Robust Volatility Estimation with and Without the Drift Parameter

We find the closed form solution for the joint probability of the running maximum and the drawdown of the Brownian motion with a non-zero drift parameter at a random time that is exponentially distributed and independent of the Brownian motion. This characterization leads us to come up with a robust method of estimating volatility using open, high, low and closing prices. We rigorously show the independence of robust volatility estimators based on extreme values of asset prices relative to the standard robust volatility estimator based on closing price alone. We further prove that the proposed robust volatility ratio is unbiased with no drift parameter. Moreover, we find that the robust volatility ratio with a non-zero drift parameter has only a second order effect. We have shown that our proposed extreme value robust volatility estimator is 2–3 times relatively more efficient when compared to the classical robust volatility estimator based on Monte Carlo simulation experiment. On the empirical side, we test the proposed robust volatility ratio based on high and low prices on different asset classes like stock indices, exchange rate and precious metals.

     

Integrating Factors Influencing Consumers’ Halal Products Purchase: Application of Theory of Reasoned Action

ABSTRACT

The purpose of this research is to determine Muslim consumers’ purchase perceptions of Halal products in Pakistan. The research team has integrated different factors such as processing, Halal logo, ingredients, health consciousness, perceived value, food safety concern, and religious factor with Theory of Reasoned Action (TRA), and they investigated their influence on consumers’ attitudes and intentions to purchase Halal food products. A survey was conducted in Islamabad and Rawalpindi city, Pakistan. A total of 282 (56.4%) completed questionnaires were received from 500 respondents. Structural equation modeling technique was used to determine consumers’ purchase intention and behavior regarding Halal products. Except for health consciousness and Halal logo, all factors positively influence consumers’ attitude and purchase intention of Halal food products and, subsequently, their purchase behavior.     

Asian economic integration: a perspective on South Asia

This paper argues in favor of open regionalism and continent-based integration in Asia. These are the effective instruments of outward-oriented development. The enlargement of trading blocs into continent-based integration also serves as a countervailing power to stem the excesses of economic globalism. The case made in the paper shows the need for institutional changes for promoting economic development. Institutional changes along with open regionalism are essential to enhancing outward-oriented development in South Asia. Respectable progress has been made in these areas across the continents in general, and in Asia in particular (ASEAN, SAARC, APEC). Efforts on these initiatives must be redoubled as we start the 21st century.     

Understanding Non-Profit and For-Profit Social Marketing on Social Media: The Case of Anti-Texting While Driving

Previous studies suggest that consumers tend to infer more negative motives of for-profit sponsorship on social cause than to non-profits. The current study is aimed at identifying potential effective strategies for for-profit organizations to engage in social marketing efforts. Results showed that participants expressed lower texting while driving intentions when the message was initiated by a non-profit than a for-profit organization. For-profit messages were more likely to elicit desirable persuasive effects if their business offering was congruent with the social cause. Participants' intentions to interact with promotion messages on social media predicted their offline behavioral intentions regarding the promoted behaviors.     

Risk management within the cannabis industry: Building a framework for the cannabis industry

Thirty states and the District of Columbia have legalized the use of cannabis for medicinal and/or recreational use by either formally or informally de‐criminalizing its use. However, cannabis remains a Schedule 1 drug under the Federal Controlled Substances Act (21 U.S.C. Sections 801 through 812), leaving federal law in conflict with the laws of over half of the states. As a result, market participants in legal cannabis businesses face risks due to the industry's unique legal status within the United States. We examine the risks and challenges deemed by the cannabis industry as the top risks facing the industry's continued future growth and its sustainability. In addition to general risks inherent in a nascent industry, a legal cannabis business faces additional risks, such as risks in its banking and finance activity, placement of insurance, payment of taxes, and managing its supply chain. These legal businesses also face true legal risk from the possibility of being shut down by the federal government and seizure of assets and product under the CSA. This paper also examines whether the cannabis industry would benefit from a futures market to mitigate price risk.     

Globalisation and Obesity

The WHO has recently announced the global obesity epidemic. An economic model is developed in which globalisation factors generate health externalities and contribute to global obesity growth. The unbalanced panel data set contains the information for 79 countries over the period 1986–2008. Fixed‐effects panel data estimation and quantile regression analysis were used to analyse the data. The fixed‐effects panel model results indicate that the impact of trade openness and the globalisation social index (GSI) on global obesity rates is positive and significant, which is consistent with prior expectations, while surprisingly the foreign direct investments (FDI) has no impact on global obesity. While these results are interesting, they are hiding the effect of globalisation processes across the conditional distribution of the obesity variable. The use of quantile regression uncovered that the impact of the FDI and the GSI on low and average quantiles (low and average obesity rates in our sample) is positive and significant, while high quantiles are not affected. Since low and average quantiles (low and average obesity rates) are representative of the less‐ and medium‐developed countries, this result implies that social globalisation and FDI adversely impact obesity in less‐to‐medium developed countries. Trade openness generally has no impact on changes in obesity rates across quantiles.     

Cultural Paradox in Advertising: Evidence from Finland

This study examines whether the use of appeals in advertisements can be attributed to cultural practices or values. A convenience sample and a survey method were used to collect data from professionals and students living in Finland. Results show that in Finland cultural practices are more hierarchical and masculine than Hofstede's cultural values. Furthermore, advertisers use significantly more high power distance and masculinity appeals than low power distance and feminine appeals. These frequently used appeals are associated with cultural practices rather than cultural values. These findings suggest that due to the value paradox, cultural practices explain the reflection of culture in advertising.     

Estimating the Prevalence and Cost of Yield-Switching Fraud in the Federal Crop Insurance Program

Producers who manipulate and switch their reported crop-yields between separately insured units can increase their insurance indemnities substantially. A statistical model that identifies potential yield switching is developed. The unrestricted statistical model is singular and is identified by imposing a mixture of system-estimable and system-nonestimable restrictions. Lower bound estimates of yield-switching fraud incidence and costs are obtained by applying the model to 207,067 multiple unit producers who purchased crop insurance in 1998.