Journal articles on the topic 'Price indexes – Methodology'
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1
Bourassa, Steven C., Eva Cantoni, and Martin Hoesli. "Robust hedonic price indexes." International Journal of Housing Markets and Analysis 9, no. 1 (March 7, 2016): 47–65. http://dx.doi.org/10.1108/ijhma-11-2014-0050.
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Purpose – The purpose of this paper is to demonstrate the application of robust techniques to the estimation of hedonic house price indexes. Design/methodology/approach – The authors use simulation analysis to compare an index estimated using ordinary least squares (OLS) with several indexes estimated using robust techniques. The analysis uses sales transactions data from a US city. The authors then explore how robust methods can correct for omitted variables under some circumstances and how they affect the revision problem that occurs when longitudinal hedonic indexes are updated. Findings – Robust methods can resolve missing variable problems in some circumstances and also can substantially reduce the revision problem in longitudinal hedonic indexes. Practical implications – Robust techniques may be preferable to OLS when constructing longitudinal hedonic indexes. Originality/value – This is the first paper to undertake a systematic analysis of the applicability of robust techniques in constructing hedonic house price indexes.
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Hsieh, Heng-Hsing, Kathleen Hodnett, and Paul Van Rensburg. "Fundamental Indexation For Global Equities: Does Firm Size Matter?" Journal of Applied Business Research (JABR) 28, no. 1 (July 17, 2012): 105. http://dx.doi.org/10.19030/jabr.v28i1.7154.
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Market capitalization is often used as the weighting methodology for broad market indexes to reflect the performances of large established firms in the market. The market capitalization of a firm is a price-sensitive measure of firm size that self-adjusts to reflect the firms intrinsic value in an efficient capital market. In the presence of investor overreaction, the price-sensitive cap-weighted indexes cease to be mean-variance efficient in that they overweigh overvalued assets and under weigh undervalued assets. Fundamental indexation, proposed by Arnott, Hsu and Moore (2005), argue that fundamental values of a firm such as book value, revenues and earnings are price-insensitive, and hence are not subject to the systematic overshooting of asset prices through noise trading. The aim of this paper is to test whether fundamental-weighted indexes are more mean-variance efficient proxies for large established firms in the global equity market compared to cap-weighted indexes over an extensive 18-year period from 1991 to 2008. Test results show that fundamental-weighted indexes outperform cap-weighted indexes over two sub-periods as well as the overall examination period, during an expansionary market and in turbulent times. A strong negative relationship between the degree of index concentration and the index performance is detected for cap-weighted indexes while no such relationship is detected for the fundamental-weighted indexes. Our results suggest that price-insensitive fundamental-weighted indexes are more mean-variance efficient proxies for the performances of large firms for global equities relative to cap-weighted indexes. By removing the price-element in measuring firm size, the small firm anomaly is not present in fundamental-weighted indexes.
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Fares, Florencia Melisa, Guido Zack, and Ricardo Gabriel Martínez. "Sectoral Price and Quantity Indexes of Argentine Foreign Trade." Lecturas de Economía, no. 93 (July 9, 2020): 297–328. http://dx.doi.org/10.17533/udea.le.n93a338277.
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Argentina does not have a sufficiently complete and developed system of sectoral statistical data on foreign trade. This paper tries to make a contribution showing a methodology to calculate foreign trade indexes, based on unit values obtained from Foreign Trade Consultation System of INDEC. This methodology is applied to the quarterly data of Argentine sectoral imports and exports and its accuracy is shown from the comparison with price indexes published by INDEC (aggregate level) and Brazilian statistical institute (sectoral level). Our indexes show a correlation above 80% and variability close to the benchmark in almost all sectors. Finally, we analyzed the contribution of each sector to foreign trade growth during 1996-2016 using the estimated quantity indexes, something impossible to obtain without the estimated price indexes. Both real exports and imports show a weak growth pace of 2.3% and 2.4% per year, respectively. The leading sectors are Foodstuff industry and Agricultural products in exports, and Motor vehicles and Chemical products in imports for the whole period
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Juszczak, Adam. "The use of web-scraped data to analyze the dynamics of footwear prices." Journal of Economics and Management 43 (2021): 251–69. http://dx.doi.org/10.22367/jem.2021.43.12.
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Aim/purpose – Web-scraping is a technique used to automatically extract data from websites. After the rise-up of online shopping, it allows the acquisition of information about prices of goods sold by retailers such as supermarkets or internet shops. This study examines the possibility of using web-scrapped data from one clothing store. It aims at comparing known price index formulas being implemented to the web-scraping case and verifying their sensitivity on the choice of data filter type. Design/methodology/approach – The author uses the price data scrapped from one of the biggest online shops in Poland. The data were obtained as part of eCPI (electronic Consumer Price Index) project conducted by the National Bank of Poland. The author decided to select three types of products for this analysis – female ballerinas, male shoes, and male oxfords to compare their prices in over one-year time period. Six price indexes were used for calculation – The Jevons and Dutot indexes with their chain and GEKS (acronym from the names of creators – Gini–Éltető–Köves–Szulc) versions. Apart from the analysis conducted on a full data set, the author introduced filters to remove outliers. Findings – Clothing and footwear are considered one of the most difficult groups of goods to measure price change indexes due to high product churn, which undermines the possibility to use the traditional Jevons and Dutot indexes. However, it is possible to use chained indexes and GEKS indexes instead. Still, these indexes are fairly sensitive to large price changes. As observed in case of both product groups, the results provided by the GEKS and chained versions of indexes were different, which could lead to conclu- sion that even though they are lending promising results, they could be better suited for other COICOP (Classification of Individual Consumption by Purpose) groups. Research implications/limitations – The findings of the paper showed that usage of filters did not significantly reduce the difference between price indexes based on GEKS and chain formulas. Originality/value/contribution – The usage of web-scrapped data is a fairly new topic in the literature. Research on the possibility of using different price indexes provides useful insights for future usage of these data by statistics offices. Keywords: inflation, CPI, web-scraping, online shopping, big data. JEL Classification: C43, C49.
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Cavallo, Alberto, and Roberto Rigobon. "The Billion Prices Project: Using Online Prices for Measurement and Research." Journal of Economic Perspectives 30, no. 2 (May 1, 2016): 151–78. http://dx.doi.org/10.1257/jep.30.2.151.
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A large and growing share of retail prices all over the world are posted online on the websites of retailers. This is a massive and (until recently) untapped source of retail price information. Our objective with the Billion Prices Project, created at MIT in 2008, is to experiment with these new sources of information to improve the computation of traditional economic indicators, starting with the Consumer Price Index. We also seek to understand whether online prices have distinct dynamics, their advantages and disadvantages, and whether they can serve as reliable source of information for economic research. The word “billion” in Billion Prices Project was simply meant to express our desire to collect a massive amount of prices, though we in fact reached that number of observations in less than two years. By 2010, we were collecting 5 million prices every day from over 300 retailers in 50 countries. We describe the methodology used to compute online price indexes and show how they co-move with consumer price indexes in most countries. We also use our price data to study price stickiness, and to investigate the “law of one price” in international economics. Finally we describe how the Billion Prices Project data are publicly shared and discuss why data collection is an important endeavor that macro- and international economists should pursue more often.
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Kirikkaleli, Dervis, and Ibrahim Darbaz. "The Causal Linkage between Energy Price and Food Price." Energies 14, no. 14 (July 11, 2021): 4182. http://dx.doi.org/10.3390/en14144182.
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This paper aims to reveal the causal relationship between energy prices and food prices and whether this relationship is similar in the food sub-groups forming the food price index used. As food prices more than doubled during the 2008 economic crisis, this relationship has received considerable attention from researchers. Many researches have been conducted to determine the causes and consequences of the 2008 food price crisis. Researches are mainly focused on crude oil and bio-energy in terms of “energy”. This research is not only differentiated by the data used but also by the methodology employed. The study attempts to add new findings to the empirical food price literature by utilizing relatively newly developed methods, namely Toda–Yamamoto causality, Fourier Toda–Yamamoto causality, and spectral BC causality tests. The spectral BC causality test clearly reveals that there is bidirectional causality between the energy price index and food price indexes (grains, other food, and oils) at different frequencies.
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Ericson, Lars-Erik, Han-Suck Song, Jakob Winstrand, and Mats Wilhelmsson. "REGIONAL HOUSE PRICE INDEX CONSTRUCTION – THE CASE OF SWEDEN." International Journal of Strategic Property Management 17, no. 3 (September 23, 2013): 278–304. http://dx.doi.org/10.3846/1648715x.2013.822032.
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The academic literature on the construction of regional house price indexes usually uses geographic areas whose boundaries are administratively drawn. However such administrative regions might not be optimal for the construction of regional price indexes. When producing housing price indexes, we often encounter problems with insufficient number of observations. One way to remedy this problem is to estimate a quarterly index instead of a monthly index. Another possible way to mitigate the thin markets problem is to construct indexes for geographically aggregated regions. However, the literature that discusses methods of dealing with the problem of thin markets and especially geographical aggregation is very rare. The goal of this paper is to construct a housing price index for a major part of Sweden, and to construct price index series for a number of regions. The number of regions, and how their boundaries should be created in order to construct reliable regional price indexes, is however an open question. We apply traditional hedonic methodology in order to estimate house price indexes for both predefined regions whose boundaries are based on a division of labor markets in Sweden, as well as a division of regions based on statistical cluster analysis. The results from this study suggest that regions should be clustered together based on regional price levels and/or price development as clustering variables. If only geographical proximity is used as clustering variable, our computations show that there is a high risk that we end up with some clusters having large standard errors, which in turn might result in inaccurate indexes.
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Waltl, Sofie R. "A hedonic house price index in continuous time." International Journal of Housing Markets and Analysis 9, no. 4 (October 3, 2016): 648–70. http://dx.doi.org/10.1108/ijhma-10-2015-0066.
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Purpose This paper aims to develop a methodology to accurately and timely measure movements in housing markets by constructing a continuously estimated house price index. Design/methodology/approach The continuous index, which is extracted from an additive model that includes the temporal and the locational effects as smooth functions, can be interpreted as an extension of the classical hedonic time-dummy method. The methodology is applied to housing sales from Sydney, Australia, between 2001 and 2011, and compared to three types of discrete indexes. Findings Discrete indexes turn out to approach the continuously estimated index with decreasing period lengths but eventually become wiggly and unreliable because of fewer observations per period. The continuous index, in contrast, is stable, has favourable robustness properties and is more objective in several ways. Originality/value The resulting index tracks movements in the housing market precisely and in “real-time” and is hence suited for monitoring and assessing housing markets. Because turbulence in housing markets is often a harbinger of financial crises, such monitoring tools support policymakers and investors in tailoring their decisions and reactions. Additionally, the index can be evaluated arbitrarily frequently and therefore is well suited for use in property derivatives.
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Hill, Robert J., and T. Peter Hill. "RECENT DEVELOPMENTS IN THE INTERNATIONAL COMPARISON OF PRICES AND REAL OUTPUT." Macroeconomic Dynamics 13, S2 (September 2009): 194–217. http://dx.doi.org/10.1017/s1365100509090129.
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Three important current areas of research in the field of international comparisons are the construction of price indexes at the basic heading level, price indexes at higher levels of aggregation, and the linking of comparisons across regions. We consider recent innovations in each of these areas. These innovations have largely arisen out of International Comparisons Program (ICP) 2005, and hence we discuss them in this context. We give particular emphasis to the construction of price indexes at the basic heading level, because we believe it is here that the biggest problems lie. For example, the apparently anomalous results obtained for China and India in ICP 2005 can be traced back to problems at the basic heading level. We also highlight some inconsistencies in current ICP methodology and some promising areas for future research that warrant closer scrutiny in the next round of ICP.
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Hamdi, Haykel, and Jihed Majdoub. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing." Managerial Finance 44, no. 5 (May 14, 2018): 540–50. http://dx.doi.org/10.1108/mf-05-2017-0199.
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Purpose Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and Islamic indexes. The paper aims to discuss these issues. Design/methodology/approach This paper explores option pricing and portfolio hedging in a discrete and dynamic case with transaction costs. Monte Carlo simulations are applied to both conventional and Islamic indexes in US and UK markets. Simulations show that conventional and Islamic assets do not exhibit the same price and portfolio hedging strategy governance. Findings The authors conclude that Islamic assets show different option price and hedging strategy compared to their conventional counterpart. Originality/value The research question of this paper aims at filling the gap in the empirical literature by exploring option price and hedging structure for both conventional and Islamic indexes in US and UK stock markets.
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Rojo-Alboreca, Alberto, Juan D. García-Villabrille, José J. Corral-Rivas, Ricardo Alía, and Gregorio Montero. "A new approach to defining rotation ages on the basis of productive and technological aspects. Application to natural Pinus sylvestris L. stands in Central Spain." Forest Systems 26, no. 2 (July 24, 2017): e03S. http://dx.doi.org/10.5424/fs/2017262-10628.
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Aim of study: To propose a new approach to defining rotation ages on the basis of productive and technological aspects and to present an example of application of the methodology to natural Pinus sylvestris stands in relation to silvicultural treatment (light or heavy thinning) and site index.Area of study: Central Spain.Material and methods: We assumed that the price per m3 of logwood suitable for veneer is four times higher than logwood not apt for veneer. Considering the yield distribution for different technological and commercial classes, a model of diameter distributions and yield tables, the variation in an average price index for different age classes, site indexes and silvicultural treatments was calculated. The age at which the price index rises by less than 3%, the proportion of trees with d.b.h. higher than 40 cm, and other aspects such as the possible presence of fungal decay in old-growth stands were also taken into account to establish three criteria for defining rotation ages.Main results: The proposed methodology generates a wide range of rotation ages between 100 and 140 years for lightly thinned stands, and between 90 and 140 years for heavily thinned stands, depending on the site index.Research highlights: The proposed approach is based on technological and productive criteria, with the limitations imposed by sanitary risks. The methodology can be applied to generate rotation ages in relation to different site indexes and silvicultural treatments, provided that the timber market prices and the yield distribution for different technological and commercial classes are known, and that a model of diameter distributions and yield tables are available.
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Khan, Abbas, Muhammad Yar Khan, Abdul Qayyum Khan, Majid Jamal Khan, and Zia Ur Rahman. "Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA." Journal of Islamic Accounting and Business Research 12, no. 5 (July 12, 2021): 625–45. http://dx.doi.org/10.1108/jiabr-02-2020-0055.
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Purpose By testing the weak form of efficient market hypothesis (EMH) this study aims to forecast the short-term stock prices of the US Dow and Jones environmental socially responsible index (SRI) and Shariah compliance index (SCI). Design/methodology/approach This study checks the validity of the weak form of EMH for both SCI and SRI prices by using different parametric and non-parametric tests, i.e. augmented Dickey-Fuller test, Philip-Perron test, runs test and variance ratio test. If the EMH is invalid, the research further forecasts short-term stock prices by applying autoregressive integrated moving average (ARIMA) model using daily price data from 2010 to 2018. Findings The research confirms that a weak form of EMH is not valid in the US SRI and SCI. The historical data can predict short-term future price movements by using technical ARIMA model. Research limitations/implications This study provides better guidance to risk-averse national and international investors to earn higher returns in the US SRI and SCI. This study can be extended to test the EMH of Islamic equity in the Middle East and North Africa region and other top Islamic indexes in the world. Originality/value This study is a new addition to the existing literature of equity investment and price forecasting by comparing and investigating the market efficiency of two interrelated US SRI and SCI.
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Guevara, Porfirio, Robert Hill, and Michael Scholz. "Hedonic indexes for public and private housing in Costa Rica." International Journal of Housing Markets and Analysis 10, no. 1 (February 6, 2017): 140–55. http://dx.doi.org/10.1108/ijhma-02-2016-0014.
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Purpose This study aims to show how hedonic methods can be used to compare the performance of the public and private sector housing markets in Costa Rica. Design/methodology/approach Hedonic price indexes are computed using the adjacent-period method. Average housing quality is measured by comparing hedonic and median price indexes. The relative performance of the public and private sector residential construction is compared by estimating separate hedonic models for each sector. A private sector price is then imputed for each house built in the public sector, and a public sector price is imputed for each house built in the private sector. Findings The real quality-adjusted price of private housing rose by 12 per cent between 2000 and 2013, whereas the price of private housing rose by 9 per cent. The average quality of private housing rose by 45 per cent, whereas that of public housing fell by 18 per cent. Nevertheless, the hedonic imputation analysis reveals that public housing could not be produced more cheaply in the private sector. Social implications The quality of public housing has declined over time. The hedonic analysis shows that the decline is not because of a lack of competition between construction firms in the public sector. An alternative demand side explanation is provided. Originality/value This study applies hedonic methods in novel ways to compare the relative performance of the public and private housing sectors in Costa Rica. The results shed new light on the effectiveness of public sector housing programs.
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Rudzkis, Rimantas, Roma Valkavičienė, and Virmantas Kvedaras. "Prediction of Baltic Sectorial Share Price Indices." Lietuvos statistikos darbai 53, no. 1 (December 20, 2014): 53–59. http://dx.doi.org/10.15388/ljs.2014.13894.
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Extending the research started in [31], the paper uses econometric methods for the short-term forecasting of quarterly values of sector indexes of stock prices from the OMX Baltic stock exchange. The ARMA models and modelling methodology that was used to build the statistical models in the previous paper are now augmented with the algorithms of time series aggregation and identification of special features of the series. Here, the search for informative factors relies on the study of related literature. The specification of models is further tailored using the traditional significance (p-value) analysis of regressors and a cross-validation analysis. The latter is implemented in this paper using the Jack-knife approach. The data period analysed covers the years 2000–2013. The results of the analysis indicate that the inclusion not only of recent autoregressive terms but also of some aggregated characteristics (as certain special features of indexes) improves the precision of forecasting substantially. The calculations were performed using the statistical analysis software SAS.
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Akanni, Lateef Olawale. "Returns and volatility spillover between food prices and exchange rate in Nigeria." Journal of Agribusiness in Developing and Emerging Economies 10, no. 3 (April 30, 2020): 307–25. http://dx.doi.org/10.1108/jadee-04-2019-0045.
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PurposeEmpirical studies have documented the linkage between exchange rate movement and food prices. However, the purpose of this study is to investigate the degree and direction of returns and volatility spillover transmission between exchange rate and domestic food prices in Nigeria.Design/methodology/approachThe study uses weekly data from January 2010 to January 2019. Also, the study adopts the improved Diebold and Yilmaz (2012) approach to evaluate the return and volatility spillover between food price and naira to dollar exchange rate. The study also account for 2016 exchange rate crash in the interconnectedness between food prices and naira to dollar exchange rate.FindingsThe paper finds evidence of directional interdependence among the considered food prices and exchange rate based on the obtained spillover indexes. In addition, exchange rate returns and volatility transmission to food prices is more than it receives, particularly after the exchange rate crash.Research limitations/implicationsThe high consumption of staple foods requires policies on price stabilisation such as massive investment in local production and reduction in import dependence, in order to cushion the effects of exchange rate depreciation on domestic prices of food.Originality/valueThis study is the first empirical study to investigate the interconnectedness between exchange rate and domestic food prices for a food import–dependent developing country using the Diebold and Yilmaz approach.
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Madau, Fabio A., Roberto Furesi, and Pietro Pulina. "The existence of buyer power in the Italian fresh milk supply chain." British Food Journal 118, no. 1 (January 4, 2016): 70–82. http://dx.doi.org/10.1108/bfj-12-2014-0395.
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Purpose – Buyer power can be defined as the ability to obtain trade terms more favourable than a supplier’s normal trade terms. The purpose of this paper is to estimate existence of buyer power in the Italian market of fresh milk. The sector is characterised by high industrial and retail firms concentration and a significant gap between the downstream and upstream prices exists. Design/methodology/approach – The authors applied the “first-pass” test proposed by Lloyd et al. (2009) on a set of monthly price indexes series from 2000 to 2013 in order to estimate if a buyer power exists in this sector. This in order to verify how prices are transmitted along the supply chain and to determine if buyer power contributes in conditioning the retail-producer price spread. Findings – Estimated results suggest that buyer power exists in the Italian fresh milk supply chain and oligopsonistic behaviour affects the spread between downstream and upstream prices. Originality/value – The paper gives a contribute on estimation of buyer power in the agro-food supply chains. However, more research needs to be carried out in order to precisely evaluate the nature and the causes of presence of buyer power.
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Luxianto, Rizky, Usman Arief, and Muhammad Budi Prasetyo. "Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market." Journal of Indonesian Economy and Business 35, no. 3 (September 16, 2020): 257. http://dx.doi.org/10.22146/jieb.54377.
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Research Aims: This research examines investors’ psychological moods which cause day-of-the-week anomalies in highly mispriced stock markets. Design/methodology/approach: We use a sample from the Indonesian capital market as, in the Asian region, this country is considered to have a highly mispriced capital market. We decompose the stock price index in Indonesia into speculative, less speculative, and non-speculative indexes. We employ the mean and variance regressions to control the heteroscedasticity and serial correlation. Novelties: Our novelties are two fold. We postulate a method to decompose stock price indexes in Indonesia (the JKSE, LQ 45, and Kompas 100) into speculative, less speculative, and non-speculative indexes. Secondly, we estimate the mean and variance levels simultaneously to get a robust estimation result of the anomaly. Research Findings: We empirically find that the behavior mood hypothesis is supported only during normal periods, when investors tend to be irrational and use their good mood to trade on speculative stocks on a Wednesday and sell them on Monday. In other periods, rationality and psychological effects play a role with Indonesian investors, when their mood is good they are more active in trading less speculative stocks, to avoid higher risks and earn higher returns from those less speculative and non-speculative stocks.
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Jaworski, Krystian. "Measuring food inflation during the COVID-19 pandemic in real time using online data: a case study of Poland." British Food Journal 123, no. 13 (August 10, 2021): 260–80. http://dx.doi.org/10.1108/bfj-06-2020-0532.
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PurposeThe purpose of this study paper is to focus on developing novel ways to monitor an economy in real time during the COVID-19 pandemic. A fully automated framework is proposed for collecting and analyzing online food prices in Poland. This is important, as the COVID-19 outbreak in Europe in 2020 has led many governments to impose lockdowns that have prevented manual price data collection from food outlets. The study primarily addresses whether food price inflation can be accurately measured during the pandemic using only a laptop and Internet connection, without needing to rely on official statistics.Design/methodology/approachThe big data approach was adopted to track food price inflation in Poland. Using the web-scraping technique, daily price information about individual food and non-alcoholic beverage products sold in online stores was gathered.FindingsBased on raw online data, reliable estimates of monthly and annual food inflation were provided about 30 days before final official indexes were published.Originality/valueThis is the first paper to focus on measuring inflation in real time during the COVID-19 pandemic. Monthly and annual food price inflation are estimated in real time and updated daily, thereby improving previous forecasting solutions with weekly or monthly indicators. Using daily frequency price data deepens understanding of price developments and enables more timely detection of inflation trends, both of which are useful for policymakers and market participants. This study also provides a review of crucial issues regarding inflation that emerged during the COVID-19 pandemic.
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Rossini, Peter, and Valerie Kupke. "Understanding the short- and long-run relationship between vacant allotment and established house prices." International Journal of Managerial Finance 10, no. 2 (April 1, 2014): 200–217. http://dx.doi.org/10.1108/ijmf-04-2012-0052.
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Purpose – The purpose of this paper is to address a key issue fundamental to the operation of land and housing markets, that is, the relationship between land and house prices. The study identifies possible causation between established house and vacant allotment prices using the metropolitan area of Adelaide, Australia as a case study. Design/methodology/approach – A key outcome of the study is the construction of a Site Adjusted Land Price Index against which a Quality Adjusted House Price Index is compared. Findings – The results show that there is a lagged effect of land prices on house prices and that this is significant at an interval of eight lag periods. The results also imply that the lead lag relationship between established house and vacant allotment prices is not unidirectional. This suggests that, while a change in house prices leads to a change in land prices in the short-run, the long-run position is for increasing land prices to lead to a delayed increase in house prices. Research limitations/implications – Rising house prices do not simply and solely reflect a shortage of land. There are suggested effects both immediate from house to land and delayed from land to house, particularly in a rising market. Originality/value – The lead lag relationships of both indexes are tested using Granger causality estimates to assess whether theoretical Ricardian concepts still hold in a modern urban land market.
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Bukovina, Jaroslav. "The Impact of Economic Agents Perceptions on Stock Price Volatility." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 4 (2015): 1229–34. http://dx.doi.org/10.11118/actaun201563041229.
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This paper studies perceptions of economic subjects and its impact on stock prices. Perceptions are represented by stock market indexes and Facebook activity. The contribution of this paper is twofold. In the first place, this paper analyzes the unique data of Facebook activity and proposes the methodology for employment of social networks as a proxy variable which represents the perceptions of information in society related to the specific company. The second contribution is the proposal of potential link between social network principles and theories of behavioral economics. Overall, the author finds the negative impact of Facebook activity on stock prices and the positive impact of stock market indices. The author points the implications of findings to protection of company reputation and to investment strategy based on the existence of undervalued stocks.
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Efimova, E. N., P. B. Manevich, and A. V. Shmelev. "Modern methodology for the development of parametric models for determining the cost of transporting freights for tariff setting purposes." Vestnik of the Railway Research Institute 77, no. 4 (August 28, 2018): 205–10. http://dx.doi.org/10.21780/2223-9731-2018-77-4-205-210.
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One of the key problems of organizing an effective The article considers problems of the influence of technical transportation process is an adequate reflection of the current and technological parameters of freight transportation by rail on pricing factors in the tariff system. This can be done on the basis of the cost price for tariff purposes, the distribution of the cost of the the development of appropriate models for determining the cost initial-final operation between loaded and empty cars, determinaof transportation. Modeling the cost of transporting freights by rail tion of coefficients taking into account the length of cars and the for tariff purposes is based on determining and assessing the rela-distance of transportation, as well as the methodology for the distionship between transportation costs and work indexes. tribution of costs between the initial-final and motion operations. Proposed updated methodology for constructing parametric models for determining the cost of transportation of freights for tariff setting purposes includes: method of itemized distribution of expenditures between non-commercial organizations and affiliated subsidiaries in terms of infrastructure and traction; procedure for allocating the costs, attributed to affiliated subsidiaries, to the indexes “ton-kilometer gross” and “car-kilometer”; system of itemized distribution of freight costs for the indexes of the transportation operation, as well as the system for calculating the aggregate expenditure rates (AER) used in parametric models of the cost price; actualized assessment of the influence of the length of the car on the cost value for tariff setting purposes; procedure for allocating the cost of initial-final operations between loaded and empty cars. The developed parametric models for calculating the cost of transportation for tariff purposes for transportation by the locomotive of the JSC “Russian Railways” take into account such factors as the distance of transportation, the weight of the container and the length of the car, its loading, the type of shipment. Within the framework of creating new parametric models, the following factors have been updated: coefficients that take into account the length of the car; coefficients that take into account the effect on the cost of production up to the distance of transportation in connection with the change in the relative distance of carriage of the car as part of mixed and transfer-and-export trains; coefficients depending on the type of shipment.
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Krawiec, Monika. "Commodities Versus Stocks: Analysis of Their Performance from 2009 Through 2015." European Journal of Multidisciplinary Studies 3, no. 1 (December 1, 2016): 8. http://dx.doi.org/10.26417/ejms.v3i1.p8-20.
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Although over the last several years one could have witnessed unprecedented interest in commodity investments, the view of commodities from an investor’s perspective is of more recent date (with the exception of precious metals). There are several reasons for investing in commodities. First of all, they let investors gain equity-like or higher returns. Then, they can help to mitigate risk and improve portfolio diversification. They can also provide a possible hedge against unanticipated inflation. The growing popularity of commodity investing has been followed by a great number of new investment vehicles that make commodity investments available to a wider audience. Thus, investors based on their risk-return criteria and individual requirements may select from a broad range of commodity-linked financial instruments. One of possibilities is investing through a commodity index. This approach is especially attractive to investors that are familiar with investing in stock indexes. In theory, commodity indexes share a similar goal: to create a broad indicator of commodity price movements, though in practice portfolio weightings, construction, and calculation methodology vary significantly from one index to another. The most important of commodity indexes are: the Thomson Reuters/Core Commodity CRB Index, the S-P Goldman Sachs Commodity Index, the Bloomberg Commodity Index (former Dow-Jones AIG Commodity Index), and the Deutsche Bank Liquid Commodity Index. The present paper is aimed at assessing return and risk characteristics of these indexes and at providing a comparative analysis of their performance in relation to the most important equity indexes, such as S-P500, FTSE100, CAC40, DAX, WIG, BUX, IBovespa, Nikkei, Shanghai Composite (SSE), TSE300 (current S-P/TSX Composite Index), and AOI (All Ords). The empirical data covers daily quotations from January 5, 2009 to December 30, 2015. To verify whether the commodity indexes returns differ significantly from the returns of equity indexes, the nonparametric Mann-Whitney test is applied. The test has been chosen as returns of commodity indexes are not normally distributed.
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Yu, Miao, and Chonghui Guo. "Using news to predict Chinese medicinal material price index movements." Industrial Management & Data Systems 118, no. 5 (June 11, 2018): 998–1017. http://dx.doi.org/10.1108/imds-06-2017-0287.
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Purpose The purpose of this paper is to propose an approach for predicting the movements of Chinese medicinal material price indexes using news based on text mining. Design/methodology/approach A research framework and three major methods, namely, domain dictionary construction, market convergence time calculation and dimensionality reduction integrating semantic analysis, are proposed for the approach. The proposed approach is applied in practice for predicting the price index movements of the top ten Chinese medicinal materials that receive the greatest media attention. Findings A set of experiments performed herein show that a predictive relationship exists between the news and the commodity market and that each of the three major methods improves the forecasting performance. Research limitations/implications Because the field of Chinese medicinal materials lacks a corpus that can be used for sentiment analysis, the accuracy of a trained automatic sentiment classifier is lower than obtained by a manual method, which can cause the calculated convergence result to be inaccurate, thus affecting the final prediction model. The manual method of having people label news decreases the proposed method’s aspects of being intelligent and automatic. Practical implications Using the method proposed herein to predict the trends in Chinese medicinal materials prices helps farmers arrange a reasonable planting plan to pursue their best interests. Social implications The method proposed herein to predict the trends in the prices of Chinese medicinal materials is conducive to the government arranging planned drug availabilities in order to avoid disasters in which herbs are looted. Originality/value The produced prediction result is meaningful in supporting farmers and investors to make better decisions in growing and trading Chinese medicinal material, which leads to financial returns on investments and the avoidance of severe losses.
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Pozdnyakov, Yuri Vladimirovich, Skybinska Zoryana, and Gryniv Tetiana. "Price-forming factors choice grounding at intangible assets with negative depreciation independent valuation/appraising." Independent Journal of Management & Production 11, no. 6 (October 1, 2020): 2112. http://dx.doi.org/10.14807/ijmp.v11i6.1170.
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Independent expert valuation/appraising of intellectual property rights objects, such as brands and goodwill, performed by the Costs approach, is based on economic indicators of these intangible assets utility degree, which are connected with the sum of all expenses, related to appraised asset creation and support. These indicators are used as a primary data for these intangible assets market value determination. All these indexes are differently related to the brand value, and relationship between these parameters researches, indisputably, presents both theoretical and practical interest. Because of the cross-correlation relationship closeness between assets market value and these primary data parameters directly depend estimation results accuracy and reliability. The work is verification of basic hypothesis, in obedience to that at the brands valuation/appraising procedure performing as primary data may be recommended to use those indicator parameters, which are characterized with the closest statistical relationship and, respectively, the highest cross-correlation coefficient. Research is based on fact that these intangible assets are able to change their value characteristics in both directions, and change the annual depreciation sign during the separate periods of economic life, made it positive or negative. The purpose of the article is to define the quantitative estimations of cross-correlation relationship strength between economic parameters, which are used as primary data source in Costs approach, and estimated brand value; to perform the comparative analysis of cross-correlation relationship density between the brand value, appraised as intellectual property object, and these economic parameters, that are used as the main price-forming factors; researching and approbation of methodology, based on this cross-correlation relationship closeness quantitative indexes determination, on the certain examples of brands evaluation. Finally, the main purpose is to set the parameter, for which the correlation coefficient is the highest, and which is most expedient to use as primary data source at economic measurements performing.
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Saita, Yumi, Chihiro Shimizu, and Tsutomu Watanabe. "Aging and real estate prices: evidence from Japanese and US regional data." International Journal of Housing Markets and Analysis 9, no. 1 (March 7, 2016): 66–87. http://dx.doi.org/10.1108/ijhma-11-2014-0053.
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Purpose – Aging in Japan is advancing faster than in other major developed nations, and this is expected to have substantial effects on the country’s economic systems, including its social security system. What kind of effect will the falling birth rate, aging society and declining population have on the real estate market? Will the often mentioned real estate price asset meltdown really occur? The purpose of this paper is to address these questions by investigating how much demographic factors affected real estate prices in Japan and the USA. Design/methodology/approach – The authors use regional panel data for Japan and the USA real estate prices and estimate the effects of demographic factors, such as dependency ratio, i.e. the ratio of population aged 65+ to population aged 20-64. For Japan, as no region-by-region quality-adjusted housing price indexes covering the entire country exist, data are constructed by conducting quality adjustment using hedonic regression. Findings – Both in Japan and the USA, real estate prices in a region are inversely correlated with the old age dependency ratio in that region, and positively correlated with the total number of population in that region. The demographic factor had a greater impact on real estate prices in Japan than in the USA. For Japan, it was also found that demographic impact on land prices will be −2.4 per cent per year in 2012-2040, while it was −3.7 per cent per year in 1976-2010, suggesting that aging will continue to have downward pressure on land prices over the next 30 years, although the demographic impact will be slightly smaller than it was in 1976-2010, as the old age dependency ratio will not increase as much as it did before. Originality/value – Japan’s regional panel data are newly constructed based on a hedonic approach. Analyzing the effect of dependency ratio for Japan and the USA panel data is a new challenge. Forecasting future impact of demographic factor on Japan’s land prices based on the population forecast is a new challenge.
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Lahmiri, Salim. "Entropy-Based Technical Analysis Indicators Selection for International Stock Markets Fluctuations Prediction Using Support Vector Machines." Fluctuation and Noise Letters 13, no. 02 (June 2014): 1450013. http://dx.doi.org/10.1142/s0219477514500138.
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Most of works on stock price forecasting are concerned with the problem of predicting its future value. However, forecasting stock price future fluctuation trend could be easier and interesting for traders and investors to maximize profits. The purpose of this study is to predict CAC40, FTSE, NASDAQ and S&P500 price index up and down fluctuations. In particular, it aims to propose a methodology to forecast regime switches in these markets time series to assist traders and investors in decision making. In the first stage, a large set composed of twenty five technical analysis indicators is formed. They fall into four broad categories namely oscillators, stochastic measures, indexes and indicators. Entropy statistic is employed to rank the initial technical analysis indicators. Finally, in the third stage, polynomial-based kernel support vector machines (SVM) are used for predicting CAC40, FTSE, NASDAQ and S&P500 future upward and downward fluctuations. The forecasting results show that the choice of technical analysis indicators used to predict CAC40 and NASDAQ fluctuations depend on the type of risk-aversion and risk-appetite of the investor. For the S&P500 and FTSE, technical analysis indicators used in our study can detect future downshifts with high accuracy. Thus, they are suitable for market analysis and trading by risk-averse investors on these markets.
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Salman Irag Al-Najaf, Faisal Abduleh, Mahdi Salehi, and Hind Shafeeq Nimr Al-Maliki. "The effect of Islamic sacred months on stock prices in Iran and Iraq Stock Exchanges." ISRA International Journal of Islamic Finance 10, no. 1 (June 19, 2018): 111–19. http://dx.doi.org/10.1108/ijif-10-2017-0034.
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PurposeThe present study aims to examine the effects of the Islamic sacred months, namely, Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah, on stock prices on the Iran and Iraq Stock Exchanges.Design/methodology/approachUsing the infrastructure models of the capital market, the daily stock prices were calculated for the sacred and non-sacred months. As the data of this study are non-stationary, the AMIRA time-series model was used for better understanding of the model or future projections. The dependent variables of this study are the daily stock indexes for Iranian and Iraqi Stock Exchanges, and independent ones are the sacred and non-sacred months of a lunar year. Data were gathered daily from the financial statements of Iranian and Iraqi Stock Exchanges websites. To test the hypotheses under study, a five-year period from 2012 to 2016 was considered for both Iraqi and Iranian Stock Exchanges, which corresponds with the lunar calendar from 1433-1437AH.FindingsThe obtained results indicated that there is no significant difference in stock prices between the sacred months of Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah and other non-sacred months. However, the stock price in the Iranian Stock Exchange has a significant difference in Rajab and Dhu al-Qaʿdah with other non-sacred months.Originality/valueThe results of this study will reveal more than ever the role of Islamic sacred months for society and users of financial statements to make better financial decisions especially in Islamic emerging markets.
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Ghorbel, Achraf, and Ahmed Jeribi. "Contagion of COVID-19 pandemic between oil and financial assets: the evidence of multivariate Markov switching GARCH models." Journal of Investment Compliance 22, no. 2 (May 20, 2021): 151–69. http://dx.doi.org/10.1108/joic-01-2021-0001.
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Purpose In this paper, we investigate empirically the time-frequency co-movement between the recent COVID-19 pandemic, G7stock markets, gold, crude oil price (WTI) and cryptocurrency markets (bitcoin) using both the multivariate MSGARCH models. Design/methodology/approach This paper examines the relationship between the volatilities of oil, Chinese stock index and financial assets (cryptocurrency, gold, and G7 stock indexes), for the period January 17th 2020 to December 10th 2020. It tests the presence of regime changes in the GARCH volatility dynamics of bitcoin, gold, Chinese, and G7 stock indexes as well as oil prices by using Markov–Switching GARCH model. Also, the paper estimates the dynamic correlation and volatility spillover between oil, Chinese and financial assets by using the MSBEKK-GARCH and MSDCC-GARCH models. Findings Overall, we find that all variables display a strong volatility concentrated in the first four months of Covid-19 outbreak. The paper conducts different backtesting procedures of the 1% and 5% Value-at-Risk forecasts of risk. The results find that gold has the lowest VaR. However, the Canadian and American indices have the highest VaR, for respectively 1% and 5% confidence level. The estimation results of MSBEKK-GARCH prove the volatility spillover between Chinese index, oil and financial assets. Although, the past news about shocks in the Chinese index significantly affects the current conditional volatility of financial assets. Moreover, for the high regime, the correlation increased between Chinese and G7 stock indexes which proving the contagion effect of the COVID-19 pandemic. On the contrary, the correlation decreased between Chinese-gold and Chinese-bitcoin, which confirming that gold and bitcoin can be considered as an alternative hedge for some investors during a crisis. During the COVID-19 pandemic, the correlations for the couples oil-gold and oil-bitcoin peaked. Contrary to gold, bitcoin cannot be considered as a safe haven during the global pandemic when investing in crude oil. Originality/value In contrast, comparative analysis in terms of responses to US COVID-19 pandemic, the US Covid-19 confirmed cases have relative higher impact on the co-movement in WTI and bitcoin. This paper confirms that gold is a safe haven during the COVID19 pandemic period.
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Germanyuk, T. A., T. I. Ivko, and V. P. Bobruk. "Dynamics of accessibility of medicines for type 2 diabetes monotherapy in ukraine." Farmatsevtychnyi zhurnal, no. 1 (August 14, 2018): 37–42. http://dx.doi.org/10.32352/0367-3057.1.17.05.
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Diabetes mellitus is recognized as noninfectious epidemic in the world. Antidiabetic medications for the patients are taking continually and they are expensive. So, the actual question is the evaluation of the economic availability of antidiabetic treatment. Compared with other similar researches the economic availability of monotherapy of type 2 diabetes mellitus in Ukraine has not been investigated. It was researched in this study. The purpose of the research was scientific generalization of the results of study of the economic availability of monotherapy of type 2 diabetes mellitus in Ukraine from 2013 to 2016. The material of the study were: ATC/DDD-indexes of Centre WHO methodology of statistical studies of drugs, cost of DDDs was calculated according to weighed average cost in November 2013 and November 2016, according to weekly «Pharmacy» information. Methods: frequency analysis, ATC/DDD-methodology, the calculation of socio-economic coefficients of accessibility: liquidity ratio (Cliq), solvency adequacy ratio (Ca.s.), availability ratio (D). Based on the results of our previous studies to analyze the dynamics of socio-economic accessibility have been selected schemes of monotherapy with metformin, gliclazide and glimepiride, as the most commonly used in clinical practice. It has been found that the minimum price for DDD of metformin increased by 101%, for glimepiride – by 65%, for gliclazide – by 41% from 2013 to 2016. In the study of liquidity ratio Cliq, it has been found that there was an increase of price fluctuations from 48 to 295%. In the study of the solvency adequacy ratio Ca.s., it has been found that the accessibility has decreased from 98 to 197%, respectively. In studying of availability ratio D it has been found that the growth rate of salary was lower rates therapy price increases by 67% for metformin, by 44% for glimepiride, by 5% for gliclazide.In the study of economic availability it has been found an increase in prices in 1.4 times for metformin, in 1.25 times – for glimepiride, in 4.3 times – for gliclazide. Accessibility of monotherapy of type 2 diabetes mellitus has been decreased by 98–197%. The rate of wage growth was less than the growth rate of prices for the medications under investigation by 5–67%. The obtained results of a study of the socio-economic accessibility of medicines for type 2 diabetes monotherapy for the population of Ukraine Cliq, Ca.s., D against the background of reducing the rate of salary growth show a decrease in the dynamics of such availability in the period 2013–2016 years.
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Spyrou, Spyros. "Momentum return volatility, uncertainty, and energy prices: evidence from major international equity markets." Review of Behavioral Finance 12, no. 4 (April 8, 2020): 411–33. http://dx.doi.org/10.1108/rbf-09-2019-0133.
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PurposeThis paper examines the impact of macroeconomic and risk factors on the profitability and volatility of professional momentum portfolios for the US, the UK, Japan and Germany, for the period 1998–2018. Many of the factors employed, such as energy price changes and economic policy uncertainty, have been largely neglected in the relevant literature.Design/methodology/approachRegression analysis, VECTOR AUTOREGRESSION (VAR), Panel-VAR, Variance Decomposition AnalysisFindingsThe results indicate that, since the financial crises in the US and the EU, energy prices and economic-policy uncertainty have become important return determinants, along with market-related uncertainty that seems to have a stable impact over time, especially for the U.S. and U.K. portfolios.Research limitations/implicationsEconomic policy uncertainty significantly affects contemporaneous momentum returns in the US, UK and Japan, mainly between 2007 and 2018, while market-related uncertainty affects all markets during all subperiods. In addition, the variance of market-related uncertainty (VIX) explains a large percentage of the variance in the momentum returns for the US, UK and Germany.Practical implicationsThe main implication of the findings for portfolio managers is that a manager may increase (decrease) exposure to the momentum factor during optimistic (pessimistic) periods and during periods of rising energy prices (high economic policy and market-related uncertainty).Originality/valueThe paper examines the impact of factors, such as energy prices and economic policy uncertainty, which have been largely neglected in the relevant literature on the possible drivers of the momentum strategies. It employs professional portfolios that are often used in practice as benchmark indexes.
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Mietule, Iveta, Irina Maksymova, and Kateryna Holikova. "KEY TRENDS IN THE DEVELOPMENT OF MARKETPLACES AS A TRIGGER FOR THE TRANSFORMATION OF GLOBAL BUSINESS." SOCIETY. INTEGRATION. EDUCATION. Proceedings of the International Scientific Conference 6 (May 21, 2019): 374. http://dx.doi.org/10.17770/sie2019vol6.3883.
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This research analyses marketplaces in Europe and some other developed countries in order to determine their impact on global trade and business. The paper aimed to answer an important question - how e-commerce could transform modern business taking into account digital changes, a boom of cryptocurrency erasing trade borders and globalization. Sufficient evidence of this transformation is illustrated. A subsidiary objective of this research involves the building of a logical model describing correlation between marketplaces as integral part of e-commerce and global business development. Statistical data were based on variable indicators describing four categories of trading platforms, particularly online stores, price aggregators, marketplaces and classifiers. In addition, global indexes and macro-economic criteria were used in analysis. The methodology of statistical and regression methods was employed for economic-mathematical modelling. This allowed revealing the most important indicators affecting e-commerce and to create reasonable predictions for global business and trade. The research highlights important trends in the development of e-business under the digital economy.
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Wolski, Rafal. "Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices." Real Estate Management and Valuation 28, no. 1 (March 1, 2020): 100–111. http://dx.doi.org/10.1515/remav-2020-0009.
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AbstractThe integration of financial markets is an ongoing process throughout the world. Research shows that, from Australia through Europe to the United States, the capital and real estate markets are integrating, influencing each other. Although this process seems obvious, only research can show whether it actually occurs. Identifying these relationships is important for analyzing the entire market. Many methods, such as estimating the cost of equity, have been developed with the stock market in mind. Meanwhile, real estate valuation requires the cost of equity. Market integration is the rationale for using equity market methods on the real estate market.Aim of the work - the research is aimed at verifying whether there is cointegration between the secondary housing market and the stock market. A research hypothesis was put forward: the stock market and secondary housing market are integrated.Research methodology - the study used co-integration analysis using the Engle-Granger test. The study was conducted in the period from the third quarter of 2006 to the fourth quarter of 2018.Result - The tests carried out showed the existence of co-integration in one out of 36 cases for the explanatory variable - the delayed WIG index and the explained variable in the average price of residential real estate on the secondary market for the 7 largest Polish cities.Originality / Value - demonstrating the co-integration of markets justifies the use of analytical methods developed for stock markets on real estate markets. The research has no equivalent study on the Polish market. Similar analyses were carried out, but not for the stock and real estate market.
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Bao, Trung Hoang, and Cesario Mateus. "Impact of FOMC announcement on stock price index in Southeast Asian countries." China Finance Review International 7, no. 3 (August 21, 2017): 370–86. http://dx.doi.org/10.1108/cfri-06-2016-0051.
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Purpose The purpose of this paper is to examine the impact of Federal Open Market Committee (FOMC) announcements, which includes information about the targeted Federal fund rate and revision to the future path of monetary policy on Southeast Asian stock market performance. Design/methodology/approach This paper has used a sample of five national equity market indexes over the period 1997-2013 that covers 132 scheduled FOMC meetings. The authors have developed the model of Wongswan (2009) and Kontonikas et al. (2013) to quantify target surprise and path surprise. Findings The results first show that all the stock markets examined do respond to information in FOMC announcements. Second, the target Federal fund rate has more impact on Southeast Asian stocks performance than information about the future path of monetary policy does. Third, different Southeast Asian equity markets respond similarly to targeting the Federal fund rate, while the responses to monetary policy differ from each other. Fourth, the response of each country to the FOMC announcement is not statistically different in the two periods of financial crisis. Research limitations/implications Southeast Asian financial markets are increasingly highly correlated to the US market. The main channel in which FOMC announcement has impact on Southeast Asian stock markets is through US price transmission. This is the case of foreign firms borrowing from the US market. Then, an increase in interest rate, which means that the cost of financing increases, will lower firm equity value. Originality/value The understanding of the response of the Southeast Asian stock markets to target surprise and path surprise, and the impact of each surprise in different time periods, would be important to investors and encourage further discussion amongst academics in Southeast Asia, where stock markets have been emerging in recent years.
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Dias, Rui, and Luísa Cagica Carvalho. "Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market." Revista de Administração da UFSM 13, no. 5 (November 28, 2020): 1114–32. http://dx.doi.org/10.5902/1983465961307.
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Purpose - This essay aims to analyze whether gold (Gold Bullion: Zurich) and silver (Silver Paris Spot E/KG) will be a safe haven for diversifying portfolios in Latin America's stock markets.Design/methodology/approach - The analyzed data are the price indexes of the stock markets of Argentina (SP Merval), Brazil (Ibovespa), Chile (SP/CLX IGPA), Peru (SP/BVL General IGBL), Mexico (IPC), USA (Dow Jones), gold (Gold Bullion: Zurich), and silver (Silver Paris Spot E/KG), from December 31, 2019 to September 2, 2020. To answer the research question we used Gregory and Hansen’s methodology (1996), and the VAR Granger causality/block exogeneity Wald tests model.Findings - The results indicate that the markets have very significant integrations and causalities, that is, gold and silver do not function as safe havens for the diversification of portfolios in Latin American stock markets.Research limitations/implications - While the present investigation used general indices, in future studies sectoral indices can be used, as well as intraday data to have more robust evidence regarding the diversification of portfolios in these regional markets.Originality/value - This investigation differs from previous studies because it focuses on the rebalancing of portfolios through the estimation of integration models and shocks between gold and silver and the Latin American markets. This differs from the previous ones, which analyzed the average dependencies between gold and financial market movements, and between gold and currency depreciation.
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Sanusi, Muhammad, Jihad Jihad, and Imron Mawardi. "Impact of Macroeconomic Variabel and Global Indices on Islamic Stock Index: The Case Indonesia." Ihtifaz: Journal of Islamic Economics, Finance, and Banking 4, no. 1 (December 31, 2020): 45. http://dx.doi.org/10.12928/ijiefb.v4i1.2628.
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Introduction to The Problem: The movement of the Islamic stock index can be influenced by changes in domestic macroeconomic conditions, not only domestic macroeconomics but also influenced by the stock markets of other countries.Purpose/Objective Study: The main objective of this study is to analyze the influence of the domestic macroeconomic and global stock indices on the Indonesian sharia stock index.Design/Methodology/Approach: This study uses a quantitative methodology with secondary data. The data sample method is saturated sample that all members of the population are used to be the research sample. The type of research data is monthly time series with a time period from May 2011 - July 2019, the selection of the Vactor Error Correction Model (VECM) research method based on the stationarity of the data on the first difference and the existence of cointegration models.Findings: The results showed in the short term all variables did not show a significant effect. In the long run, interest rates have a negative effect, while the exchange rate shows a positive effect on the movement of Islamic stock price indexes. Global stock indices such as the Shanghai Stock Exchange Index show a negative effect, and the Standard & Poor's 500 index shows a positive effect. While the Nikkei 225 index did not show a significant effect on the Indonesian Islamic stock index.
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Ternovsky, D. S., and V. Ya Uzun. "On the Statistical Reflection of Long-Term Growth in Agricultural Production." Voprosy statistiki 27, no. 5 (October 26, 2020): 36–47. http://dx.doi.org/10.34023/2313-6383-2020-27-5-36-47.
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The article presents the results of a study aimed at proving the existence of systematic error in traditional calculations of long-term growth rates of agricultural production based on chain indices of agricultural production. According to the authors, the article also introduces a more accurate assessment of its dynamics with the account to the structure of the relationship between prices and the volume of agricultural production. The paper describes a theoretical model that is a methodological basis for the study and explains the discrepancy in assessing the dynamics of agricultural production using chain indices and indexes at constant prices. It allows establishing differences in the ratios of the Laspeyres, Paasche, and Lowe indices for crop and livestock production, due to factors in the formation of demand and the complex structure of the relationship between the price level and the volume of production. The adequacy of the constructed theoretical model is proved based on aggregated data that eliminated the influence of incompleteness of the initial information. As a result, it was established that livestock production is characterized by time-distributed changes in prices and quantity of products, which makes it possible to assess its dynamics using both chain indices and symmetric indices. It is proved that the dynamics of crop production cannot be adequately described using chain indices, since a positive correlation of prices of the previous period and production volumes of the current period causes an overstatement of the index in comparable prices of the previous year. Based on calculations within the proposed aggregated model, it is proved that the use of constant prices as the Lowe index weights, updated every five years, is an acceptable approximation of the Fisher symmetric index. Application of the indicated methodology for calculating the index to the data on Russian agricultural production by main types of products in 1990-2018 allowed to establish an overstatement of dynamics by 11.9%. The main difference falls on crop production (+ 19.6%), while for livestock - the differences are insignificant (-0.7%).
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Del Prete, Antonio, and Teresa Primo. "Innovative Methodology for the Identification of the Most Suitable Additive Technology Based on Product Characteristics." Metals 11, no. 3 (March 2, 2021): 409. http://dx.doi.org/10.3390/met11030409.
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This paper reports the study and development case of an innovative application of the Cloud Manufacturing paradigm. Based on the definition of an appropriate web-based application, the infrastructure is able to connect the possible client requests and the relative supply chain product/process development capabilities and then attempt to find the best available solutions. In particular, the main goal of the developed system, called AMSA (Additive Manufacturing Spare parts market Application), is the definition of a common platform to supply different kinds of services that have the following common reference points in the Additive Manufacturing Technologies (DFAM, Design For Additive Manufacturing): product development, prototypes, or small series production and reverse engineering activities to obtain Computer-Aided Design (CAD) models starting from a physical object. The definition of different kinds of services allows satisfying several client needs such as innovative product definition characterized by high performance in terms of stiffness/weight ratio, the possibility of manufacturing small series, such as in the motorsport field, and the possibility of defining CAD models for the obsolete parts for which the geometrical information is missed. The AMSA platform relies on the reconfigurable supply chain that is dynamic, and it depends on the client needs. For example, when the client requires the manufacture of a small series of a component, AMSA allows the technicians to choose the best solutions in terms of delivery time, price, and logistics. Therefore, the suppliers that contribute to the definition of the dynamic supply chain have an important role. For these reasons, the AMSA platform represents an important and innovative tool that is able to link the suppliers to the customers in the best manner in order to obtain services that are characterized by a high-performance level. Therefore, a provisional model has been implemented that allows filtering the technologies according to suitable performance indexes. A specific aspect for which AMSA can be considered unique is related with the given possibility to access Design for Additive Manufacturing Services through the Web in accordance with the possible additive manufacturing technologies.
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Mancini, Francesco, Sabrina Romano, Gianluigi Lo Basso, Jacopo Cimaglia, and Livio de Santoli. "How the Italian Residential Sector Could Contribute to Load Flexibility in Demand Response Activities: A Methodology for Residential Clustering and Developing a Flexibility Strategy." Energies 13, no. 13 (July 1, 2020): 3359. http://dx.doi.org/10.3390/en13133359.
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This work aims at exploring the potential contribution of the Italian residential sector in implementing load flexibility for Demand Response activities. In detail, by combining experimental and statistical approaches, a method to estimate the load profile of a dwelling cluster of 751 units has been presented. To do so, 14 dwelling archetypes have been defined and the algorithm to categorise the sample units has been built. Then, once the potential flexible loads for each archetype have been evaluated, a control strategy for applying load time shifting has been implemented. That strategy accounts for both the power demand profile and the hourly electricity price. Specifically, it has been assumed that end users access a pricing mechanism following the hourly trend of electricity economic value, which is traded day by day in the Italian spot market, instead of the current Time of Use (TOU) system. In such a way, it is possible to flatten the dwellings cluster profile, limiting undesired and unexpected results on the balancing market. In the end, monthly and yearly flexibility indexes have been defined along with the strategy effectiveness parameter. From calculations, it emerges that a dwelling cluster for the Italian residential sector is characterised by a flexibility index of 10.3% and by a strategy effectiveness equal to 34%. It is noteworthy that the highest values for flexibility purpose have been registered over the heating season (winter) for the weekends.
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Bereza, I. V. "METHODOLOGICAL PRINCIPLES OF DEFINITION OF EFFICIENCY OF INFRASTRUCTURE PROJECTS ON THE BASIS OF COST-NORMATIVE VALUE." Economic innovations 19, no. 3(65) (December 19, 2017): 8–14. http://dx.doi.org/10.31520/ei.2017.19.3(65).8-14.
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The methodical approaches to cost management in the organization of work on the reconstruction and overhaul of railway buildings and structures on the basis of the cost-standard method with the use of the method of estimating the cost of the life cycle as an economic analysis of the total expenses for the performance of repair and construction works are developed and proposed. For the implementation of local estimated estimates of the cost of reconstruction and overhaul of railway structures on the basis of normative and technical documentation and initial data (on the design of the building or structure, the machine complex and the length of time provided for the works ("window" or "closed transfer")), according to collections of estimated standards, the selection of appropriate prices for the complexes of works in the technological sequence, the corresponding version of work execution is carried out. In order to account for additional costs to individual prices, correction factors are used in accordance with the conditions of their application and are stipulated in the general provisions of the relevant price lists. The estimated cost of work on the railways of railways and structures is determined by the basic-index method. Data on the resources obtained from the estimated calculations for the considered options, make it possible to compare resource indicators in both quantitative and cost terms and determine the maximum values for the main elements of expenditure that can be used in additional conditions, at the option of an economically feasible option of repair- construction works. Proceeding from the above developed methodology for calculating the normative estimated cost of work on RCR railway buildings and structures on the basis of a normative method using the author's developed methodological recommendations for the formation of cost-regulatory documents and current indexes of change in the estimated cost of articles and elements of expenditure.
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Yu, Susana, Gwendolyn Webb, and Kishore Tandon. "What happens when a stock is added to the Nasdaq-100 index? What doesn’t happen?" Managerial Finance 41, no. 5 (May 11, 2015): 480–506. http://dx.doi.org/10.1108/mf-02-2014-0044.
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Purpose – Prior research on additions to the S & P 500 and the smaller MidCap 400 and SmallCap 600 indexes reach different conclusions regarding the key variables that explain the cross-section of announcement period abnormal returns. Most notable in this regard is that liquidity measures, long thought to be of importance, do not appear to explain abnormal returns of the S & P 500 when other factors are controlled for. By contrast, they do appear to matter for additions to the smaller stock indexes. To explore this difference, the purpose of this paper is to analyze the abnormal returns upon announcement that a stock will be added to the Nasdaq-100 Index in a cross-sectional manner, controlling for several possible alternative factors. Design/methodology/approach – This paper analyzes abnormal returns upon announcement that a stock will be added to the Nasdaq-100 Index. The authors consider several possible sources of the positive price effects in a multivariate setting that controls simultaneously for measures of liquidity, arbitrage risk, operating performance and investor interest and awareness. The authors then analyze both trading volume and the bid-ask spreads. The authors finally examine analyst and investor interest, focussing on changes in analyst coverage. Findings – The authors find that only liquidity variables are significant, but that factors representing feedback effects on the firm’s operations and level of managerial effort are not. The authors find that the average bid/ask spreads of stocks added to the Nasdaq-100 index are lower after the addition. The authors also find that the number of analysts following a stock increases significantly after addition, verifying increased analyst interest. Both forms of evidence are consistent with the hypothesis that the additions are associated with enhanced liquidity for the stocks. Originality/value – The authors conclude that what does happen to a Nasdaq stock when it is announced that it will be added to the Nasdaq-100 Index is that more analysts are drawn to it, and its market liquidity is enhanced. The authors conclude that what does not happen is that there is no evidence of significant effects of enhanced managerial effort or operating performance associated with the inclusion. This difference is noteworthy because it suggests that a certification effect of additions to the S & P indexes associated with S & P’s selection process are unique to it and do not apply to the Nasdaq-100 Index additions based on market cap alone. The results provide indirect evidence on the existence and significance of the certification effect associated with additions to the S & P indexes.
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Barragán-Escandón, Antonio, Esteban Zalamea-León, and Julio Terrados-Cepeda. "Incidence of Photovoltaics in Cities Based on Indicators of Occupancy and Urban Sustainability." Energies 12, no. 5 (February 28, 2019): 810. http://dx.doi.org/10.3390/en12050810.
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Previous research has assessed the potential of solar energy against possible demand; however, the sustainability issues associated with the use of large-scale photovoltaic deployment in urban areas have not been jointly established. In this paper, the impact of photovoltaic energy in the total urban energy mix is estimated using a series of indicators that consider the economic, environmental and social dimensions. These indicators have been previously applied at the country level; the main contribution of this research is applying them at the urban level to the city of Cuenca, Ecuador. Cuenca is close to the equatorial line and at a high altitude, enabling this area to reach the maximum self-supply index because of the high irradiation levels and reduced demand. The solar potential was estimated using a simple methodology that applies several indexes that were proven reliable in a local context considering this particular sun path. The results demonstrate that the solar potential can meet the electric power demand of this city, and only the indicator related to employment is positive and substantially affected. The indicators related to the price of energy, emissions and fossil fuel dependency do not change significantly, unless a fuel-to-electricity transport system conversions take place.
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Cacchiarelli, Luca, and Alessandro Sorrentino. "Market power in food supply chain: evidence from Italian pasta chain." British Food Journal 120, no. 9 (September 3, 2018): 2129–41. http://dx.doi.org/10.1108/bfj-10-2017-0548.
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PurposeDuring the last years, the Italian pasta chain has been strongly affected by some events such as CAP reforms in the durum wheat sector that have progressively reduced government intervention in the market and a case of anti-competitive practices against pasta makers was identified and sanctioned by the Italian Antitrust Authority. The purpose of this paper is to detect the presence of market power in the different phases of the Italian pasta supply chain.Design/methodology/approachThe authors applied the “first-pass” test proposed by Lloydet al.(2009) on a set of monthly price indexes series from 2000 to 2013 in order to estimate if market power exists along Italian pasta chain.FindingsEstimated results suggest that market power exists in the Italian pasta supply chain. Precisely, the presence of market power is detected for semolina producers in 2000–2004, for pasta makers in 2005–2008 as already identified by Italian antitrust and, finally, for retailers in 2008–2013.Research limitations/implicationsThe method is a “first pass” test that only allows researchers to identify the presence of market power, but it is unable to estimate the intensity of this power.Originality/valueThe paper gives a contribute on estimation of market power in a food supply chain affected by CAP reform and antitrust intervention.
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Metghalchi, Massoud, Nazif Durmaz, Peggy Cloninger, and Kamvar Farahbod. "Trading rules and excess returns: evidence from Turkey." International Journal of Islamic and Middle Eastern Finance and Management 14, no. 4 (February 1, 2021): 713–31. http://dx.doi.org/10.1108/imefm-01-2020-0043.
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Purpose This paper aims to investigate popular technical trading rules (TTRs) applied to the FTSE Turkish all-cap and small-cap indexes from September 23, 2003 to August 9, 2019 to determine rules that produce net excess returns over the Buy-and-Hold strategy (B&H). Design/methodology/approach Five TTRs, namely, simple moving average, relative strength index, moving average convergence divergence, momentum, and rate of change, are applied, singly (one indicator) and in combination (two indicators) for multiple time periods. Findings For the small-cap index, some TTRs – including the famous Golden Cross, when the 50-day moving average rises above 200-day moving average – produced net annual excess returns (NAERs) over the B&H strategy, for the entire period and each sub-period, after accounting for risk and transaction costs. Results were mixed for the large-cap index. The results support Cakici and Topyan (2013). Research limitations/implications This study investigates several indicators, but future studies should examine others, especially based on volume and price. Practical implications Investors in the FTSE Turkish small-cap index may use some trading rules to earn NAERs over the B&H strategy. Originality/value This research is important because it addresses a gap in the research by examining numerous TTRs in the Turkish stock market. Studies of TTRs in Turkey are scarce.
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Singh, Harjit, Geetika Jain, Alka Munjal, and Sapna Rakesh. "Blockchain technology in corporate governance: disrupting chain reaction or not?" Corporate Governance: The International Journal of Business in Society 20, no. 1 (September 12, 2019): 67–86. http://dx.doi.org/10.1108/cg-07-2018-0261.
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Purpose The purpose of this paper is to determine the stakeholders’ acceptance on blockchain and to investigate the model fit by using “Technology Acceptance Model” with special reference to corporate governance through cryptography to resolve the decades-old problems of financial record-keeping. Design/methodology/approach The whole analysis has been performed in the two steps, i.e. confirmatory factors analysis and structural equation modeling, to prove model fit between behavioral intention and actual behavior for using blockchain technology. Total 223 respondents have been selected, and the selection of the respondent is primarily on the basis of their previous experience with trading corporate equities. Findings The study determines empirically all the mentioned relationships of attitude, perceived ease of use and perceived usefulness with the behavioral intention as per the conceptual model to prove the relationship. The results of the manuscript shows the model fit indexes for various constructs are prove the model fit as per the theorized model. The values of the various indexes are found to be under the permissible range which explains the relationship of various constructs based on the theorized model. Research limitations/implications Despite, the limitations in terms of selection of sampling methods, outcome and the interpretation, the results proves the fit with the theoretical framework. The major implication is to understand the real-time use of blockchain technology for the transfer of shares from one party to other. Practical implications Stakeholders in corporate governance namely customers, creditors, suppliers, community, employees, owners, investors, trade unions and social activists could benefit in different ways. Investors could benefit from being able to purchase equity at low price and to sell them into a market with greater liquidity, but they would found it difficult to camouflage their trades. Social implications The study opines that virtually all aspects of the corporate governance can be improved through the adoption of this technology resulting in greater transparency, improved liquidity and lowering costs. Originality/value This study will be a reference for global players in the financial industry that have started investing in this innovative technology vis-à-vis recent announcement of adoption of blockchain by global exchanges including NASDAQ, NYSE and Deutsche Borse, as a new method for trading, tracking ownership and monitoring systemic risk for strengthening corporate governance mechanism. This study will have a significant index for future reference where the technology adoption will be tested to have better corporate governance which will be useful for academics and professionals.
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Kont, Kate-Riin. "How to optimize the cost and time of the acquisitions process?" Collection Building 34, no. 2 (April 7, 2015): 41–50. http://dx.doi.org/10.1108/cb-01-2015-0003.
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Purpose – The purpose of this paper is to focus on the history and new developments of the optimization and analysis of acquisitions costs. More specifically, the acquisition cost and time optimization methods studied concern primarily print format books. Though e-books have begun to be developed more and more, the print format books – both scientific books and textbooks – are still very important for university libraries and continue to pour into acquisition activities. Design/methodology/approach – The data used in this paper are based on a review of relevant literature to provide an overview of the different concepts of the budget allocation and cost accounting methods suitable for the optimizing cost and time of the acquisition process. Different methods are described via reviewing example studies. Findings – On the basis of the current study, it can be said that the acquisitions procedure is more labor-intensive than any other library procedure both historically and nowadays. Nonetheless, the routines of acquisitions have been fairly well fixed over the years and constantly have searched for new ways to reduce costs. The most popular methods to control the acquisitions budget have been centralized and cooperative acquisitions, using vendors for acquiring library materials, customer-based acquisitions, and price indexes. New costing methods described, like activity-based costing and time-driven activity-based costing methodologies seem both to be the best tools for understanding acquisitions cost behavior and for refining a cost system for university libraries. Originality/value – This paper raises a perspective in library acquisitions management that has not been dealt with before. Namely, it explores how the library materials selection moved from intrinsic wisdom of bookish librarians and “just in case” inventory model to “purchase by customer suggestion” model. In addition, how libraries moved from acting on the basis of guesses to examine the cost breakdown of the acquisitions-related activities in a library.
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Tianming, Gao, Vasilii Erokhin, Aleksandr Arskiy, and Mikail Khudzhatov. "Has the COVID-19 Pandemic Affected Maritime Connectivity? An Estimation for China and the Polar Silk Road Countries." Sustainability 13, no. 6 (March 22, 2021): 3521. http://dx.doi.org/10.3390/su13063521.
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In light of about 80% of international freight traffic carried by sea, maritime supply chains’ stability is pivotal to global connectivity. For over a year now, the transboundary mobility of vessels and cargoes has been restricted by diverse forms of the COVID-19 containment measures applied by national governments, while the lockdowns of people, businesses, and economic activities have significantly affected the growth prospects of various maritime connectivity initiatives. This study investigates how the pandemic-related public health, trade, and market factors have shifted the connectivity patterns in the Polar Silk Road (PSR) transport corridor between China, South Korea, Japan, Russia, and four economies of Northern Europe. The causality links between the Shipping Connectivity Index (SCI) and the number of COVID-19 cases and deaths, trade volumes with China and the rest of the world, and price indexes of minerals, fuels, food, and agricultural products are revealed separately for eight countries and thirty-five ports. The study algorithm is built on the consecutive application of the Augmented Dickey-Fuller (ADF) and the Phillips-Perron (PP) stationarity tests, the Autoregressive Distributed Lag (ARDL) method, the Fully-Modified Ordinary Least Squares (FMOLS) and the Dynamic Ordinary Least Squares (DOLS) robustness checks, and the Toda-Yamamoto causality test. Tight trade-connectivity links are recorded in all locations along the China-PSR transport corridor in 2015–2019, but in 2020, the relationships weakened. Bidirectional influences between the number of COVID-19 cases and connectivity parameters demonstrate the maritime sector’s sensitivity to safety regulations and bring into focus the role of cargo shipping in the transboundary spread of the virus. The authors’ four-stage approach contributes to the establishment of a methodology framework that may equip stakeholders with insights about potential risks to maritime connectivity in the China-PSR maritime trade in the course of the pandemic.
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Bialkovska, Hanna, and Volodymyr Pashchenko. "New elements of technology for the growing and protection of tobacco from harmful organisms and its economic substantiation." INNOVATIVE ECONOMY, no. 7-8 (November 2019): 104–10. http://dx.doi.org/10.37332/2309-1533.2019.7-8.15.
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Purpose. The aim of the article is to study the influence of ecologically safe pesticides on a height and development of plants of tobacco and realization of economic evaluation of his results. Methodology of research. Scientific methods are used in the process of the study: bibliographic (study and working of scientific works that touch technology of growing of tobacco); agronomical - for the study of norms of bringing of experimental preparations; economic method – at treatment of results of scientific researches for 2016-2018 years; method of comparative analysis – for the estimation of economic efficiency of different technologies of growing of tobacco. Findings. The new elements of technology of growing and defence of tobacco are reasonable from illnesses and wreckers and she is conducted complete economic evaluation. Recommendations are worked out with the use of growth factor Pennant and to insecticide Commander as effective preparations of increase of the productivity and quality of tobacco raw material of new variety of tobacco of the Ukrainian selection Berley 46 in the agro-climatic conditions of Prydnistrovia of Ukraine. Their application considerably promotes the level of profitability of process of growing of tobacco raw material due to the increase of firmness of plants to the unfavourable factors of environment and assists the increase of competitiveness of tobacco industry of our state in the world market. Originality. In the process of research next results that have a scientific novelty are got: the new elements of technology of growing and defence of tobacco are worked out from illnesses and wreckers with the use of new environmentally sound preparations – growth factor Pennant and to insecticide knight Commander on the tobacco areas of sort Berley 46 in the Prydnistrovia’s region of Ukraine. The indexes of economic efficiency of new elements of technology are reasonable. Practical value. An application domain is agricultural enterprises of Prydnistrovia of Ukraine of all legal forms that engage in growing of tobacco. Key words: tobacco; varieties; technology; immunity; diseases; pests; growth promoters; insecticides; cost; price; profit; profitability level; economic efficiency.
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Özçam, Ahmet. "Alternative representation of the deadweight loss triangle in oligopoly." Journal of Economic Studies 44, no. 3 (August 14, 2017): 330–43. http://dx.doi.org/10.1108/jes-09-2015-0184.
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Purpose The purpose of this paper is to provide an alternative way of calculating the deadweight loss triangle in oligopolistic markets which takes inefficient use of inputs into account. The author shows that the result of the approach coincides with the one that exists in the economics literature. However, the author explicitly accounts for the inefficient use of inputs. Design/methodology/approach The market supply curve that is extensively used for competitive markets has been reconsidered for the imperfectly competitive markets. The necessary condition for the efficient use of resources is investigated and a price level is derived at which the market output of oligopoly is produced efficiently. The degree of inefficient use of inputs is reported via the definitions of Input Inefficiency Measure (IIM) and the Ratio of Inefficient usage of Inputs to Total Deadweight Loss (RITD). Findings The author discovers that the area under the supply curve of the competitive market corresponds precisely to the minimum total costs of producing any given market output. To make this important finding operational in imperfectly competitive markets, the IIM reports the degree of distorted input allocation among firms with differentiated cost structures in producing a given equilibrium imperfectly competitive market output. In measuring the monopoly power, it is known that CRn or HHI market concentration indexes, which are calculated based on the market shares of firms regarding the demand side of the market, are widely used. The measures, which take into account of the distortions in input usage, and hence, the supply side may be considered as an additional index. For example, if the market demand were shared equally by two firms (no dominant firm with respect to the demand side), it is known that the leadership would still arise when the costs of firms differed as in the dominant firm model in favor of the lower cost producing firm. Research limitations/implications The author recommends some more theoretical research extensions of the approach suggested here to other oligopolistic markets like the Cournot-Nash, the Stackelberg and other models. In all cases, there is a need for additional work to find some measurable variables in practice in order to estimate the input inefficiency given by the two measures and differentiate it from the inefficiency of units of outputs that are not produced. Practical implications It may be interesting to decompose the various estimates of welfare losses due to monopoly power as a percentage of GNP that were discussed in the literature into two inefficiency components: units of outputs that are not produced and units of inputs that are misallocated among firms. Social implications The government officials might be interested in assessing the degree of loss of input usage by firms in addition to output loss in oligopolistic markets summarized by the two inefficiency indexes. Law economists may be inspired in discussing the issue of input inefficiency in the context of on antitrust policy. Originality/value The author emphasized that the area under the market supply curve minimized the aggregate cost of producing a given total market output in competitive markets. Having recognized the importance of this finding, the author tried to apply it to imperfectly competitive markets and especially to the calculation of deadweight loss in such markets. The author showed that the total social cost could be calculated by including the input inefficiency which can be defined as the extra cost to society arising from not using the most appropriate economic resource allocation among firms in addition to the usual deadweight loss triangle. Moreover, the author had to introduce some more new terms like the market supply curve allocation, the adjusted competitive price, efficiency gain and so on, as they were necessary along the course of the analysis.
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Zhang, Ruixi, Jinding Xing, Kunhui Ye, Weisheng Lu, and Yongwei Shan. "Synchronicity of global construction cost indexes." Engineering, Construction and Architectural Management 26, no. 3 (April 15, 2019): 367–85. http://dx.doi.org/10.1108/ecam-02-2018-0045.
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Purpose The purpose of this paper is to examine the features and tendency of cost indices in the global construction setting. Design/methodology/approach Data from 22 countries/regions are collected and analyzed using maximum variance formulation and Kendall rank correlation coefficient. Findings It is found that global construction cost indexes (CCIs) have commonly maintained a steady increase for decades, and the CCIs synchronize with each other. Overall synchronicity and synchronicity of different countries pairs have increased with time significantly. Research limitations/implications The major limitation, however, is the availability of data: only 22 regions/countries are examined, the distribution of these regions/countries is imbalanced between different continents and various indices are adopted around the world, of which statistical methods are not same. Practical implications The implication is that a better perception of CCIs enables contractors to have a robust estimation for bidding prices and to improve the efficiency of construction projects management. The research findings also provide a useful reference for those countries that have not established construction cost indices databases to forecast the tendency of domestic construction industries. Originality/value This paper contributes to the overall body of knowledge by presenting the co-movement of global CCIs and measuring the changes of CCI synchronicity with time and in different countries pairs.
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Mongi, Arfaoui. "The global influence of oil futures-prices on Dow Jones Islamic stock indexes." International Journal of Emerging Markets 14, no. 4 (October 14, 2019): 523–49. http://dx.doi.org/10.1108/ijoem-11-2017-0471.
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Purpose The purpose of this paper is to investigate the global influence of crude and refined oil futures prices on Dow Jones Islamic equity indices (DJIMI) during the recent global financial crisis under structural breaks in the conditional volatility of oil futures prices. Design/methodology/approach It aims at exploring the long-run and the short-run elasticity and causal relationships using an ARDL bound testing approach and a vector error correction model. Findings The main findings confirm the presence of long-run relationship for DJIM emerging markets index compared to other global and sub-regional developed indexes. Speed of adjustment to the long-run equilibrium is moderate and the effect of structural breaks, produced from nonlinear volatility model with long memory (LM), is overall not pronounced for that relationship. Short-run causality is bi-directional but long-run Granger causality does not run from refined oil to the DJIMI and crude oil. Research limitations/implications The paper demonstrates the implicit extent of international financial integration of Islamic stock markets in light of the global influence of oil prices. Practical implications The findings offer some highlights to researchers, portfolio managers and policymakers. Originality/value The paper gives an answer to an identified need to test the position of Islamic equity markets as booming Islamic investment and socially responsible investment areas to the global influence of the new soaring path of oil markets. It uses as well bounds testing approach and tests weak and strong causalities under structural breaks. It considers as well LM behavior in oil prices along with the asymmetry property in oil prices.