Pub Date : 2021-02-21DOI: 10.17811/EBL.10.1.2021.72-80
N. Apergis, T. Hayat, T. Saeed
The goal of this paper is to explore the simultaneous role of macroeconomic and geopolitical news in gold returns and its associated volatility. The analysis uses sentiment scores for certain macroeconomic and geopolitical global news, along with a GARCH modelling approach. The findings document that both types of news substantially impact gold returns and their associated volatility, with geopolitical news having a stronger impact.
{"title":"The role of macroeconomic and geopolitical news on gold returns and volatility","authors":"N. Apergis, T. Hayat, T. Saeed","doi":"10.17811/EBL.10.1.2021.72-80","DOIUrl":"https://doi.org/10.17811/EBL.10.1.2021.72-80","url":null,"abstract":"The goal of this paper is to explore the simultaneous role of macroeconomic and geopolitical news in gold returns and its associated volatility. The analysis uses sentiment scores for certain macroeconomic and geopolitical global news, along with a GARCH modelling approach. The findings document that both types of news substantially impact gold returns and their associated volatility, with geopolitical news having a stronger impact.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45626593","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 : 2021-02-21DOI: 10.17811/EBL.10.1.2021.37-44
Roongkiat Ratanabanchuen, Kanis Saengchote
One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.
{"title":"Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand","authors":"Roongkiat Ratanabanchuen, Kanis Saengchote","doi":"10.17811/EBL.10.1.2021.37-44","DOIUrl":"https://doi.org/10.17811/EBL.10.1.2021.37-44","url":null,"abstract":"One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46939423","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 : 2021-02-21DOI: 10.17811/EBL.10.1.2021.81-86
Syed Yusuf Saadat
This study investigates whether government borrowing can be likened to a Ponzi scheme which will allow the government to roll-over its debt perpetually. The results show that, on the basis of the condition of maintaining real economic growth rate above and beyond the real interest rate on government debt, it will not be possible to sustain a perpetual Ponzi scheme of all four types of National Savings Certificates in Bangladesh. The government’s debt may be rolled over perpetually for two types of National Savings Certificates, following the condition outlined in Ball, et al. (1998), or for three types of National Savings Certificates following the condition outlined in Mehrotra (2017).
{"title":"Government borrowing as a Ponzi scheme: the case of Bangladesh","authors":"Syed Yusuf Saadat","doi":"10.17811/EBL.10.1.2021.81-86","DOIUrl":"https://doi.org/10.17811/EBL.10.1.2021.81-86","url":null,"abstract":"This study investigates whether government borrowing can be likened to a Ponzi scheme which will allow the government to roll-over its debt perpetually. The results show that, on the basis of the condition of maintaining real economic growth rate above and beyond the real interest rate on government debt, it will not be possible to sustain a perpetual Ponzi scheme of all four types of National Savings Certificates in Bangladesh. The government’s debt may be rolled over perpetually for two types of National Savings Certificates, following the condition outlined in Ball, et al. (1998), or for three types of National Savings Certificates following the condition outlined in Mehrotra (2017).","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44418338","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 : 2021-01-13DOI: 10.17811/EBL.10.2.2021.95-101
Amr Algarhi, Alexander Tziamalis
We use quarterly data from 1955 to 2019 to examine the performance of Conservative and Labour administrations in terms of real GDP growth in the United Kingdom. To account for fiscal lags in the legislation and implementation of new policies by each administration, we explore up to lag 8 in addition to an overlapping technique. Our main finding is that the UK economy has grown with a similar pace under both parties, however Labour governments seem to do better in tackling recessions and achieve a more consistent performance. Labour’s advantage becomes more pronounced if we discount the effect of a large external shock, the 2008 Financial Crisis.
{"title":"Does the UK economy grow faster under a Conservative or Labour government?","authors":"Amr Algarhi, Alexander Tziamalis","doi":"10.17811/EBL.10.2.2021.95-101","DOIUrl":"https://doi.org/10.17811/EBL.10.2.2021.95-101","url":null,"abstract":"We use quarterly data from 1955 to 2019 to examine the performance of Conservative and Labour administrations in terms of real GDP growth in the United Kingdom. To account for fiscal lags in the legislation and implementation of new policies by each administration, we explore up to lag 8 in addition to an overlapping technique. Our main finding is that the UK economy has grown with a similar pace under both parties, however Labour governments seem to do better in tackling recessions and achieve a more consistent performance. Labour’s advantage becomes more pronounced if we discount the effect of a large external shock, the 2008 Financial Crisis.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42210917","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 : 2021-01-01DOI: 10.17811/ebl.10.3.2021.319-330
R. A. Nikiema
This paper analyzes the relationship between crop output market and the use of modern inputs of farmers in developing countries. For this purpose, we used a large-scale household dataset collected in rural Burkina Faso. We found evidence that crop output market integration matters in farmer decision to adopt modern inputs. More specifically, an increase of the spatial price dispersion by 10% is significantly associated with a decrease of the probability of using modern inputs by 4%. However, price volatility affects neither the decision to use of the modern nor the intensity of adoption. Our finding implies that in order to succeed, agricultural interventions that target the adoption of modern inputs should be accompanied with market development measures.
{"title":"Adoption of yield-increasing technologies in poorly integrated crop output markets","authors":"R. A. Nikiema","doi":"10.17811/ebl.10.3.2021.319-330","DOIUrl":"https://doi.org/10.17811/ebl.10.3.2021.319-330","url":null,"abstract":"This paper analyzes the relationship between crop output market and the use of modern inputs of farmers in developing countries. For this purpose, we used a large-scale household dataset collected in rural Burkina Faso. We found evidence that crop output market integration matters in farmer decision to adopt modern inputs. More specifically, an increase of the spatial price dispersion by 10% is significantly associated with a decrease of the probability of using modern inputs by 4%. However, price volatility affects neither the decision to use of the modern nor the intensity of adoption. Our finding implies that in order to succeed, agricultural interventions that target the adoption of modern inputs should be accompanied with market development measures.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67429891","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 : 2021-01-01DOI: 10.17811/ebl.10.3.2021.310-318
Andy W. Chen, Haoyang Chen
Tuition fees of full-time MBA programs with similar structure can vary greatly from around USD $20,000 to USD $220,000. This paper explores the effects of post-graduation salary, reputation, and their interaction on such high discrepancy in MBA tuition. Using a unique dataset of international MBA programs, we found that program value is positively correlated with post-graduation salary. This relationship is stronger for more prestigious programs whose values are impacted more by graduate outcomes. In addition, this relationship is greater for North American programs, but smaller for European programs, suggesting a geographical effect. These results provide managerial implications for program administrators and universities offering professional business programs. These insights can be extended to other industries of intangible experience goods.
{"title":"Pricing of higher education: The case of top-ranked MBA programs","authors":"Andy W. Chen, Haoyang Chen","doi":"10.17811/ebl.10.3.2021.310-318","DOIUrl":"https://doi.org/10.17811/ebl.10.3.2021.310-318","url":null,"abstract":"Tuition fees of full-time MBA programs with similar structure can vary greatly from around USD $20,000 to USD $220,000. This paper explores the effects of post-graduation salary, reputation, and their interaction on such high discrepancy in MBA tuition. Using a unique dataset of international MBA programs, we found that program value is positively correlated with post-graduation salary. This relationship is stronger for more prestigious programs whose values are impacted more by graduate outcomes. In addition, this relationship is greater for North American programs, but smaller for European programs, suggesting a geographical effect. These results provide managerial implications for program administrators and universities offering professional business programs. These insights can be extended to other industries of intangible experience goods.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67430345","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 : 2021-01-01DOI: 10.17811/ebl.10.3.2021.164-177
H. Nguyen, Minh Vu Ngo, Thanh Phuc Nguyen
This paper examines the impact of market structure and state ownership on bank lending as a transmission channel for monetary policies. For controlling the effects of bank heterogeneities and macroeconomic factors on bank lending, dynamic models using two-step difference GMM with panel data collected from 25 Vietnamese commercial banks and the Vietnamese banking sector from 1999 to 2017 are employed. Results indicate that a higher level of concentration in the banking market and state ownership dampen the expected impacts of interbank interest rate on the loan growth in commercial banks, which decreases the effectiveness of monetary policy via the bank lending channel. These results are robust regarding the use of alternative measures of market structure and the inclusion of event time variables in the dynamic model. Based on the findings, monetary policy could be implied using the significant moderating impacts of state-ownership as well as the market structure of the Vietnamese banking sector on the relationship between bank loan supply and interbank interest rate.
{"title":"Market structure, state ownership and monetary policy transmission through bank lending channel: Evidence from Vietnamese commercial banks","authors":"H. Nguyen, Minh Vu Ngo, Thanh Phuc Nguyen","doi":"10.17811/ebl.10.3.2021.164-177","DOIUrl":"https://doi.org/10.17811/ebl.10.3.2021.164-177","url":null,"abstract":"This paper examines the impact of market structure and state ownership on bank lending as a transmission channel for monetary policies. For controlling the effects of bank heterogeneities and macroeconomic factors on bank lending, dynamic models using two-step difference GMM with panel data collected from 25 Vietnamese commercial banks and the Vietnamese banking sector from 1999 to 2017 are employed. Results indicate that a higher level of concentration in the banking market and state ownership dampen the expected impacts of interbank interest rate on the loan growth in commercial banks, which decreases the effectiveness of monetary policy via the bank lending channel. These results are robust regarding the use of alternative measures of market structure and the inclusion of event time variables in the dynamic model. Based on the findings, monetary policy could be implied using the significant moderating impacts of state-ownership as well as the market structure of the Vietnamese banking sector on the relationship between bank loan supply and interbank interest rate.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67429984","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 : 2021-01-01DOI: 10.17811/ebl.10.3.2021.249-261
Duy Khanh Pham, V. Ngo, H. Nguyen, T. Le
The paper investigates the impacts of diversification strategies on various indicators of bank risks and performance in emerging markets before, during, and after the global financial crisis. We use a data set of 44 commercial banks in Vietnam over the period 2002-2019 and the Generalised Method of Moments (GMM). The results suggest that income and funding diversification improve bank performance without increasing their risk-taking. During the financial crisis, assets and funding diversity help reduce risk, while income diversified banks bear more risk. The empirical findings show that different diversification dimensions affect bank risk and performance differently during crisis and non-crisis periods so bank managers need to adjust their strategy accordingly.
{"title":"Financial crisis and diversification strategies: the impact on bank risk and performance","authors":"Duy Khanh Pham, V. Ngo, H. Nguyen, T. Le","doi":"10.17811/ebl.10.3.2021.249-261","DOIUrl":"https://doi.org/10.17811/ebl.10.3.2021.249-261","url":null,"abstract":"The paper investigates the impacts of diversification strategies on various indicators of bank risks and performance in emerging markets before, during, and after the global financial crisis. We use a data set of 44 commercial banks in Vietnam over the period 2002-2019 and the Generalised Method of Moments (GMM). The results suggest that income and funding diversification improve bank performance without increasing their risk-taking. During the financial crisis, assets and funding diversity help reduce risk, while income diversified banks bear more risk. The empirical findings show that different diversification dimensions affect bank risk and performance differently during crisis and non-crisis periods so bank managers need to adjust their strategy accordingly.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67430142","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 : 2021-01-01DOI: 10.17811/ebl.10.3.2021.291-298
A. Akbar, Xinfeng Jiang, Zeeshan Fareed, M. Akbar
This letter is a first attempt to investigate the relationship between frequent leadership changes during the year and firm performance. We analyze how CEO frequency during one-year period impact performance indicators of Chinese listed firms. The results of panel fixed-effect regression reveal that CEO turnover leads to a decline in corporate performance measured by ROA and ROE. Moreover, with an increase in annual turnover frequency, the degree of performance decline gets more pronounced. These results remain robust after controlling for endogeneity using the alternate econometric specification of 2SLS. The study findings assert that frequent CEO changes are not conducive to firm performance. Hence, stability in the CEO tenure is essential to sustain and optimize financial performance of an enterprise.
{"title":"Does frequent leadership changes influence firm performance? Insights from China","authors":"A. Akbar, Xinfeng Jiang, Zeeshan Fareed, M. Akbar","doi":"10.17811/ebl.10.3.2021.291-298","DOIUrl":"https://doi.org/10.17811/ebl.10.3.2021.291-298","url":null,"abstract":"This letter is a first attempt to investigate the relationship between frequent leadership changes during the year and firm performance. We analyze how CEO frequency during one-year period impact performance indicators of Chinese listed firms. The results of panel fixed-effect regression reveal that CEO turnover leads to a decline in corporate performance measured by ROA and ROE. Moreover, with an increase in annual turnover frequency, the degree of performance decline gets more pronounced. These results remain robust after controlling for endogeneity using the alternate econometric specification of 2SLS. The study findings assert that frequent CEO changes are not conducive to firm performance. Hence, stability in the CEO tenure is essential to sustain and optimize financial performance of an enterprise.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67430297","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 : 2021-01-01DOI: 10.17811/ebl.10.3.2021.240-248
Shahid W. Anjum
Basel penalties originate from VaR violations where a bank may end up either holding more capital or will risk to be reverted to standardized approach. Regulatory capital charge can have a huge impact on banks’ profitability which depends on the estimation of VaR thresholds which is evaluated by the approaches like hypothesis tests, back-testing procedures and Basel Accord regulatory calculations for penalty zones are used. A multi-criteria performance measure has been introduced in this study in order to select the optimal internal model based on performance evaluation techniques which could possibly help in reduction in the VaR violations and thus may leave more capital with banks.
{"title":"Basel violations, volatility model variants and value at risk: Optimization of performance deviations in banks","authors":"Shahid W. Anjum","doi":"10.17811/ebl.10.3.2021.240-248","DOIUrl":"https://doi.org/10.17811/ebl.10.3.2021.240-248","url":null,"abstract":"Basel penalties originate from VaR violations where a bank may end up either holding more capital or will risk to be reverted to standardized approach. Regulatory capital charge can have a huge impact on banks’ profitability which depends on the estimation of VaR thresholds which is evaluated by the approaches like hypothesis tests, back-testing procedures and Basel Accord regulatory calculations for penalty zones are used. A multi-criteria performance measure has been introduced in this study in order to select the optimal internal model based on performance evaluation techniques which could possibly help in reduction in the VaR violations and thus may leave more capital with banks.","PeriodicalId":43184,"journal":{"name":"Economics and Business Letters","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67430128","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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