Technical analysis,spread trading,and data snooping control

This paper utilizes a large universe of 18,410 technical trading rules (TTRs) and adopts a technique that controls for false discoveries to evaluate the performance of frequently traded spreads using daily data over 1990–2016. For the first time, the paper applies an excessive out-of-sample analysis in different subperiods across all TTRs examined. For commodity spreads, the evidence of significant predictability appears much stronger compared to equity and currency spreads. Out-of-sample performance of portfolios of significant rules typically exceeds transaction cost estimates and generates a Sharpe ratio of 3.67 in 2016. In general, we reject previous studies’ evidence of a uniformly monotonic downward trend in the selection of predictive TTRs over 1990–2016.     

Illusory profitability of technical analysis in emerging foreign exchange markets

We conduct an extensive examination of the profitability of technical analysis in ten emerging foreign exchange markets. Studying 25,988 trading strategies for emerging foreign exchange markets, we find that the best rules can sometimes generate an annual mean excess return of more than 30%. Based on standard tests, we find hundreds to thousands of seemingly significant profitable strategies. However, almost all of these profits vanish once the data snooping bias is taken into account. Overall, we show that the profitability of technical analysis is illusory.     

The profitability of moving average trading rules in BRICS and emerging stock markets

Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies have highlighted that these tools can generate positive alphas when compared with a buy-and-hold strategy, we studied the main stocks of the BRICS and emerging markets. We considered the period from 2000 to 2015 and observed different combinations of moving average strategies and periods. The main results indicate that, for some countries, there is a combination of periods for moving averages producing better outcomes.     

The impact of individual investor trading on information asymmetry in the Korean stock market

This paper examines the impact of individual investor trading on information asymmetry in the market. In particular, we examine the relationship between the trading volume by individual investors and the corresponding bid-ask spread in the Korean stock market, where the majority of the trading activity is driven by individual investors and therefore information asymmetry can be evident. We find that high trading activity by individual investors increases the bid-ask spread in a short investment horizon, suggesting that individual investors, as uninformed and unsophisticated traders, amplify the degree of information asymmetry in the market through trading.     

Asymmetric positive feedback trading and stock pricing in China

Defining asymmetry of feedback trading (AFC) as the difference between buying-winners and selling-losers intensities, the paper investigates if AFC impacts stock pricing. We show that buying stocks with low AFC and selling stocks with high AFC makes significant positive returns after controlling traditional pricing factors. The return mainly comes from the long leg and cannot be simply attributed to either mispricing, liquidity, or risk premium. Further study shows that the negative impact of AFC on future stock return is reinforced with an increase in past returns, maximum daily return, relative valuation level, asset growth rate, or operating profit rate. As AFC represents retail trading intensity, the results imply that the inactiveness of retail investors may make price relative underreaction to good news and thus lead to positive expected stock return.     

Forecasting stock market returns: New technical indicators and two-step economic constraint method

The goal of our paper is to improve the accuracy of stock return forecasts by combining new technical indicators and a new two-step economic constraint forecasting model. Empirical results indicate the stock return forecasts generated by new technical indicators and new economic constraint forecasting model is statistically and economically significant both in-sample and out-of-sample prediction performance. In addition, the prediction performance of new technical indicators and new economic constraint forecasting model is robust for some extension and robustness analysis.     

Research on entropy generation strategy and its application in carbon trading market

The study seeks to provide a deeper insight and strategies into the carbon trading market, the internal mechanism, and the linkage mechanism for emission reduction in the carbon trading market right from its inception. The study differs from most prior research on carbon trading, as this current paper incorporates the carbon market with the dissipative structure theory. Based on the dissipative structure theory, this study adapts the entropy generation principle as the base for the carbon trading market. The study captures the following key dimensions: the change of carbon market value, the entropy generation principle of carbon quota trading process, and the replacement process involved in production factors in carbon trading. The study revealed that the entropy generation of the carbon trading market is mainly caused by the cost gradient formed as a result of the cost difference of emission reduction and the increase of production factor input required by economic development. Moreover, the study revealed clearly the dynamics of the entropy index and the carbon market emission reduction efficiency. Thus, the lower the entropy value of the carbon market, the higher the emission reduction efficiency.     

Financial,ecological and managerial impacts of emission trading schemes: the case of Lufthansa

Commencing in 2012, emissions from flights departing from or arriving at airports within the European Union (EU) will be covered under the EU emissions trading scheme (ETS). This research analyzes the financial and ecological impacts of the ETS for the Lufthansa Group using a simulation model built on the now‐fixed system design. The results show that while ecological impacts are modest in the first years after introduction, the ETS will result in much higher emission reductions in the medium and long term. These ecological benefits come at the expense of increased financial impacts. This paper argues that the ETS will have a variety of managerial implications at the company level in fields such as environmental monitoring, financial risk management and marketing. Copyright © 2010 John Wiley & Sons, Ltd and ERP Environment.     

Effects of time horizon and asset condition on the profitability of technical trading rules

In much of the literature, the debate over technical trading strategies has centered around the question of whether an actively managed portfolio, controlled by a technical indicator, can outperform a passively managed portfolio. Typically, the time horizon is considered to be years. Additionally, the trader is assumed to use a technical trading strategy that is independent of asset conditions. These assumptions may not correspond well with reality. Traders often have much shorter time horizons and may switch between rebalancing or trading strategies on the basis of perceived shifts in market condition. This paper presents a study of the profitability of technical trading rules as a function of asset state or condition. Several common technical trading strategies were run on 296 stocks over a 15 year period. Strategies were run with 1 month rolling time horizons, significantly shorter than those used in similar studies in the literature. Stocks were segmented based on volatility and volume, which allowed for the examination of a strategy’s performance in different asset conditions. Several strategies were demonstrated to have consistently better risk-to-reward ratios under specific asset conditions and short time horizons. This finding helps to explain why some practitioners implement technical trading strategies.     

Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies

This paper seeks to empirically determine whether feedback trading strategies result in stabilization or destabilization in the foreign exchange market and if such strategies are a distinctive characteristic of an emerging economy or they are a common element to both developed and emerging economies. These hypotheses are tested via the use of a feedback model augmented with a generalized autoregressive conditional heteroskedasticity (GARCH) process for modeling the errors. The results suggest presence of both positive and negative feedback trading and asymmetric behavior in both types of economies. Irrespective of the nature of feedback trading, presence of asymmetric behavior implies that market traders rely on central banks to intervene so they can realize short-term profits. Finally, in cases of a positive first-order autoregressive parameter presence of the bandwagon effect is implied, whereby past currency movements are followed by expectations of currency movements in the same direction.

证券民事赔偿新规及其对证券监管的影响

文章针对最高人民法院于2003年1月9日颁布的《关于审理证券市场因虚假陈诉引发的民事赔偿案件的若干规定》中关于案件受理前置条件的规定,进行了探讨,并认为虽然还存在有争议的地方,但却全面的影响了证券市场的监管。     

Procurement mechanisms and the emergence of new governance structures in the CEECs: evidence from the Bulgarian wine industry

During transition, Bulgaria witnessed the dismantling of communist agri-food supply channels and a weakening of contract enforcement mechanisms. Wineries have had to establish grape procurement and purchasing relationships with a more diverse set of growers and intermediaries. In an attempt to overcome the weaknesses of procurement via spot markets, they have sought more interdependent contractual forms that secure greater control over the quality of inputs and minimise the possibility of opportunistic behaviour. The desired option by wineries is complete backward integration but attempts to achieve this have been limited by fragmented land ownership, credit constraints and incomplete property rights.     

Hybrid governance and governance performance in industrial purchasing relationships

Hybrid governance arrangements (e.g. joint action, long-term contracting and vertical coordination) feature regularly as an effective response to inter-firm dependence in the literature of business-to-business relationships. However, current empirical work has paid little attention to whether such governance arrangements really do improve governance efficacy and reduce transaction costs. The present study focuses on the governance efficacy of vertical coordination in industrial business-to-business relationships. Building on transaction costs arguments, the author examines whether vertical coordination is an effective means for adapting to inter-firm dependence, realized as the substantial employment of specific assets.Empirical findings from a survey of 170 industrial supplier–buyer relationships demonstrate that when asset specificity reaches a certain level, greater vertical coordination reduces ex post transaction costs significantly. On the other hand, this efficacy pattern is modest or non-existent in relationships with low asset specificity.The research findings support the basic TCA assumption that the performance of hybrid governance arrangements is highly dependent on a situation of substantial inter-firm dependence with subsequent small-number conditions.     

通货膨胀对我国股市影响的实证分析

本文采用协整分析方法来分析通货膨胀对我国股市的影响,并建立模型进一步分析通货膨胀对我国股市的交易活动和流动性的长期和短期影响。     

The impact of monetary policy on stock market bubbles and trading behavior: Evidence from the lab

We investigate the effect of monetary policy on stock market bubbles and trading behavior in experimental asset markets. We introduce the possibility of investing in interest bearing bonds to the widely used laboratory asset market design of Smith et al. (1988). Treatment groups face a variable interest rate policy which depends on asset prices, while control groups are subjected to a constant interest rate. We observe a strong impact of our interest rate policy on liquidity in the stock market but only a small impact on bubbles. However, we find that announcing the possibility of reserve requirements significantly reduces bubbles.     

完善中国期货交易立法及监管的思考

期货交易的发展有赖于期货交易市场的发展成熟及其立法的完善。我国在20世纪90年代初期建立了期货交易市场,但期货立法方面仍存在尚待完善之处。本文通过分析中国的期货立法及监管现状,同时比照美国的期货交易立法特点和成就,提出中国期货交易立法与制度改革的建议措施。     

The effect of transaction costs, payment terms and power on the level of raw materials inventories

This paper proposes and tests an explanation for the level of raw materials inventories based on transaction cost economics theory and the role of power in a supply chain. According to this explanation, raw materials inventories are larger the higher a company's transaction costs and the lower its storage-related production and management costs. Factors that affect these costs are the company's vulnerability to opportunism, whether the input becomes more or less costly to store and manage as it moves through the supply chain, payment terms and the company's power in relation to its supplier. This explanation for the level of raw materials inventories was tested on a large sample of customer industries matched to their main supplier industries. Consistent with this theory, the empirical results show that companies hold larger raw materials inventories the more money their suppliers spend on research and development and the less important the customers are to their suppliers. These results are important because they indicate companies must consider a wider range of factors than previously thought necessary when establishing inventory policy.     

Network of companies: an analysis of market concentration in the Italian stock market

In this paper we propose an adjustment to the Herfindahl–Hirschman concentration index for explicitly considering the role of the topology of financial economic networks on market concentration. The case study of the Italian stock market serves for outlining the relevance of the shareholding network in the measurement of effective concentration. Moreover, we deepen the analysis of the network comparing network centrality measures, that are a well known method for understanding the relative relevance of network nodes. The correlations among them show their relation, and the fact that none of them can completely substitute the information contained in the size of companies. Such analysis constitutes the base for randomized experiments aiming at understanding to which extent the topology of this financial economic network is constraining the market concentration, so we derive and comment the results on the maximum value of HH \(_{i}\) under the scale-free constraint. We also show the fragility of the network under random rewiring, both unconstrained and constrained by the network topology.     

A Direct Comparison of the Learning Outcomes from Training Programs and Job Experiences in Malaysian Organizations

ABSTRACT

In organizational settings, employees learn mainly through performing their jobs and by attending training programs. Empirical evidences that compare on the types and extent of learning occur from these two methods, however, are lacking and thus worthwhile examining. Hence, a questionnaire-based survey was conducted among one hundred seventy-five employees from various firms in Malaysia. This paper reports findings from the survey which addresses two main research questions: (1) What are the differences and similarities in learning outcomes of job experiences and formal training programs? and (2) Which method is superior? The respondents were asked to rate, using a five-point scale, five learning outcomes attributable to formal training programs and job experiences: recognition, job knowledge, communication and interpersonal skills, job quantity and quality, and independence and flexibility. The mean rating shows communication and interpersonal skills as the first-ranked learning outcome from both methods. On the other hand, recognition was ranked the lowest. T-test results indicate a significant overall superiority of job experiences over formal training programs. These and other findings imply important considerations in designing job and training in organizations. This paper calls upon organizations as well as individual employees to re-examine their approaches to workplace learning in order to obtain a synergetic learning impact from both job experiences and formal training.     

Nonlinear mean reversion in the term structure of interest rates

The expectations hypothesis implies that the yield curve provides information on the future change in the short-term interest rate. However, transaction costs exist in the financial market, which prevent investors from realizing the arbitrage opportunity, when the arbitrage does not fully cover the transaction costs. The purpose of this paper is to assess the effect of transaction costs on the predictability of the term structure by using the threshold vector error correction model, which allows for the nonlinear adjustment to the long-run equilibrium relationship. A significant amount of threshold effect is found, and the adjustment coefficients are regime-dependent. The empirical result supports the nonlinear mean reversion in the term structure of interest rates.