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Editorial: Past, present and future of a developing journey for 30 years 社论:30年发展历程的过去、现在和未来
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-07-12 DOI: 10.1108/jefas-04-2022-330
Nestor U. Salcedo, J. Talavera, Jerry L. Harr
We are proud to present issue 53 and celebrate the 30th anniversary of creating the Journal of Economics, Finance and Administrative Science (JEFAS) by ESAN Graduate School of Business (currently University ESAN). This year is significant considering the upcoming 60th anniversary of the ESAN Graduate School of Business, founded as the product of a three-way agreement involving the Government of Peru, the US Agency for International Development and Stanford Graduate School of Business. This landscape allowed establishing the goal of always seeking and achieving high-quality research in business and economics for contributing to the academic community, policymakers and management practice. The journey so far has been long and challenging, with outstanding achievements thanks to themembers involved in the editorial team from its creation to the present day. Some are no longer on this journey. However, each one contributed significantly to the legacy that the JEFAS has consolidated through its challenges, review and roadmap (Haar, 2015; Salcedo, 2021a) and continually encouraging high-quality publications (Salcedo, 2021b) through its strong collaboration (Aria and Cuccurullo, 2017), as shown in Figure 1.
我们很荣幸地推出第53期,并庆祝由ESAN商学院(现为ESAN大学)创建的《经济,金融与行政科学杂志》(JEFAS) 30周年。考虑到即将迎来ESAN商学院成立60周年,今年意义重大。ESAN商学院是秘鲁政府、美国国际开发署(usaid)和斯坦福大学商学院(Stanford Graduate School of Business)三方协议的产物。在这种环境下,确立了始终寻求和实现高质量商业和经济研究的目标,为学术界、政策制定者和管理实践做出贡献。这是一段漫长而充满挑战的历程,编辑部成员从成立到今天都取得了令人瞩目的成就。有些人已经不在这条路上了。然而,每个人都对JEFAS通过挑战、审查和路线图巩固的遗产做出了重大贡献(Haar, 2015;Salcedo, 2021a),并通过强有力的合作(Aria and Cuccurullo, 2017)不断鼓励高质量的出版物(Salcedo, 2021b),如图1所示。
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引用次数: 2
Economic policy uncertainty of China and investment opportunities: a tale of ASEAN stock markets 中国经济政策的不确定性与投资机会:东盟股市的故事
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-06-14 DOI: 10.1108/jefas-04-2021-0032
Hassanudin Mohd Thas Thaker, Mohamed Asmy Bin Mohd Thas Thaker, Muhammad Rizky Prima Sakti, I. Sifat, Anwar Bin Allah Pitchay, Hafezali Iqbal Hussain
PurposeThe purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies.Design/methodology/approachThis paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019.FindingsThis paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.Practical implicationsFrom a managerial perspective, the outcome or findings of this study are expected to aid the retail and institutional investors in designing better strategies on diversifying a stock portfolio with different holding periods.Originality/valueTheoretically, the findings of this study contribute fresh insights into an emerging strand of literature focusing on the transmission of regional policy. Methodologically as well, this study is a novel venture to the best of authors' knowledge.
目的研究中国经济政策不确定性(EPU)对东盟5个经济体投资机会的影响。本文采用先进的实证方法,如多元DCC-GARCH和连续小波变换(CWT)来检验研究目标。分析期间涉及2003年至2019年的月度数据。本文提供的证据表明,马来西亚股市受中国EPU风险的影响最小,其次是新加坡、菲律宾、泰国和印度尼西亚。基于时间跨度的投资机会结果显示,就短期持有而言,投资者最好投资于新加坡和印度尼西亚,而就中期持有而言,除菲律宾外,所有东盟市场似乎都有利可图。实践启示本研究的结果或发现,期望能协助散户及机构投资者在不同持有期的股票投资组合中,设计更佳的分散化策略。原创性/价值从理论上讲,本研究的发现为关注区域政策传播的新兴文献提供了新的见解。就作者所知,这项研究在方法论上也是一项新颖的尝试。
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引用次数: 3
Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey 发展中国家的汇率是否存在价格泡沫?以金砖国家和土耳其为例
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-05-31 DOI: 10.1108/jefas-04-2021-0025
H. Yıldırım, Saffet Akdağ, A. Alola
PurposeThe last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other sources of uncertainties. The purpose of this study is to examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey.Design/methodology/approachGiven this perceived global dynamics, the current study examined the BRICS countries and the Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January 2002 and August 2019. The price bubble which is expressed as exceeding the real value of assets' prices which is observably caused by speculative movements is investigated by using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) approaches.FindingsAccordingly, the GSADF test results opined that there are price bubbles in the dollar exchange rate of other countries except for the United States Dollar (USD)/Indian Rupee (INR) exchange rate. As the related countries are classified as developing countries in terms of their structure, they are also expectedly the subject of speculative exchange rate movements. Speculative movements in exchange rates may cause serious problems in national economies.Originality/valueThus, the current study provides a policy framework to the BRICS countries and the Republic of Turkey.
过去几十年经历了日益一体化的全球政治和经济动态,特别是从汇率和贸易的影响到其他不确定因素。本研究的目的是考察巴西、俄罗斯、印度、中国和南非(金砖国家)以及土耳其共和国的汇率动态。鉴于这种感知到的全球动态,本研究使用2002年1月至2019年8月期间的美元月度汇率数据,考察了金砖国家和土耳其共和国的汇率动态。本文用最优增广迪基-富勒(SADF)和广义最优增广迪基-富勒(GSADF)方法研究了明显由投机运动引起的资产价格超过实际价值的价格泡沫。因此,GSADF检验结果认为,除美元/印度卢比汇率外,其他国家的美元汇率均存在价格泡沫。由于相关国家在结构上被归类为发展中国家,预计它们也会成为投机性汇率变动的对象。汇率的投机变动可能给国民经济带来严重问题。因此,本研究为金砖国家和土耳其共和国提供了一个政策框架。
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引用次数: 4
The impact of real exchange rates on real stock prices 实际汇率对实际股票价格的影响
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-05-25 DOI: 10.1108/jefas-03-2021-0011
H. Wong
PurposeThe study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia.Design/methodology/approachThis study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach.FindingsThe asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies.Research limitations/implicationsEconomic variables are important in the determination of stock prices.Originality/valueIt is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price.
本研究考察了实际汇率和非对称实际汇率对马来西亚、菲律宾、新加坡、韩国、日本、英国、德国、香港和印度尼西亚实际股票价格的影响。本研究采用非对称自回归分布滞后(ARDL)方法和非线性自回归分布滞后(NARDL)方法。非对称的ARDL方法表明,与ARDL方法相比,有更多的经济变量具有统计显著性。实际汇率的不对称对实际股票价格的影响大多是显著的。此外,发现实际产出和实际利率对实际股票价格有显著影响。发现亚洲金融危机(1997-1998)和全球金融危机(2008-2009)对一些经济体的实际股票价格有显著影响。研究局限/启示经济变量在股票价格的决定中是重要的。原创性/价值检验实际汇率不对称对实际股票价格的影响是很重要的,因为实际汇率的贬值与实际汇率的升值对实际股票价格的影响可能不同。以往的文献研究大多发现名义汇率对名义股价有显著影响。
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引用次数: 12
Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis 印度与主要亚洲及全球股市之间的回报和波动溢出:实证分析
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-05-17 DOI: 10.1108/jefas-06-2021-0082
A. Mishra, Saksham Agrawal, Jash Ashish Patwa
PurposeThe study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States) equity markets.Design/methodology/approachThe study employs a multivariate GARCH-BEKK model to quantify return correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other conventional time series modelling like cointegration, Granger causality using vector error correction model (VECM)).FindingsThe results show a tendency of the Indian stock market index to move along with the US and Hong Kong market indices. The decrease in the value of the co-integration coefficient during the recession was explained by reduced investor confidence in developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared to the US and UK. So also, the study’s results show a puzzling result giving us comparable co-integration ranks for phase 2 (expansion) and phase 3 (slow-down) of the business cycle in most cases.Research limitations/implicationsIn Granger causality testing, the results were unable to ascertain the difference between phase 2 (expansion) and phase 3 (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 (is the flagship index on the National Stock Exchange of India Ltd. (NSE)) as India entered slow-down. This shows that the Indian economy does go through different business cycles, and the changes in parameters hence prove hypothesis 3 to be true with respect to volatility transmission to India from International markets.Originality/valueThe results show that for all countries, the volatility transmitted to India increases significantly going from phase 1 (recession) to phase 2 (expansion) and reduces again once the countries enter slow-down in phase 3 (slowdown). This shows that during expansion shocks and impulses in international markets affect the Indian markets significantly, supporting the increase in co-integration in phase 2 (expansion). During expansion, developing markets like India become profitable for investors, due to the high growth rate when compared to developed countries. This implies that a significant amount of capital enters Indian markets, which is susceptible to the volatility of international markets. The volatility transmission from India to the US and UK was insignificant in phase 1 (recession and recovery) and phase 3 (slow-down) showing a weak linkage between the markets during volatile time periods.
本研究使用多元GARCH-BEKK模型(该模型首先由Baba等人(1990)提出,然后由Engle和Kroner(1995)进一步发展)来检验印度与四个主要亚洲(即中国、日本、新加坡和香港)以及两个全球(即英国和美国)股票市场之间的回报和波动溢出。本研究采用多变量GARCH-BEKK模型来量化2008年全球金融危机前后的收益相关性和波动传导(除了协整、格兰杰因果关系等传统时间序列模型外,还使用向量误差修正模型(VECM))。结果显示,印度股市指数有与美国和香港股市指数一起变动的趋势。经济衰退期间协整系数值的下降可以用发展中国家投资者信心的下降来解释。研究结果进一步表明,亚洲市场相对于美国和英国市场的波动性外溢存在明显差异。与美国和英国相比,从印度到亚洲市场的波动率传导明显更高。因此,研究结果也显示了一个令人困惑的结果,在大多数情况下,我们可以比较商业周期的第二阶段(扩张)和第三阶段(放缓)的协整排名。在格兰杰因果检验中,结果无法确定阶段2(扩张)和阶段3(放缓)之间的差异。然而,多元GARCH (MGARCH)-BEKK模型显示,随着印度经济进入放缓阶段,对NIFTY50(印度国家证券交易所有限公司(NSE)的旗舰指数)的波动传导明显减少。这表明印度经济确实经历了不同的商业周期,因此参数的变化证明了关于国际市场波动传导到印度的假设3是正确的。结果表明,对于所有国家来说,从第一阶段(经济衰退)到第二阶段(经济扩张),传递给印度的波动性显著增加,一旦国家进入第三阶段(经济放缓),波动性再次降低。这表明,在扩张期间,国际市场的冲击和冲动会显著影响印度市场,支持第二阶段(扩张)协整的增加。在扩张期间,像印度这样的发展中市场对投资者来说是有利可图的,因为与发达国家相比,它们的增长率很高。这意味着大量资本进入易受国际市场波动影响的印度市场。从印度到美国和英国的波动传导在阶段1(衰退和复苏)和阶段3(放缓)中微不足道,这表明在波动时期市场之间的联系很弱。
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引用次数: 8
Determination of the world stock indices' co-movements by association rule mining 用关联规则挖掘确定世界股指的共同走势
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-04-05 DOI: 10.1108/jefas-04-2020-0150
Burcu Kartal, M. Sert, Melih Kutlu
PurposeThis study aims to provide preliminary information to the investor by determining which indices co-movement, with the data mining method.Design/methodology/approachIn this context, data sets containing daily opening and closing prices between 2001 and 2019 have been created for 11 stock market indexes in the world. The association rule algorithm, one of the data mining techniques, is used in the analysis of the data.FindingsIt is observed that the US stock market indices take part in the highest confidence levels between association rules. The XU100 stock index co-movement with both the European stock market indices and the US stock indices. In addition, the Hang Seng Index (HSI) (Hong Kong) takes part in the association rules of all stock market indices.Originality/valueThe important issue for data sets is that the opening/closing values of the same day or the previous day are taken into account according to the open or closed status of other stock market indices by taking the opening time of the stock exchange index to be created. Therefore, data sets are arranged for each stock market index, separately. As a result of this data set arranging process, it is possible to find out co-movements of the stock market indexes. It is proof that the world stock indices have co-movement, and this continues as a cycle.
目的利用数据挖掘的方法,通过确定哪些指标共同运动,为投资者提供初步的信息。设计/方法/方法在此背景下,为全球11个股票市场指数创建了2001年至2019年每日开盘价和收盘价的数据集。在数据分析中使用了数据挖掘技术中的关联规则算法。研究发现,美国股市指数在关联规则之间的置信度最高。XU100指数与欧洲股市指数和美国股市指数同时波动。此外,恒生指数(HSI)(香港)参与所有股票市场指数的关联规则。原始性/价值对于数据集来说,重要的问题是,以待创建的证券交易所指数的开盘时间,根据其他股票市场指数的开盘或收盘状态,考虑当日或前一天的开盘/收盘价值。因此,对每个股票市场指数分别安排数据集。由于这个数据集的整理过程,有可能找出股票市场指数的共同运动。这证明了全球股指存在协同运动,而这将作为一个周期持续下去。
{"title":"Determination of the world stock indices' co-movements by association rule mining","authors":"Burcu Kartal, M. Sert, Melih Kutlu","doi":"10.1108/jefas-04-2020-0150","DOIUrl":"https://doi.org/10.1108/jefas-04-2020-0150","url":null,"abstract":"PurposeThis study aims to provide preliminary information to the investor by determining which indices co-movement, with the data mining method.Design/methodology/approachIn this context, data sets containing daily opening and closing prices between 2001 and 2019 have been created for 11 stock market indexes in the world. The association rule algorithm, one of the data mining techniques, is used in the analysis of the data.FindingsIt is observed that the US stock market indices take part in the highest confidence levels between association rules. The XU100 stock index co-movement with both the European stock market indices and the US stock indices. In addition, the Hang Seng Index (HSI) (Hong Kong) takes part in the association rules of all stock market indices.Originality/valueThe important issue for data sets is that the opening/closing values of the same day or the previous day are taken into account according to the open or closed status of other stock market indices by taking the opening time of the stock exchange index to be created. Therefore, data sets are arranged for each stock market index, separately. As a result of this data set arranging process, it is possible to find out co-movements of the stock market indexes. It is proof that the world stock indices have co-movement, and this continues as a cycle.","PeriodicalId":53491,"journal":{"name":"Journal of Economics, Finance and Administrative Science","volume":null,"pages":null},"PeriodicalIF":2.4,"publicationDate":"2022-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75453679","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}
引用次数: 3
Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices 检验印度股市的市场效率:来自孟买证券交易所大盘指数的证据
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-04-05 DOI: 10.1108/jefas-04-2021-0040
R. Elangovan, Francis Gnanasekar Irudayasamy, Satyanarayana Parayitam
PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.Practical implicationsInvestment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.Social implicationsAs economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.Originality/valueAmid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.
尽管在过去的六十年中对有效市场假说(EMH)进行了大量的研究,但结果并不确定,因为一些研究支持这一假说,而一些研究则拒绝这一假说。本研究旨在检验印度股票市场的市场效率。设计/方法/方法为进行分析,选择了9个孟买证券交易所(BSE)广泛市场指数,涵盖2011年1月1日至2020年12月31日的研究期间。本研究收集的数据是所选指数的每日开盘价、最高价、最低价和收盘价。本研究使用的工具有:(1)检验时间序列平稳性的单位根检验,(2)描述性统计,(3)自相关,(4)运行检验。研究的实证结果表明,BSE大盘指数不遵循随机漫步,印度股市是弱形式的低效。研究的局限性/启示本研究的发现为未来的研究提供了几个途径。该研究的一个启示是,不同学者在金融领域的统计结果的异常需要由未来的研究人员解释。实际意义投资公司需要明白,要想跑赢市场,获得不寻常的回报,就需要非凡的技能。在一个没有效率的市场中,证券不能反映完整的可用信息,投资经纪人很难说服客户相信他们向公众推荐的投资组合的回报率会高于预期。由于经济增长与金融部门的增长有关,印度等发展中国家依赖于信息的准确性。在信息不对称的情况下,股票市场的波动会对经济产生严重的有害后果。在围绕有效市场假说测试的几个争议中,本研究是一个适度的尝试,以提供证据证明印度股票市场处于弱形式低效状态。然而,将投资者的行为与金融领域观察到的趋势联系起来,以充分理解有效市场假说的含义,这一点至关重要。
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引用次数: 1
Using single impact metrics to assess research in business and economics: why institutions should use multi-criteria systems for assessing research 使用单一影响指标来评估商业和经济研究:为什么机构应该使用多标准系统来评估研究
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-03-21 DOI: 10.1108/jefas-04-2021-0033
S. Olavarrieta
PurposeDespite the general recommendation of using a combination of multiple criteria for research assessment and faculty promotion decisions, the raise of quantitative indicators is generating an emerging trend in Business Schools to use single journal impact factors (IFs) as key (unique) drivers for those relevant school decisions. This paper aims to investigate the effects of using single Web of Science (WoS)-based journal impact metrics when assessing research from two related disciplines: Business and Economics, and its potential impact for the strategic sustainability of a Business School.Design/methodology/approachThis study collected impact indicators data for Business and Economics journals from the Clarivate Web of Science database. We concentrated on the IF indicators, the Eigenfactor and the article influence score (AIS). This study examined the correlations between these indicators and then ranked disciplines and journals using these different impact metrics.FindingsConsistent with previous findings, this study finds positive correlations among these metrics. Then this study ranks the disciplines and journals using each impact metric, finding relevant and substantial differences, depending on the metric used. It is found that using AIS instead of the IF raises the relative ranking of Economics, while Business remains basically with the same rank.Research limitations/implications This study contributes to the research assessment literature by adding substantial evidence that given the sensitivity of journal rankings to particular indicators, the selection of a single impact metric for assessing research and hiring/promotion and tenure decisions is risky and too simplistic. This research shows that biases may be larger when assessment involves researchers from related disciplines – like Business and Economics – but with different research foundations and traditions.Practical implicationsConsistent with the literature, given the sensibility of journal rankings to particular indicators, the selection of a single impact metric for assessing research, assigning research funds and hiring/promotion and tenure decisions is risky and simplistic. However, this research shows that risks and biases may be larger when assessment involves researchers from related disciplines – like Business and Economics – but with different research foundations and trajectories. The use of multiple criteria is advised for such purposes.Originality/valueThis is an applied work using real data from WoS that addresses a practical case of comparing the use of different journal IFs to rank-related disciplines like Business and Economics, with important implications for faculty tenure and promotion committees and for research funds granting institutions and decision-makers.
尽管普遍建议在研究评估和教师晋升决策中结合使用多种标准,但定量指标的增加正在商学院中产生一种新趋势,即使用单一期刊影响因子(if)作为相关学院决策的关键(独特)驱动因素。本文旨在探讨使用基于Web of Science (WoS)的期刊影响指标评估商业和经济学两个相关学科研究的效果,以及其对商学院战略可持续性的潜在影响。设计/方法/方法本研究从Clarivate Web of Science数据库中收集商业和经济期刊的影响指标数据。我们重点研究了影响因子指标、特征因子和文章影响评分(AIS)。本研究检查了这些指标之间的相关性,然后使用这些不同的影响指标对学科和期刊进行排名。研究结果与先前的研究结果一致,本研究发现这些指标之间存在正相关。然后,本研究使用每个影响指标对学科和期刊进行排名,根据所使用的指标找到相关的和实质性的差异。结果发现,用AIS代替IF提高了经济学的相对排名,而商科的排名基本保持不变。本研究为研究评估文献做出了贡献,增加了大量证据,表明鉴于期刊排名对特定指标的敏感性,选择单一的影响指标来评估研究、招聘/晋升和终身教职决策是有风险的,而且过于简单。这项研究表明,当评估涉及来自相关学科(如商业和经济学)但研究基础和传统不同的研究人员时,偏见可能会更大。实际意义与文献一致,考虑到期刊排名对特定指标的敏感性,选择单一的影响指标来评估研究、分配研究经费、雇用/晋升和终身教职决策是有风险和简单的。然而,这项研究表明,当评估涉及来自相关学科(如商业和经济学)但具有不同研究基础和轨迹的研究人员时,风险和偏差可能更大。为此,建议使用多个标准。原创性/价值这是一项应用工作,使用WoS的真实数据,解决了一个实际案例,比较了不同期刊IFs与排名相关学科(如商业和经济学)的使用情况,对教师终身教职和晋升委员会以及研究基金授予机构和决策者具有重要意义。
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引用次数: 2
Pakistan: a study of market's returns and anomalies 巴基斯坦:对市场回报和异常的研究
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-03-15 DOI: 10.1108/jefas-06-2021-0098
Sana Tauseef, Philippe Dupuy
Purpose This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and investigating what matters for investing in Pakistan's market.Design/methodology/approachComparative analysis of Pakistan Stock Exchange is performed using data for 22 developed and 22 emerging markets over the period 1993–2019. Cross-sectional analysis is performed using data for 130 non-financial firms from Pakistan and Carhart (1997) and Fama and French (2015) models are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity cost as liquidity measures.FindingsPakistan's equity offers substantial diversification benefits if added to developed market portfolios. However, observed large returns come together with inverted premia for most traditional factors indicating that investors may want to invest preferably in big stocks with low book-to-market and momentum. Finally, global investors can invest in high yielding stocks with low liquidity risk owing to positive connection between liquidity and returns.Practical implicationsThis study will provide investment model for foreign investors to enhance their portfolio returns. Policy makers in Pakistan must identify regulatory steps to facilitate foreign investments.Originality/valueTo the best of the authors' knowledge, this is the first study which identifies efficiency gains offered by Pakistan's equity for global investors.
本文旨在通过比较巴基斯坦股票市场与其他市场的表现,调查投资巴基斯坦市场的重要事项,扩大外国投资者对巴基斯坦股票市场潜在的收益提升和风险分散优势的理解。设计/方法/方法使用1993-2019年期间22个发达市场和22个新兴市场的数据对巴基斯坦证券交易所进行比较分析。横断面分析使用来自巴基斯坦和Carhart(1997)以及Fama和French(2015)模型的130家非金融公司的数据进行。运用五因素模型,以换手率和Amihud(2002)非流动性成本作为流动性测度,分析了流动性的作用。研究发现,如果将巴基斯坦的股票加入发达市场的投资组合,将带来巨大的多元化收益。然而,观察到的高回报与大多数传统因素的反向溢价同时出现,表明投资者可能希望更好地投资于账面市值比低、动力大的股票。最后,由于流动性与收益呈正相关关系,全球投资者可以投资于流动性风险较低的高收益股票。实践意义本研究将为外国投资者提高投资组合收益提供投资模型。巴基斯坦的政策制定者必须确定促进外国投资的监管措施。原创性/价值据作者所知,这是第一个确定巴基斯坦股权为全球投资者带来的效率收益的研究。
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引用次数: 3
Reassessing the feasibility of adopting dollarization in Latin America 重新评估拉丁美洲实行美元化的可行性
IF 2.4 Q1 Economics, Econometrics and Finance Pub Date : 2022-03-08 DOI: 10.1108/jefas-08-2020-0282
León Padilla
PurposeThis paper analyses the possibility of Latin America's (LA) major economies adopting dollarization, considering that in the last decade macroeconomic instability has once again challenged the ability of certain economies to properly manage their own currency.Design/methodology/approachTo determine the feasibility of adopting the US dollar as official currency, the author uses the framework of optimum currency area (OCA) theory, since, in fact, dollarization is an incomplete monetary union. The author uses a structural vector autoregressive (SVAR) model to identify what type of structural shock — country-specific, regional or global — prevails in LA economies. For this purpose, the US output is used to represent the global output and determine how the shocks of the US influence the output trajectory of each LA nation. The higher the influence of the US product, the lower the costs of adopting the US dollar.FindingsThe results of the variance decomposition show that the influence of the US shocks in the gross domestic product (GDP) trajectory of LA countries has significantly decreased over the last two decades, even in the currently dollarized economies. The estimates for Venezuela and Argentina show that the importance of US shocks in the trajectory of their GDP is low. Therefore, the cost of adopting the US dollar as the official currency would be high.Originality/valueIn view of hyperinflation and macroeconomic imbalances in certain LA nations, the dollarization debate has resurfaced in recent years. However, the literature that empirically evaluates the feasibility of adopting dollarization as a monetary system under current economic conditions is limited.
本文分析了拉丁美洲(LA)主要经济体采用美元化的可能性,考虑到在过去十年中宏观经济的不稳定再次挑战了某些经济体妥善管理本国货币的能力。为了确定采用美元作为官方货币的可行性,作者使用了最优货币区(OCA)理论的框架,因为事实上,美元化是一个不完全的货币联盟。作者使用结构向量自回归(SVAR)模型来确定哪些类型的结构性冲击-具体国家,区域或全球-普遍存在于洛杉矶经济体。为此,我们使用美国产出来代表全球产出,并确定美国的冲击如何影响每个洛杉矶国家的产出轨迹。美国产品的影响力越高,采用美元的成本越低。方差分解的结果表明,美国冲击对洛杉矶国家国内生产总值(GDP)轨迹的影响在过去二十年中显著下降,即使在目前美元化的经济体中也是如此。对委内瑞拉和阿根廷的估计表明,美国冲击对两国GDP轨迹的重要性很低。因此,采用美元作为官方货币的成本将很高。从某些洛杉矶国家的恶性通货膨胀和宏观经济失衡的角度来看,美元化的争论近年来重新浮出水面。然而,实证评估在当前经济条件下采用美元化作为货币体系可行性的文献有限。
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引用次数: 2
期刊
Journal of Economics, Finance and Administrative Science
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