We analyze 21,209 intraday transactions in the virtual real estate market and document significant price clustering at round numbers 0, 00, and 000 as ending digits, consistent with the negotiation hypothesis. The clustering increases with price level and pricing uncertainty proxied by the number of buyers and sellers in the NFT market. Moreover, market venue influences price clustering dynamics. Digits 9, 99, and 999 as ending prices are overrepresented in the sample, consistent with the left digit effects. However, we do not find support for the psychologically feeling right hypothesis or the strategic trading hypothesis.
{"title":"PRICE CLUSTERING BEHAVIOR IN VIRTUAL REAL ESTATE MARKETS","authors":"Bill Hu","doi":"10.24135/afl.v12i1.726","DOIUrl":"https://doi.org/10.24135/afl.v12i1.726","url":null,"abstract":"We analyze 21,209 intraday transactions in the virtual real estate market and document significant price clustering at round numbers 0, 00, and 000 as ending digits, consistent with the negotiation hypothesis. The clustering increases with price level and pricing uncertainty proxied by the number of buyers and sellers in the NFT market. Moreover, market venue influences price clustering dynamics. Digits 9, 99, and 999 as ending prices are overrepresented in the sample, consistent with the left digit effects. However, we do not find support for the psychologically feeling right hypothesis or the strategic trading hypothesis.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"10 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139267162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This work investigates the linkages among the futures prices of soybeans, soybean meal, and soybean oil in the US. This has been pursued using a flexible methodology that allows modelling price relationships at different parts of their joint distribution. According to the empirical results, the markets are strongly connected in the vertical direction regardless of the sign and the size of shocks. The meal and oil prices maintain a negative relationship at the median and the upper quantiles but they are not connected under large negative shocks. The soybean market is a net transmitter of price risk to the other two markets while price shocks around the median tend to be transmitted with higher intensity relative to those at the extremes.
{"title":"FUTURES PRICES LINKAGES IN THE US SOYBEAN COMPLEX","authors":"P. Fousekis","doi":"10.24135/afl.v12i2.697","DOIUrl":"https://doi.org/10.24135/afl.v12i2.697","url":null,"abstract":"This work investigates the linkages among the futures prices of soybeans, soybean meal, and soybean oil in the US. This has been pursued using a flexible methodology that allows modelling price relationships at different parts of their joint distribution. According to the empirical results, the markets are strongly connected in the vertical direction regardless of the sign and the size of shocks. The meal and oil prices maintain a negative relationship at the median and the upper quantiles but they are not connected under large negative shocks. The soybean market is a net transmitter of price risk to the other two markets while price shocks around the median tend to be transmitted with higher intensity relative to those at the extremes.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139276238","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we intend to examine the influence of national governance on the bank efficiency of joint venture and foreign commercial banks in Vietnam. Joint venture and foreign commercial banks have been instrumental in introducing new financial products to the Vietnamese market (e.g., mortgage services and medium-term certificates of deposit). At the same time, they have also penetrated the retail market through automobile and housing loans, and international credit card services. We use the DEA double bootstrap method to develop a bank network function to evaluate bank efficiency. The findings from our random-effects model demonstrate that world governance indicators as proposed by the World Bank independently determine the bank efficiency of the joint venture and foreign commercial banks in Vietnam. There are important implications to be highlighted for policymakers and stakeholders of joint venture and foreign commercial banks and other types of banks in the banking industry elsewhere around the world.
本文旨在研究国家治理对越南合资银行和外资商业银行银行效率的影响。合资银行和外资商业银行在向越南市场引入新的金融产品（如抵押贷款服务和中期存款证）方面发挥了重要作用。同时，它们还通过汽车和住房贷款以及国际信用卡服务渗透到零售市场。 我们使用 DEA 双引导法开发了一个银行网络函数来评估银行效率。随机效应模型的研究结果表明，世界银行提出的世界治理指标独立地决定了越南合资银行和外资商业银行的银行效率。这对合资银行、外资商业银行以及世界其他地区银行业其他类型银行的政策制定者和利益相关者具有重要的启示意义。
{"title":"BANK EFFICIENCY AND GOVERNANCE: EVIDENCE FROM JOINT VENTURE AND FOREIGN COMMERCIAL BANKS IN VIETNAM","authors":"Thao Nguyen, Thong Dao, Jeremy Cheah","doi":"10.24135/afl.v12i2.656","DOIUrl":"https://doi.org/10.24135/afl.v12i2.656","url":null,"abstract":"In this paper, we intend to examine the influence of national governance on the bank efficiency of joint venture and foreign commercial banks in Vietnam. Joint venture and foreign commercial banks have been instrumental in introducing new financial products to the Vietnamese market (e.g., mortgage services and medium-term certificates of deposit). At the same time, they have also penetrated the retail market through automobile and housing loans, and international credit card services. We use the DEA double bootstrap method to develop a bank network function to evaluate bank efficiency. The findings from our random-effects model demonstrate that world governance indicators as proposed by the World Bank independently determine the bank efficiency of the joint venture and foreign commercial banks in Vietnam. There are important implications to be highlighted for policymakers and stakeholders of joint venture and foreign commercial banks and other types of banks in the banking industry elsewhere around the world.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"29 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139282206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the effect of country-specific investor attention on ADR mispricing. Investor attention is measured by the amount of traffic a country’s Wikipedia profile page receives. A two-stage least squares (2SLS) regression is employed to examine the relationship between investor attention and ADR mispricing, but also to mitigate endogeneity between the two variables of interest. We use the FIFA World Ranking (country soccer ranking) and the number of UNESCO heritage sites as instruments for investor attention; given the unlikelihood that either of those variables can be caused by ADR mispricing. Our results show that lower levels of investor attention lead to higher ADR mispricing, therefore leading to a greater divergence of the law of one price for the sample of ADRs. The results are robust across various model specifications and to well-known determinants of mispricing such as turnover, stock prices, exchange rates, and market capitalization.
{"title":"COUNTRY-SPECIFIC INVESTOR ATTENTION AND ADR MISPRICING","authors":"Juan Gutierrez, Daniel Perez, Andre Vianna","doi":"10.24135/afl.v12i1.680","DOIUrl":"https://doi.org/10.24135/afl.v12i1.680","url":null,"abstract":"This paper examines the effect of country-specific investor attention on ADR mispricing. Investor attention is measured by the amount of traffic a country’s Wikipedia profile page receives. A two-stage least squares (2SLS) regression is employed to examine the relationship between investor attention and ADR mispricing, but also to mitigate endogeneity between the two variables of interest. We use the FIFA World Ranking (country soccer ranking) and the number of UNESCO heritage sites as instruments for investor attention; given the unlikelihood that either of those variables can be caused by ADR mispricing. Our results show that lower levels of investor attention lead to higher ADR mispricing, therefore leading to a greater divergence of the law of one price for the sample of ADRs. The results are robust across various model specifications and to well-known determinants of mispricing such as turnover, stock prices, exchange rates, and market capitalization.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135192725","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The study presents the results and the analysis of a survey of recent student loan borrowers. The fields of study that result in the highest disbalance between the amount borrowed and the generated earnings are identified. Additionally, the survey results shed light on the post-graduation spending behavior of the borrowers. The results indicate that the present student loan crisis may, at least in part, be caused by the selection of the major area of study and by the post-graduation personal consumption overadjustment of individuals from several (less financially lucrative) fields of study.
{"title":"STUDENT LOANS: LESSONS FROM BORROWERS","authors":"Inga Timmerman, Nik Volkov","doi":"10.24135/afl.v12i2.630","DOIUrl":"https://doi.org/10.24135/afl.v12i2.630","url":null,"abstract":"The study presents the results and the analysis of a survey of recent student loan borrowers. The fields of study that result in the highest disbalance between the amount borrowed and the generated earnings are identified. Additionally, the survey results shed light on the post-graduation spending behavior of the borrowers. The results indicate that the present student loan crisis may, at least in part, be caused by the selection of the major area of study and by the post-graduation personal consumption overadjustment of individuals from several (less financially lucrative) fields of study.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"155 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139282935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A prominent motivation for the use of cryptocurrencies is the system of exchange does not require a central trusted authority. In fact there are a class of decentralised exchanges where participants can exchange cryptocurrencies using a protocol rather than a centralized exchange. This analysis uses the failure of the centralized FTX exchange to estimate the value the market assigns to decentralised versus centralised exchanges. We find the market assigns a significant value to decentralisation.
{"title":"THE MARKET VALUE OF DECENTRALISATION","authors":"Matt Brigida","doi":"10.24135/afl.v12i1.682","DOIUrl":"https://doi.org/10.24135/afl.v12i1.682","url":null,"abstract":"A prominent motivation for the use of cryptocurrencies is the system of exchange does not require a central trusted authority. In fact there are a class of decentralised exchanges where participants can exchange cryptocurrencies using a protocol rather than a centralized exchange. This analysis uses the failure of the centralized FTX exchange to estimate the value the market assigns to decentralised versus centralised exchanges. We find the market assigns a significant value to decentralisation.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136307661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper compares two asymmetric market microstructure models, namely, the three-state asymmetric autoregressive conditional duration (AACD) model and the activity-direction-size (ADS) model. It is shown that the two models measure different aspects of the same underlying asymmetric nature of market microstructure. It is also shown that by extending the AACD model to include two size variables and adjusting for partial durations, each model’s parameter estimates can be used to estimate the other model’s parameters exactly. Thus, the two asymmetric market microstructure models are equivalent.
{"title":"HIGH-FREQUENCY TRANSACTION DATA: A COMPARISON BETWEEN TWO ASYMMETRIC MODELS","authors":"Michael Kunkler","doi":"10.24135/afl.v12i1.655","DOIUrl":"https://doi.org/10.24135/afl.v12i1.655","url":null,"abstract":"This paper compares two asymmetric market microstructure models, namely, the three-state asymmetric autoregressive conditional duration (AACD) model and the activity-direction-size (ADS) model. It is shown that the two models measure different aspects of the same underlying asymmetric nature of market microstructure. It is also shown that by extending the AACD model to include two size variables and adjusting for partial durations, each model’s parameter estimates can be used to estimate the other model’s parameters exactly. Thus, the two asymmetric market microstructure models are equivalent.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42069367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Since Covid-19 started, it has created nothing but puzzle in the investment field. This paper adds more knowledge to ESG funds by investigating the performance of 96 ESG ETFs during the Covid-19 market stress. My findings show that ESG ETFs outperformed the market during the pandemic, suggesting they were better immune investments than other investment tools. This addresses the controversy that ESG funds are more likely of having actual investment performance value than just being of marketing tools. In addition, this paper examines whether ESG ETFs attempted to track their indexes exactly, and the results indicate that ETF funds did an excellent job on tracking their indexes they followed before Covid-19 and Covid-19 recovery except for during Covid-19 since their indexes were harder to track during the outbreak. This paper also provides discussion on why ESG funds were better immune investment tools. My findings and discussions aim to inform investors and portfolio managers in decision making during this outbreak.
{"title":"COVID-19: PERFORMANCE OF ESG ETFS AND, ESG ETFS VS. THEIR DECLARED INDEXES","authors":"Huong Nguyen","doi":"10.24135/afl.v12i1.647","DOIUrl":"https://doi.org/10.24135/afl.v12i1.647","url":null,"abstract":"Since Covid-19 started, it has created nothing but puzzle in the investment field. This paper adds more knowledge to ESG funds by investigating the performance of 96 ESG ETFs during the Covid-19 market stress. My findings show that ESG ETFs outperformed the market during the pandemic, suggesting they were better immune investments than other investment tools. This addresses the controversy that ESG funds are more likely of having actual investment performance value than just being of marketing tools. In addition, this paper examines whether ESG ETFs attempted to track their indexes exactly, and the results indicate that ETF funds did an excellent job on tracking their indexes they followed before Covid-19 and Covid-19 recovery except for during Covid-19 since their indexes were harder to track during the outbreak. This paper also provides discussion on why ESG funds were better immune investment tools. My findings and discussions aim to inform investors and portfolio managers in decision making during this outbreak.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45342751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Swaraj S. Bharti, Kanika Prasad, S. Sudha, Vineeta Kumari
Artificial Intelligence (AI) is a concept of recent origin and is accepted for banking activities such as customer service, detection of fraudulent activities, and suspicious transactions. For the successful implementation of AI in the Indian context, a deep understanding is required in terms of its need and importance compared to the traditional banking system. To date, this outlook of AI has been less focused by industry practitioners and experts for the smooth flow of operational procedures in banks for developing countries, for example, India. This study aims to unearth factors and establish a relationship among the identified factors through the decision-making trial and evaluation laboratory (DEMATEL) approach to categorize the factors and frame the cause-and-effect relationships. Fifteen factors are identified through a literature review of existing studies, and ten experts were solicited to express their outlook on this subject. The result indicated that 'Transparency of information,' 'Perceived security of AI-based technology,' 'Social influence on customer,' 'Government regulation of AI in banks,' 'Awareness level of AI,' 'Efficiency of AI system,' 'Technical requirement,' and 'Cost of AI-based technology' were causative factors that support customer acceptance and penetration of AI in banks. The study presents a unique approach to customer acceptability towards AI in banks in developing countries using the DEMATEL technique. This study also discusses the possible area for the adaption of AI in Indian banks. The findings will support policymakers and practitioners in executing AI-based technologies in the banking sector in emerging nations.
{"title":"PRIORITISATION OF FACTORS FOR ARTIFICIAL INTELLIGENCE-BASED TECHNOLOGY ADOPTION BY BANKING CUSTOMERS IN INDIA: EVIDENCE USING THE DEMATEL APPROACH","authors":"Swaraj S. Bharti, Kanika Prasad, S. Sudha, Vineeta Kumari","doi":"10.24135/afl.v12i2.623","DOIUrl":"https://doi.org/10.24135/afl.v12i2.623","url":null,"abstract":"Artificial Intelligence (AI) is a concept of recent origin and is accepted for banking activities such as customer service, detection of fraudulent activities, and suspicious transactions. For the successful implementation of AI in the Indian context, a deep understanding is required in terms of its need and importance compared to the traditional banking system. To date, this outlook of AI has been less focused by industry practitioners and experts for the smooth flow of operational procedures in banks for developing countries, for example, India. This study aims to unearth factors and establish a relationship among the identified factors through the decision-making trial and evaluation laboratory (DEMATEL) approach to categorize the factors and frame the cause-and-effect relationships. Fifteen factors are identified through a literature review of existing studies, and ten experts were solicited to express their outlook on this subject. The result indicated that 'Transparency of information,' 'Perceived security of AI-based technology,' 'Social influence on customer,' 'Government regulation of AI in banks,' 'Awareness level of AI,' 'Efficiency of AI system,' 'Technical requirement,' and 'Cost of AI-based technology' were causative factors that support customer acceptance and penetration of AI in banks. The study presents a unique approach to customer acceptability towards AI in banks in developing countries using the DEMATEL technique. This study also discusses the possible area for the adaption of AI in Indian banks. The findings will support policymakers and practitioners in executing AI-based technologies in the banking sector in emerging nations.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139370170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Equity pledging is susceptible to agency problems and substantial risk, resulting in inefficient corporate investment. We show the negative impact is not just induced by controlling shareholders but also pledged by non-controlling shareholders and actual controllers. Our results add that SOEs with control rights via controlling shareholders or actual controllers can mitigate investment inefficiency problems. We conclude that pledgor type matters and the impact of non-controlling shareholders’ pledges should not be neglected.
{"title":"EQUITY PLEDGE, PLEDGOR TYPE AND INVESTMENT EFFICIENCY","authors":"K. Khaw, Jiaying Chen, M. Gulzar, A. Tajuddin","doi":"10.24135/afl.v12i1.616","DOIUrl":"https://doi.org/10.24135/afl.v12i1.616","url":null,"abstract":"Equity pledging is susceptible to agency problems and substantial risk, resulting in inefficient corporate investment. We show the negative impact is not just induced by controlling shareholders but also pledged by non-controlling shareholders and actual controllers. Our results add that SOEs with control rights via controlling shareholders or actual controllers can mitigate investment inefficiency problems. We conclude that pledgor type matters and the impact of non-controlling shareholders’ pledges should not be neglected.","PeriodicalId":32128,"journal":{"name":"Applied Finance Letters","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48717516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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