Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1065

Search results for: market return

1065 Are Asia-Pacific Stock Markets Predictable? Evidence from Wavelet-based Fractional Integration Estimator

Authors: Pei. P. Tan, Don. U.A. Galagedera, Elizabeth A.Maharaj

Abstract:

This paper examines predictability in stock return in developed and emergingmarkets by testing long memory in stock returns using wavelet approach. Wavelet-based maximum likelihood estimator of the fractional integration estimator is superior to the conventional Hurst exponent and Geweke and Porter-Hudak estimator in terms of asymptotic properties and mean squared error. We use 4-year moving windows to estimate the fractional integration parameter. Evidence suggests that stock return may not be predictable indeveloped countries of the Asia-Pacificregion. However, predictability of stock return insome developing countries in this region such as Indonesia, Malaysia and Philippines may not be ruled out. Stock return in the Thailand stock market appears to be not predictable after the political crisis in 2008.

Keywords: Asia-Pacific stock market, long-memory, return predictability, wavelet

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1064 Detecting Financial Bubbles Using Gap between Common Stocks and Preferred Stocks

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

Abstract:

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 bubbles, detection, preferred stocks, pairs trading, future return, forecast.

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1063 Assessing Relationship between Type of Financial Market and Market Indices in Tehran Stock Exchange

Authors: Zahra Amirhosseini, Alireza Bashiri

Abstract:

The aim of this study was to examine and identify the type of Iranian financial market in terms of being symmetrical or asymmetrical and to measure relationship between type of market and the market's indices. In this study, daily information on the market-s Share Price Index, Industrial Index and Top Fifty Most Active Companies during the years 1999-2010 has been used. In addition, to determine type of the financial market, rate of return on Security is taken into account. In this research, by using logistic regression analysis methods, relationship of the market type with the above mentioned indices have been examined. The results showed that the type of the financial market has a positive significant association with market share price index and Industrial Index. Index of Top Fifty Most Active Companies is significantly associated with type of financial market, however this relationship is inverse.

Keywords: All Share Price Index, Asymmetrical Market, Industrial Index, Symmetrical Market, Top Fifty Most Active Companies Index

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1062 An Investigation into the Role of Market Beta in Asset Pricing: Evidence from the Romanian Stock Market

Authors: Ioan Popa, Radu Lupu, Cristiana Tudor

Abstract:

In this paper, we apply the FM methodology to the cross-section of Romanian-listed common stocks and investigate the explanatory power of market beta on the cross-section of commons stock returns from Bucharest Stock Exchange. Various assumptions are empirically tested, such us linearity, market efficiency, the “no systematic effect of non-beta risk" hypothesis or the positive expected risk-return trade-off hypothesis. We find that the Romanian stock market shows the same properties as the other emerging markets in terms of efficiency and significance of the linear riskreturn models. Our analysis included weekly returns from January 2002 until May 2010 and the portfolio formation, estimation and testing was performed in a rolling manner using 51 observations (one year) for each stage of the analysis.

Keywords: Bucharest Stock Exchange, Fama-Macbeth methodology, systematic risk, non-linear risk-return dependence.

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1061 Comparative Analysis of Commercial Property and Stock-Market Investments in Nigeria

Authors: Bello Nurudeen Akinsola

Abstract:

The study analyzed the risk and returns of commercial-property in Southwestern Nigeria and selected stocksmarket investment between 2000 and 2009; compared the inflation hedging characteristics and diversification potentials of investing in commercial-property and selected stock- market investment. Primary data were collected on characteristics, rental and capital values of commercial- properties from their property managers through the use of questionnaire. Secondary data on stock prices and dividends on banking, insurance and conglomerates sectors were sourced from the Nigerian Stock Exchange (2000-2009). The result showed that average return on all the selected stock- investments was higher than that of commercial-property. As regards risk, commercial-property indicated lower risk, compared to stocks. Also the stock-investment had better inflation hedging capacity than commercial-properties; combination of both had diversification potentials. The study concluded that stock-market investment offered attractive higher return than commercial-property although with higher risk and there could be diversification benefits in combining commercial-property with stock- investment.

Keywords: Commercial-Property, Return, Risk, Stock Market

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1060 Information Transmission between Large and Small Stocks in the Korean Stock Market

Authors: Sang Hoon Kang, Seong-Min Yoon

Abstract:

Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that is larger than the good news volatility of the large stock market. By employing the Granger causality test, we found unidirectional return transmissions from the large stocks to medium and small stocks. This evidence indicates that pat information about the large stocks has a better ability to predict the returns of the medium and small stocks in the Korean stock market. Moreover, by using the asymmetric GARCH-BEKK model, we observed the unidirectional relationship of asymmetric volatility transmission from large stocks to the medium and small stocks. This finding suggests that volatility in the medium and small stocks following a negative shock in the large stocks is larger than that following a positive shock in the large stocks.

Keywords: Asymmetric GARCH-BEKK model, Asymmetric volatility transmission, Causality, Korean stock market, Spillover effect

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1059 In Search of Zero Beta Assets: Evidence from the Sukuk Market

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

Abstract:

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

Keywords: Asset allocation, asset performance, sukuk, zero beta asset.

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1058 Underpricing of IPOs during Hot and Cold Market Periods on the South African Stock Exchange (JSE)

Authors: Brownhilder N. Neneh, A. Van Aardt Smit

Abstract:

Underpricing is one anomaly in initial public offerings (IPO) literature that has been widely observed across different stock markets with different trends emerging over different time periods. This study seeks to determine how IPOs on the JSE performed on the first day, first week and first month over the period of 1996-2011. Underpricing trends are documented for both hot and cold market periods in terms of four main sectors (cyclical, defensive, growth stock and interest rate sensitive stocks). Using a sample of 360 listed companies on the JSE, the empirical findings established that IPOs on the JSE are significantly underpriced with an average market adjusted first day return of 62.9%. It is also established that hot market IPOs on the JSE are more underpriced than the cold market IPOs. Also observed is the fact that as the offer price per share increases above the median price for any given period, the level of underpricing decreases substantially. While significant differences exist in the level of underpricing of IPOs in the four different sectors in the hot and cold market periods, interest rates sensitive stocks showed a different trend from the other sectors and thus require further investigation to uncover this pattern.

Keywords: Underpricing, hot and cold markets, South Africa, JSE.

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1057 Performance Comparison of Cooperative Banks in the EU, USA and Canada

Authors: Matěj Kuc

Abstract:

This paper compares different types of profitability measures of cooperative banks from two developed regions: the European Union and the United States of America together with Canada. We created balanced dataset of more than 200 cooperative banks covering 2011-2016 period. We made series of tests and run Random Effects estimation on panel data. We found that American and Canadian cooperatives are more profitable in terms of return on assets (ROA) and return on equity (ROE). There is no significant difference in net interest margin (NIM). Our results show that the North American cooperative banks accommodated better to the current market environment.

Keywords: Cooperative banking, panel data, profitability measures, random effects.

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1056 Effects of the Second Entrant in GSM Telecommunication Market in MENA Region

Authors: A.R. Yari, M.R. Sadri

Abstract:

For the first incumbent operator it is very important to understand how to react when the second operator comes to the market. In this paper which is prepared for preliminary study of GSM market in Iran, we have studied five MENA markets according to the similarity point of view. This paper aims at analyzing the impact of second entrants in selected markets on certain marketing key performance indicators (KPI) such as: Market shares (by operator), prepaid share, minutes of use (MoU), Price and average revenue per user (ARPU) (for total market each).

Keywords: GSM Market, Second entrant, MENA.

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1055 Extreme Temperature Forecast in Mbonge, Cameroon through Return Level Analysis of the Generalized Extreme Value (GEV) Distribution

Authors: Nkongho Ayuketang Arreyndip, Ebobenow Joseph

Abstract:

In this paper, temperature extremes are forecast by employing the block maxima method of the Generalized extreme value(GEV) distribution to analyse temperature data from the Cameroon Development Corporation (C.D.C). By considering two sets of data (Raw data and simulated data) and two (stationary and non-stationary) models of the GEV distribution, return levels analysis is carried out and it was found that in the stationary model, the return values are constant over time with the raw data while in the simulated data, the return values show an increasing trend but with an upper bound. In the non-stationary model, the return levels of both the raw data and simulated data show an increasing trend but with an upper bound. This clearly shows that temperatures in the tropics even-though show a sign of increasing in the future, there is a maximum temperature at which there is no exceedence. The results of this paper are very vital in Agricultural and Environmental research.

Keywords: Return level, Generalized extreme value (GEV), Meteorology, Forecasting.

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1054 Optimizing the Project Delivery Time with Time Cost Trade-offs

Authors: Wei Lo, Ming-En Kuo

Abstract:

While to minimize the overall project cost is always one of the objectives of construction managers, to obtain the maximum economic return is definitely one the ultimate goals of the project investors. As there is a trade-off relationship between the project time and cost, and the project delivery time directly affects the timing of economic recovery of an investment project, to provide a method that can quantify the relationship between the project delivery time and cost, and identify the optimal delivery time to maximize economic return has always been the focus of researchers and industrial practitioners. Using genetic algorithms, this study introduces an optimization model that can quantify the relationship between the project delivery time and cost and furthermore, determine the optimal delivery time to maximize the economic return of the project. The results provide objective quantification for accurately evaluating the project delivery time and cost, and facilitate the analysis of the economic return of a project.

Keywords: Time-Cost Trade-Off, Genetic Algorithms, Resource Integration, Economic return.

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1053 The modeling of Brand Loyalty in the Brewing Market in Poland

Authors: Honorata Howaniec

Abstract:

Brand loyalty is a strategic asset of the company. In the era of competition to have loyal customers decides on the market superiority of enterprises. Creating the loyalty of buyers, however, is a lengthy process and requires the appropriate business strategy, preceded by the proper market research. The purpose of the paper is to present the concept of brand loyalty, the creation of loyalty of customers, the benefits and determinants of loyalty on the example of brewery market in Poland.

Keywords: brand, brand loyalty, brewery market

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1052 Factors Influencing Bank Profitability of Czech Banks and Their International Parent Companies

Authors: Libena Cernohorska

Abstract:

The goal of this paper is to specify factors influencing the profitability of selected banks. Next, a model will be created to help establish variables that have a demonstrable influence on the development of the selected banks' profitability ratios. Czech banks and their international parent companies were selected for analyzing profitability. Banks categorized as large banks (according to the Czech National Bank's system, which ranks banks according to balance sheet total) were selected to represent the Czech banks. Two ratios, the return on assets ratio (ROA) and the return on equity ratio (ROE) are used to assess bank profitability. Six endogenous and four external indicators were selected from among other factors that influence bank profitability. The data analyzed were for 2001–2013. First, correlation analysis, which was supposed to eliminate correlated values, was conducted. A large number of correlated values were established on the basis of this analysis. The strongly correlated values were omitted. Despite this, the subsequent regression analysis of profitability for the individual banks that were selected did not confirm that the selected variables influenced their profitability. The studied factors' influence on bank profitability was demonstrated only for Ceskoslovenska Obchodni Banka and Société Générale using regression analysis. For Československa Obchodni Banka, it was demonstrated that inflation level and the amount of the central bank's interest rate influenced the return on assets ratio and that capital adequacy and market concentration influenced the return on equity ratio for Société Générale.

Keywords: Banks, profitability, regression analysis, ROA, ROE.

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1051 The Impact of Subsequent Stock Market Liberalization on the Integration of Stock Markets in ASEAN-4 + South Korea

Authors: Noor Azryani Auzairy, Rubi Ahmad

Abstract:

To strengthen the capital market, there is a need to integrate the capital markets within the region by removing legal or informal restriction, specifically, stock market liberalization. Thus the paper is to investigate the effects of the subsequent stock market liberalization on stock market integration in 4 ASEAN countries (Malaysia, Indonesia, Thailand, Singapore) and Korea from 1997 to 2007. The correlation between stock market liberalization and stock market integration are to be examined by analyzing the stock prices and returns within the region and in comparison with the world MSCI index. Event study method is to be used with windows of ±12 months and T-7 + T. The results show that the subsequent stock market liberalization generally, gives minor positive effects to stock returns, except for one or two countries. The subsequent liberalization also integrates the markets short-run and long-run.

Keywords: ASEAN, event method, stock market integration, stock market liberalization.

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1050 A Study on the Determinants of Earnings Response Coefficient in an Emerging Market

Authors: Bita Mashayekhi, Zeynab Lotfi Aghel

Abstract:

The determinants of Earnings Response Coefficient (ERC), including firm size, earnings growth, and earnings persistence are studied in this research. These determinants are supposed to be moderator variables that affect ERC and Return Response Coefficient. The research sample contains 82 Iranian listed companies in Tehran Stock Exchange (TSE) from 2001 to 2012. Gathered data have been processed by EVIEWS Software. Results show a significant positive relation between firm size and ERC, and also between earnings growth and ERC; however, there is no significant relation between earnings persistence and ERC. Also, the results show that ERC will be increased by firm size and earnings growth, but there is no relation between earnings persistence and ERC.

Keywords: Earnings response coefficient, return response coefficient, firm size, earnings growth, earnings persistence.

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1049 Stock Market Integration Measurement: Investigation of Malaysia and Singapore Stock Markets

Authors: B. K. Yeoh, Z. Arsad, C. W. Hooy

Abstract:

This paper tests the level of market integration between Malaysia and Singapore stock markets with the world market. Kalman Filter (KF) methodology is used on the International Capital Asset Pricing Model (ICAPM) and the pricing errors estimated within the framework of ICAPM are used as a measure of market integration or segmentation. The advantage of the KF technique is that it allows for time-varying coefficients in estimating ICAPM and hence able to capture the varying degree of market integration. Empirical results show clear evidence of varying degree of market integration for both case of Malaysia and Singapore. Furthermore, the results show that the changes in the level of market integration are found to coincide with certain economic events that have taken placed. The findings certainly provide evidence on the practicability of the KF technique to estimate stock markets integration. In the comparison between Malaysia and Singapore stock market, the result shows that the trends of the market integration indices for Malaysia and Singapore look similar through time but the magnitude is notably different with the Malaysia stock market showing greater degree of market integration. Finally, significant evidence of varying degree of market integration shows the inappropriate use of OLS in estimating the level of market integration.

Keywords: ICAPM, Kalman filter, stock market integration.

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1048 New Vision of 'Social Europe': Renationalising the Integration Process in the Internal Market of the European Union

Authors: Robert Grzeszczak, Magdalena Gniadzik

Abstract:

The article deals with one of the most significant issues concerning the functioning of the internal market of the European Union – the free movement of workers and free movement of persons. The purpose is to identify the political and legal effects of the “renationalisation process” on the EU and its Member States. The concept of renationalisation is expressed through Member States’ aim to verify the relationship with the EU. The tendency is more visible in the public opinion of several MS’s of the ‘EU core’ and may be confirmed by the changes applied by the regulatory body. The thesis for the article is the return of renationalisation tendencies in the area of the Single Market, which is supported by, among others, an open criticism of the foundations of EU integration or considerations on withdrawal from the EU by some MS. This analysis will focus primarily on the effects that renationalisation may have on the free movement of persons. The free movement of persons is one of the key issues for the development of the European integration. It is still subject to theoretical reflections, new doubts and practical issues. The latest developments in politics, law and jurisprudence demonstrate the need to reflect on the attempts to redefine certain principles regarding migrant EU workers and their protection against nationality-based discrimination.

Keywords: European law, European Union, common market, free movement of workers, posting of workers, case law.

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1047 The Impact of Transaction Costs on Rebalancing an Investment Portfolio in Portfolio Optimization

Authors: B. Marasović, S. Pivac, S. V. Vukasović

Abstract:

Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the presence of transaction costs on the Croatian capital market is analyzed. The model applied in the paper is an extension of the standard portfolio mean-variance optimization model in which transaction costs are incurred to rebalance an investment portfolio. This model allows different costs for different securities, and different costs for buying and selling. In order to find efficient portfolio, using this model, first, the solution of quadratic programming problem of similar size to the Markowitz model, and then the solution of a linear programming problem have to be found. Furthermore, in the paper the impact of transaction costs on the efficient frontier is investigated. Moreover, it is shown that global minimum variance portfolio on the efficient frontier always has the same level of the risk regardless of the amount of transaction costs. Although efficient frontier position depends of both transaction costs amount and initial portfolio it can be concluded that extreme right portfolio on the efficient frontier always contains only one stock with the highest expected return and the highest risk.

Keywords: Croatian capital market, Fractional quadratic programming, Markowitz model, Portfolio optimization, Transaction costs.

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1046 Information content of Islamic Private Debt Announcement: Evidence from Malaysia

Authors: Sahar Modirzadehbami, Gholamreza Mansourfar

Abstract:

Different types of Islamic debts have been increasingly utilized as preferred means of debt funding by Malaysian private firms in recent years. This study examines the impact of Islamic debts announcement on private firms- stock returns. Our sample includes forty five listed companies on Bursa Malaysia involved in issuing of Islamic debts during 2005 to 2008. The abnormal returns and cumulative average abnormal returns are calculated and tested using standard event study methodology. The results show that a significant, negative abnormal return occurs one day before announcement date. This negative abnormal return is representing market participant-s adverse attitude toward Islamic private debt announcement during the research period.

Keywords: Announcement effect, Event study, Islamic debts, Malaysia, Sukuk

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1045 Effect on Bandwidth of Using Double Substrates Based Metamaterial Planar Antenna

Authors: Smrity Dwivedi

Abstract:

The present paper has revealed the effect of double substrates over a bandwidth performance for planar antennas. The used material has its own importance to get minimum return loss and improved directivity. The author has taken double substrates to enhance the efficiency in terms of gain of antenna. Metamaterial based antenna has its own specific structure which increased the performance of antenna. Improved return loss is -20 dB, and the voltage standing wave ratio (VSWR) is 1.2, which is better than single substrate having return loss of -15 dB and VSWR of 1.4. Complete results are obtained using commercial software CST microwave studio.

Keywords: Metamaterials, return loss, standing wave ratio, directivity, CST microwave studio.

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1044 An Automated Stock Investment System Using Machine Learning Techniques: An Application in Australia

Authors: Carol Anne Hargreaves

Abstract:

A key issue in stock investment is how to select representative features for stock selection. The objective of this paper is to firstly determine whether an automated stock investment system, using machine learning techniques, may be used to identify a portfolio of growth stocks that are highly likely to provide returns better than the stock market index. The second objective is to identify the technical features that best characterize whether a stock’s price is likely to go up and to identify the most important factors and their contribution to predicting the likelihood of the stock price going up. Unsupervised machine learning techniques, such as cluster analysis, were applied to the stock data to identify a cluster of stocks that was likely to go up in price – portfolio 1. Next, the principal component analysis technique was used to select stocks that were rated high on component one and component two – portfolio 2. Thirdly, a supervised machine learning technique, the logistic regression method, was used to select stocks with a high probability of their price going up – portfolio 3. The predictive models were validated with metrics such as, sensitivity (recall), specificity and overall accuracy for all models. All accuracy measures were above 70%. All portfolios outperformed the market by more than eight times. The top three stocks were selected for each of the three stock portfolios and traded in the market for one month. After one month the return for each stock portfolio was computed and compared with the stock market index returns. The returns for all three stock portfolios was 23.87% for the principal component analysis stock portfolio, 11.65% for the logistic regression portfolio and 8.88% for the K-means cluster portfolio while the stock market performance was 0.38%. This study confirms that an automated stock investment system using machine learning techniques can identify top performing stock portfolios that outperform the stock market.

Keywords: Machine learning, stock market trading, logistic principal component analysis, automated stock investment system.

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1043 A New Measure of Herding Behavior: Derivation and Implications

Authors: Amina Amirat, Abdelfettah Bouri

Abstract:

If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior of financial markets is clear. However, while many economic models of financial markets have been developed to explain the behavior of prices -predictability, variability, and information content- far less attention has been devoted to explaining the behavior of trading volume. In this article, we hope to expand our understanding of trading volume by developing a new measure of herding behavior based on a cross sectional dispersion of volumes betas. We apply our measure to the Toronto stock exchange using monthly data from January 2000 to December 2002. Our findings show that the herd phenomenon consists of three essential components: stationary herding, intentional herding and the feedback herding.

Keywords: Herding behavior, market return, trading volume.

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1042 The Link between Money Market and Economic Growth in Nigeria: Vector Error Correction Model Approach

Authors: Ehigiamusoe, Uyi Kizito

Abstract:

The paper examines the impact of money market on economic growth in Nigeria using data for the period 1980-2012. Econometrics techniques such as Ordinary Least Squares Method, Johanson’s Co-integration Test and Vector Error Correction Model were used to examine both the long-run and short-run relationship. Evidence from the study suggest that though a long-run relationship exists between money market and economic growth, but the present state of the Nigerian money market is significantly and negatively related to economic growth. The link between the money market and the real sector of the economy remains very weak. This implies that the market is not yet developed enough to produce the needed growth that will propel the Nigerian economy because of several challenges. It was therefore recommended that government should create the appropriate macroeconomic policies, legal framework and sustain the present reforms with a view to developing the market so as to promote productive activities, investments, and ultimately economic growth.

Keywords: Economic Growth, Investments, Money Market, Money Market Challenges, Money Market Instruments.

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1041 Plasma Properties Effect on Fluorescent Tube Plasma Antenna Performance

Authors: A. N. Dagang, E. I. Ismail, Z. Zakaria

Abstract:

This paper presents the analysis on the performance of monopole antenna with fluorescent tubes. In this research, the simulation and experimental approach is conducted. The fluorescent tube with different length and size is designed using Computer Simulation Technology (CST) software and the characteristics of antenna parameter are simulated throughout the software. CST was used to simulate antenna parameters such as return loss, resonant frequency, gain and directivity. Vector Network Analyzer (VNA) was used to measure the return loss of plasma antenna in order to validate the simulation results. In the simulation and experiment, the supply frequency is set starting from 1 GHz to 10 GHz. The results show that the return loss of plasma antenna changes when size of fluorescent tubes is varied, correspond to the different plasma properties. It shows that different values of plasma properties such as plasma frequency and collision frequency gives difference result of return loss, gain and directivity. For the gain, the values range from 2.14 dB to 2.36 dB. The return loss of plasma antenna offers higher value range from -22.187 dB to -32.903 dB. The higher the values of plasma frequency and collision frequency, the higher return loss can be obtained. The values obtained are comparative to the conventional type of metal antenna.

Keywords: Plasma antenna, fluorescent tube, computer simulation technology, plasma parameters.

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1040 Exploring the Effect of Accounting Information on Systematic Risk: An Empirical Evidence of Tehran Stock Exchange

Authors: Mojtaba Rezaei, Elham Heydari

Abstract:

This paper highlights the empirical results of analyzing the correlation between accounting information and systematic risk. This association is analyzed among financial ratios and systematic risk by considering the financial statement of 39 companies listed on the Tehran Stock Exchange (TSE) for five years (2014-2018). Financial ratios have been categorized into four groups and to describe the special features, as representative of accounting information we selected: Return on Asset (ROA), Debt Ratio (Total Debt to Total Asset), Current Ratio (current assets to current debt), Asset Turnover (Net sales to Total assets), and Total Assets. The hypotheses were tested through simple and multiple linear regression and T-student test. The findings illustrate that there is no significant relationship between accounting information and market risk. This indicates that in the selected sample, historical accounting information does not fully reflect the price of stocks.

Keywords: Accounting information, market risk, systematic risk, efficient market hypothesis, EMH, Tehran Stock Exchange, TSE.

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1039 Portfolio Management: A Fuzzy Set Based Approach to Monitoring Size to Maximize Return and Minimize Risk

Authors: Margaret F. Shipley

Abstract:

Fuzzy logic can be used when knowledge is incomplete or when ambiguity of data exists. The purpose of this paper is to propose a proactive fuzzy set- based model for reacting to the risk inherent in investment activities relative to a complete view of portfolio management. Fuzzy rules are given where, depending on the antecedents, the portfolio size may be slightly or significantly decreased or increased. The decision maker considers acceptable bounds on the proportion of acceptable risk and return. The Fuzzy Controller model allows learning to be achieved as 1) the firing strength of each rule is measured, 2) fuzzy output allows rules to be updated, and 3) new actions are recommended as the system continues to loop. An extension is given to the fuzzy controller that evaluates potential financial loss before adjusting the portfolio. An application is presented that illustrates the algorithm and extension developed in the paper.

Keywords: Portfolio Management, Financial Market Monitoring, Fuzzy Controller, Fuzzy Logic,

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1038 GenCos- Optimal Bidding Strategy Considering Market Power and Transmission Constraints: A Cournot-based Model

Authors: A. Badri

Abstract:

Restructured electricity markets may provide opportunities for producers to exercise market power maintaining prices in excess of competitive levels. In this paper an oligopolistic market is presented that all Generation Companies (GenCos) bid in a Cournot model. Genetic algorithm (GA) is applied to obtain generation scheduling of each GenCo as well as hourly market clearing prices (MCP). In order to consider network constraints a multiperiod framework is presented to simulate market clearing mechanism in which the behaviors of market participants are modelled through piecewise block curves. A mixed integer linear programming (MILP) is employed to solve the problem. Impacts of market clearing process on participants- characteristic and final market prices are presented. Consequently, a novel multi-objective model is addressed for security constrained optimal bidding strategy of GenCos. The capability of price-maker GenCos to alter MCP is evaluated through introducing an effective-supply curve. In addition, the impact of exercising market power on the variation of market characteristics as well as GenCos scheduling is studied.

Keywords: Optimal bidding strategy, Cournot equilibrium, market power, network constraints, market auction mechanism

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1037 System Identification Based on Stepwise Regression for Dynamic Market Representation

Authors: Alexander Efremov

Abstract:

A system for market identification (SMI) is presented. The resulting representations are multivariable dynamic demand models. The market specifics are analyzed. Appropriate models and identification techniques are chosen. Multivariate static and dynamic models are used to represent the market behavior. The steps of the first stage of SMI, named data preprocessing, are mentioned. Next, the second stage, which is the model estimation, is considered in more details. Stepwise linear regression (SWR) is used to determine the significant cross-effects and the orders of the model polynomials. The estimates of the model parameters are obtained by a numerically stable estimator. Real market data is used to analyze SMI performance. The main conclusion is related to the applicability of multivariate dynamic models for representation of market systems.

Keywords: market identification, dynamic models, stepwise regression.

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1036 Mind Your Product-Market Strategy on Selecting Marketing Inputs: An Uncertainty Approach in Indian Context

Authors: Susmita Ghosh, Bhaskar Bhowmick

Abstract:

Market is an important factor for start-ups to look into during decision-making in product development and related areas. Emerging country markets are more uncertain in terms of information availability and institutional supports. The literature review of market uncertainty reveals the need for identifying factors representing the market uncertainty. This paper identifies factors for market uncertainty using Exploratory Factor Analysis (EFA) and confirmed the number of factor retention using an alternative factor retention criterion ‘Parallel Analysis’. 500 entrepreneurs, engaged in start-ups from all over India participated in the study. This paper concludes with the factor structure of ‘market uncertainty’ having dimensions of uncertainty in industry orientation, uncertainty in customer orientation and uncertainty in marketing orientation.

Keywords: Uncertainty, market, orientation, competitor, demand.

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