Pub Date : 2023-06-19DOI: 10.1108/sef-04-2023-0187
Florin Aliu, Alban Asllani, Simona Hašková
Purpose Since 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index (USDX). Design/methodology/approach The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the unrestricted vector autoregression (VAR), structural vector autoregression (SVAR) and wavelet coherence were performed. Findings The findings are mixed as not all tests show the exact effects of BTC in the three asset classes. However, common to all the tests is the significant influence that BTC maintains on gold and vice versa. The positive shock in BTC significantly increases the gold prices, confirmed in three different tests. The effects on the VIX and USDX are still being determined, where in some tests, it appears to be influential while in others not. Originality/value BTC’s diversification potential with equity stocks and USDX makes it a valuable security for portfolio managers. Furthermore, regulatory authorities should consider that BTC is not an isolated phenomenon and can significantly influence other asset classes such as gold.
{"title":"The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX): analysis based on VAR, SVAR, and wavelet coherence","authors":"Florin Aliu, Alban Asllani, Simona Hašková","doi":"10.1108/sef-04-2023-0187","DOIUrl":"https://doi.org/10.1108/sef-04-2023-0187","url":null,"abstract":"\u0000Purpose\u0000Since 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index (USDX).\u0000\u0000\u0000Design/methodology/approach\u0000The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the unrestricted vector autoregression (VAR), structural vector autoregression (SVAR) and wavelet coherence were performed.\u0000\u0000\u0000Findings\u0000The findings are mixed as not all tests show the exact effects of BTC in the three asset classes. However, common to all the tests is the significant influence that BTC maintains on gold and vice versa. The positive shock in BTC significantly increases the gold prices, confirmed in three different tests. The effects on the VIX and USDX are still being determined, where in some tests, it appears to be influential while in others not.\u0000\u0000\u0000Originality/value\u0000BTC’s diversification potential with equity stocks and USDX makes it a valuable security for portfolio managers. Furthermore, regulatory authorities should consider that BTC is not an isolated phenomenon and can significantly influence other asset classes such as gold.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42304208","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 : 2023-06-15DOI: 10.1108/sef-06-2021-0255
J. Hall
Purpose The purpose of this paper is to determine if there is a link between corporate shareholder value creation and economic growth. The first objective of this paper is to determine which specific shareholder value measurement best explains shareholder value creation for a particular industry. The next objective of the study is to establish, for each of nine different categories of firms examined, a set of value drivers that are unique and significant in expressing shareholder value for that particular category of firms. Lastly, the relationship between shareholder value creation and economic growth is tested. Design/methodology/approach To quantify and measure value creation, the paper investigates the various value creation measurements that are being applied. The next step is to ascertain whether various industries have different value creation measures that best explain value creation for the respective industries. Then, the value drivers of these specific value creation measures can be determined and their relationship with economic growth tested. Findings The results of this study indicate that each industry does have a specific shareholder value creation measurement that best explains shareholder value creation for that industry; for example, for five of the nine categories (industries) that were analyzed, market value added was found to be the best shareholder value creation measurement, but for capital-intensive firms and manufacturing firms, the Qratio is the best measure, while for the food and beverage industry, the market to book ratio was found to be a better measure of shareholder value creation than other measures tested. It was further found that an increase in corporate shareholder value creation is to the detriment of economic growth. Originality/value The contribution of the present study is its determination of a unique shareholder value creation measurement for particular industries. In addition, a specific set of variables per industry that create shareholder value is identified. Lastly, the important link between shareholder value creation and economic growth is exposed.
{"title":"Corporate shareholder value creation as contributor to economic growth","authors":"J. Hall","doi":"10.1108/sef-06-2021-0255","DOIUrl":"https://doi.org/10.1108/sef-06-2021-0255","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to determine if there is a link between corporate shareholder value creation and economic growth. The first objective of this paper is to determine which specific shareholder value measurement best explains shareholder value creation for a particular industry. The next objective of the study is to establish, for each of nine different categories of firms examined, a set of value drivers that are unique and significant in expressing shareholder value for that particular category of firms. Lastly, the relationship between shareholder value creation and economic growth is tested.\u0000\u0000\u0000Design/methodology/approach\u0000To quantify and measure value creation, the paper investigates the various value creation measurements that are being applied. The next step is to ascertain whether various industries have different value creation measures that best explain value creation for the respective industries. Then, the value drivers of these specific value creation measures can be determined and their relationship with economic growth tested.\u0000\u0000\u0000Findings\u0000The results of this study indicate that each industry does have a specific shareholder value creation measurement that best explains shareholder value creation for that industry; for example, for five of the nine categories (industries) that were analyzed, market value added was found to be the best shareholder value creation measurement, but for capital-intensive firms and manufacturing firms, the Qratio is the best measure, while for the food and beverage industry, the market to book ratio was found to be a better measure of shareholder value creation than other measures tested. It was further found that an increase in corporate shareholder value creation is to the detriment of economic growth.\u0000\u0000\u0000Originality/value\u0000The contribution of the present study is its determination of a unique shareholder value creation measurement for particular industries. In addition, a specific set of variables per industry that create shareholder value is identified. Lastly, the important link between shareholder value creation and economic growth is exposed.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48235499","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 : 2023-06-09DOI: 10.1108/sef-12-2022-0572
Tezer Yelkenci, Birce Dobrucalı Yelkenci, G. Vardar, Berna Aydoğan
Purpose This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model. Design/methodology/approach Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return. Findings Results indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles. Originality/value The study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin’s volatility on financial system stability.
{"title":"Exploring the relationship between digital trails of social signals and bitcoin returns","authors":"Tezer Yelkenci, Birce Dobrucalı Yelkenci, G. Vardar, Berna Aydoğan","doi":"10.1108/sef-12-2022-0572","DOIUrl":"https://doi.org/10.1108/sef-12-2022-0572","url":null,"abstract":"\u0000Purpose\u0000This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model.\u0000\u0000\u0000Design/methodology/approach\u0000Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return.\u0000\u0000\u0000Findings\u0000Results indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles.\u0000\u0000\u0000Originality/value\u0000The study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin’s volatility on financial system stability.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43314426","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 : 2023-06-07DOI: 10.1108/sef-06-2022-0310
Sasipha Tangworachai, Wing-Keung Wong, Fang‐Yi Lo
Purpose Freshwater availability is reducing globally, due to increasing demand with population growth and climate change and is disproportionately impacting developing countries. This study aims to investigate the dynamics of water access and consumption across all regions of Thailand with various characteristics and water systems. Understanding the relationship between institutional, economic and climate variables in Thailand’s water management is important for water scarcity planning. Our paper fills a gap in the literature by examining the determinants of water consumption and exploring potential water management policies. Design/methodology/approach The authors empirically analyze the determinants of water consumption in Thailand, including institutional, economic and climate variables. The authors use data sets from both metropolitan and provincial waterworks authorities (PWA), as well as economic and meteorological macro-level data. The authors also adopt an auto-regressive distributed lag (ARDL) model and a Johansen cointegration test to estimate short- and long-run effects of the variables on water consumption. Findings The authors confirm a negative relationship between water pricing and consumption and verify a positive relationship between economic growth and water consumption across most regions of Thailand. Furthermore, the authors reveal a clear relationship between climate factors and water consumption and an inverse relationship between income and water consumption in metropolitan area. Findings indicate that authorities, especially PWA, should examine high water use in agriculture and develop regulations to ensure equitable water distribution to sustain economic growth. The authors recommend that water prices are increased within specific income thresholds to prevent impacting low-income families and to secure higher public revenue. In pursuit of environmental sustainability, the authors also recommend increasing public awareness of freshwater scarcity through education programs and investment in water-saving technologies. Differences among regions should be considered when developing water management strategies, which could be monitored through the respective water boards. Originality/value This study provides deep insight into the key factors that drive both water prices and water consumption in poor and rich areas. The unique nature of the research indicated that the paper will be of interest to policymakers and the academic community. The findings are relevant for water consumption management in Thailand and other developing countries with similar characteristics.
{"title":"Determinants of water consumption in Thailand: sustainable development of water resources","authors":"Sasipha Tangworachai, Wing-Keung Wong, Fang‐Yi Lo","doi":"10.1108/sef-06-2022-0310","DOIUrl":"https://doi.org/10.1108/sef-06-2022-0310","url":null,"abstract":"\u0000Purpose\u0000Freshwater availability is reducing globally, due to increasing demand with population growth and climate change and is disproportionately impacting developing countries. This study aims to investigate the dynamics of water access and consumption across all regions of Thailand with various characteristics and water systems. Understanding the relationship between institutional, economic and climate variables in Thailand’s water management is important for water scarcity planning. Our paper fills a gap in the literature by examining the determinants of water consumption and exploring potential water management policies.\u0000\u0000\u0000Design/methodology/approach\u0000The authors empirically analyze the determinants of water consumption in Thailand, including institutional, economic and climate variables. The authors use data sets from both metropolitan and provincial waterworks authorities (PWA), as well as economic and meteorological macro-level data. The authors also adopt an auto-regressive distributed lag (ARDL) model and a Johansen cointegration test to estimate short- and long-run effects of the variables on water consumption.\u0000\u0000\u0000Findings\u0000The authors confirm a negative relationship between water pricing and consumption and verify a positive relationship between economic growth and water consumption across most regions of Thailand. Furthermore, the authors reveal a clear relationship between climate factors and water consumption and an inverse relationship between income and water consumption in metropolitan area. Findings indicate that authorities, especially PWA, should examine high water use in agriculture and develop regulations to ensure equitable water distribution to sustain economic growth. The authors recommend that water prices are increased within specific income thresholds to prevent impacting low-income families and to secure higher public revenue. In pursuit of environmental sustainability, the authors also recommend increasing public awareness of freshwater scarcity through education programs and investment in water-saving technologies. Differences among regions should be considered when developing water management strategies, which could be monitored through the respective water boards.\u0000\u0000\u0000Originality/value\u0000This study provides deep insight into the key factors that drive both water prices and water consumption in poor and rich areas. The unique nature of the research indicated that the paper will be of interest to policymakers and the academic community. The findings are relevant for water consumption management in Thailand and other developing countries with similar characteristics.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44568851","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 : 2023-06-05DOI: 10.1108/sef-12-2022-0554
Diyan Lestari, Shiguang Ma, A. Jun
Purpose The financial sector's resilience is associated with greater prosperity and a better average income. Banks have evolved their business model and diversified their sources of income, and bank digitalization has become one of the prominent strategies. The purpose of this study is to examine how bank service expansion represented by revenue diversification activities and digital strategy will enhance bank stability in ASEAN countries from 2010 to 2021. Design/methodology/approach This study uses information from the Datastream database and banks’ annual reports to measure bank stability, diversification and market power, which also provide information for bank digital strategy. This study uses the two-step system generalized method of moments to investigate the effect of diversification and digitalization on bank stability in ASEAN. Findings The results of this study show that bank revenue diversification has no effect on bank stability, and the presence of the chief digital officer and digital disclosure improves banks’ stability. However, alliance strategy with financial technology companies does not significantly impact bank stability and might increase bank risk. Practical implications The findings of this study provide relevant policy implications: the regulation should support bank business to diversify the source of income; regulators and policymakers should regulate and enhance the Information and Communication Technology infrastructure; and banks should design their strategy comprehensively. Originality/value This study provides new evidence of the essential role of digital strategy in enhancing bank stability in ASEAN. In addition, this study also shows how banks diversify their business in a competitive environment.
{"title":"Enhancing bank stability from diversification and digitalization perspective in ASEAN","authors":"Diyan Lestari, Shiguang Ma, A. Jun","doi":"10.1108/sef-12-2022-0554","DOIUrl":"https://doi.org/10.1108/sef-12-2022-0554","url":null,"abstract":"\u0000Purpose\u0000The financial sector's resilience is associated with greater prosperity and a better average income. Banks have evolved their business model and diversified their sources of income, and bank digitalization has become one of the prominent strategies. The purpose of this study is to examine how bank service expansion represented by revenue diversification activities and digital strategy will enhance bank stability in ASEAN countries from 2010 to 2021.\u0000\u0000\u0000Design/methodology/approach\u0000This study uses information from the Datastream database and banks’ annual reports to measure bank stability, diversification and market power, which also provide information for bank digital strategy. This study uses the two-step system generalized method of moments to investigate the effect of diversification and digitalization on bank stability in ASEAN.\u0000\u0000\u0000Findings\u0000The results of this study show that bank revenue diversification has no effect on bank stability, and the presence of the chief digital officer and digital disclosure improves banks’ stability. However, alliance strategy with financial technology companies does not significantly impact bank stability and might increase bank risk.\u0000\u0000\u0000Practical implications\u0000The findings of this study provide relevant policy implications: the regulation should support bank business to diversify the source of income; regulators and policymakers should regulate and enhance the Information and Communication Technology infrastructure; and banks should design their strategy comprehensively.\u0000\u0000\u0000Originality/value\u0000This study provides new evidence of the essential role of digital strategy in enhancing bank stability in ASEAN. In addition, this study also shows how banks diversify their business in a competitive environment.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43043747","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}
Purpose This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market. Design/methodology/approach It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market. Findings The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD Coin and Binance USD show an asymmetric effect or leverage effect. Interestingly, other cryptocurrencies such as Ethereum, Binance Coin, Ripple, Solana, Cardano and Bitcoin Cash show the opposite behavior of the leverage effect. The findings of the GJR-GARCH model also show positive feedback trading for USD Coin, Binance USD, Ripple, Solana and Bitcoin Cash and negative feedback trading for Ethereum and Cardano only. Originality/value This paper contributes to the literature by extending Sentana and Wadhwani (1992) to explore the presence of feedback trading in the cryptocurrency market using a sample of the most active cryptocurrencies other than Bitcoin, namely, Ethereum, USD coin, Binance Coin, Binance USD, Ripple, Cardano, Solana and Bitcoin Cash.
{"title":"Feedback trading in the cryptocurrency market","authors":"Mohamed Shaker Ahmed, Adel Alsamman, Kaouther Chebbi","doi":"10.1108/sef-02-2023-0096","DOIUrl":"https://doi.org/10.1108/sef-02-2023-0096","url":null,"abstract":"\u0000Purpose\u0000This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market.\u0000\u0000\u0000Design/methodology/approach\u0000It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market.\u0000\u0000\u0000Findings\u0000The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD Coin and Binance USD show an asymmetric effect or leverage effect. Interestingly, other cryptocurrencies such as Ethereum, Binance Coin, Ripple, Solana, Cardano and Bitcoin Cash show the opposite behavior of the leverage effect. The findings of the GJR-GARCH model also show positive feedback trading for USD Coin, Binance USD, Ripple, Solana and Bitcoin Cash and negative feedback trading for Ethereum and Cardano only.\u0000\u0000\u0000Originality/value\u0000This paper contributes to the literature by extending Sentana and Wadhwani (1992) to explore the presence of feedback trading in the cryptocurrency market using a sample of the most active cryptocurrencies other than Bitcoin, namely, Ethereum, USD coin, Binance Coin, Binance USD, Ripple, Cardano, Solana and Bitcoin Cash.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46628651","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 : 2023-05-08DOI: 10.1108/sef-12-2022-0568
Athiyyah Riri Syahfitri, T. Risfandy
Purpose This paper aims to investigate the impact of female directors on the dividend policies of 96 ASEAN-5 listed commercial banks between 2015 and 2020. Design/methodology/approach This paper developed an econometric model to assess the impact of female directors on the banks’ dividend policies. This paper regressed the payout variable on the female director, legal (institutional environment) variables and several control variables. This paper also considered the interaction between the female and legal variables to assess the moderating impact of the institutional environment. Findings This paper found that female directors positively affected dividend policy and that banks with female directors tended to pay dividends to balance stakeholders’ interests, especially for the minority. This paper also found that the influence of female directors was weaker in countries with strong institutional environments because greater legal protection for shareholders reinforced or replaced corporate governance mechanisms. Originality/value To the best of the authors’ knowledge, this is the first study to investigate gender diversity and its impact on dividend policy using data from ASEAN-5 countries.
{"title":"Female directors, the institutional environment and dividend policy: evidence from ASEAN-5 commercial banks","authors":"Athiyyah Riri Syahfitri, T. Risfandy","doi":"10.1108/sef-12-2022-0568","DOIUrl":"https://doi.org/10.1108/sef-12-2022-0568","url":null,"abstract":"\u0000Purpose\u0000This paper aims to investigate the impact of female directors on the dividend policies of 96 ASEAN-5 listed commercial banks between 2015 and 2020.\u0000\u0000\u0000Design/methodology/approach\u0000This paper developed an econometric model to assess the impact of female directors on the banks’ dividend policies. This paper regressed the payout variable on the female director, legal (institutional environment) variables and several control variables. This paper also considered the interaction between the female and legal variables to assess the moderating impact of the institutional environment.\u0000\u0000\u0000Findings\u0000This paper found that female directors positively affected dividend policy and that banks with female directors tended to pay dividends to balance stakeholders’ interests, especially for the minority. This paper also found that the influence of female directors was weaker in countries with strong institutional environments because greater legal protection for shareholders reinforced or replaced corporate governance mechanisms.\u0000\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, this is the first study to investigate gender diversity and its impact on dividend policy using data from ASEAN-5 countries.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49209981","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 : 2023-04-26DOI: 10.1108/sef-12-2021-0517
Marcel Steinborn
Purpose This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021. Design/methodology/approach To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis. Findings Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays. Practical implications The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible. Originality/value To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.
{"title":"Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets","authors":"Marcel Steinborn","doi":"10.1108/sef-12-2021-0517","DOIUrl":"https://doi.org/10.1108/sef-12-2021-0517","url":null,"abstract":"\u0000Purpose\u0000This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.\u0000\u0000\u0000Design/methodology/approach\u0000To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis.\u0000\u0000\u0000Findings\u0000Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays.\u0000\u0000\u0000Practical implications\u0000The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.\u0000\u0000\u0000Originality/value\u0000To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43556079","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 : 2023-04-17DOI: 10.1108/sef-01-2023-0013
Crystal Glenda Rodrigues, Gopalakrishna B.v
Purpose This study aims to analyse the impact of the big five personality traits on the financial risk tolerance of individuals. Furthermore, it also examines the differences in personality traits and financial risk tolerance across four generations: baby boomers, Generation X, millennials and Generation Z. Design/methodology/approach The data constituted 869 responses from Indian individuals, collected using a self-administered structured questionnaire using a convenience sampling technique. Findings Structural equation modelling analysis showed that openness to experience, extraversion and neuroticism had a significant impact on financial risk tolerance. Multivariate analysis revealed the role of specific personality traits in predicting the financial risk tolerance of generational cohorts. Mean difference showed that millennials and Generation Z had the greatest risk tolerance, whereas the tolerance levels were lower for Generation X and baby boomers. Research limitations/implications This research provides insights into the role of personality on financial risk-taking among generational cohorts in India. Thus, these results cannot be generalised for other risk-taking domains or outside the Indian context. Originality/value This study’s results align with the pulse rate hypothesis of generational theory and contribute to the growing field of behavioural economics and finance. It provides a perspective of the emerging economy of India, where behavioural finance studies are still at a nascent stage.
{"title":"Financial risk tolerance of individuals from the lens of big five personality traits – a multigenerational perspective","authors":"Crystal Glenda Rodrigues, Gopalakrishna B.v","doi":"10.1108/sef-01-2023-0013","DOIUrl":"https://doi.org/10.1108/sef-01-2023-0013","url":null,"abstract":"\u0000Purpose\u0000This study aims to analyse the impact of the big five personality traits on the financial risk tolerance of individuals. Furthermore, it also examines the differences in personality traits and financial risk tolerance across four generations: baby boomers, Generation X, millennials and Generation Z.\u0000\u0000\u0000Design/methodology/approach\u0000The data constituted 869 responses from Indian individuals, collected using a self-administered structured questionnaire using a convenience sampling technique.\u0000\u0000\u0000Findings\u0000Structural equation modelling analysis showed that openness to experience, extraversion and neuroticism had a significant impact on financial risk tolerance. Multivariate analysis revealed the role of specific personality traits in predicting the financial risk tolerance of generational cohorts. Mean difference showed that millennials and Generation Z had the greatest risk tolerance, whereas the tolerance levels were lower for Generation X and baby boomers.\u0000\u0000\u0000Research limitations/implications\u0000This research provides insights into the role of personality on financial risk-taking among generational cohorts in India. Thus, these results cannot be generalised for other risk-taking domains or outside the Indian context.\u0000\u0000\u0000Originality/value\u0000This study’s results align with the pulse rate hypothesis of generational theory and contribute to the growing field of behavioural economics and finance. It provides a perspective of the emerging economy of India, where behavioural finance studies are still at a nascent stage.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45505083","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 : 2023-04-13DOI: 10.1108/sef-11-2021-0488
Walid Mensi, V. Vo, S. Kang
Purpose This study aims to examine the multiscale predictability power of COVID-19 deaths and confirmed cases on the S&P 500 index (USA), CAC30 index (France), BSE index (India), two strategic commodity futures (West Texas intermediate [WTI] crude oil and Gold) and five main uncertainty indices Equity Market Volatility Ticker (EMV), CBOE Volatility Index (VIX), US Economic Policy Uncertainty (EPU), CBOE Crude Oil Volatility Index (OVX) and CBOE ETF Gold Volatility Index (GVZ). Furthermore, the authors analyze the impact of uncertainty indices and COVID-19 deaths and confirmed cases on the price returns of stocks (S&P500, CAC300 and BSE), crude oil and gold. Design/methodology/approach The authors used the wavelet coherency method and quantile regression approach to achieve the objectives. Findings The results show strong multiscale comovements between the variables under investigation. Lead-lag relationships vary across frequencies. Finally, COVID-19 news is a powerful predictor of the uncertainty indices at intermediate (4–16 days) and low (32–64 days) frequencies for EPU and at low frequency for EMV, VIX, OVX and GVZ indices from January to April 2020. The S&P500, CAC30 and BSE indexes and gold prices comove with COVID-19 news at low frequencies during the sample period. By contrast, COVID-19 news and WTI oil moderately correlated at low frequencies. Finally, the returns on equity and commodity assets are influenced by uncertainty indices and are sensitive to market conditions. Originality/value This study contributes to the literature by exploring the time and frequency dependence between COVID-19 news (confirmed and death cases) on the returns of financial and commodity markets and uncertainty indexes. The findings can assist market participants and policymakers in considering the predictability of future prices and uncertainty over time and across frequencies when setting up regulations that aim to enhance market efficiency.
{"title":"Can COVID-19 deaths and confirmed cases predict the uncertainty indexes? A multiscale analysis","authors":"Walid Mensi, V. Vo, S. Kang","doi":"10.1108/sef-11-2021-0488","DOIUrl":"https://doi.org/10.1108/sef-11-2021-0488","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the multiscale predictability power of COVID-19 deaths and confirmed cases on the S&P 500 index (USA), CAC30 index (France), BSE index (India), two strategic commodity futures (West Texas intermediate [WTI] crude oil and Gold) and five main uncertainty indices Equity Market Volatility Ticker (EMV), CBOE Volatility Index (VIX), US Economic Policy Uncertainty (EPU), CBOE Crude Oil Volatility Index (OVX) and CBOE ETF Gold Volatility Index (GVZ). Furthermore, the authors analyze the impact of uncertainty indices and COVID-19 deaths and confirmed cases on the price returns of stocks (S&P500, CAC300 and BSE), crude oil and gold.\u0000\u0000\u0000Design/methodology/approach\u0000The authors used the wavelet coherency method and quantile regression approach to achieve the objectives.\u0000\u0000\u0000Findings\u0000The results show strong multiscale comovements between the variables under investigation. Lead-lag relationships vary across frequencies. Finally, COVID-19 news is a powerful predictor of the uncertainty indices at intermediate (4–16 days) and low (32–64 days) frequencies for EPU and at low frequency for EMV, VIX, OVX and GVZ indices from January to April 2020. The S&P500, CAC30 and BSE indexes and gold prices comove with COVID-19 news at low frequencies during the sample period. By contrast, COVID-19 news and WTI oil moderately correlated at low frequencies. Finally, the returns on equity and commodity assets are influenced by uncertainty indices and are sensitive to market conditions.\u0000\u0000\u0000Originality/value\u0000This study contributes to the literature by exploring the time and frequency dependence between COVID-19 news (confirmed and death cases) on the returns of financial and commodity markets and uncertainty indexes. The findings can assist market participants and policymakers in considering the predictability of future prices and uncertainty over time and across frequencies when setting up regulations that aim to enhance market efficiency.\u0000","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45951604","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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