Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market

Many studies show that the use of technical analysis can generate excess returns. We test the “CRISMA” technical trading rule introduced by [Pruitt and White J. Portfolio Managt. Spring, 1988, 55–58] on global equity indices and common stocks in Hong Kong. Out study shows that no excess returns could be found in indices except those in Asia. This validates the claims that the Asian stock markets are not as efficient as other stock markets and hence can be exploited by technical analysis. How does CRISMA perform on common stocks in Hong Kong? Generally speaking, CRISMA does not fair better than the buy and hold strategy. Further analysis reveals excess returns for stocks with very large turnover. This is consistent with other recent research on CRISMA conducted on US and UK stock markets. We also amend part of the original CRISMA rules to yield better performance: shrinking the moving average window sizes can increase both the number of trade signals and the excess returns. Therefore CRISMA can be made to work with some judicious choice of parameters, depending on the turnover.     

TIME IS OF THE ESSENCE: THE IDEA OF THE COROLLARY OF THE COASE THEOREM AND A POSSIBLE APPLICATION

Extant theories on the application of the Coase Theorem to the development market have focused on the effects of zoning on the environment or upon property prices. As an original contribution to the Coasian research on the interface between the development market and the statutory planning machinery, this article seeks to develop a Coasian proposition informed by what has been called the corollary of the Coase Theorem, which allows for an empirical examination of the impact of property prices on decisions to use resources under different institutional arrangements. Our proposition is that the procedural steps taken to consume resources are not contingent on property prices unless the associated transaction costs are positive or property rights ambiguous.     

Estimation of the manufactured export supply function from developing countries

Zusammenfassung Sch?tzung der Exportangebotsfunktion für Industrieerzeugnisse aus Entwicklungsl?ndern. — In dieser Arbeit werden zun?chst einige Schw?chen früherer empirischer Untersuchungen der Bestimmungsgründe für Industrieexporte aus Entwicklungsl?ndern diskutiert. Dann wird eine alternative Spezifikation angeboten, für die die relevanten Parameter mit Daten für Südkorea gesch?tzt werden. Der Ansatz besteht darin, j?hrliche Zeitreihen für 1963–71 und Querschnittsdaten für neun Industrien zu vereinigen. Die Ergebnisse der Studie zeigen, da\ das Verhalten der Koeffizienten für den effektiven Wechselkurs und die Kapazit?tsausnutzung uneinheitlich ist, w?hrend die gesch?tzten Koeffizienten für die Produktionskapazit?t, die Preise nichtgehandelter Güter und die verz?gerten endogenen Variablen durchweg das erwartete Vorzeichen haben und hoch signifikant sind, was darauf hindeutet, da\ diese drei Faktoren vermutlich die wichtigeren Determinanten des Exportangebots in Südkorea sind. Deshalb scheinen die Exporte mehr durch interne Angebotsfaktoren wie Produktionskapazit?t und die Preise nichtgehandelter Güter beschr?nkt zu sein als durch die Rentabilit?t des Exports.

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Résumé L’estimation d’une function d’offre des exportations manufacturières des pays en voie de développement. — Cet article premièrement discute quelques défauts des études empiriques recentes sur les déterminants des exportations manufacturières des pays en voie de développement. Puis, l’article offre une spécification alternative et des données ensemble avec des estimations empiriques des paramètres importants pour le cas de la Corée de Sud. L’approche dans cet article est de grouper les séries chronologiques annuelles (1963–71) et les données transversales (sur 9 industries). Les résultats de l’étude présente indiquent que la performance du coéfficient du taux de change effectif et du taux d’utilisation de capacité est mélangée, pendant que les coéfficients estimés de la capacité de productivité des prix des biens pas commercés, et de la variable endogène retardée ont le signe attendu en entier et sont fortement significatifs en indiquant que ces trois facteurs sont probablement les déterminants plus importants de l’offre d’exportation dans la Corée de Sud. C’est pourquoi les exportations apparaissent d’être plus restreintes par des facteurs d’offre internes comme la capacité de produire et les prix des biens pas commercés que par la profitabilité d’exporter.

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Resumen Estimación de una función de oferta de exportación de manufacturas des países en desarrollo. — Este artículo discute primeramente diversas limitaciones de estudios empíricos anteriores sobre los determinantes de exportaciones manufactureras de pa’ises en desarrollo. En seguida, el artículo presenta una especificación alternativa y datos junto con estimaciones empíricas de los parámetros relevantes para el caso de Corea del Sur. El planteamiento de este artículo es el de combinar series de tiempo anuales (1963–71) con datos de corte transversal (a través de 9 industrias). Los resultados del presente estudio indican, que el desempe?o del coeficiente de la tasa de cambio efectiva y de la tasa de capacidad utilizada es mezclado, mientras que los coeficientes estimados para la capacidad productiva, precios para los productos no comerciables, y variable endógena retarda son consistentemente del signo esperado y altamente significativos, indicando que estos tres factores son probablemente los determinantes más importantes de la oferta de exportación de Corea del Sur. De tal manera, las exportaciones parecen estar m’as constre?idas por factores de oferta interna, tales como la capacidad para producir y los precios de los bienes no comerciables, que por la rentabilidad de las exportaciones.

     

Contagion: Understanding How It Spreads

Much of the current debate on reforming the international financialarchitecture is aimed at reducing the risks of contagion—bestdefined as a significant increase in cross-market linkages aftera shock to an individual country (or group of countries). Thisdefinition highlights the importance of other links throughwhich shocks are normally transmitted, including trade and finance.During times of crisis, the ways in which shocks are transmitteddo seem to differ, and these differences appear to be important.Empirical work has helped to identify the types of links andother macroeconomic conditions that can make a country vulnerableto contagion during crisis periods, although less is known aboutthe importance of microeconomic considerations and institutionalfactors in propagating shocks. Empirical research has helpedto identify those countries that are at risk of contagion aswell as some, albeit quite general, policy interventions thatcan reduce risks.      

Traveller-Generated Contents for Destination Image Formation: Mainland China Travellers to Taiwan as a Case Study

This study examines destination image (DI) formation through user-generated web contents. Recently, web contents developed by peers have become one of the most popular information sources for travel planning purposes. After conducting a content analysis and text mining of a sample of 1033 blog articles (2009–2013), this study found that attraction to images of activities and positive/negative impressions with five categories (attraction, shopping, food and beverage, accommodation and transportation) form travellers’ DI. The study results suggest that traveller-generated web contents can be especially useful for DI analyses in marketing and management. This study also highlights the importance of understanding DI formation from traveller-generated contents and the challenges for those in tourism marketing to narrow the gap.     

Extrapolation Errors in IPOs

We demonstrate that relatively high revenue growth prior to an initial public offering (IPO) is associated with high IPO prices and poor returns. In particular, low‐growth IPO returns, ?1% on a three‐year annualized basis compared to ?12% (equal‐weighted) or ?29% (value‐weighted) for high‐growth new issues. There is no evidence that the performance differentials reflect risk premia. Rather, low‐growth firms’ returns are more stable over time. Finally, while analysts’ forecasts are upwardly biased for all firms, the magnitude of this bias is greatest for firms with rapid pre‐IPO revenue growth. Overall, these results are consistent with the extrapolation errors model suggested by Lakonishok, Shleifer, and Vishny (1994).     

Structural change in the U.S. import prices of manufactures

Zusammenfassung Strukturbruch in der Gleichung für die amerikanischen Importpreise von Industrieerzeugnissen. — In den achtziger Jahren hat der Wechselkurs des US-Dollar stark geschwankt, aber im allgemeinen scheinen diese starken Wechselkursbewegungen einen geringeren Einflu\ auf die amerikanischen Importpreise gehabt zu haben als in der vorangegangenen Dekade. Um dieses r?tselhafte Ph?nomen zu verstehen, wurde die Parameter-Stabilit?t in der Gleichung für die US-Importpreise getestet. Die Ergebnisse deuten darauf hin, da\ das absolute Glied in dieser Gleichung in der Zeit von 1980 bis 1982 betr?chtlich kleiner geworden ist; allerdings ist dessen quantitativer Effekt ziemlich gering, um dieses merkwürdige Ph?nomen erkl?ren zu k?nnen. Die Ergebnisse zeigen auch, da\ die Sensitivit?t der amerikanischen Importpreise in bezug auf Wechselkurs?nderungen in der Periode von 1982 bis 1984 erheblich nachgelassen hat. Dieser Befund k?nnte bei aller Vorsicht die erh?hte Starrheit der amerikanischen Importpreise in den achtziger Jahren erkl?ren helfen.

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Résumé Le changement structurel dans l’équation des prix d’importations américainespour les produits manufacturés. — Le cours du change pour le dollar américain a dramatiquement fluctué pendant les années 1980, mais ces grands mouvements des changes semblent avoir causé moins d’effet sur les prix d’importations américaines qu’ils avaient causé pendant la décade précédente. Pour mieux comprendre ce phénomène on a fait des tests sur la stabilité des paramètres de la fonction des prix d’importations américaines. Les résultats montrent que la constante d’une telle fonction a été baissée d’une manière significante pendant la période de 1980 à 1982. Pourtant, son effet quantitative n’est pas assez important pour expliquer le phénomène. Les résultats indiquent aussi que la sensitivité des prix d’importations américaines aux variations du cours du change semble avoir diminué substantiellement pendant la période de 1982 à 1984. Ce résultat, même s’il est regardé comme une tentative, semble être utile pour expliquer la rigidité augmentée des prix d’importations américaines pendant les années 1980.

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Resumen Cambio estructural en los precios de manufacturas importadas en los EE UU. — La tasa de cambio del dólar EE UU ha fluctuado dramáticamente en los a?os ochenta, pero generalmente se considera que estos importantes movimientos del dólar EE UU han tenido menor impacto sobre los precios de importación en los EE UU que los que tuvieron lugar en la década anterior. Con la intención de explicar este fenómeno se llevaron a cabo tests de estabilidad de parámetros de los precios de importación de los EE UU. Los resultados sugieren que el miembro constante de la ecuación de precios de importación de los EE UU se ha movido hacia abajo de manera significante en el periodo 1980-82. Sin embargo, su efecto cuantitativo es más bien pequeno en cuanto a su contribución a explicar el fenómeno. Los resultados también indican que la sensitividad de los precios de importación de los EE UU a movimientos de la tasa de cambio parece haber disminuído bastante durante el periodo 1982-84. Este resultado, a pesar de ser tentativo parecería ser util para explicar el aumento de rigidez de los precios de importación de los EE UU en la década del ochenta.

     

BANK FAILURE AND CONTAGION EFFECTS: EVIDENCE FROM HONG KONG

In this paper the influence of three Hong Kong bank failures on stock prices of the colony's banking industry is examined. As deposit insurance is nonexistent in Hong Kong, the world's fourth-largest financial center, an interesting environment is provided for testing contagion effects of bank failure on other healthy financial institutions. By examining contagion effects in an environment void of explicit deposit insurance, this study should provide interesting insights into the resiliency of modern-day financial markets. In turn, insights should also be provided into debates concerning the role and reform of deposit insurance and the rationale for regulation of the financial services industry in general. The results indicate that unexpected bank failure causes significant negative stock price reactions within the banking industry; yet, some banks are less affected than others.     

Profitable candlestick trading strategies—The evidence from a new perspective

This paper aims to investigate the profitability of two-day candlestick patterns by buying on bullish (bearish) patterns and holding until bearish (bullish) patterns occur. Our data set includes daily opening, high, low, and closing prices of component stocks in the Taiwan Top 50 Tracker Fund for the period from 29 October 2002 through 31 December 2008. We examine three bullish reversal patterns and three bearish reversal patterns. We find that three bullish reversal patterns are profitable in the Taiwan stock market. For robustness checks, we evaluate the applicability of our results to diverse market conditions, conduct an out-of-sample test and employ a bootstrap methodology.     

Does engagement in corporate social responsibility provide strategic insurance‐like effects?

Research summary : This study examines whether the stock and bond prices of firms engaging in corporate social responsibility (CSR) can benefit from insurance‐like effects during occurrences of negative events. Our results suggest that in the face of negative events, engagement in CSR on a continuous, long‐term basis provides insurance‐like effects on both the stock and bond prices of firms. Nevertheless, the effects are found to quickly disappear following the occurrence of a second, or subsequent, negative event. Although our results clearly indicate that firms need to allocate some of their available resources to long‐term strategic CSR activities, managers must also realize that in a crisis communication, they will probably be able to use their CSR claims on one occasion only. Managerial summary : The purpose of this article is to examine whether firms engaging in corporate social responsibility (CSR) can benefit from insurance‐like effects during occurrences of negative events. We find that on the occurrence of a negative event, long‐term CSR engagement does have insurance‐like effects. We also find that these insurance‐like effects may quickly disappear following the occurrence of a second negative event. Managers of firms with a long history of CSR activities need to realize that in a crisis communication, they can probably use their claims of adherence to CSR only once. Copyright © 2015 John Wiley & Sons, Ltd.