Research

20 pages, 794 KiB

Open AccessArticle

Does Herding Bias Drive the Firm Value? Evidence from the Chinese Equity Market

by Sayyed Sadaqat Hussain Shah, Muhammad Asif Khan, Natanya Meyer, Daniel F. Meyer and Judit Oláh

Sustainability 2019, 11(20), 5583; https://doi.org/10.3390/su11205583 - 10 Oct 2019

Cited by 15 | Viewed by 3097

Equity markets play a pivotal role in the sustainability of developing countries, such as China. The literature on the detection of herding biases is confined to the aggregate level (firms, sector/industry and market). The present study adds to the behavioral finance literature by [...] Read more.

Equity markets play a pivotal role in the sustainability of developing countries, such as China. The literature on the detection of herding biases is confined to the aggregate level (firms, sector/industry and market). The present study adds to the behavioral finance literature by addressing the surprisingly unnoticed phenomena of the behavioral impact of herding bias on firm value (FV) at the firm level, using the sample of A-Shares listed firms at the Shanghai and Shenzhen Stock Exchanges (SSE and SZSE) under panel fixed effect specification. Initially, we detect the existence of investors and managers herding (IHR and MHR) biases at firm-level, and later, we examine their impact (distinct and interactive) upon the FV. The empirical results document the presence of IHR and MHR bias at market, sector and firm-level in both equity markets, which potentially drive the FV, while the impact is more pronounced during the extreme trading period. The findings are robust under different time intervals, and industry classification, therefore, offers useful policy implications to understand the behavioral dynamics of investors and managers. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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19 pages, 1068 KiB

Open AccessArticle

Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany

by David E. Allen and Michael McAleer

Sustainability 2019, 11(19), 5181; https://doi.org/10.3390/su11195181 - 21 Sep 2019

Cited by 2 | Viewed by 10366

Abstract

This paper features an analysis of President Trump’s two State of the Union addresses, which are analysed by means of various data mining techniques, including sentiment analysis. The intention is to explore the contents and sentiments of the messages contained, the degree to [...] Read more.

This paper features an analysis of President Trump’s two State of the Union addresses, which are analysed by means of various data mining techniques, including sentiment analysis. The intention is to explore the contents and sentiments of the messages contained, the degree to which they differ, and their potential implications for the national mood and state of the economy. We also apply Zipf and Mandelbrot’s power law to assess the degree to which they differ from common language patterns. To provide a contrast and some parallel context, analyses are also undertaken of President Obama’s last State of the Union address and Hitler’s 1933 Berlin Proclamation. The structure of these four political addresses is remarkably similar. The three US Presidential speeches are more positive emotionally than is Hitler’s relatively shorter address, which is characterised by a prevalence of negative emotions. Hitler’s speech deviates the most from common speech, but all three appear to target their audiences by use of non-complex speech. However, it should be said that the economic circumstances in contemporary America and Germany in the 1930s are vastly different. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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14 pages, 326 KiB

Open AccessArticle

A Sustainability-Oriented Enhanced Indexation Model with Regime Switching and Cardinality Constraint

by Zhiping Chen, Xinkai Zhuang and Jia Liu

Sustainability 2019, 11(15), 4055; https://doi.org/10.3390/su11154055 - 27 Jul 2019

Cited by 10 | Viewed by 2409

Abstract

Enhanced indexation is an active portfolio management strategy aimed to find a portfolio outperforming a market index. To ensure stable returns and to avoid extreme losses, a sensible enhanced indexation model should be sustainable, where the parameters of the model should be adjusted [...] Read more.

Enhanced indexation is an active portfolio management strategy aimed to find a portfolio outperforming a market index. To ensure stable returns and to avoid extreme losses, a sensible enhanced indexation model should be sustainable, where the parameters of the model should be adjusted adaptively according to the market environment. Hence, in this paper, we propose a novel sustainable regime-based cardinality constrained enhanced indexation (RCEI) model, where different benchmarks and cardinalities can be imposed under different market regimes. By using historical observations, the RCEI model is transformed into a deterministic optimization problem with an

ℓ_{0}

norm constraint. We design a partial penalty method coupled with the proximal alternating direction method of multipliers (ADMM) to solve the deterministic optimization problem. Numerical results in UK and US financial markets confirm the superb performance of the sustainability-oriented RCEI model and the efficiency of the algorithm. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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20 pages, 1711 KiB

Open AccessArticle

The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect

by Andy Wui-Wing Cheng, Nikolai Sheung-Chi Chow, David Kam-Hung Chui and Wing-Keung Wong

Sustainability 2019, 11(14), 3845; https://doi.org/10.3390/su11143845 - 15 Jul 2019

Cited by 16 | Viewed by 3730

Abstract

This study examines the sustainability of financial integration between China (represented by Shenzhen and Shanghai) stock markets and Hong Kong stock market over the period of pre and post launch of the Stock Connect Scheme. This paper aims to fill the gap in [...] Read more.

This study examines the sustainability of financial integration between China (represented by Shenzhen and Shanghai) stock markets and Hong Kong stock market over the period of pre and post launch of the Stock Connect Scheme. This paper aims to fill the gap in the financial literature by providing empirical research on the dynamics of the financial integration process, and examining the sustainability of financial integration among the three Chinese stock markets. We apply cointegration and both linear and nonlinear causalities to investigate whether the Shanghai–Hong Kong Stock Connect has any impact on both market capitalizations and market indices of Hong Kong, Shanghai, and Shenzhen markets. Through cointegration tests and linear Granger causality techniques, it was found that the stock markets from mainland China are increasingly influencing the Hong Kong stock market after the introduction of the Stock Connect Scheme; however, when using nonlinear Granger causality analysis for confirming China market dominance, the result shows an reverse relationship whereby the Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect Scheme. Overall, our findings support the view that the Shanghai–Hong Kong Stock Connect has a significant impact on both market capitalizations and market indices of the Hong Kong, Shanghai, and Shenzhen markets, but Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect Scheme. The change in share premium difference between mainland China’s domestic A-share markets and Hong Kong’s H-share market could change investors’ appetites or sentiments. Further research includes examining whether there is any functional relationship including nonlinear relationship and studying the dynamic drivers of the relationships. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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12 pages, 1882 KiB

Open AccessArticle

Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector

by Rangan Gupta, Zhihui Lv and Wing-Keung Wong

Sustainability 2019, 11(10), 2776; https://doi.org/10.3390/su11102776 - 15 May 2019

Cited by 20 | Viewed by 3420

Abstract

Unlike the existing literature, which primarily studies the impact of only monetary policy shocks on real estate investment trusts (REITs), this paper develops a change-point vector autoregressive (VAR) model and then analyzes, for the first time, regime-specific impact of demand, supply, monetary policy, [...] Read more.

Unlike the existing literature, which primarily studies the impact of only monetary policy shocks on real estate investment trusts (REITs), this paper develops a change-point vector autoregressive (VAR) model and then analyzes, for the first time, regime-specific impact of demand, supply, monetary policy, and spread yield shocks, identified using sign-restrictions, on US REITs returns. The model first isolates four major macroeconomic regimes in the US since the 1970s and discloses important changes to the statistical properties of REITs returns and its responses to the identified shocks. A variance decomposition analysis revealed aggregate supply shocks to have dominated in the early part of the sample period, and monetary policy and spread shocks at the end. Our results imply that ignoring other possible shocks in the model is likely to lead to incorrect inferences, and over-reliance on (conventional) monetary policy in correcting for possible bubbles in the REITs sector, which it will fail to rectify, given the importance of other shocks driving the REITs sector. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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17 pages, 260 KiB

Open AccessArticle

Inclusive Financial Development and Multidimensional Poverty Reduction: An Empirical Assessment from Rural China

by Yanlin Yang and Chenyu Fu

Sustainability 2019, 11(7), 1900; https://doi.org/10.3390/su11071900 - 29 Mar 2019

Cited by 20 | Viewed by 4776

Abstract

Inclusive finance is often considered to be a critical element that makes growth inclusive, as access to finance can enable the poor to lift themselves from income poverty. However, can it play such a role when the poor are in multidimensional poverty? Why [...] Read more.

Inclusive finance is often considered to be a critical element that makes growth inclusive, as access to finance can enable the poor to lift themselves from income poverty. However, can it play such a role when the poor are in multidimensional poverty? Why does financial exclusion and poverty still exist in countries with vigorous development of inclusive finance? We build an evolutionary game model to analyze the equilibrium strategies of inclusive financial institutions and the poor in poverty reduction activities to find the answers. As there is a high incidence of poverty and serious financial exclusion in rural areas of China, we test the poverty reduction effectiveness of inclusive financial development on the poor with different labor capacity in rural China from 2010 to 2016 based on survey data of China Family Panel Studies and relevant statistics collected from 21 provinces. Our study finds there are differences in poverty alleviation effects of inclusive financial development among the poor with different labor capacities; if financial institutions target the service precisely to the working-age population in rural areas, they will achieve the dual goals of maintaining institutional sustainable development and alleviating poverty; And the development of inclusive finance in aspects of permeability, usability, and utility can significantly reduce multidimensional poverty. Therefore, to further improve the multidimensional poverty reduction performance and stimulate the endogenous motivation of the poor, it is necessary to strengthen the support for financial resources served to the working-age population, and to improve the development of rural inclusive finance in aspects of quality and affordability. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

12 pages, 1114 KiB

Open AccessArticle

Size, Internationalization, and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan

by Michael McAleer, Tamotsu Nakamura and Clinton Watkins

Sustainability 2019, 11(5), 1366; https://doi.org/10.3390/su11051366 - 05 Mar 2019

Cited by 16 | Viewed by 3552

Abstract

International and domestic rankings of academics, academic departments, faculties, schools and colleges, institutions of higher learning, states, regions, and countries are of academic and practical interest and importance to students, parents, academics, and private and public institutions. International and domestic rankings are typically [...] Read more.

International and domestic rankings of academics, academic departments, faculties, schools and colleges, institutions of higher learning, states, regions, and countries are of academic and practical interest and importance to students, parents, academics, and private and public institutions. International and domestic rankings are typically based on arbitrary methodologies and criteria. Evaluating how the rankings might be sensitive to different factors, as well as forecasting how they might change over time, requires a statistical analysis of the factors that affect the rankings. Accurate data on rankings and the associated factors are essential for a valid statistical analysis. In this respect, the Times Higher Education (THE) World University Rankings represent one of the three leading and most influential annual sources of international university rankings. Using recently released data for a single country, namely Japan, the paper evaluates the effects of size (specifically, the number of full-time-equivalent (FTE) students, or FTE (Size)) and internationalization (specifically, the percentage of international students, or IntStud) on academic rankings using THE data for 2017 and 2018 on 258 national, public (that is, prefectural or city), and private universities. The results show that both size and internationalization are statistically significant in explaining rankings for all universities, as well as separately for private and non-private (that is, national and public) universities, in Japan for 2017 and 2018. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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17 pages, 314 KiB

Open AccessArticle

Relationship among HIV/AIDS Prevalence, Human Capital, Good Governance, and Sustainable Development: Empirical Evidence from Sub-Saharan Africa

by Jamiu Adetola Odugbesan and Husam Rjoub

Sustainability 2019, 11(5), 1348; https://doi.org/10.3390/su11051348 - 04 Mar 2019

Cited by 22 | Viewed by 3895

Abstract

Sub-Saharan Africa is regarded as the region that accommodates about 75% of the world HIV/AIDS prevalence as of 2016. Research on the relationship between the epidemic and sustainable development is scant in this part of the world, as available literature is dominated by [...] Read more.

Sub-Saharan Africa is regarded as the region that accommodates about 75% of the world HIV/AIDS prevalence as of 2016. Research on the relationship between the epidemic and sustainable development is scant in this part of the world, as available literature is dominated by studies that focus on HIV and economic growth. Therefore, this study examines the relationship between sustainable development and HIV/AIDS prevalence, along with other determinants of sustainable development, such as good governance and human capital in 26 sub-Saharan Africa countries over a 27-year period from 1990—2016. The pooled mean group (PMG) estimator was employed for analysis after it was confirmed by the Hausman test for the estimation of the relationship among the variables. The results revealed a unidirectional long-run and significant relationship between HIV/AIDS prevalence and sustainable development, human capital and good governance, and human capital and sustainable development. Also, a bidirectional long-run relationship was found between good governance and HIV/AIDS prevalence. Estimation of subgroups provides a robustness check for our findings. Therefore, the paper gives new insight to the government of sub-Saharan Africa countries and major stakeholders about how to attain sustainable development in the region, while intensifying efforts on reducing HIV/AIDS prevalence, and at the same time ensuring effective good governance and human capital development. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

20 pages, 308 KiB

Open AccessArticle

The Impact of Market Condition and Policy Change on the Sustainability of Intra-Industry Information Diffusion in China

by Chi Dong, Hooi Hooi Lean, Zamri Ahmad and Wing-Keung Wong

Sustainability 2019, 11(4), 1037; https://doi.org/10.3390/su11041037 - 16 Feb 2019

Cited by 3 | Viewed by 2407

Abstract

Through an investigation into seven major industries in China’s stock market from 2002 to 2013, this study focuses on two main external determinants: market condition and policy change on intra-industry information diffusion. We employ both time-series and panel Vector Auto-regression (VAR) methods on [...] Read more.

Through an investigation into seven major industries in China’s stock market from 2002 to 2013, this study focuses on two main external determinants: market condition and policy change on intra-industry information diffusion. We employ both time-series and panel Vector Auto-regression (VAR) methods on a sample data of 1175 firms for the analysis. The investigation reveals that market conditions and policy changes affect the process of intra-industry information diffusion in China. The speed of intra-industry information diffusion in a down-market state is slower than an upmarket, especially when the evidence is more significant in the longer horizon of the market condition. Policy changes, especially the split-share structure reform, impede the process of intra-industry information diffusion. The investigation outcome also reveals that there is an increasing delay in intra-industry information diffusion over time in China’s stock market after 2005. However, because of the decreasing information volatility of intra-industry information diffusion, policy changes are useful to a certain extent. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

21 pages, 379 KiB

Open AccessArticle

Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities

by Yijuan Liang and Xiuchuan Xu

Sustainability 2019, 11(3), 815; https://doi.org/10.3390/su11030815 - 04 Feb 2019

Cited by 2 | Viewed by 2822

Abstract

Pricing multi-asset options has always been one of the key problems in financial engineering because of their high dimensionality and the low convergence rates of pricing algorithms. This paper studies a method to accelerate Monte Carlo (MC) simulations for pricing multi-asset options with [...] Read more.

Pricing multi-asset options has always been one of the key problems in financial engineering because of their high dimensionality and the low convergence rates of pricing algorithms. This paper studies a method to accelerate Monte Carlo (MC) simulations for pricing multi-asset options with stochastic volatilities. First, a conditional Monte Carlo (CMC) pricing formula is constructed to reduce the dimension and variance of the MC simulation. Then, an efficient martingale control variate (CV), based on the martingale representation theorem, is designed by selecting volatility parameters in the approximated option price for further variance reduction. Numerical tests illustrated the sensitivity of the CMC method to correlation coefficients and the effectiveness and robustness of our martingale CV method. The idea in this paper is also applicable for the valuation of other derivatives with stochastic volatility. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

15 pages, 475 KiB

Open AccessArticle

Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

by Riza Demirer, Rangan Gupta, Zhihui Lv and Wing-Keung Wong

Sustainability 2019, 11(2), 351; https://doi.org/10.3390/su11020351 - 11 Jan 2019

Cited by 23 | Viewed by 3279

Abstract

We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of [...] Read more.

We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion possesses incremental information regarding future stock return dynamics beyond that which can be explained by the state of the economy. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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16 pages, 278 KiB

Open AccessArticle

Information Disclosure Ranking, Industry Production Market Competition, and Mispricing: An Empirical Analysis

by Bing Wang, Si Xu, Kung-Cheng Ho, I-Ming Jiang and Hung-Yi Huang

Sustainability 2019, 11(1), 262; https://doi.org/10.3390/su11010262 - 07 Jan 2019

Cited by 5 | Viewed by 3368

Abstract

Improving the transparency of corporate information disclosure is a key principle of corporate governance in Taiwan. This study uses the information disclosure assessment system established by the information disclosure and transparency ranking system to explore whether information transparency can reduce the degree of [...] Read more.

Improving the transparency of corporate information disclosure is a key principle of corporate governance in Taiwan. This study uses the information disclosure assessment system established by the information disclosure and transparency ranking system to explore whether information transparency can reduce the degree of mispricing. The study uses the data of 10,686 listed companies in Taiwan for the period from 2005 to 2014. We find that a higher information disclosure ranking (IDR) of rated companies corresponds to a more substantial reduction in the degree of mispricing. Moreover, we discover that product market competition affects mispricing in that smaller degrees of mispricing reflect greater exclusivity; this suggests that lower industry transaction and competition costs lead to less substantial mispricing. Finally, we observe that the effect of information disclosure score on the degree of mispricing is lower in more exclusive industries. Furthermore, a regression process using instrumental variables reveals that IDRs have the significant effect of reducing the degree of mispricing. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

17 pages, 589 KiB

Open AccessArticle

Organizational Climate and Work Style: The Missing Links for Sustainability of Leadership and Satisfied Employees

by Massoud Moslehpour, Purevdulam Altantsetseg, Weiming Mou and Wing-Keung Wong

Sustainability 2019, 11(1), 125; https://doi.org/10.3390/su11010125 - 27 Dec 2018

Cited by 32 | Viewed by 10217

Abstract

People try to find the role of government in today’s modern society. Citizens of any country look forward to benefit from government services. Although the government implements laws and policies in all areas of society, people only know about it through government’s services. [...] Read more.

People try to find the role of government in today’s modern society. Citizens of any country look forward to benefit from government services. Although the government implements laws and policies in all areas of society, people only know about it through government’s services. We describe a good government’s service of organization, department, unit, and division that has an appropriate human strategy. Purpose: Purpose of this study is to investigate which factors have been missing that connects and maintains the sustainability between the leadership style and employees’ satisfaction in the government sector of Mongolia. More specifically, the purpose of the study is to investigate the missing link between leadership style and job satisfaction among Mongolian public sector employees. This study reiterates the mediating role of organizational climate (OC) and work style (WS) in a new proposed model. Methodology: The questionnaire is designed by a synthesis of existing constructs in current relevant literature. The research sample consisted of 143 officers who work in the primary and middle units of the territory and administration of Mongolia. Factor analysis, a reliability test, a collinearity test, and correlation analyses confirm the validity and reliability of the model. Multiple regression analysis, using Structural Equation Modeling (SEM), tests the hypotheses of the study. The sample of this study is chosen from the public organization. Mongolia is a developing country. This country needs good public leaders who can serve citizens. This study will be extended further. In addition, Mongolia really needs sufficient studies. Practical implications: This study has several important implications for studies related to organizational behavior and job satisfaction. Furthermore, the implications of these findings are beneficial to organizations aimed at improving policies and practices related to organizational behavior and human resource management. Regulators and supervisors of private or public organizations aiming to increase the level of their employees’ job satisfaction will also benefit from the findings. Therefore, this study’s new proposed model can be the basis of fundamental research to build a better human resource policy. Although the leadership style is an influential factor for job satisfaction, this study identifies the mediating missing links between the leadership style and employees’ job satisfaction. Findings: The findings of this research indicate that the organizational climate and work style complement and fully mediate the relationship between leadership style and job satisfaction. An appropriate leadership style is most effective when it matches the organizational climate as well as employees’ work style. Furthermore, a suitable organizational climate will increase the level of job satisfaction. If the work style of employees is respected and taken into consideration, the leadership style can find its way into job satisfaction. Originality/value: This study is the first to understand the motivators of job satisfaction in the government sector of Mongolia. This study suggests valuable findings for executive officers who are junior and primary unit’s officers of the register sector of government in Mongolia. The findings of this study help managers and executives in their effort develop and implement successful human resource strategies. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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13 pages, 240 KiB

Open AccessArticle

An Analysis of Gains to US Acquiring REIT Shareholders in Domestic and Cross-Border Mergers before and after the Subprime Mortgage Crisis

by Alan T. Wang, Yu-Hong Liu and Yu-Chen Chang

Sustainability 2018, 10(12), 4586; https://doi.org/10.3390/su10124586 - 04 Dec 2018

Viewed by 2426

Abstract

This paper examines the abnormal returns of acquiring real estate investment trusts (REITs) around the announcement of acquisitions before and after the subprime mortgage crisis. Based on 182 domestic and cross-border US REIT acquisition announcements from 2005 to 2010, the acquiring trusts experienced [...] Read more.

This paper examines the abnormal returns of acquiring real estate investment trusts (REITs) around the announcement of acquisitions before and after the subprime mortgage crisis. Based on 182 domestic and cross-border US REIT acquisition announcements from 2005 to 2010, the acquiring trusts experienced a 0.73% abnormal return, on average. When the sample was divided into pre-crisis, crisis, and after-crisis subsamples, the acquiring trusts enjoyed the largest abnormal returns (1.86%) for domestic acquisitions during the crisis period. Before the crisis, when the acquisition was cross-border, the target was private, or the transaction was cash-financed, the acquiring trust experienced larger abnormal returns. During the crisis period, the acquiring trust gained larger abnormal returns when the transaction value was larger. After the crisis period, the acquiring trust achieved less abnormal returns in cross-border mergers. For both pre- and after-crisis periods, the shareholders of the acquirer enjoyed larger abnormal returns when the mergers were cash-financed, regardless of whether the target was public or privately held. Neither the blockholder monitoring nor the signaling hypothesis can explain such value gains. The structural changes in the acquirer’s abnormal returns are possibly due to the increased risk aversion of the market participants following the crisis. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

16 pages, 486 KiB

Open AccessArticle

Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

by Batmunkh John Munkh-Ulzii, Michael McAleer, Massoud Moslehpour and Wing-Keung Wong

Sustainability 2018, 10(12), 4413; https://doi.org/10.3390/su10124413 - 26 Nov 2018

Cited by 21 | Viewed by 3726

Abstract

It has been argued in the literature that financial markets with a Confucian background tend to exhibit herding behaviour, or correlated behavioural patterns in individuals. This paper applies the return dispersion model to investigate financial herding behaviour by examining index returns from the [...] Read more.

It has been argued in the literature that financial markets with a Confucian background tend to exhibit herding behaviour, or correlated behavioural patterns in individuals. This paper applies the return dispersion model to investigate financial herding behaviour by examining index returns from the stock markets in China and Taiwan. The sample period is from 1 January 1999 to 31 December 2014, and the data were obtained from Thomson Reuters Datastream. Although the sample period finishes in 2014, the data are more than sufficient to test the three hypotheses relating to the stock markets in China and Taiwan, both of which have Confucian cultures. The empirical results demonstrate significant herding behaviour under both general and specified markets conditions, including bull and bear markets, and high-low trading volume states. This paper contributes to the herding literature by examining three different hypotheses regarding the stock markets in China and Taiwan, and showing that there is empirical support for these hypotheses. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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77 pages, 2169 KiB

Open AccessArticle

An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan

by Chia-Lin Chang, Shu-Han Hsu and Michael McAleer

Sustainability 2018, 10(11), 4307; https://doi.org/10.3390/su10114307 - 20 Nov 2018

Cited by 6 | Viewed by 3753

Abstract

The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan tourism market. [...] Read more.

The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan tourism market. To date, there has been relatively little empirical research conducted on this issue. Tourists are characterized as being involved in one of three types of tourism: group tourism (group-type), individual tourism (individual-type), and medical cosmetology (medical-type). We use the fundamental equation in tourism finance to examine the correlation that exists between the rate of change in the number of tourists and the rate of return on tourism. Second, we use the event study method to observe whether the numbers of tourists have changed abnormally before and after the occurrence of major events on both sides of the Strait. Three different types of conditional variance models, namely, the Generalized Autoregressive Conditional Heteroscedasticity, GARCH (1,1), Glosten, Jagannathan and Runkle, GJR (1,1) and Exponential GARCH, EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists. The empirical results concerning the major events affecting the changes in the numbers of tourists from China to Taiwan are economically significant, and confirm the types of tourists that are most likely to be affected by such major events. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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17 pages, 490 KiB

Open AccessArticle

Why Are Warrant Markets Sustained in Taiwan but Not in China?

by Wing-Keung Wong, Hooi Hooi Lean, Michael McAleer and Feng-Tse Tsai

Sustainability 2018, 10(10), 3748; https://doi.org/10.3390/su10103748 - 17 Oct 2018

Cited by 19 | Viewed by 3474

Abstract

This paper uses moment analysis, capital asset pricing model (CAPM) statistics, stochastic dominance (SD) test, and volume analysis to investigating why the market for Taiwan warrants can be sustained but not in China. Our moment analysis shows that buying in China warrants has [...] Read more.

This paper uses moment analysis, capital asset pricing model (CAPM) statistics, stochastic dominance (SD) test, and volume analysis to investigating why the market for Taiwan warrants can be sustained but not in China. Our moment analysis shows that buying in China warrants has a higher likelihood of losses. Our CAPM analysis shows that both the Sharpe ratio and Jensen index for warrants from the Chinese market are too negative. The Treynor index shows that Chinese warrants are highly volatile. Our SD analysis shows that risk averters prefer to invest in Chinese warrants compared to Taiwanese warrants, implying that the warrant issuers prefer to issue Taiwanese warrants than Chinese warrants. Using volume analysis, the Chinese warrant market is much more active, implying more speculative activities in China than in Taiwan. All the above could lead to China’s decision to close its warrant market. The findings in the paper are useful for academics, investors, and policy makers. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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17 pages, 405 KiB

Open AccessArticle

Financial Credit Risk Evaluation Based on Core Enterprise Supply Chains

by WeiMing Mou, Wing-Keung Wong and Michael McAleer

Sustainability 2018, 10(10), 3699; https://doi.org/10.3390/su10103699 - 15 Oct 2018

Cited by 40 | Viewed by 5115

Abstract

Supply chain finance has broken through traditional credit modes and advanced rapidly as a creative financial business discipline. Core enterprises have played a critical role in the credit enhancement of supply chain finance. Through the analysis of core enterprise credit risks in supply [...] Read more.

Supply chain finance has broken through traditional credit modes and advanced rapidly as a creative financial business discipline. Core enterprises have played a critical role in the credit enhancement of supply chain finance. Through the analysis of core enterprise credit risks in supply chain finance, by means of a ‘fuzzy analytical hierarchy process’ (FAHP), the paper constructs a supply chain financial credit risk evaluation system, making quantitative measurements and evaluation of core enterprise credit risk. This enables enterprises to take measures to control credit risk, thereby promoting the healthy development of supply chain finance. The examination of core enterprise supply chains suggests that a unified information file should be collected based on the core enterprise, including the operating conditions, asset status, industry status, credit record, effective information to the database, collecting related data upstream and downstream of the archives around the core enterprise, developing a data information system, electronic data information, and updating the database accurately using the latest information that might be available. Moreover, supply chain finance and modern information technology should be integrated to establish the sharing of information resources and realize the exchange of information flows, capital flows, and logistics between banks. This should reduce a variety of risks and improve the efficiency and effectiveness of supply chain finance. Full article

(This article belongs to the Special Issue Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications)

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