Central bank responses to COVID-19

Business Economics - Central bank responses to COVID-19 have been extraordinary in speed, in size and in scope. Much easier monetary policy, massive liquidity provision, and targeted credit support...     

International portfolio diversification: US and Central European equity markets

This paper examines the short- and long-term relationships between the US stock market and three Central European markets. Low short-term correlations between these markets and the US are found. Application of the Johansen cointegration procedure indicates that there is no long-term relationship. The Granger-causality test does reveal a causality running from the Hungarian to the Polish market, but none with the US. Overall, the results suggest that US investors can obtain benefits from international diversification into these markets.     

Quality of China＇s agriculturai products improving

China＇s central bank asked the nation＇s lenders to increase loans for rural development as farmers and rural business still had limited access to financing.     

Decimalization,ETFs and futures pricing efficiency

This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange‐traded funds and E‐mini index futures. The empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex ante arbitrage profit, especially in the cases with higher transaction costs. Using the ordinary least squares and quantile regressions to control for the influences of changes in other market characteristics, it is found that the overall pricing efficiency has deteriorated in the post‐decimalization period. These results are consistent with the hypothesis that, due to the lowered market depth and increased execution risks, the introduction of decimalization has in general resulted in weakening the ability and the willingness of arbitrageurs to initiate arbitrage trades, which subsequently leads to a reduction in the general efficiency of the cash/futures pricing system. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:157–178, 2009     

非流通股与过度股权融资

In the Chinese stock market, the price of exchangeable stock is determined by the discounted future uncertain cash flow, while the price of non-circulating stock depends on per book value. In general, because investors holding non-circulating equity maintain the control power, corporate finance and investment decisions reflect their interests. The pricing mechanism of non-circulating stock violates the basic pricing principle of the capital market. Therefore, corporate finance decisions deviate from the NPV (net present value). As a result, excessive equity financing problems would occur in the listed companies. Translated from Shijie Jingji Wenyuan 世界经济文源 (World Economic Forum), 2004, (4): 41–50     

Central bank to continue loose monetary Policy during next 6 months

China will continue its relatively loose monetary policy during the latter half of the year to maintain the consistency and stability of macro economic policies, the People＇s Bank of China （PBOC）, the central bank, said on July 8.     

Securities Lending Activities in Mutual Funds and ETFs: Ethical Considerations

Securities lending has been a lucrative business for mutual funds and exchange-traded funds (ETFs) over the past decade. Unfortunately for investors, the sponsors of these funds have not been very transparent with the details of their securities lending programs, and consequently most investors in these funds are unaware of their exposure to the risks inherent in securities lending. Interestingly, most funds do not return the full profits from securities lending activities to their investors. In this paper, we examine and discuss the ethical considerations related to the securities lending activities of mutual funds and ETFs and offer a series of best practices that we believe will provide better transparency of these activities to fund investors.     

The Return‐Implied Volatility Relation for Commodity ETFs

We examine the return‐implied volatility relation by employing “commodity” option VIXs for the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We propose several potential reasons for these unusually weak results. Also, gold possesses an unusual positive contemporaneous return coefficient, which is consistent with a demand volatility skew rather than the typical investment skew. Moreover, the euro and gold are not asymmetric. We relate the results to trading strategies, algorithmic trading, and behavioral theories. An important conclusion of the study is that important differences exist regarding implied volatility for certain types of assets that have not yet been explained in the literature; namely, the results in this study concerning commodity ETFs versus stock indexes, plus previous research on stock indexes versus individual stocks, and the pricing of stock index options versus individual stock options. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:261–281, 2014     

Central banks' supervisory guidance on corporate governance and bank stability: Evidence from African countries

This paper focuses on the identification of the causal relationship between central banks' supervisory guidance and individual bank stability. We propose and test the hypothesis that this causal relationship is mediated by the degree to which banks comply with their central bank's corporate governance recommendations. Specifically, we exploit the fact that there is considerable cross-country heterogeneity in providing supervisory guidance. Our recursive two-equation system is equivalent to an endogenous treatment effect model in which the treatment is the provision of supervisory guidance. We find that institutional factors, in particular the legal family of origin, political stability, contract enforcement and strength of investor protection promote provision of supervisory guidance. If a central bank has published supervisory guidance, local banks show better internal governance and higher stability.     

Consumer-based brand equity (CBBE) and the role of social media communications: Qualitative findings from the Malaysian automotive industry

Previous studies on consumer-based brand equity (CBBE) have maintained that CBBE is a multidimensional construct which reflects both consumers’ perceptions and attitudes. However, only few of the extant CBBE models emanate from the context of automotive brands. As such, this present study employs a qualitative approach using a semi-structured face-to-face interview among 11 informants, to explore the concept of CBBE in the context of automotive brands. Also, this study explores the role of social media communications in developing CBBE for automotive brands. The findings of this research demonstrate that CBBE is a valid concept which reflects consumers’ perception and mindset towards their knowledge, which are reflected through brand awareness, hedonic brand image, functional brand image, and brand sustainability of automotive brands. Additionally, the marketing activities and communication contents on social media play an important role in improving the perception of automotive brands in consumers’ minds, hence the development of automotive CBBE. The theoretical implications of these research findings are that this study provides an insight into the feasibility of developing a specific CBBE model for automotive brands. Practically, this study presents insights for brand manager on the importance of developing CBBE through social media communications.     

Testing the Tracking Efficiency of Commodity Exchange Traded Funds (ETFs) across the Bearish and Bullish Market Regimes: Evidence from Indian Gold ETFs

Commodity exchange traded funds (ETFs) help investors gain exposure to the underlying commodity in digital form. The present article attempts to examine the performance characteristics of 12 gold ETFs in India across the bear and bull markets. ETFs’ sensitivity to their underlying asset (gold prices) is observed to be lower during the bearish market regime, and, as such, the tracking error is found to be higher during the bearish market regime. Further, volume is reported to bear a significant positive impact on the tracking ability of ETFs whereas volatility and pricing deviation are found to negatively impact the tracking ability of ETFs.     

Central bank measures in support of the financial sector in the EU and the United States

The extensive public sector measures in support of the fi nancial sector have been key to managing the fi nancial crisis that erupted in mid-2007 and intensifi ed after the bankruptcy of Lehman Brothers. This article looks into the measures taken by central banks to contain the impact of the crisis. This article reviews and compares the measures adopted by the Eurosystem, the Bank of England (BoE) and the Federal Reserve System (Fed). A complementary article, to appear in a subsequent issue, will deal with governments’ responses to the crisis.     

Surviving the transition: Central European bank executives’ view of environmental changes

Executives of ten large banks in three Central European transition economies were interviewed concerning their views of environmental changes. The study sought to identify environmental sectors that were important and uncertain for the bank executives. Central European bankers perceived customers, competitors, economic, and regulatory environmental sectors more uncertain than international and technological factors, sociocultural issues, and new entrants. We found that executives of banks with poor prior performance viewed environmental changes as threats rather than as opportunities.     

Decimalization,trading costs,and information transmission between ETFs and index futures

The impact of changes in trading costs, due to decimalization, on informed trading and speed of information transmission between exchange‐traded funds (ETFs) and their corresponding index futures is examined. ETFs began to trade in decimals on January 29, 2001, and index futures continued to trade in their original tick sizes. The focus is on whether the decrease in the minimum tick size of ETFs influences the relative performances of these two types of index instruments in the price‐discovery process. It is found that for ETFs, the trading activity increases, but the market depth drops significantly after decimalization. The spreads for ETFs generally decrease, but the adverse selection component of ETF spreads increases. Furthermore, after decimalization, ETFs start to lead index futures in the price‐discovery process and its share of information also increases. Although index futures still assume a dominant role in information discovery, the information content of the ETFs' prices improves significantly after decimalization. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:131–151, 2006     

Store equity: reformulation of store equity dimensions

ABSTRACT

With the growing importance of retailers and the realization that brands are among retailers’ most valuable assets, store equity has become a management priority. Store equity has been recognized as a key element that helps retailers build a sustainable competitive advantage. In this context, this study presents a conceptual model of store equity and identifies key dimensions that contribute to its formation. A comprehensive review of studies within the area of store equity was conducted to compare and analyze the dimensions of store equity as discussed in the existing literature. The findings show that store equity consists of two main dimensions: store awareness and store image, which comprises merchandise, atmosphere, and convenience. In addition, important areas for future research on store equity and related topics are highlighted.     

Franchisee-based brand equity and performance

This study focuses on the perceptions of franchisees and analyzes the influence of brand equity on franchisee performance. The factors that constitute brand equity are also assessed. Factor analysis was used to generate valid and reliable scales based on a sample of 205 Portuguese franchisee firms, and structural equation modeling methodology was then employed in the analysis. The results show franchisee-based brand equity (FBBE) to be a multivariate factor with strong influence on performance. This study contributes significantly to the literature by showing the perspective of franchisees toward franchising. It also has implications on the adequacy of corporate strategy in achieving performance.     

Customer satisfaction and brand equity

The study here examines the interaction between shareholder value and customer satisfaction, as well as the impact on a firm's brand equity. Customer satisfaction may have a positive effect on brand equity, except when managers show excessive customer orientation, in which case the effect is negative because of reductions in shareholder value. The empirical analysis uses incomplete panel data pertaining to 69 firms from 11 nations during the period 2002-2005 and supports the theoretical contentions. This result warns of the perverse effect on brand equity of implementing policies focused exclusively on satisfying customers at the expense of shareholders' interests.