So that to achieve efficient extraction and then better analysis. Seven sample objects were used un this study, asphalt, concrete, metal, rock, dry soil, vegetation, and water. It has been found that, the best timing for capturing satellite thermal images to extract the two objects asphalt and concrete from one satellite thermal image, saving time and money, occurred at a specific time in different months. A table is deduced shows the optimal timing for capturing satellite thermal images to extract effectively these two objects.

Keywords: asphalt, concrete, satellite thermal images, timing

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Authors: C. Recommandé, J. C. Blind, A. Clavel, R. Gourichon, V. Le Gal

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Simulations are developed in this paper with usual DSGE model equations. The model is based on simplified version of Smets-Wouters equations in use at European Central Bank which implies 10 macro-economic variables: consumption, investment, wages, inflation, capital stock, interest rates, production, capital accumulation, labour and credit rate, and allows take into consideration the banking system. Throughout the simulations, this model will be used to evaluate the impact of rate shocks recounting the actions of the European Central Bank during 2008.

Keywords: CC-LM, Central Bank, DSGE, liquidity shock, non-standard intervention

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Authors: Godwin Chigozie Okpara, Eugene Iheanacho

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This paper examined the dynamic behavior of stock market development and the growth of Nigerian economy. The variables; market capitalization ratio, turnover ratio and liquidity proxies by the ratio of market capitalization to gross domestic product were sourced and computed from the Nigerian stock exchange fact books and the CBN statistical bulletin of the Central Bank of Nigeria. The variables were tested and found stationary and cointregrated using the augumented Dickey Fuller unit root test and the Johnson cointegration test respectively. The dynamic behavior of the stock market development model was verified using the error correction model. The result shows that about 0.4l percent of the short run deviation is corrected every year and also reveals that market capitalization ratio and market liquidity are positive and significant function of economic growth. In other words market capitalization ratio and liquidity positively and significantly impact economic growth. Market development variables such as turnover ratio and market restriction can exert positive but insignificant impact on the growth of the economy suggesting that securities transaction relative to the size of the securities market are not high enough to significantly engender economic growth in Nigeria. In the light of this, the researchers recommend that the regulatory body as well as the government, should provide a conducive environment capable of encouraging the growth and development of the stock market. This if well articulated will enhance the market turnover and the growth of the economy.

Keywords: market capitalization ratio, turnover ratio, liquidity, unit root test, cointegration

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Authors: Azrul Azlan Iskandar Mirza

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The purpose of Funds Transfer Pricing (FTP) for Islamic Bank is to promote prudent liquidity risk-taking behavior of business units. The acquirer of stable deposits will be rewarded whilst a business unit that generates long-term assets will be charged for added liquidity funding risks. In the end, it promotes risk-adjusted pricing by incorporating profit rate risk and liquidity risk component in the product pricing. However, in the event of Shariah non-compliant (SNCE), FTP components will be examined in the rectification plan especially when Islamic banks need to purify the non-compliance income. The finding shows that the determination between actual and provision cost will defer the decision among Shariah committee in Islamic banks. This paper will review each of FTP components to ensure the classification of actual and provision costs reflect the decision on rectification process on SNCE. This will benefit future decision and its consistency of Islamic banks.

Keywords: fund transfer pricing, Islamic banking, Islamic finance, shariah non-compliant event

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Authors: Zahra Amirhosseini, Mahtab Nameni

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The aim of this study was to investigate the relationship between growth, beta, and Company's cash. We calculate cash as dependent variable and growth opportunity and beta as independent variables. This study was based on an analysis of panel data. Population of the study is the companies which listed in Tehran Stock exchange and a financial data of 215 companies during the period 2010 to 2015 have been selected as the sample through systematic sampling. The results of the first hypothesis showed there is a significant relationship between growth opportunities cash holdings. Also according to the analysis done in the second hypothesis, we determined that there is an inverse relation between company risk and cash holdings.

Keywords: growth, beta, liquidity, company

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Authors: C. M. Mat Isa, H. Mohd Saman, S. R. Mohd Nasir, A. Jaapar

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International market expansion involves a strategic process of market entry decision through which a firm expands its operation from domestic to the international domain. Hence, entry timing choices require the needs to balance the early entry risks and the problems in losing opportunities as a result of late entry into a new market. Questionnaire surveys administered to 115 Malaysian construction firms operating in 51 countries worldwide have resulted in 39.1 percent response rate. Factor analysis was used to determine the most significant factors affecting entry timing choices of the firms to penetrate the international market. A logistic regression analysis used to examine the firms’ entry timing choices, indicates that the model has correctly classified 89.5 per cent of cases as late movers. The findings reveal that the most significant factor influencing the construction firms’ choices as late movers was the firm factor related to the firm’s international experience, resources, competencies and financing capacity. The study also offers valuable information to construction firms with intention to internationalize their businesses.

Keywords: factors, early movers, entry timing choices, late movers, logistic regression model, principal axis factorial analysis, Malaysian construction firms

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Authors: Weizhi Zhong, Xiaoyi Lu, Lei Xu

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In order to solve the problem of inaccurate synchronization for distributed multiple-input multiple-output (MIMO) system in multipath environment, a golay pair aided timing synchronization method is proposed in this paper. A new synchronous training sequence based on golay pair is designed. By utilizing the aperiodic auto-correlation complementary property of the new training sequence, the fine timing point is obtained at the receiver. Simulation results show that, compared with the tradition timing synchronization approaches, the proposed algorithm can provide high accuracy in synchronization, especially under multipath condition.

Keywords: distributed MIMO system, golay pair, multipath, synchronization

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Authors: Haroon Mahmood, Christopher Gan, Cuong Nguyen

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Maturity transformation risk is highlighted as one of the major causes of recent global financial crisis. Basel III has proposed new liquidity regulations for transformation function of banks and hence to monitor this risk. Specifically, net stable funding ratio (NSFR) is introduced to enhance medium- and long-term resilience against liquidity shocks. Islamic banking is widely accepted in many parts of the world and contributes to a significant portion of the financial sector in many countries. Using a dataset of 68 fully fledged Islamic banks from 11 different countries, over a period from 2005 – 2014, this study has attempted to analyze various factors that may significantly affect the maturity transformation risk in these banks. We utilize 2-step system GMM estimation technique on unbalanced panel and find bank capital, credit risk, financing, size and market power are most significant among the bank specific factors. Also, gross domestic product and inflation are the significant macro-economic factors influencing this risk. However, bank profitability, asset efficiency, and income diversity are found insignificant in determining the maturity transformation risk in Islamic banking model.

Keywords: Basel III, Islamic banking, maturity transformation risk, net stable funding ratio

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Authors: Tytus Tulwin, Adam Majczak

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In aviation most important systems that impact the aircraft flight safety are duplicated. The ASz-62IR aircraft radial engine consists of two spark plugs powered by two separate magnetos. The relative difference in spark timing has an influence on the combustion process. The retardation of the second spark relative to the first spark was analyzed. The CFD simulation was developed as a multicycle transient model. Two independent spark sources imitate two flame fronts after an ignition period. It makes the combustion process shorter but only for certain range of second spark retardation. The model was validated by the in-cylinder pressure comparison. Combustion parameters were analyzed for different second spark retardation values. It was found that the most advantageous ignition timing in means of performance is simultaneous ignition. Nevertheless, for this engine the ignition time of the second spark plug is greatly retarded eliminating the advantageous performance influence. The reason behind this is maintaining high ignition certainty for all engine running conditions and for whole operating rpm range. In aviation the engine reliability is more important than its performance. Introducing electronic ignition system can yield from simultaneous ignition timing by increasing the engine performance and providing good reliability for all flight conditions. This work has been financed by the Polish National Centre for Research and Development, INNOLOT, under Grant Agreement No. INNOLOT/I/1/NCBR/2013.

Keywords: CFD, combustion, ignition, simulation, timing

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Authors: Mohamed Mohamed, Philip Bonello, Peter Russhard

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Blade Tip Timing (BTT) is a technology concerned with the estimation of both frequency and amplitude of rotating blades. A BTT system comprises two main parts: (a) the arrival time measurement system, and (b) the analysis algorithms. Simulators play an important role in the development of the analysis algorithms since they generate blade tip displacement data from the simulated blade vibration under controlled conditions. This enables an assessment of the performance of the different algorithms with respect to their ability to accurately reproduce the original simulated vibration. Such an assessment is usually not possible with real engine data since there is no practical alternative to BTT for blade vibration measurement. Most simulators used in the literature are based on a simple spring-mass-damper model to determine the vibration. In this work, a more realistic experimentally validated simulator based on the Finite Element (FE) model of a bladed disc (blisk) is first presented. It is then used to generate the necessary data for the assessment of different BTT algorithms. The FE modelling is validated using both a hammer test and two firewire cameras for the mode shapes. A number of autoregressive methods, fitting methods and state-of-the-art inverse methods (i.e. Russhard) are compared. All methods are compared with respect to both synchronous and asynchronous excitations with both single and simultaneous frequencies. The study assesses the applicability of each method for different conditions of vibration, amount of sampling data, and testing facilities, according to its performance and efficiency under these conditions.

Keywords: blade tip timing, blisk, finite element, vibration measurement

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Authors: Gaurav Gupta, Jitendra Mahakud

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This study focuses on the significance of internal financing constraints on the determination of corporate fixed investments in the case of Indian manufacturing companies. Financing constraints companies which have less internal fund or retained earnings face more transaction and borrowing costs due to imperfections in the capital market. The period of study is 1999-2000 to 2013-2014 and we consider 618 manufacturing companies for which the continuous data is available throughout the study period. The data is collected from PROWESS data base maintained by Centre for Monitoring Indian Economy Pvt. Ltd. Panel data methods like fixed effect and random effect methods are used for the analysis. The Likelihood Ratio test, Lagrange Multiplier test, and Hausman test results conclude the suitability of the fixed effect model for the estimation. The cash flow and liquidity of the company have been used as the proxies for the internal financial constraints. In accordance with various theories of corporate investments, we consider other firm specific variable like firm age, firm size, profitability, sales and leverage as the control variables in the model. From the econometric analysis, we find internal cash flow and liquidity have the significant and positive impact on the corporate investments. The variables like cost of capital, sales growth and growth opportunities are found to be significantly determining the corporate investments in India, which is consistent with the neoclassical, accelerator and Tobin’s q theory of corporate investment. To check the robustness of results, we divided the sample on the basis of cash flow and liquidity. Firms having cash flow greater than zero are put under one group, and firms with cash flow less than zero are put under another group. Also, the firms are divided on the basis of liquidity following the same approach. We find that the results are robust to both types of companies having positive and negative cash flow and liquidity. The results for other variables are also in the same line as we find for the whole sample. These findings confirm that internal financing constraints play a significant role for determination of corporate investment in India. The findings of this study have the implications for the corporate managers to focus on the projects having higher expected cash inflows to avoid the financing constraints. Apart from that, they should also maintain adequate liquidity to minimize the external financing costs.

Keywords: cash flow, corporate investment, financing constraints, panel data method

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Authors: Jie Zhang, Chaomin Zhang, Jihua Zhang, Haitong Li

Abstract:

Using the theory of optimal distinctiveness, this study examines the effects of conformity and differentiation within corporate social responsibility (CSR) practices on capital market performance. Analysing data from Chinese A-share listed firms from 2007 to 2022, this paper demonstrates that when firms conform to the expected scope of CSR, such behaviour enhances investor attention and market acceptance, thereby boosting stock liquidity. Conversely, emphasising differentiation in CSR practices more effectively mitigates stock price crash risk by addressing principal–agent problems and decreasing information asymmetry. This paper also investigates how organisational and environmental factors moderate the relationship between conformity and differentiation in CSR practices and their impact on capital market performance. The results also show that the influence of conformity on stock liquidity is accentuated in smaller firms and environments with stringent legal oversight. By contrast, the benefits of differentiation in reducing stock price crash risk are amplified in firms with robust corporate governance and markets characterised by high uncertainty.

Keywords: corporate social responsibility, social responsibility practices, capital market performance, optimal distinctiveness

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