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1
Gollop, Frank M., and James L. Monahan. "A Generalized Index of Diversification: Trends in U.S. Manufacturing." Review of Economics and Statistics 73, no. 2 (May 1991): 318. http://dx.doi.org/10.2307/2109523.
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Robertho, Valentino, and Buddi Wibowo. "Market Power, Types of Ownership and Bank Income Diversification: Cases of Asian Countries." Jurnal Dinamika Manajemen 9, no. 1 (June 9, 2018): 12–22. http://dx.doi.org/10.15294/jdm.v9i1.14648.
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This study aims to analyze the effects of market power and type of ownership on bank’s income diversification in Indonesia, Malaysia, the Philippines, Thailand, and China. Banks diversifies their source of income to stabilize profitability level. Bank’s market power is a critical factor which affect its income diversification efforts. This study uses Lerner Index as a proxy for banks’ market power. By using a sample of 80 banks in five countries from 2012 to 2016 and operating Fixed Effect Model and Generalized Least Square, the result shows that banks with greater market power earn more non-interest income, except in the Philippines. Also, government ownership is proven to heighten the relation between market power and income diversification, with consistent results shown in each subsamples. Foreign ownership also heighten the relation between market power and income diversification, except in Thailand.
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TRẦN TIẾN, KHAI, and Danh Nguyễn Ngọc. "Determinants of Income Diversification and Its Effects on Household Income in Rural Vietnam." Journal of Asian Business and Economic Studies 221 (July 1, 2014): 20–41. http://dx.doi.org/10.24311/jabes/2014.221.05.
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Exploiting data of Vietnam Household Living Standard Survey 2010, the study aims at finding determinants of income diversification at household level in rural Vietnam and evaluating effects of income diversification on household income. The data set covers 6,571 rural households of eight socio-economic regions. Herfindahl-Hirschman index (HHI) is applied to show income diversification at household level. Two-limit tobit model is applied to detect the effects of household features and community characteristics on HHI, and then generalized method of moments (GMM) is employed to test the effects of HHI on household income. The results show that human capital in both quantity and quality terms plays a substantial role in encouraging rural households to diversify their income-generating activities. Rural households with higher education level and higher diversification ability tend to have more diverse income sources. Owning larger sources of physical capital, or better credit accessibility, and social capital also helps rural households improve income diversity. The results also confirm that income diversification is the dynamic of rural income improvement. Households can increase their income by diversifying their farm and non-farm activities.
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Ali, Md Hakim, Md Akther Uddin, Mohammad Ashraful Ferdous Chowdhury, and Mansur Masih. "Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia?" Managerial Finance 45, no. 1 (January 14, 2019): 36–53. http://dx.doi.org/10.1108/mf-03-2018-0126.
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Purpose On the backdrop of growing importance of Shariah compliant equity markets, the purpose of this paper is to study cross-country portfolio diversification benefits for investors with major trading partners of Saudi Arabia, namely, USA, China, Japan, Germany and India, who have already invested or tend to invest in Saudi Arabian stock market. Design/methodology/approach The authors have investigated time invariant, dynamic correlations at different investments horizons of the investors among Islamic asset classes by applying relevant econometric techniques like multivariate generalized autoregressive conditional heteroscedastic –DCC and continuous wavelet transforms. For robustness, this study also applied maximal overlap discrete wavelet transform. Findings The findings tend to indicate that the Saudi Arabian investors have portfolio diversification benefits with all major trading partners in the short-term investment horizon. Interestingly, Saudi Arabian market has the least portfolio diversification benefits with the Chinese market. However, in the long run, all markets are correlated, yielding minimum portfolio diversification benefits and most importantly Saudi Arabian investors have portfolio diversification benefits with the Indian Islamic equity market in almost all investment horizons. The findings are highly consistent across different econometric technique estimations. Research limitations/implications The authors are only considering five major trading partners of Saudi Arabia. Also, the authors are using S&P and FTSE shari’ah index. Moreover, the time period of the study is constrained by the availability of shari’ah indices. Econometric limitations are also well documented in the literature. Practical implications The results could be beneficial for the investors, portfolio managers, hedge fund managers and institutional investors and also could be useful for the policy makers in their policy-making decisions. Originality/value Only very few studies have looked into the benefits of international portfolio diversification from the perspective of local investors as well as the portfolio diversification benefits with the major trading partners of Saudi Arabia. One of the novelties of the method is to make the stock investors, practitioners and policy makers aware of the portfolio diversification benefits available at different time scales such as 4, 8, 16, 32, 64 and 256 trading days as investment holding periods to unveil the true dynamics of co-movement between those different assets.
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Zahmani, Zahra, Milorad Jovović, Srdjan Redzepagić, and Marianna Siničáková. "SUBSTITUTION OF ANCHOR CURRENCY: CHALLENGES FOR TRADE BETWEEN IRAN AND ITS MAJOR TRADING PARTNERS." Technological and Economic Development of Economy 27, no. 4 (June 2, 2021): 833–51. http://dx.doi.org/10.3846/tede.2021.14977.
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The aim of the paper is to find out whether euro is a convenient substitution for U.S. dollar as an anchor currency for Iranian rial and whether this replacement would affect Iran’s international trade positively. We explore these effects via Optimum Currency Area (OCA) theories using generalized least square from 2000 to 2018. Based on OCA index, euro would be a good substitution for U.S. dollar as an anchor for Iranian rial. In addition, gravity model and Generalized Method of Moments estimation confirm that substitution of U.S. dollar by euro would improve bilateral trade between Iran and its major trade partners especially the European Economic and Monetary Union (EMU). Furthermore, we confirm that a basket containing main currencies (euro, U.S. dollar, yuan, Russian rubble) would be more efficient than a single currency anchor however euro should be prominent in the basket. Such a change of anchor could positively contribute to reduction of transaction costs, diversification of external risk, rise of mutual trade exchanges between Iran and the EMU or the EU and consequent economic growth of trade partners. The paper contributes to the existing literature by comprehensive methodological approach how to identify an appropriate anchor currency.
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Ghaemi Asl, Mahdi, and Muhammad Mahdi Rashidi. "Dynamic diversification benefits of Sukuk and conventional bonds for the financial performance of MENA region companies: empirical evidence from COVID-19 pandemic period." Journal of Islamic Accounting and Business Research 12, no. 7 (August 4, 2021): 979–99. http://dx.doi.org/10.1108/jiabr-09-2020-0306.
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Purpose This study aims to investigate the spillover between the Middle East and North Africa (MENA) stock index and several security indices, including Sukuk and conventional bond, and ultimately compare the hedge effectiveness of Sukuk and conventional bond. Design/methodology/approach The study uses VAR (1)-asymmetric Baba, Engle, Kraft and Kroner-multivariate generalized autoregressive conditional heteroskedasticity (1,1) model to analyze the volatility and shock and asymmetric shock spillover between Sukuk index and several bond indices in the MENA region including, Bond, All Bond, High Yield Bond and Bond and Sukuk and MENA stock market index and ultimately compare the hedging capabilities of Sukuk and conventional bonds by calculating the optimal portfolio weights for securities indices and stock portfolios and hedge effectiveness of security indices. Findings Results indicate that there is no shock, volatility and asymmetric shock spillover between the Sukuk index and MENA stock index, implying that Sukuk indices behave independently from MENA stock indices; however, there is shock and asymmetric shock spillover between MENA stock indices and security indices that include conventional bonds. The result of optimal portfolio weights and corresponding hedge effectiveness indicate that Sukuk is the most significant asset among other security indices in diversifying and hedging stock MENA portfolios. Moreover, the hedge effectiveness of Sukuk shows persistent trends during both the normal and crisis periods. Practical implications The study suggests that MENA stock market investors and investment managers should add Sukuk instead of the conventional bond to their portfolio to hedge their portfolio against investment risks during both normal and crisis periods. Originality/value Although many studies compare many aspects of Sukuk and conventional bonds, this is the first study that compares the hedge effectiveness of Sukuk and conventional bond based on the time-varying optimal portfolio weights strategy.
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Kanwal, Memoona, and Hashim Khan. "Does carbon asset add value to clean energy market? Evidence from EU." Green Finance 3, no. 4 (2021): 495–507. http://dx.doi.org/10.3934/gf.2021023.
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<abstract> <p>This paper examines if clean energy stocks help investors in managing carbon risk. We use the price of the European Union Allowance (EUA) and European clean energy index (ERIX) for the three phases of the EU-Emission Trading Scheme. Analyzing the time-varying correlation and volatility of EUA stock and ERIX through generalized orthogonal GO-GARCH model, the empirical results reveal relative independence of the European renewable energy market from the carbon market providing diversification benefits and value addition by including carbon assets in clean energy stock portfolio. Furthermore, three portfolios with different weight allocation strategies reveal that the carbon asset provides risk and downside risk benefits when mixed with a clean energy stock portfolio. These results are useful for investors who enter the market for value maximization and the regulators striving to make strategies for managing carbon risk.</p> </abstract>
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Núñez-Mora, José Antonio, and Eduardo Sánchez-Ruenes. "Generalized Hyperbolic Distribution and Portfolio Efficiency in Energy and Stock Markets of BRIC Countries." International Journal of Financial Studies 8, no. 4 (October 28, 2020): 66. http://dx.doi.org/10.3390/ijfs8040066.
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Oil, also called black gold, is considered as the commodity which has the greatest impact on the world’s economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation, trade balance, exchange rate and some others. Likewise, the relationship of oil with the financial market has been deepened and is very interesting in the case of emergent economies such as Brazil, Russia, India and China (BRIC) countries. There are many studies and approaches to this topic, but few of them focus on seeking investment opportunities through the diversification of these variables and therefore creating efficient portfolios using other distribution from the norm. This research proposes the construction of diversified portfolios with the returns of the indexes and oil mixes of the BRIC countries modeled under a Normal Inverse Gaussian (NIG) distribution, which is a notable member of the Generalized Hyperbolic (GH) family, and analyzing the effect on investment, by the inclusion of each variable into the portfolio. An important property of the GH family is that the correlations matrix of the returns is obtained from estimation of the parameters of empirical distribution through maximum likelihood. The results show in an optimal configuration, that each instrument of India, China and Brazil, contributes to the portfolio efficiency, in contrast to the index and oil mix of Russia, that do not contribute significantly.
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Keffala, Mohamed Rochdi, and Amal Farjaoui. "The Effect of Using Securitization on the Stability and the Risk of Banks: Evidence From Emerging Countries." International Journal of Financial Research 11, no. 2 (March 16, 2020): 205. http://dx.doi.org/10.5430/ijfr.v11n2p205.
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The purpose of this study is to investigate whether securitization affect financial stability and risk of banks issued from emerging countries during the period 2007 to 2017.To reach this end we conduct dynamic panel data econometrics with Generalized Methods of Moments (GMM) system on 20 banks issued from emerging countries. The dependent variables are defined by “Bank Stability Index” (BSI) and “logarithm of z-score” and ratios of total risk and credit risk. The independent variables are split into variable of interest (securitization ratio), bank-specific variables (capital adequacy, profitability, on-balance sheet interest rate risk, financial margin, income diversification, liquidity and bank size) and country-specific variables (GDP and inflation).As major conclusion, we find that using securitization - by banks from emerging countries – enhances their financial stability and minimizes their total risk and credit risk.As a practical contribution to this work, we suggest that banks' decision-makers in emerging countries increase their use of securitization in order to benefit from its beneficial effect on their financial stability and risks.
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Liow, Kim Hiang, and Felix Schindler. "Linkages between office markets in Europe: a volatility spillover perspective." Journal of Property Investment & Finance 35, no. 1 (February 6, 2017): 3–25. http://dx.doi.org/10.1108/jpif-02-2016-0010.
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Purpose Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets with the objective of determining the degree of unconditional spillover between markets. Design/methodology/approach To examine volatility spillovers across the 16 office markets, the authors adopted the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) by measuring cross-office market volatility transmission in asset pricing through estimates of several “volatility spillover indices.” Findings Volatility spillovers are important and time-varying across the leading office markets, with cross-market volatility interaction being bi-directional and of relative endogenous nature for many markets. The London office market is the “volatility leader” and has exerted significant net volatility influence on the other markets. Additionally, the volatility spillovers between business cycle fluctuations and asset market cycle volatilities are linked across some European economies. Research limitations/implications Evidence of co-integration among the domestic volatility spillover cycles implies the presence of unobserved common shocks and might not be good news for international investors who pursue diversification strategies in European office real estate markets. Originality/value No previous study has addressed formally the measurement and assessment of the nature and intensity of volatility spillovers across direct office markets on such a broad range of European office markets. The relevance of the topic has been even increasing over the previous years as more and more investors seek for flexibility and participation in the investment process and asset management.
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Aftab, Muhammad, Rubi Ahmad, and Izlin Ismail. "Dynamics between currency and equity in Chinese markets." Chinese Management Studies 9, no. 3 (August 3, 2015): 333–54. http://dx.doi.org/10.1108/cms-07-2014-0120.
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Purpose – This study aims to examine the dynamics between exchange rate and equities contextualizing the current liberal currency regime in China. This investigation also extends the analysis to explore the potential important factors influencing the interactions between these two markets. After exchange rate reforms, currency issue has emerged as a new dimension in portfolio decisions and diversification strategies in Chinese equity markets. Design/methodology/approach – This research uses the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model proposed by Engle (2002) to explore the dynamic interactions between the currency and stock markets. Further, the paper uses regression analysis to explore the explanatory channels of the correlation. The sample comprises 1,265 listed companies over the period 2005-2012 with daily, weekly and monthly observations. To make analysis robust, the study also considers different exchange rates and equities belonging to different industries. Findings – The findings suggest that exchange rate and stock price are related negatively. This conduit increases during the financial crisis period. This association is more prominent at monthly frequency than that of daily and weekly frequencies, which may refer to the noise factor in the high-frequency data. For a portfolio diversification point of view, currency may be considered an alternative diversifier against equity in China. The results also suggest a weak influence of market forces on the association between the currency and stock markets. Originality/value – Much of the related past research is based on co-integration approaches and limited to the relationship between currency and equity markets without exploring the determining channels of this important connection. This study uses a more suitable approach to examine the topic and also investigates the determinants. Besides, previous studies take index data which may be poor to depict the overall market outlook. This paper proceeds with firm-level data which are more appropriate to expose the overall market outlook and investor behavior. This research also draws valuable implications.
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Aravind M. "FX Volatility Impact on Indian Stock Market: An Empirical Investigation." Vision: The Journal of Business Perspective 21, no. 3 (July 10, 2017): 284–94. http://dx.doi.org/10.1177/0972262917716760.
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Examining the interrelationship between currency market volatility and stock market volatility will create abundant trading opportunities to the investors irrespective of whether the return of one market is moving up or down. This research work intended to examine how the exchange rate volatility between Indian rupee and foreign currencies, such as US dollar, euro, Japanese yen and British pound, can influence the return and volatility of the Indian stock market. The research data extensively cover daily price observations of foreign currencies as well as Nifty index for 1500 days. The generalized autoregressive conditional heteroskedasticity (GARCH) is used for modelling foreign exchange (FX) rates volatility and its impact across Indian stock market. The mean equation of the model confirms that any appreciation in Indian rupee will lead to channelization of more funds towards stock market. Further, it is validated that the volatility shocks between the stock market and currency market are quite persistent. Besides the model also points that the volatility attributes are very strong between US dollar and Nifty. The Granger causality test wrap up with a finding that the volatility shocks of British pound have a causal relation with Nifty return. The result of this study will help the domestic as well as foreign investors in favour of portfolio diversification decisions. The study also spots that the policymakers can indirectly intervene into stock market through monitory policy measures.
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Abdmoulah, Walid. "Competition and financial institutions and markets development: a dynamic panel data analysis." Journal of Financial Economic Policy 13, no. 5 (March 1, 2021): 539–64. http://dx.doi.org/10.1108/jfep-05-2020-0106.
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Purpose This study aims to shed new light on the nexus between market competition and financial development (FD), using the new FD index developed by the IMF, covering financial institutions and markets access, depth and efficiency. Design/methodology/approach The author uses panel data from 140 countries over 2000–2014 period and a dynamic generalized method of moments (GMM) model, along with a sensitivity analysis over 2008 financial crisis. Findings Strong evidence of the positive impact of market competition, as measured by Boone index, on financial institutions and markets development is found, whereas banks concentration has a damaging effect on FD. Commonly used Lerner index is found to be irrelevant. Interestingly, none of the competition indexes in this study affects financial institutions returns, which hold even over 2008 financial crisis, likely at the expense of depth and access in developing countries. Institutions, as proxied by control of corruption, have broader positive impact on FD, particularly on financial markets. These findings have important implications for developing countries keen to foster the development of their financial system. Practical implications Policymakers should take into consideration that FI are unlikely to undertake deep improvements in terms of credit allocation depth and inclusion on a volunteer basis, unless constrained by regulations. When promoting bank competition, it is recommended to diversify methods targeting market competition, notably by promoting financial business diversification and intermediary efficiency, and tackling collusion arrangements or interest groups influence. Second, it is important to support households and small and medium enterprises’ access to finance. Third, it is highly recommended to promote good institutions given their overall beneficial role in promoting the financial system as a whole, notably financial markets. Originality/value To the best of the author’s knowledge, this study is the first to fully use the new IMF Financial Development index. It covers financial institutions and markets access, depth and efficiency, whereas most of previous findings focus on access to credit or cost of credit. Besides, the study uses a larger panel data from 140 countries over 2000–2014 period and a dynamic GMM estimator, along with a sensitivity analysis over (2007–2009) crisis. By exploring the impact of three different competition indicators, namely, Boone, Lerner and banks concentration indexes, the study responds to the concerns regarding the limitations of each of them.
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Ghosh, Amit. "Do real estate loans reflect regional banking and economic conditions?" Journal of Financial Economic Policy 8, no. 1 (April 4, 2016): 37–63. http://dx.doi.org/10.1108/jfep-09-2015-0050.
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Purpose Using state-level data, the purpose of this paper is to examine state banking-industry specific as well as region economic determinants of real estate lending of commercial banks across all 51 states spanning the period 1966-2014. Design/methodology/approach Using both fixed-effects and dynamic-generalized method of moments (GMM) estimation techniques the study compares the sensitivity of different categories of real estate loans to regional banking and economic conditions. Finally, it provides a comparative perspective by comparing the results for real estate loans with other categories of loans given out by banks. Findings Greater capitalization, liquidity and overhead costs reduce real estate lending, while banks diversification and the size of the banking industry in each state increase such lending. Moreover, real estate loans are found to be procyclical to state economic cycles with a rise in state real gross domestic product (GDP) growth, increase in state housing price index (HPI) and decline in both inflation and unemployment rates, increasing real estate loans. Within disaggregated loan types, construction and land development and single-family residential loans are most responsive to state banking and economic conditions. Originality/value The recent financial turmoil is to a large extent attributable to excessive risk-taking by banks, particularly in terms of real estate lending. Hence, it is of paramount importance to empirically address the various determinants of real estate lending. With most banks restricting their operations in either one or a few states only, real estate lending in any given state may be more sensitive to regional banking and economic conditions than national aggregates. The present study is the first of its type to perform such an analysis.
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Abegunde, Victor O., Melusi Sibanda, and Ajuruchukwu Obi. "Determinants of the Adoption of Climate-Smart Agricultural Practices by Small-Scale Farming Households in King Cetshwayo District Municipality, South Africa." Sustainability 12, no. 1 (December 25, 2019): 195. http://dx.doi.org/10.3390/su12010195.
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Agriculture, particularly small-scale farming, is both a contributor to greenhouse gas (GHG) emissions and a victim of the effects of climate change. Climate-smart agriculture (CSA) offers a unique opportunity to adapt to the effects of climate change while at the same time mitigating GHG emissions. The low response to the adoption of CSA among small-scale farmers raises questions as to the factors influencing its adoption in the small-scale farming system. With the aid of a close-ended questionnaire, structured interviews were conducted and formed the basis on which data were generated from 327 small-scale farmers selected through random sampling. Descriptive statistics, Composite Score Index and a Generalized Ordered Logit Regression (gologit) model were employed for the analysis. The majority (56.6%) of the sampled farmers fell in the medium category of users of CSA practices, while the lowest proportion (17.7%) of the sampled farmers fell in the high category. The use of organic manure, crop rotation and crop diversification were the most popular CSA practices among the sampled farmers. Educational status, farm income, farming experience, size of farmland, contact with agricultural extension, exposure to media, agricultural production activity, membership of an agricultural association or group and the perception of the impact of climate change were found to be statistically significant and positively correlated with the level of CSA adoption. Furthermore, off-farm income and distance of farm to homestead were statistically significant but negatively correlated with the CSA level of adoption. This paper argues that climate change-related education through improved extension contact and exposure to mass media can strengthen integrated farm activities that bolster farm income. Additionally, farmer associations or groups should be given adequate attention to facilitate CSA adoption as a means to climate change mitigation and resilience.
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Bolshunov, V., L. Riabushka, and I. Bielova. "ANALYSIS OF BUSINESS LENDING PROBLEMS IN UKRAINE." Vìsnik Sumsʹkogo deržavnogo unìversitetu, no. 4 (2019): 62–72. http://dx.doi.org/10.21272/1817-9215.2019.4-8.
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The paper considers and analyzes the reasons for the decline in lending in Ukraine. Bank business lending in Ukraine is characterized by high cost; the world's worst quality loans. Moreover, the low profitability (and even loss) of most businesses leads to a small number of creditworthy businesses. It is determined that for the first time in the history of observation, lending in UAH equivalent decreased in 2019. And the results of the calculations revealed that the strengthening of the hryvnia makes only half of the impact. Another factor is the decline in new lending. Based on the materials of banks' balance sheets and the content of their sites, the banks were identified where the lending decreased most significantly. The lending conditions are clearly less attractive than in banks where lending is increasing. A study of the data of the Bank of International Settlements showed that among the 43 countries of the world, as of 01.04.2019, the leaders in the growth of business lending are countries that show high economic growth, that is, mainly, emerging market economies. The paper hypothesizes that there is a positive effect of non-financial banking lending on economic innovation (measured through the Global Innovation Index), which is statistically confirmed. Also there was found a causal relationship between the fact a significant increase in business loans and a change in the country's Doing Business rating. For example, reducing credit indicators in the country by 8-18% per year lowers the ease of doing business by 4-6 positions. In this study there were generalized steps to overcome the reasons for the decline in lending in Ukraine and the desirable actions of bank employees in such conditions (sufficient diversification of loans by industry, active use of scenario analysis of customer business development, etc.). This made it clear that without significant involvement of the state, significant shifts in the area of business lending cannot be expected. Keywords: credit, non-financial sector, business lending, bank, enterprise, risk.
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Hiang Liow, Kim. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages." Journal of Property Investment & Finance 32, no. 6 (August 26, 2014): 610–41. http://dx.doi.org/10.1108/jpif-06-2014-0039.
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Purpose – The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging markets and two developed markets of the USA and Japan over the period from January 1999 through December 2013. Design/methodology/approach – First, the author employ the DCC methodology proposed by Engle (2002) to examine the time-varying nature in return co-movements among the public property markets. Second, the author appeal to the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) to investigate the volatility spillover effects across the real estate markets. Finally, the spillover framework is able to combine with recent developments in time series econometrics to provide a comprehensive analysis of the dynamic volatility co-movements regionally and globally. The author also examine whether there are volatility spillover regimes, as well as explore the relationship between the volatility spillover cycles and the correlation spillover cycles. Findings – Results indicate moderate return co-movements and volatility spillover effects within and across the GC region. Cross-market volatility spillovers are bidirectional with the highest spillovers occur during the global financial crisis (GFC) period. Comparatively, the Chinese public property market's volatility is more exogenous and less influenced by other markets. The volatility spillover effects are subject to regime switching with two structural breaks detected for the five sub-groups of markets examined. There is evidence of significant dependence between the volatility spillover cycles across stock and public real estate, due to the presence of unobserved common shocks. Research limitations/implications – Because international investors incorporate into their portfolio allocation not only the long-term price relationship but also the short-term market volatility interaction and return correlation structure, the results of this study can shed more light on the extent to which investors can benefit from regional and international diversification in the long run and short-term within and across the GC securitized property sector, with Asian emerging market and global developed markets of Japan and USA. Although it is beyond the scope of this paper, it would be interesting to examine how the two co-movement measures (volatility spillovers and correlation spillovers) can be combined in optimal covariance forecasting in global investing that includes stock and public real estate markets. Originality/value – This is one of very few papers that comprehensively analyze the dynamic return correlations and conditional volatility spillover effects among the three GC public property markets, as well as with their selected emerging and developed partners over the last decade and during the GFC period, which is the main contribution of the study. The specific contribution is to characterize and measure cross-public real estate market volatility transmission in asset pricing through estimates of several conditional “volatility spillover” indices. In this case, a volatility spillover index is defined as share of total return variability in one public real estate market attributable to volatility surprises in another public real estate market.
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Karpenko, Kateryna, and Serhiy Gulevsky. "Educational Function of Documentary Television Series: Philosophical Understanding." Filosofiya osvity. Philosophy of Education 25, no. 2 (July 3, 2020): 273–86. http://dx.doi.org/10.31874/2309-1606-2019-25-2-15.
Повний текст джерелаАнотація:
The television series are viewed from the perspective of their potential educational role. It is noted that television as a whole, and separately its component – the television series, remain an influential form of media communication of our time, despite the diversification of the delivery channels of the media message and the rapid spread of digital devices.
In the complex hierarchy of TV formats, genres and niches, the television educational series, when it had being appear, became a hybrid documentary broadcast format. Considering the specificity of the video footage, television as a media is characterized by a high potential for reliable reflection of reality (another thing is how television channels operate on this potential). It is no wonder, then, that scientific documentary, as a genre, existed since the "pre-television" era.
The focus is on documentary television series that can directly perform educational functions. It is generalized the idea of creating of the television series that are specifically designed for educational purposes and which can be part of relevant educational programs. It is substantiated the expediency of using educational serials on special educational television channels that are already operating abroad and just beginning to develop in Ukraine. It is emphasized that in the broad sense of the word, all television series, even entertaining ones, have a certain educational function – through the translation of certain ideas, values and patterns of behavior embodied by the characters of these serials.
Typical popular documentary series of recent decades have been analyzed in terms of their specific educational functions. It is substantiated that documentary serials of the present day are able to relay information of a household, scientific and educational value, which should partially rehabilitate both television and television series for educational functions, which are guarded by the culture of any level of the organization.
Despite belonging to one television format, science and education serials communicate at the level of iconic and index characters, and more entertaining reality shows are saturated with symbolic signs. Because of their conventionality, uncertainty, to some extent, nebula, these shows widen the range of potential interpretations, so they can target a flexible and fragmented audience.
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Ginevičius, Romualdas, and Renata Auškalnytė. "THE EVALUATION OF A COMPANY'S STRATEGY BY THE ANSOFF'S PRODUCT MARKET MATRIX/ĮMONĖS STRATEGIJOS VERTINIMAS PAGAL I. ANSOFFO PRODUKTO-RINKOS MODELĮ." JOURNAL OF CIVIL ENGINEERING AND MANAGEMENT 7, no. 2 (April 30, 2001): 158–65. http://dx.doi.org/10.3846/13921525.2001.10531717.
Повний текст джерелаАнотація:
The I. Ansoff's theories take a considerable place in the evolution of the strategy research. In our opinion, his works are very important, because there is a clear boundary between the strategy formulation process and the strategy as the result of this process. On the grounds of Ansoff's point of view and his product market matrix, we suggest a methodology for determining the strategy applied by the company. I. Ansoff suggested four types of strategy: penetration, product development, market development and diversification (Fig 1). The diversification strategy is the most risky and distracts the company from its production and marketing. Therefore, the penetration, product development and market development will be evaluated. For the first stage of research the evaluation criteria of expansion strategies are chosen. There is not any common criterion of strategy. For evaluating the market penetration strategy the following criteria are chosen: costs of work, costs of resources, productivity of works, promotion costs on the native market. For evaluating the product development strategy the following criteria are used: number of new products, expenses of R&D, number of people who work in R&D, number of sold licences and number of bought licences. For market development strategy evaluating the following criteria are applied: number of new geographical markets, promotion costs on new geographical markets, number of people who work in the new markets. These criteria help to gather data for further research. Then the dynamics of criteria changes is calculated according to the formula: where I p is the meaning of criterion at the beginning of the analyzed period, I pa is the meaning of criterion at its end. This formula helps to calculate the generalized index of expansion strategies according to the formula In the second stage, the priorities of the groups of a company's products are calculated and a group of the product influencing the company's strategy is chosen. On the grounds of sale and export indexes, the product group is attributed to the product life cycle phase. The company's ability to apply strategy is calculated in the third stage of research. Therefore, we have chosen the coefficient K 0 describing the work of each unit, equipment, technology, employees and changes on the market. The coefficient is calculated by the formula Where T is is the time of product innovation, T r is the time of production and realization. The life cycle of product helps to calculate the coefficient K 0. Therefore, the time parameters of this cycle stages are chosen and calculated by regression analysis. Then the stochastic model of product life cycle is created (Fig 2). By a formula the coefficient is calculated and compared with K 0 of the most successful company on the market. Besides, the coefficient K 0 helps to calculate the boundaries of expansion strategy according to the formulas: In this article we have introduced a methodology of the strategy applied by the company. The methodology proves the fact that there is a connection between the strategy of a company and product life cycle. In addition, this methodology helps to plan the activity of a company in future.
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Allen, David E. "Cryptocurrencies, Diversification and the COVID-19 Pandemic." Journal of Risk and Financial Management 15, no. 3 (February 24, 2022): 103. http://dx.doi.org/10.3390/jrfm15030103.
Повний текст джерелаАнотація:
This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric and non-parametric techniques. These methods include linear standard metrics such as the application of ordinary least squares regression (OLS) and the Pearson, Spearman and Kendall’s tau measures of association. In addition, non-linear, non-parametric measures such as the Generalised Measure of Correlation (GMC) and non-parametric copula estimates are applied. The results across this range of measures are consistent. The metrics suggest that, whilst the shock of the COVID-19 pandemic does not appear to have increased the correlations between the cryptocurrency series, it appears to have increased the correlations between the returns on cryptocurrencies and those on the S&P500 Index. This suggests that investments in cryptocurrencies are not likely to offer key diversification strategies in times of crisis, on the basis of evidence provided by this crisis.
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Singh, Amit Kumar, Rajat Agarwal, and Rohit Kumar Shrivastav. "Returns and Volatility Spillover Between BSE SENSEX and BSE SME Stock Exchange of India." SEDME (Small Enterprises Development, Management & Extension Journal): A worldwide window on MSME Studies 48, no. 3 (September 2021): 257–71. http://dx.doi.org/10.1177/09708464211070054.
Повний текст джерелаАнотація:
Investigating the impact of volatility spillover among various markets has been the subject matter of numerous research. This study investigates the dynamic relationship between the Bombay Stock Exchange index (SENSEX) and the small and medium enterprises (SME) stock index (BSE SME) in India. The study uses univariate autoregressive conditional heteroskedasticity (ARCH)/generalised autoregressive conditional heteroskedasticity (GARCH) models to model the time-varying volatility of the BSE SME market and multivariate BEKK-GARCH analysis to model the volatility of the SENSEX and BSE SME Index considering the existence of some linkages between them. The study is based on the daily stock indices data ranging from 16 August 2012 to 31 March 2021. Furthermore, the study reveals statistically significant internal volatility spillovers in the SME stock market and the cross-volatility transmission between the two indices. It affirms statistically significant volatility and return spillover between the main market index, SENSEX and SME index, BSE SME. The findings of this research have important implications for the diversification process. It provides crucial signals to investors, portfolio managers and policymakers, especially when there has been much impetus and promotion from the Indian government and emerging foreign investments in India’s SMEs in recent years.
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Alhassan, Abdul Latif, and Nicholas Biekpe. "Pricing power in insurance markets: evidence from South Africa." International Journal of Bank Marketing 37, no. 5 (July 1, 2019): 1371–92. http://dx.doi.org/10.1108/ijbm-10-2018-0297.
Повний текст джерелаАнотація:
Purpose In less competitive markets, firms with market power are likely to exercise pricing power by setting output prices above their marginal cost, inducing welfare losses from resource misallocation, managerial inefficiency and market instability. In order to address such market imperfections, it is important for regulatory authorities to identify the sources of pricing power and devise policies to address their adverse effects. In this context, the purpose of this paper is to undertake an empirical analysis to identify the determinants of pricing power in the South African non-life insurance market. Design/methodology/approach The authors estimate the Lerner competitive index as the proxy for pricing power using annual data on 79 firms from 2007 to 2012. In the second stage, the paper employs panel regression techniques in the ordinary least squares, random effects and generalised method of moment’s estimations to examine the effect of insurer level characteristics on pricing power. Findings The authors find the market to be characterised by firms with high pricing power. Domestic-owned insurers are found to exercise high pricing power compared with foreign-owned insurers. The authors also identify size, cost efficiency, product line diversification, market concentration, leverage and reinsurance contracts as the significant predictors of pricing power in the market. Finally, through a quantile regression analysis, the authors find the effect of cost efficiency, business line diversification and reinsurance to be heterogeneous across different quantiles of pricing power. Practical implications The findings provide regulatory authorities with useful indicators in addressing anti-competitive behaviour in high pricing power to enhance the stability of the insurance market and improve consumer welfare and economic development. Originality/value To the best of the authors’ knowledge, this is first paper to examine the determinants of pricing power and competitive behaviour in an insurance market.
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Hasan, Md Bokhtiar, M. Kabir Hassan, Md Mamunur Rashid, Md Sumon Ali, and Md Naiem Hossain. "Calendar anomalies in the stock markets: conventional vs Islamic stock indices." Managerial Finance 48, no. 2 (November 4, 2021): 258–76. http://dx.doi.org/10.1108/mf-12-2020-0601.
Повний текст джерелаАнотація:
PurposeIn this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.Design/methodology/approachThe authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.FindingsThe study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.Practical implicationsThe study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.Originality/valueTo the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.
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Limi, Florence Blanche. "Effect of Financial Development on Energy Diversification in Sub-Saharan Africa." Journal of Energy Research and Reviews, April 10, 2020, 29–38. http://dx.doi.org/10.9734/jenrr/2020/v4i330129.
Повний текст джерелаАнотація:
The objective of this paper is to analyse the effect of financial development on energy diversification in 20 sub-Saharan African countries between 2000 and 2015. Our specificity is the calculation of the energy diversification index using the Shannon Wiener index (Stirling 1998-2000) and the estimation using the generalized moments method (GMM) on a dynamic panel. The results show that financial development positively and significantly affects the diversification of energy sources. Thus, these countries need to improve their financial systems to promote energy sources diversification to improve access to energy and improve the process of financing energy projects as a response to poverty reduction.
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Kılıç, Nagihan, Burhan Uluyol, and Kabir Hassan. "Diversification benefits of Turkey-based investors: evidence from top trading partners based on a multivariate-GARCH approach." Journal of Economic and Administrative Sciences, May 13, 2022. http://dx.doi.org/10.1108/jeas-11-2021-0226.
Повний текст джерелаАнотація:
PurposeThe aim of this study is to measure portfolio diversification benefits of the Turkey-based equity investors into top trading partner countries. Portfolio diversification benefits are analyzed from the viewpoint of two types of investors in Turkey: conventional equities investors and Islamic equity investors.Design/methodology/approachIn order to evaluate the time-varying correlations of the trading partner country's stock index returns with the Turkish stock index returns, the multivariate-generalized autoregressive conditional heteroskedasticity–dynamic conditional correlation (GARCH-DCC) is applied based on daily data covering 13 years' period between January 22, 2008 and January 22, 2021.FindingsThe results revealed that the US stock indices provide the most diversified benefit for both conventional and Islamic Turkey-based equity investors. In general, Islamic indices exhibit relatively lower correlation with trading partners than conventional indices. Turkey and Russia are recorded as the most volatile indices.Originality/valueThe diversification potential in trading partners for Turkey-based Islamic equity investors has not been studied yet. This study is to fill in this gap in the literature and to give fruitful insights to both conventional and Islamic investors.
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TAGHIZADEH-HESARY, FARHAD, ABDULRASHEED ZAKARI, NAOYUKI YOSHINO, and IRFAN KHAN. "LEVERAGING ON ENERGY SECURITY TO ALLEVIATE POVERTY IN ASIAN ECONOMIES." Singapore Economic Review, January 29, 2022, 1–28. http://dx.doi.org/10.1142/s0217590822440015.
Повний текст джерелаАнотація:
This study examines the role of energy security in poverty reduction in the 12 poorest Asian economies from 2000 to 2019. We postulated an energy security index using principal component analysis. We adopted the system generalized method of a moment technique to manage endogeneity and dynamism in the model. For robustness, we applied a panel-corrected standard error (PCSE). We found a negative relationship between energy security and poverty reduction, suggesting that energy security helps reduce poverty. We conclude that energy security promotes sustainable poverty alleviation and recommends feed-in tariffs, net metering, tax credits, and energy resource diversification away from fossil fuels.
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Yap, Ghialy, Shrabani Saha, Nelson O. Ndubisi, Saif S. Alsowaidi, and Ali S. Saleh. "Can tourism market diversification mitigate the adverse effects of a blockade on tourism? Evidence from Qatar." Tourism Economics, March 2, 2022, 135481662110707. http://dx.doi.org/10.1177/13548166211070742.
Повний текст джерелаАнотація:
This study examines the effects of an unfavorable political event or environmental hostility, namely, a blockade affecting international tourist inflows, and how tourism market diversification (TMD) could mitigate the adverse effects in the case of Qatar. To quantify these effects, we adopted a standard tourism-demand model and augmented it with a Herfindahl index (HI) for the geographical diversification of tourism exports, a dummy variable for the blockade, and an interaction variable. We further analyzed the tourist inflows from various regions using regional dummies and their interaction terms to capture the different impacts of the blockade on Qatar’s inbound tourists from 46 source countries between 2006 and 2019. This study applied a panel-based differenced system-generalized method-of-moments estimation to reveal several interesting findings. First, there was a significant positive individual effect of TMD on inbound tourism. Second, during the blockade, Qatar witnessed growing tourist inflows from Asia and Australasia, the Americas, and Europe. However, the incident inevitably placed severe constraints on some tourist flows to Qatar, primarily from Middle Eastern and African countries. Moreover, although the HI has a positive impact on tourism growth, our study revealed that the interaction terms between the HI and the blockade are only statistically significant in some cases, implying that a diversification strategy cannot completely mitigate the harmful effects of a blockade on tourism due to the severity of blockade effect. Nevertheless, a TMD strategy appears to be successful at the individual level.
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Markakkaran, Swathi, and Perumal Sridharan. "Impact of export diversification on economic growth: a system GMM approach." International Journal of Development Issues, May 19, 2022. http://dx.doi.org/10.1108/ijdi-10-2021-0210.
Повний текст джерелаАнотація:
Purpose This paper aims to empirically analyze the impact of export diversification on gross domestic product (GDP) per capita growth. Design/methodology/approach Using system generalized method of moments (GMM), a nonlinear model in a dynamic panel data growth framework for 101 countries between 1995 and 2019 was estimated. Findings Results evidenced that export concentration, measured by the Herfindahl–Hirschman Index (HHI), is negatively associated with GDP per capita growth after controlling for the effects of other explanatory variables. Further, the squared term of HHI used in the model to measure the nonlinear relationship between export concentration and economic growth indicated that the low-income and lower-middle-income countries benefited from export diversification. At the same time, high-income and upper-middle-income countries perform well with their export specialization. The results of the robustness check validate the findings of nonlinear estimation. Research limitations/implications The findings recommend that low-income and lower-middle-income countries diversify their export basket to improve economic growth by generating stable export earnings. Similarly, high-income and upper-middle-income countries should focus on measures to close the product lines which no longer belong to their factor endowments and rebalance their export basket. Originality/value This study contributes to the existing literature by using the system GMM method, which is most appropriate for a dynamic panel data growth framework with up-to-date data. Further, this study segregates a large panel into 43 concentrated and 58 diversified countries to test the robustness of the empirical results.
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Umar, Muhammad, and Muhammad Akhtar. "Financial inclusion and bank risk-taking nexus: evidence from China." China Finance Review International, October 26, 2021. http://dx.doi.org/10.1108/cfri-08-2021-0174.
Повний текст джерелаАнотація:
Purpose This study aims to investigate the relationship between financial inclusion and risk-taking by Chinese banks. Design/methodology/approach It uses the panel data from Chinese banks ranging from 2011 to 2019 and applies system generalized method of moments to measure coefficients. To get in-depth understanding of the relationship between above-mentioned variables, the analysis for commercial, cooperative, listed, unlisted, small and large banks has been done. Financial inclusion index has been measured based on demographic and geographic aspects by using the principal component analysis, and bank risk-taking has been proxied by z-score. Findings The findings reveal an inverse relationship between financial inclusion and bank risk-taking which implies that an increase in financial inclusion results in lesser risk for the banks, i.e. diversification hypothesis applies. However, the results for unlisted and large banks show a different story where an increase in financial inclusion results in higher bank risk and vice versa. Originality/value The present study offers several valid and convincing implications for consumers, policymakers and banking sector regulators.
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Chkili, Walid, and Manel Hamdi. "An artificial neural network augmented GARCH model for Islamic stock market volatility: Do asymmetry and long memory matter?" International Journal of Islamic and Middle Eastern Finance and Management ahead-of-print, ahead-of-print (May 12, 2021). http://dx.doi.org/10.1108/imefm-05-2019-0204.
Повний текст джерелаАнотація:
Purpose The purpose of this study is to investigate the volatility and forecast accuracy of the Islamic stock market for the period 1999–2017. This period is characterized by the occurrence of several economic and political events such as the September 11, 2001, terrorist attack and the 2007–2008 global financial crisis. Design/methodology/approach This study constructs a new hybrid generalized autoregressive conditional heteroskedasticity (GARCH)-type model based on an artificial neural network (ANN). This model is applied to the daily Dow Jones Islamic Market World Index during the period June 1999–January 2017. Findings The in-sample results show that the volatility of the Islamic stock market can be better described by the fractionally integrated asymmetric power ARCH (FIAPARCH) approach that takes into account asymmetry and long memory features. Considering the out-of-sample analysis, this paper has applied a hybrid forecasting model, which combines the FIAPARCH approach and the ANN. Empirical results reveal that the proposed hybrid model (FIAPARCH-ANN) outperforms all other single models such as GARCH, fractional integrated GARCH and FIAPARCH in terms of all performance criteria used in the study. Practical implications The results have some implications for Islamic investors, portfolio managers and policymakers. These implications are related to the optimal portfolio diversification decision, the hedging strategy choice and the risk management analysis. Originality/value The paper develops a new framework that combines an ANN and FIAPARCH model that introduces two important features of time series, namely, asymmetry and long memory.
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Akinbode, Sakiru, Jayeola Olabisi, Remilekun Adegbite, Timothy Aderemi, and Abimbola Alawode. "Corruption, Government Effectiveness and Human Development in Sub-Saharan Africa." Journal for the Advancement of Developing Economies, 2020, 16–34. http://dx.doi.org/10.32873/unl.dc.jade912.
Повний текст джерелаАнотація:
Aside economic factors causing low human development which have been extensively studied in literature, the implications of high level of corruption and weak governance prevalent in sub- Saharan African (SSA) countries have not been explored. The study assessed the effects of corruption, government effectiveness and their joint effect on human development in SSA. Data collected on thirty-seven (37) countries within the period of 2005 to 2018 were analyzed using system Generalized Method of Moment which was most suitable for the dataset. Results indicated that lagged human development index (P<0.01), government effectiveness (P<0.05), economic growth rate (P<0.1) and government health spending (P<0.1) had significant positive effect on human development while corruption and its interaction with government effectiveness did not. The results of Arrelano-Bond test of first order autocorrelation and second order autocorrelation of error term as well as the Sargan test and Hansen J test for validity of instrumental variables confirmed the validity of the model. The robustness of the estimation was established as the coefficient of the lagged dependent variable fell between the values in the fixed effect and pooled ordinary least square regression. The study recommended retraining and reorientation of government employees towards the mindset of effective service delivery and strong political will to achieve it, diversification of SSA economies alongside other growth stimulating policies such as reduced lending interest rate on loans meant for the real sector, improvement in the ease of doing business, improved funding of the health sector and proper monitoring of activities in the public service by concerned agencies to curb corruption where it is present.
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Liow, Kim Hiang, and Jeongseop Song. "Interdependence dynamics of corporate equity and public real estate markets." Journal of European Real Estate Research, October 28, 2021. http://dx.doi.org/10.1108/jerer-03-2021-0016.
Повний текст джерелаАнотація:
Purpose With growing interdependence between financial markets, the goal of this paper is to examine the dynamic interdependence between corporate equity and public real estate markets for the USA and a select group of seven European developed economies under a cross-country framework in crisis and boom market conditions. Dynamic interdependence is related to four measures of market linkages of “correlation, spillover, connectedness and causality”. Design/methodology/approach This study adopts a four-step investigation. The authors first estimate “time-varying variance–covariance spillovers and implied correlations” modeled with the bivariate BEKK-MGARCH methods. Second, the methods of Diebold and Yilmaz (2012, 2014) measure the conditional volatility spillover-connectedness effects across the corporate equity and public real estate markets based on a decomposition of the forecast error variance. Third, the authors implement nonlinear bivariate and multivariate causality tests to understand the lead-lag dynamics of the two asset markets' returns, volatilities and net directional volatility connectedness across different sample periods. Finally, the authors conclude the study by providing a portfolio hedging analysis. Findings The authors find that corporate equity and public real estate are moderately interdependent to the extent that their diversification benefits increases in the longer term. Moreover, the authors find increased corporate equity-public real estate causal dependence of the market groups of the European and international portfolios during the GFC and INTERCRISIS periods. The nonlinear causality test findings indicate that the joint information of asset markets can be a useful source of prediction for future innovation of market risks. Additionally, policy makers may also be able to employ conditional volatility and volatility connectedness as two other measures to manage market stability in the cross-asset market dependence during highly volatile periods. Research limitations/implications One major take away from this academic research is since international portfolio investors are not only concerned the long-term price relationship but also the correlation structure and volatility spillover-connectedness, the conditional BEKK modeling, generalized risk connectedness analysis and nonlinear causal dependence explorations from this multi-country study can shed fresh light on the nature of market interdependence and magnitude of volatility connectedness effects in a multi-portfolio framework. Practical implications The hedging performance analysis for portfolio diversification and risk management indicates that industrial stocks (“pure” equities) are valuable assets that can improve the hedging performance of a well-diversified corporate equity-public real estate portfolio during crisis periods. For policymakers, the findings provide important information about the nature of causal links and predictability during the crisis and asset-market boom periods. They can then equip with this information to manage and coordinate market stability in cross corporate equity-real estate relationships effectively. Originality/value Although traditional research has in general reported at least a moderate degree of relationship between the two asset markets, investors' knowledge of stock-public real estate market linkage is somewhat inadequate and confine mostly to broad stocks (i.e. stocks that are exposed to public real estate influence) in a single-country context. In this paper, the authors examine the interdependence dynamics in a multi-country (multi-portfolio) context. A clear understanding their changing market relationships in a multi-country context is of crucial importance for portfolio investors, financial institutions and policy makers. Moreover, since the authors use an orthogonal stock market index, the authors allow global investors to understand the potential diversification benefits from stock markets that are beyond the public real estate market under different market conditions.
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Çıkıryel, Burak, Hakan Aslan, and Mücahit Özdemir. "Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis." International Journal of Islamic and Middle Eastern Finance and Management ahead-of-print, ahead-of-print (August 9, 2021). http://dx.doi.org/10.1108/imefm-01-2020-0007.
Повний текст джерелаАнотація:
Purpose This paper aims to study the co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light of Brexit. Design/methodology/approach The authors use the following three recent methodologies: the multivariate generalised autoregressive conditional heteroskedastic-dynamic conditional correlations, continuous wavelet transforms and maximum overlap discrete wavelet transform. Dow Jones Islamic country-based indexes are used from 2 September 2013 to 31 December 2019. Findings There is a high correlation between the United Kingdom (UK) Islamic stock market return with the Canadian, USA, Malaysian and Indian implying lesser diversification benefits for the investors. However, the results tend to indicate that UK Islamic stock market investors who have allocated their investment in Sri Lanka, Kuwait, Japan and Turkey have enjoyed diversification benefits. Besides, there is a declining correlation between UK Islamic stock markets and other selected markets aftermath of Brexit. Turkey seems the most volatile stock over the period, appealing to risk-lover investors to gain from price changes. When the shock occurs in the financial sector, the volatility is mean-reverting faster than other markets in Sri Lanka. On the other hand, Malaysia appears to have the least volatility implying a stable financial sector. Research limitations/implications The results tend to shed light on effective portfolio diversification benefits in light of the recent shock (Brexit) between the UK Islamic stock index and other selected indexes that vary from country to country depending on investment horizons. This critically confirms the significance of heterogeneity in investment horizons and provides significant inferences for portfolio diversification strategies. Originality/value To the best of the authors’ knowledge, this study is the first study investigating the Brexit effect on Islamic stocks, guiding Shariah sensitive investors in their diversification strategies, providing information to investors to consider the implications of this incident on Islamic stocks for future shocks.
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Muhammad, Rislanudeen. "Analysis of Credit Risk, Intellectual Capital and Financial Performance of Listed Deposit Money Banks in Nigeria." Account and Financial Management Journal 06, no. 12 (December 4, 2021). http://dx.doi.org/10.47191/afmj/v6i12.01.
Повний текст джерелаАнотація:
This paper examined the effects of credit risk, intellectual capital as well as credit risk moderated by intellectual capital on financial performance of fifteen listed deposit money banks in Nigeria (DMBs) from 2007 to 2016. Data were sourced from annual reports of banks and Nigerian National Bureau of Statistics and analysed using Generalised Method of Moments (GMM). The study finds that credit risk index by loan loss ratio negatively affects financial performance of the sampled banks; while capital employed efficiency, loan loss provision moderated by intellectual capital, capital adequacy ratio, income and diversification have positive relationship with banks’ financial performance. Thus, the study recommends that banks should strengthen their credit risk management culture to ensure prompt repayment of loans. The banks should operate within the required capital adequacy ratio to serve as buffer against loan loss provisions provided by the Central Bank of Nigeria. A strong credit risk management culture should be embedded within intellectual capital structure of banks, where all persons at all levels appreciate and understand the banks’ risk management policies as well as strategies and incorporate same into decision-making and business processes.
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Matsungo, Tonderayi Mathew, and Prosper Chopera. "Effect of the COVID-19-induced lockdown on nutrition, health and lifestyle patterns among adults in Zimbabwe." BMJ Nutrition, Prevention & Health, September 12, 2020, bmjnph—2020–000124. http://dx.doi.org/10.1136/bmjnph-2020-000124.
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BackgroundThe COVID-19 is a global public health emergency resulting in lockdowns, associated diet and lifestyle changes and constrained public health delivery.ObjectiveTo investigate the impacts of the COVID-19-induced lockdown in Zimbabwe on nutrition, physical activity, alcohol consumption and smoking among Zimbabwean population aged ≥18 years.MethodsA cross-sectional online survey was conducted using a structured questionnaire to collect information on demographics (age, gender, place of residence, current employment), food system dimensions, diet and physical activity patterns, stress and anxiety, body image perceptions, lifestyle behaviours like smoking, alcohol intake, screen time and ease of access to health services.ResultsThe participants (n=507) were mostly women (63.0%) between the ages of 31 and 40 years (48.1%) and had tertiary education (91.3%). The lockdown resulted in increase in food prices (94.8%) and decrease in availability of nutritious foods (64%). Most (62.5%) of the participants reported a reduction in their physical activity levels. The prevalence of generalised anxiety disorder (GAD) was 40.4% and mostly affecting woman (63.5%, p=0.909), 31–40 years age group (49.6%, p=0.886). Based on the Body Mass Index-based Silhouette Matching Test (BMI-SMT) 44.5% gained weight, 24.3% lost weight and 31.2% did not have weight change. The paired samples t-test showed that there was a significant increase in perceived body weight (p<0.001). More than half (59.6%) reported having difficulties accessing medicinal drugs and 37.8% growth monitoring services.ConclusionsThe lockdown period was associated with increase in food prices, decrease in dietary diversification, elevated GAD symptoms, disrupted diet and consumption patterns. There were low levels of physical activity and perceived weight gained during the lockdown period, thus increasing the risk of overweight and obesity. Further studies incorporating participants of different socioeconomic status are warranted to get more conclusive results.