Pub Date : 2023-01-01DOI: 10.14706/jecossbuljubasic_halilbegovic
Elvisa Buljubasic, Sanel Halilbegovic
The constant developments in the area of accounting information systems unlock a wide area for contributing to the existing theory in the field of accounting information systems. Particularly in the case of the Federation of Bosnia and Herzegovina, where the benefits that the use of AIS brings with it, are not yet well recognized. The purpose of this research is to analyze the overall situation in the FBiH regarding the use of AIS in companies and its impact on strategic decisionmaking. Data is collected through surveys that were distributed to the companies in FBIH. Multinomial logistic regression was used to analyze the data. Research findings indicate that the industry sector and satisfaction with AIS are found to be statistically significant predictors of the probability of decision-making based on AIS and that accounting information is indispensable in the process of strategic decision-making, especially when it comes to the company's growth, investments, and borrowing.
{"title":"THE USE AND EFFECTIVENESS OF ACCOUNTING INFORMATION SYSTEMS IN TRANSITION ECONOMIES","authors":"Elvisa Buljubasic, Sanel Halilbegovic","doi":"10.14706/jecossbuljubasic_halilbegovic","DOIUrl":"https://doi.org/10.14706/jecossbuljubasic_halilbegovic","url":null,"abstract":"The constant developments in the area of accounting information systems unlock a wide area for contributing to the existing theory in the field of accounting information systems. Particularly in the case of the Federation of Bosnia and Herzegovina, where the benefits that the use of AIS brings with it, are not yet well recognized. The purpose of this research is to analyze the overall situation in the FBiH regarding the use of AIS in companies and its impact on strategic decisionmaking. Data is collected through surveys that were distributed to the companies in FBIH. Multinomial logistic regression was used to analyze the data. Research findings indicate that the industry sector and satisfaction with AIS are found to be statistically significant predictors of the probability of decision-making based on AIS and that accounting information is indispensable in the process of strategic decision-making, especially when it comes to the company's growth, investments, and borrowing.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135609852","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}
Economic supply shocks and fiscal expansion coupled with monetary expansion are suspected causes of the rise in inflation that we observe in most of the developed and developing economies today. In this paper we look at the effect of the government budget deficit(surplus) or fiscal policy stance, and quantitative easing on inflation while controlling for economic shocks using the method of cointegration as we find data series in our model to be integrated of order one and having support of one cointegrating equation between the variables. Our analysis is performed using Federal Reserve monthly data from 1994 to 2022 using Two-Step Engle-Granger (1987) method and Fully Modified OLS by Phillips and Hansen (1990). We compare these models to Auto Regressive Distributed Lag model of Pesaran and Shin (1998) which allows for analysis irrespective of the order of integration to provide for more robustness regarding the estimated relationships in cases of misspecification of stationary properties in our time series. Both cointegrating models lend support to the initial postulated relationship where expansionary fiscal policy has significant positive impact on the price level during the long run but also enhances the effect of the Quantitative Easing on the price level as the interaction term between these variables is significant, indicating that during the periods of expansionary fiscal policy, expansionary monetary policy through Quantitative easing has bigger effect. Our analysis is performed controlling for effect of economic shocks and price of real exchange rate on the price level. Stability of the cointegration model tests reveal presence of structural breaks which when included in the cointegrating equation change the importance of the impact that fiscal stance has on inflation and reveal that inflation is mainly result of the expansion in central bank assets after 2008, which coincides with period of unconventional monetary policy
{"title":"Effect of fiscal expansion on inflation during the period of unconventional monetary policy","authors":"Adisa Omerbegovic Arapovic, Irfan Djedovic, Inda Mulaahmetović","doi":"10.14706/jecossarapovic_djedovic_mulaahmetovic","DOIUrl":"https://doi.org/10.14706/jecossarapovic_djedovic_mulaahmetovic","url":null,"abstract":"Economic supply shocks and fiscal expansion coupled with monetary expansion are suspected causes of the rise in inflation that we observe in most of the developed and developing economies today. In this paper we look at the effect of the government budget deficit(surplus) or fiscal policy stance, and quantitative easing on inflation while controlling for economic shocks using the method of cointegration as we find data series in our model to be integrated of order one and having support of one cointegrating equation between the variables. Our analysis is performed using Federal Reserve monthly data from 1994 to 2022 using Two-Step Engle-Granger (1987) method and Fully Modified OLS by Phillips and Hansen (1990). We compare these models to Auto Regressive Distributed Lag model of Pesaran and Shin (1998) which allows for analysis irrespective of the order of integration to provide for more robustness regarding the estimated relationships in cases of misspecification of stationary properties in our time series. Both cointegrating models lend support to the initial postulated relationship where expansionary fiscal policy has significant positive impact on the price level during the long run but also enhances the effect of the Quantitative Easing on the price level as the interaction term between these variables is significant, indicating that during the periods of expansionary fiscal policy, expansionary monetary policy through Quantitative easing has bigger effect. Our analysis is performed controlling for effect of economic shocks and price of real exchange rate on the price level. Stability of the cointegration model tests reveal presence of structural breaks which when included in the cointegrating equation change the importance of the impact that fiscal stance has on inflation and reveal that inflation is mainly result of the expansion in central bank assets after 2008, which coincides with period of unconventional monetary policy","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135609853","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 pertinacious problem of poverty in the world questions whether the existing mechanisms are effective in the poverty reduction process. Exploring this field has intensified since 1989, and this research provides an overview of the theoretical and empirical research that addresses economic development and poverty. Bibliometric analysis is performed, which includes names of the most common authors, journals, and countries of publications, as well as the frequency of words and expressions in the existing literature. Bibliometric units are researched from the Scopus database using keywords "economic development", "economic growth" and "poverty". The main contribution of this analysis is the review of existing literature addressing the key issues and identifying theoretical and empirical research in the field of economic development and poverty. This is the first study of its kind where scientific attention is being paid to economic growth, economic development, and poverty by the most influential journals and most prominent authors in economics.
{"title":"Economic Growth, Economic Development, and Poverty: A Bibliometric Analysis","authors":"Amra Babajić, Mirza Suljic, Sanel Halilbegović","doi":"10.14706/jecoss21814","DOIUrl":"https://doi.org/10.14706/jecoss21814","url":null,"abstract":": The pertinacious problem of poverty in the world questions whether the existing mechanisms are effective in the poverty reduction process. Exploring this field has intensified since 1989, and this research provides an overview of the theoretical and empirical research that addresses economic development and poverty. Bibliometric analysis is performed, which includes names of the most common authors, journals, and countries of publications, as well as the frequency of words and expressions in the existing literature. Bibliometric units are researched from the Scopus database using keywords \"economic development\", \"economic growth\" and \"poverty\". The main contribution of this analysis is the review of existing literature addressing the key issues and identifying theoretical and empirical research in the field of economic development and poverty. This is the first study of its kind where scientific attention is being paid to economic growth, economic development, and poverty by the most influential journals and most prominent authors in economics.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"62 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87379513","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}
Most developing and developed countries, today are faced with a lot of economic, social, and political challenges as a result of internal or external factors such as the World Financial Crisis and Covid19. In these circumstances, the crucial objective of any government is to improve the national economic performance by increasing domestics and foreign investments. Investments efficiency is the main pillar in the increase of the economic growth of any economy. This paper aims to measure the efficiency of the investments towards economic growth in the Republic of Croatia and Slovenia by applying a comparative analysis. The specific objective of our paper is to determine the best ICOR level, the correlation between ICOR and GDP, and the impact on the economic growth of both countries. The research methodology will include the analysis of the efficiency of the investment measured by the indicators Incremental Capital-Output Ratio (ICOR) based on the World Bank approach. The period of observation includes the period from the year 1995 to 2020. The investment efficiency (ICOR) in both countries is expected to move between 1 and 6. The findings of this research are that each one-point decrease of the ICOR level of Croatia increases the economic growth by 1.961 percent, while the ICOR level of Slovenia increases less the Economic growth by 0.259 percent.
{"title":"The Investments Efficiency Toward Economic Growth: ICOR of the Republic of Croatia and Slovenia - Comparative Analysis","authors":"Jeton Mazllami","doi":"10.14706/jecoss21815","DOIUrl":"https://doi.org/10.14706/jecoss21815","url":null,"abstract":"Most developing and developed countries, today are faced with a lot of economic, social, and political challenges as a result of internal or external factors such as the World Financial Crisis and Covid19. In these circumstances, the crucial objective of any government is to improve the national economic performance by increasing domestics and foreign investments. Investments efficiency is the main pillar in the increase of the economic growth of any economy. This paper aims to measure the efficiency of the investments towards economic growth in the Republic of Croatia and Slovenia by applying a comparative analysis. The specific objective of our paper is to determine the best ICOR level, the correlation between ICOR and GDP, and the impact on the economic growth of both countries. The research methodology will include the analysis of the efficiency of the investment measured by the indicators Incremental Capital-Output Ratio (ICOR) based on the World Bank approach. The period of observation includes the period from the year 1995 to 2020. The investment efficiency (ICOR) in both countries is expected to move between 1 and 6. The findings of this research are that each one-point decrease of the ICOR level of Croatia increases the economic growth by 1.961 percent, while the ICOR level of Slovenia increases less the Economic growth by 0.259 percent.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"52 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76206024","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 Asian and global power politics a maritime strategic angle concentrates on the value of fortifying and controlling sea lines of communications (SLOCs) for stability, economic growth, and development of nations. Consequently, both India and China are snooping to control SLOCs and safeguard their emergent and escalating worldwide interests. The advancement in and expansion of naval power satisfies the corresponding nationalist aspirations of Beijing and New Delhi. As a result, the development of their maritime capabilities would have a greater impact on the naval security architecture in the Indian Ocean. The hike in Chinese engagements across the Indian Ocean widely known as the String of Pearl’s stratagem is principally stimulated by a policy of maritime encirclement of India. Struggle to secure tactical energy resources which are quickly revolutionizing their navies could induce clashes and have major repercussions for global security affairs. Harmonious handling of both China’s and India’s cooperation will be crucial for regional as well as international peace and opulence shortly and everyone looks upon a fabulous Asia reflected in the world. Thus, this paper analyses the underlying factors that motivate both countries to have ambitious objectives in the Indian Ocean and could find out that securing energy is one of the driving forces in securing maritime dominance across the Indian Ocean.
{"title":"India and China in the Indian Ocean: Changing Dimensions of Maritime Strategy","authors":"A. Kurian, C. Vinodan","doi":"10.14706/jecoss21813","DOIUrl":"https://doi.org/10.14706/jecoss21813","url":null,"abstract":"In Asian and global power politics a maritime strategic angle concentrates on the value of fortifying and controlling sea lines of communications (SLOCs) for stability, economic growth, and development of nations. Consequently, both India and China are snooping to control SLOCs and safeguard their emergent and escalating worldwide interests. The advancement in and expansion of naval power satisfies the corresponding nationalist aspirations of Beijing and New Delhi. As a result, the development of their maritime capabilities would have a greater impact on the naval security architecture in the Indian Ocean. The hike in Chinese engagements across the Indian Ocean widely known as the String of Pearl’s stratagem is principally stimulated by a policy of maritime encirclement of India. Struggle to secure tactical energy resources which are quickly revolutionizing their navies could induce clashes and have major repercussions for global security affairs. Harmonious handling of both China’s and India’s cooperation will be crucial for regional as well as international peace and opulence shortly and everyone looks upon a fabulous Asia reflected in the world. Thus, this paper analyses the underlying factors that motivate both countries to have ambitious objectives in the Indian Ocean and could find out that securing energy is one of the driving forces in securing maritime dominance across the Indian Ocean.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85264748","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}
Abstract: This paper situates the 2008 Global Financial Crisis into the wider historical context to argue that the roots of the crisis can be traced back to the dominant economic ideology in the West during the 1970s. It shows that the corresponding financial policies, implemented by the powerful western economies during the four decades that preceded the crisis, created an institutional framework that fostered financial irresponsibility and made the crisis all but inevitable. The paper also explores the ideas that led to the stabilization of the global market as well as the role of China in charting the way ahead. Ultimately, the discussion highlights the inherent tendency of neoliberal economic ideology to create market instabilities whose consequences for the global economy can be devastating.
{"title":"Causes and Consequences of the World Financial Crisis 2008: A Historical Perspective","authors":"Adis Maksić, Selma Delalić, Adem Olovčić","doi":"10.14706/jecoss21812","DOIUrl":"https://doi.org/10.14706/jecoss21812","url":null,"abstract":"Abstract: This paper situates the 2008 Global Financial Crisis into the wider historical context to argue that the roots of the crisis can be traced back to the dominant economic ideology in the West during the 1970s. It shows that the corresponding financial policies, implemented by the powerful western economies during the four decades that preceded the crisis, created an institutional framework that fostered financial irresponsibility and made the crisis all but inevitable. The paper also explores the ideas that led to the stabilization of the global market as well as the role of China in charting the way ahead. Ultimately, the discussion highlights the inherent tendency of neoliberal economic ideology to create market instabilities whose consequences for the global economy can be devastating.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"224 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73155274","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}
Ab stract: Small and medium sized enterprises (SMEs) play a crucial role in the economic development of emerging countries. The lack of access to finances is one of the important growth constraints the SMEs face. This study investigates the firm and country specific determinants of the financial constraint levels of SMEs in selected emerging Western Balkan economies. The main determinants of the financing obstacles examined in the sampled countries were: firm size, ownership type, and age, accounting information transparency, the depth of credit information indexes, the banking sector concentration, property registration costs; and per capita GDP. The findings confirm that firm size is a significant determinant of the financial constraint levels of SMEs in the selected economies. Moreover, we found that older firms are financially more constrained in the region. The possible economic implications of the positive association between firm age and financial constraint are discussed. Banking sector concentration level plays crucial role in the external financing of SMEs in developing countries. By closely examining the firm characteristics and country-level factors that determine the degree of the financing obstacles faced by SMEs, we observed that in developing economies overall institutional and financial problems are more important than firm-specific
{"title":"Determinants of the Financing Obstacles Faced by SMEs: An Empirical Study of Emerging Economies","authors":"Mirgul Nizaeva, A. Coşkun","doi":"10.14706/JECOSS17725","DOIUrl":"https://doi.org/10.14706/JECOSS17725","url":null,"abstract":"Ab stract: Small and medium sized enterprises (SMEs) play a crucial role \u0000in the economic development of emerging countries. The lack of access to \u0000finances is one of the important growth constraints the SMEs face. This \u0000study investigates the firm and country specific determinants of the financial \u0000constraint levels of SMEs in selected emerging Western Balkan economies. \u0000The main determinants of the financing obstacles examined in the sampled \u0000countries were: firm size, ownership type, and age, accounting information \u0000transparency, the depth of credit information indexes, the banking sector \u0000concentration, property registration costs; and per capita GDP. The findings \u0000confirm that firm size is a significant determinant of the financial constraint \u0000levels of SMEs in the selected economies. Moreover, we found that older firms \u0000are financially more constrained in the region. The possible economic \u0000implications of the positive association between firm age and financial \u0000constraint are discussed. Banking sector concentration level plays crucial role \u0000in the external financing of SMEs in developing countries. By closely \u0000examining the firm characteristics and country-level factors that determine the \u0000degree of the financing obstacles faced by SMEs, we observed that in \u0000developing economies overall institutional and financial problems are more \u0000important than firm-specific","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"63 1","pages":"81"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83777434","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}
Abstract: Significant increase of internal migration in Albanian post-socialist society affected people’s connections and their identity. New social phenomena were differently perceived by the existing city inhabitants and the newcomers. On the one hand, the concept of social identity struggled between inclusionary/exclusionary boundaries; on the other hand, prejudice and stigma triggered from this complex reality. This paper applies Social Identity Theory to examine how internal migration affects social identity and its implications on prejudice and stigma in Albanian post-socialist society. This qualitative study is based on desk research and secondary data drawn by national statistics and cross-sectional research conducted in Albania during the period 1991-2017. It concludes that more longitudinal studies should be conducted to understand the dynamics of social identity construction within the context of internal migration in Albania. This is necessary to promote a more inclusive society in order to accommodate social diversity and view internal migrants as local agents of development rather than objects of prejudice and stigma.
{"title":"Internal Migration and Social Identity Construction: Implications for Prejudice and Stigma in Albanian Post-socialist Society","authors":"Merita H. Meçe","doi":"10.14706/jecoss17724","DOIUrl":"https://doi.org/10.14706/jecoss17724","url":null,"abstract":"Abstract: Significant increase of internal migration in Albanian post-socialist society affected people’s connections and their identity. New social phenomena were differently perceived by the existing city inhabitants and the newcomers. On the one hand, the concept of social identity struggled between inclusionary/exclusionary boundaries; on the other hand, prejudice and stigma triggered from this complex reality. This paper applies Social Identity Theory to examine how internal migration affects social identity and its implications on prejudice and stigma in Albanian post-socialist society. This qualitative study is based on desk research and secondary data drawn by national statistics and cross-sectional research conducted in Albania during the period 1991-2017. It concludes that more longitudinal studies should be conducted to understand the dynamics of social identity construction within the context of internal migration in Albania. This is necessary to promote a more inclusive society in order to accommodate social diversity and view internal migrants as local agents of development rather than objects of prejudice and stigma.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"138 1","pages":"56"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86526999","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}
Abstract: The recent economic crisis has had an adverse effect on the labour markets of European economies and certain population groups have been disproportionally affected by it. Increased migration flows may very well have created further pressures on the labour markets of host countries. The focus of the analysis here is on differences in transitions from unemployment to employment and vice versa between native and immigrant populations in European economies during the 1998-2015 period. The analysis reveals different outcomes to transitions from unemployment to employment, where in certain countries and years, the unemployed natives find proportionally more jobs, while in other countries and years, it is the immigrants. In most of the countries, however, employed immigrants are more likely to lose a job than natives. In addition to identifying the immigrant-native gap, the characteristics of individuals as potential contributing factors to the gap have also been assessed. The results of this analysis show that similar individual characteristics exert a different influence on the immigrant-native gap in labour market outcomes in different countries. Thus, similar individual characteristics are rewarded differently in different countries, i.e., their labour markets.
{"title":"Labour Market Transition Differences between Natives and Immigrants in EU Economies","authors":"Valerija Botrić","doi":"10.14706/jecoss17723","DOIUrl":"https://doi.org/10.14706/jecoss17723","url":null,"abstract":"Abstract: The recent economic crisis has had an adverse effect on the labour markets of European economies and certain population groups have been disproportionally affected by it. Increased migration flows may very well have created further pressures on the labour markets of host countries. The focus of the analysis here is on differences in transitions from unemployment to employment and vice versa between native and immigrant populations in European economies during the 1998-2015 period. The analysis reveals different outcomes to transitions from unemployment to employment, where in certain countries and years, the unemployed natives find proportionally more jobs, while in other countries and years, it is the immigrants. In most of the countries, however, employed immigrants are more likely to lose a job than natives. In addition to identifying the immigrant-native gap, the characteristics of individuals as potential contributing factors to the gap have also been assessed. The results of this analysis show that similar individual characteristics exert a different influence on the immigrant-native gap in labour market outcomes in different countries. Thus, similar individual characteristics are rewarded differently in different countries, i.e., their labour markets.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84265247","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}
M. Ahmad, Wang Ghohui, M. Hasan, Anika Sattar, Muneeb Ahmad, R. Rehman
Abstract: This paper aims to test whether moving average (MA) investment timing strategy is applicable on individual stocks, portfolios formed from these stocks, or both. Moreover, our objective is to compare the performance of MA strategy with a buy-and-hold strategy. The data on individual stocks listed on London Stock Exchange, United Kingdom (UK) is collected over the period starting from December 31, 1999, through February 29, 2016. For the same period, we use daily values of UK-DS Market-PRICE INDEX and 1-Month Treasury bill rate. The paper follows Han et al. (2013) to peruse our investigation. The study applies both MA and buy-and-hold strategies to individual stocks and portfolios sorted by volatility. Since most results are found insignificant, no evidence is found to support that one strategy is better than the other when applied to individual stocks. However, trading behavior and success ratios across groups provide mixed results, hinting slightly towards the failure of MA strategy. The pervasive noise in daily stock return data is the reason why MA strategy consistently produces insignificant results. Moreover, when applied to volatility-sorted portfolios, MA strategy substantially beats buy-and-hold strategy by yielding higher average return and risk-adjusted returns, lower standard deviations, large-and-positive skewness and Sharpe ratios, and much success ratios across portfolios. Both for individual stocks and portfolios, dynamics of returns and especially trading behavior suggest that the performance of MA strategy decreases with rising lag lengths, meaning MA signal weakens for a longer history.
摘要:本文旨在检验移动平均线(MA)投资择时策略是否适用于个股，或由这些股票组成的投资组合，或两者都适用。此外，我们的目标是比较MA策略与买入并持有策略的表现。在英国伦敦证券交易所上市的个股数据收集时间为1999年12月31日至2016年2月29日。同一时期，我们使用英国国债市场价格指数和1个月国库券利率的日值。本文遵循Han et al.(2013)来阅读我们的调查。该研究将MA和买入并持有策略应用于个股和按波动率排序的投资组合。由于大多数结果被发现是不显著的，所以没有证据表明当应用于个股时，一种策略比另一种策略更好。然而，跨组的交易行为和成功率提供了混合结果，略微暗示了MA策略的失败。每日股票收益数据中普遍存在的噪声是MA策略持续产生不显著结果的原因。此外，当应用于波动率排序的投资组合时，MA策略通过产生更高的平均回报和风险调整回报，更低的标准差，大而正的偏度和夏普比率以及整个投资组合的成功率大大优于买入并持有策略。无论是个股还是投资组合，收益动态，尤其是交易行为都表明，均线策略的表现随着滞后长度的增加而下降，这意味着均线信号在更长的历史时期内减弱。
{"title":"Performance of Moving Average Investment Timing Strategy in UK Stock Market: Individual Stocks versus Portfolios","authors":"M. Ahmad, Wang Ghohui, M. Hasan, Anika Sattar, Muneeb Ahmad, R. Rehman","doi":"10.14706/JECOSS17722","DOIUrl":"https://doi.org/10.14706/JECOSS17722","url":null,"abstract":"Abstract: This paper aims to test whether moving average (MA) investment timing strategy is applicable on individual stocks, portfolios formed from these stocks, or both. Moreover, our objective is to compare the performance of MA strategy with a buy-and-hold strategy. The data on individual stocks listed on London Stock Exchange, United Kingdom (UK) is collected over the period starting from December 31, 1999, through February 29, 2016. For the same period, we use daily values of UK-DS Market-PRICE INDEX and 1-Month Treasury bill rate. The paper follows Han et al. (2013) to peruse our investigation. The study applies both MA and buy-and-hold strategies to individual stocks and portfolios sorted by volatility. Since most results are found insignificant, no evidence is found to support that one strategy is better than the other when applied to individual stocks. However, trading behavior and success ratios across groups provide mixed results, hinting slightly towards the failure of MA strategy. The pervasive noise in daily stock return data is the reason why MA strategy consistently produces insignificant results. Moreover, when applied to volatility-sorted portfolios, MA strategy substantially beats buy-and-hold strategy by yielding higher average return and risk-adjusted returns, lower standard deviations, large-and-positive skewness and Sharpe ratios, and much success ratios across portfolios. Both for individual stocks and portfolios, dynamics of returns and especially trading behavior suggest that the performance of MA strategy decreases with rising lag lengths, meaning MA signal weakens for a longer history.","PeriodicalId":52427,"journal":{"name":"Nigerian Journal of Economic and Social Studies","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87794810","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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