Pub Date : 2008-03-01DOI: 10.1080/17446540600993811
K. Al-Saad, I. Moosa
We test for asymmetry in the price–volume relation, using a sample of 36 individual stocks listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric autoregressive distributed lag (ARDL) model that relates trading volume to positive and negative price changes. The results indicate the existence of a robust asymmetric price–volume relation whereby trading volume tends to be higher in a rising market than in a falling market.
{"title":"Asymmetry in the price–volume relation: evidence based on individual company stocks traded in an emerging stock market","authors":"K. Al-Saad, I. Moosa","doi":"10.1080/17446540600993811","DOIUrl":"https://doi.org/10.1080/17446540600993811","url":null,"abstract":"We test for asymmetry in the price–volume relation, using a sample of 36 individual stocks listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric autoregressive distributed lag (ARDL) model that relates trading volume to positive and negative price changes. The results indicate the existence of a robust asymmetric price–volume relation whereby trading volume tends to be higher in a rising market than in a falling market.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133749114","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}
Pub Date : 2008-03-01DOI: 10.1080/17446540701537780
Hsiang-Tai Lee
This article investigates the effects of asymmetries and regime switching on futures hedging effectiveness by using an asymmetric Markov regime switching BEKK GARCH (ARSBEKK) model. Hedging performance is evaluated from both a risk-minimization and a utility standpoint. Out-of-sample estimates based on Nikkei 225 stock index futures data show that when we take the asymmetric effect into consideration, the hedging effectiveness is improved in both state-dependent and state-independent cases. In sample, we have the best hedging performance when hedge ratios are both state-dependent and asymmetric. Results also show that all dynamic hedging methods considered in this article create utility gains compared to the conventional ordinary least square hedge.
{"title":"The effects of asymmetries and regime switching on optimal futures hedging","authors":"Hsiang-Tai Lee","doi":"10.1080/17446540701537780","DOIUrl":"https://doi.org/10.1080/17446540701537780","url":null,"abstract":"This article investigates the effects of asymmetries and regime switching on futures hedging effectiveness by using an asymmetric Markov regime switching BEKK GARCH (ARSBEKK) model. Hedging performance is evaluated from both a risk-minimization and a utility standpoint. Out-of-sample estimates based on Nikkei 225 stock index futures data show that when we take the asymmetric effect into consideration, the hedging effectiveness is improved in both state-dependent and state-independent cases. In sample, we have the best hedging performance when hedge ratios are both state-dependent and asymmetric. Results also show that all dynamic hedging methods considered in this article create utility gains compared to the conventional ordinary least square hedge.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130704470","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}
Pub Date : 2008-03-01DOI: 10.1080/17446540701537756
S. Shah, A. Stark, S. Akbar
Significant market value effects of R&D are found for UK firms of all sizes. Sector-based analyses indicate large, positive and statistically significant influences of R&D on market values of UK firms in both manufacturing and nonmanufacturing sectors.
{"title":"Firm size, sector and market valuation of R&D expenditures","authors":"S. Shah, A. Stark, S. Akbar","doi":"10.1080/17446540701537756","DOIUrl":"https://doi.org/10.1080/17446540701537756","url":null,"abstract":"Significant market value effects of R&D are found for UK firms of all sizes. Sector-based analyses indicate large, positive and statistically significant influences of R&D on market values of UK firms in both manufacturing and nonmanufacturing sectors.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130546265","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}
Pub Date : 2008-03-01DOI: 10.1080/17446540701522824
Costas I. Karfakis
This study examines the determinants of the forward exchange rate of the euro in the context of the ‘modern approach’ for give currency combinations. The co-integration analysis suggests that speculation has played a minor role and arbitrage played a major role in determining the forward exchange rate of the euro.
{"title":"What determines the forward exchange rate of the euro?","authors":"Costas I. Karfakis","doi":"10.1080/17446540701522824","DOIUrl":"https://doi.org/10.1080/17446540701522824","url":null,"abstract":"This study examines the determinants of the forward exchange rate of the euro in the context of the ‘modern approach’ for give currency combinations. The co-integration analysis suggests that speculation has played a minor role and arbitrage played a major role in determining the forward exchange rate of the euro.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128654191","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}
Pub Date : 2008-03-01DOI: 10.1080/17446540701537772
A. Kerl, A. Walter
This study examines if journalists are affected by attention stimuli similar to that of individual investors. Applying logistic regression technique, we find that journalists focus on attention grabbing stocks when publishing their buy and sell recommendations. Thereby, journalists intensify the well-documented attention bias of individual investors.
{"title":"The usual suspects: the effects of attention on journalists’ stock recommendations","authors":"A. Kerl, A. Walter","doi":"10.1080/17446540701537772","DOIUrl":"https://doi.org/10.1080/17446540701537772","url":null,"abstract":"This study examines if journalists are affected by attention stimuli similar to that of individual investors. Applying logistic regression technique, we find that journalists focus on attention grabbing stocks when publishing their buy and sell recommendations. Thereby, journalists intensify the well-documented attention bias of individual investors.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128184891","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}
Pub Date : 2008-01-01DOI: 10.1080/17446540701222367
Lee Redding
Mutual funds whose share prices are not calculated with enough precision face the danger of opportunistic trading. This fact is documented empirically with respect to the Government Securities Investment Fund (G Fund), a part of the defined contribution plan run by the US federal government for its employees. The results are important both for policymakers and for mutual fund management.
{"title":"Find a penny and pick it up: capitalizing on mutual fund rounding","authors":"Lee Redding","doi":"10.1080/17446540701222367","DOIUrl":"https://doi.org/10.1080/17446540701222367","url":null,"abstract":"Mutual funds whose share prices are not calculated with enough precision face the danger of opportunistic trading. This fact is documented empirically with respect to the Government Securities Investment Fund (G Fund), a part of the defined contribution plan run by the US federal government for its employees. The results are important both for policymakers and for mutual fund management.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124928356","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}
Pub Date : 2008-01-01DOI: 10.1080/17446540701222425
Bryan Mase
This article extends recent research (Barberis et al., 2005) on the impact of index changes on stock comovement. Stocks that are added to the FTSE 100 comove more closely with the FTSE 100, whilst the reverse is found in stocks deleted from the FTSE 100. Consistent with previous research, these changes appear to have become larger over more recent years. As a result of the method by which changes are made to the FTSE 100, this article is able to distinguish between additions that are new firms and additions that have previously been constituents. There is a significant difference between these two sets of firms, both in terms of the change in comovement and the extent of their comovement after addition to the FTSE 100. Specifically, it is the change in comovement among firms that are new to the FTSE 100 that drives much of the overall increase in comovement among additions. This result implies that the change in comovement cannot be explained solely by the behavioural finance view of comovement and the associated impact of category or habitat traders.
本文扩展了最近关于指数变化对股票变动影响的研究(Barberis et al.， 2005)。加入富时100指数的股票与富时100指数走势更接近，而从富时100指数中删除的股票则相反。与之前的研究一致，这些变化似乎在最近几年变得更大。由于对富时100指数进行更改的方法，本文能够区分新加入的公司和以前已成为成分股的公司。这两组公司之间存在显著差异，无论是在变动的变化方面，还是在加入富时100指数后的变动程度方面。具体来说，是富时100指数(FTSE 100)新成分股公司之间变动的变化，在很大程度上推动了新成分股公司之间变动的总体增长。这一结果意味着，共同运动的变化不能仅仅用共同运动的行为金融学观点和类别或栖息地交易者的相关影响来解释。
{"title":"Comovement in the FTSE 100 Index","authors":"Bryan Mase","doi":"10.1080/17446540701222425","DOIUrl":"https://doi.org/10.1080/17446540701222425","url":null,"abstract":"This article extends recent research (Barberis et al., 2005) on the impact of index changes on stock comovement. Stocks that are added to the FTSE 100 comove more closely with the FTSE 100, whilst the reverse is found in stocks deleted from the FTSE 100. Consistent with previous research, these changes appear to have become larger over more recent years. As a result of the method by which changes are made to the FTSE 100, this article is able to distinguish between additions that are new firms and additions that have previously been constituents. There is a significant difference between these two sets of firms, both in terms of the change in comovement and the extent of their comovement after addition to the FTSE 100. Specifically, it is the change in comovement among firms that are new to the FTSE 100 that drives much of the overall increase in comovement among additions. This result implies that the change in comovement cannot be explained solely by the behavioural finance view of comovement and the associated impact of category or habitat traders.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"178 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123837530","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}
Pub Date : 2008-01-01DOI: 10.1080/17446540701367436
K. Lim
The present study adopts the framework of Lim et al. (2006) who conjectured that the existence of nonlinear serial dependencies is due to shocks that unsettled the market and caused large deviations from equilibrium. Specifically, this article extends the investigation to shed further light on whether different economic sectors of the Malaysian stock market are subjected to the same shocks effects. The results reveal that the Russian crisis, negative economic outlook, unorthodox capital control measures, increased political tension, uncertainty over Central Limit Order Book issue, and the imposition of repatriation levy, have sent shock waves throughout the domestic stock market.
{"title":"Sectoral impact of shocks: empirical evidence from the Malaysian stock market","authors":"K. Lim","doi":"10.1080/17446540701367436","DOIUrl":"https://doi.org/10.1080/17446540701367436","url":null,"abstract":"The present study adopts the framework of Lim et al. (2006) who conjectured that the existence of nonlinear serial dependencies is due to shocks that unsettled the market and caused large deviations from equilibrium. Specifically, this article extends the investigation to shed further light on whether different economic sectors of the Malaysian stock market are subjected to the same shocks effects. The results reveal that the Russian crisis, negative economic outlook, unorthodox capital control measures, increased political tension, uncertainty over Central Limit Order Book issue, and the imposition of repatriation levy, have sent shock waves throughout the domestic stock market.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116268493","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}
Pub Date : 2008-01-01DOI: 10.1080/17446540701335482
J. Kakes
This article examines the financial behaviour of Dutch pension funds during 2002–2005, a turbulent period characterized by stock market corrections and historically low interest rates. Especially for industry-wide funds, financial transactions remained consistent with rebalancing a strategically fixed asset mix, which suggests that the pension sector had a stabilizing influence on financial markets. For company-linked funds, deteriorating funding ratios were counteracted by a rapid increase in pension contributions.
{"title":"Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002–2005)","authors":"J. Kakes","doi":"10.1080/17446540701335482","DOIUrl":"https://doi.org/10.1080/17446540701335482","url":null,"abstract":"This article examines the financial behaviour of Dutch pension funds during 2002–2005, a turbulent period characterized by stock market corrections and historically low interest rates. Especially for industry-wide funds, financial transactions remained consistent with rebalancing a strategically fixed asset mix, which suggests that the pension sector had a stabilizing influence on financial markets. For company-linked funds, deteriorating funding ratios were counteracted by a rapid increase in pension contributions.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127015177","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}
Pub Date : 2008-01-01DOI: 10.1080/17446540701367485
S. Cook
Using Monte Carlo simulation, the finite-sample sizes of asymmetric cointegration tests are examined in the presence volatility clustering. The findings obtained show the asymmetric tests of Enders and Siklos (2001) to exhibit greater oversizing than the previously examined implicitly symmetric cointegration test of Engle and Granger (1987). Further, it is found that oversizing is driven by the size of the volatility parameter of the GARCH processes considered, rather than their degree of persistence. Interestingly, the application of consistent-threshold estimation is shown to increase the size distortion of the asymmetric tests, with the consistent-threshold MTAR test displaying the greatest size distortion of all tests considered.
{"title":"Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests","authors":"S. Cook","doi":"10.1080/17446540701367485","DOIUrl":"https://doi.org/10.1080/17446540701367485","url":null,"abstract":"Using Monte Carlo simulation, the finite-sample sizes of asymmetric cointegration tests are examined in the presence volatility clustering. The findings obtained show the asymmetric tests of Enders and Siklos (2001) to exhibit greater oversizing than the previously examined implicitly symmetric cointegration test of Engle and Granger (1987). Further, it is found that oversizing is driven by the size of the volatility parameter of the GARCH processes considered, rather than their degree of persistence. Interestingly, the application of consistent-threshold estimation is shown to increase the size distortion of the asymmetric tests, with the consistent-threshold MTAR test displaying the greatest size distortion of all tests considered.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115875798","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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