Pricing of time-varying liquidity risk in Finnish stock market: new evidence

Using two recently developed illiquidity measures, we estimate a conditional version of liquidity-adjusted capital asset pricing model (LCAPM), which allows for a time-varying decomposition of the total illiquidity premium into a level component and three risk components. The total estimated annualized illiquidity premium for the Finnish equities during 1997–2015 is 1.13–1.90% depending on the illiquidity measure. Of the three systematic liquidity risk components, risk arising from hedging of wealth shocks is the most important followed by commonality in liquidity risk, whereas flight to liquidity risk is not significantly priced in the Finnish stock market. Our results show that the liquidity risk is time varying, therefore the models estimating the risk-return relationship should address the issue of conditionality.     

Journal Rankings,Collaborative Research and Publication Strategies: Evidence from China

Abstract

The primary focus of our paper is on the potential for in-house journal ranking lists to create friction between international collaborating researchers due to differences in how particular journals are rated on different lists. Using a questionnaire distributed to Chinese accounting researchers, we identify a number of potential friction points between Chinese and UK researchers. We find that almost all of our Chinese respondents use their own school's in-house ranking list as the primary or exclusive reference point for assessing journal quality, and 73% of respondents acknowledge that this has caused problems when working with scholars from other universities because of differences in how their institutions rank journals.     

Green Consumerism and Ecolabelling: A Strategic Behavioural Model

The ethos of “green” marketing is to affect tastes and perceptions so that those individuals for whom the attribute of environmental‐friendliness is significant can signal this preference by choosing the “green” alternative. This paper presents a strategic behavioural model of interactions between two agents, a firm and consumer, under conditions of incomplete information. The outcome of the model is that, unless some restrictive and (arguably) unrealistic conditions apply, some proportion of “green” marketing campaigns will be misleading; “green” marketing is not restricted to “green” products, and “green” consumers only adapt their purchasing habits some of the time. Ecolabelling schemes can be used as a means of ameliorating this inefficiency in information‐transfer. Whether state intervention to make ecolabelling mandatory for “green” products is welfare‐improving depends on the balance between the deadweight losses from the process and the gains in terms of facilitating the expression of “green” preferences.     

The Balance-of-Payments Constraint and Growth Rate Differences Among African and East Asian Economies

The balance-of-payments constrained growth rate model postulates that the balance of payments position of a country is the main constraint on economic growth, because it imposes a limit on demand to which supply can adapt. This paper applies the model to a sample of African and Asian countries aiming at explaining growth rate differences among these countries by quantifying the individual and combined contributions of export growth, capital flows and changes in the terms of trade in each country’s case. The results obtained give support to the argument that, in contrast to Asian countries, the low growth rates in African countries are explained by low export expansion relative to the imports required for the processes of growth and development. This poor performance of African countries is attributed to the low magnitudes of their dynamic Harrod foreign trade multipliers, which are determined by the respective income elasticities of demand for exports and imports. It is asserted that the low dynamic Harrod foreign trade multipliers of African countries are direct products of their excessive dependency on the exportation of primary products. — Le modèle de taux de croissance contrariés par la balance des paiements postule que la position de la balance des paiements constitue le principal obstacle à la croissance économique d’un pays, dans la mesure où elle impose une limite à la demande à laquelle l’offre pourrait s’adapter. Le présent article applique ce modèle à un échantillon de pays africains et asiatiques afin d’expliquer les différences de taux de croissance entre ces pays, en quantifiant la contribution individuelle et collective de facteurs tels que la croissane des exportations, les flux de capitaux et la variation des termes de l’échange dans chaque pays. Les résultats obtenus confortent l’argument selon lequel, contrairement à ce qui se passe dans les pays asiatiques, la modicité des taux de croissance dans les des pays africains s’explique par la faible expansion des exportations par rapport aux importations nécessaires pour assurer le processus de croissance et de développement. Cette performance médiocre des économies africaines est imputée à l’insuffisance de leur multiplicateur dynamique du commerce extérieur de Harrod, qui est déterminé par leurs élasticités-revenu de la demande d’exportations et d’importations. Cette insuffisance est elle-même une conséquence directe de la dépendance excessive de ces pays à l’égard des exportations de produits de base.     

Long-Term Synthetic Puts

We present the possibility of replicating the performance of a long-term put, which is not available in the financial markets, by a set of other traded financial assets. First, a benchmark portfolio is formed out of one share of stock and one put on the stock with a certain exercise price and a long time until maturity. The general form of a portfolio, consisting of shares of stock, bonds, and options on the stock, is discussed, which is expected to perform like the benchmark portfolio. Then a class of these synthetic puts is examined to determine which type of synthetic put may dominate the others.     

Developing the Islamic Financial Services sector in Italy: An institutional theory perspective

The growth of the Islamic Financial Services (IFS) sector has received much attention recently due to the resilience demonstrated by the sector during the financial crisis. While IFS continue to grow rapidly in much of Asia, there has been limited institutional support for the development of the sector in Europe, which has historically been slow to realize the sector’s potential. Italy is one such country in Europe that has a growing Muslim population but has yet to develop the IFS sector. Using the institutional theory perspective, we highlight the role the Italian government can play in developing the regulative elements that facilitate the establishment of the IFS sector, and the introduction of Islamic financial products in the country. We propose that a developed IFS sector in Italy would help attract investment from countries in the Middle East and North African region, and would also facilitate the financial inclusion of the Muslim population in the domestic market.     

Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification

This paper empirically examines the relationship between different classes of mutual funds, measures of investors’ expectations and business cycle movements in the BRICS markets over the 1996Q1-2017Q3 period. Applying the Panel Vector Autoregressive (PVAR) model in a Generalized Method of Moments (GMM) setting, the results suggest a strong causal relationship between mutual fund flows and measures of investors’ future expectations. In particular, fund flows are forward-looking and assist in forecasting real economic conditions. Moreover, investors choose to invest in riskier funds when economic conditions are good, while they prefer safer options in poor economic situations. These findings have important implications for international diversification.     

Evaluating interpretable machine learning predictions for cryptocurrencies

This study explores various machine learning and deep learning applications on financial data modelling, analysis and prediction processes. The main focus is to test the prediction accuracy of cryptocurrency hourly returns and to explore, analyse and showcase the various interpretability features of the ML models. The study considers the six most dominant cryptocurrencies in the market: Bitcoin, Ethereum, Binance Coin, Cardano, Ripple and Litecoin. The experimental settings explore the formation of the corresponding datasets from technical, fundamental and statistical analysis. The paper compares various existing and enhanced algorithms and explains their results, features and limitations. The algorithms include decision trees, random forests and ensemble methods, SVM, neural networks, single and multiple features N-BEATS, ARIMA and Google AutoML. From experimental results, we see that predicting cryptocurrency returns is possible. However, prediction algorithms may not generalise for different assets and markets over long periods. There is no clear winner that satisfies all requirements, and the main choice of algorithm will be tied to the user needs and provided resources.     

Influence of Experiences on Memories,Satisfaction and Behavioral Intentions: A Study of Creative Tourism

To date, few empirical studies have focused on the constituents of creative tourists’ experience and its consequences. This study aims to bridge this research gap by examining the effect of creative tourists’ experience on their memories, satisfaction, and behavioral intentions. Data were collected from 296 creative tourists, selected through purposive sampling, at selected resort hotels in the Malaysian states of Terengganu and Kedah. The results show that creative-tourist experience is a second-order factor with five dimensions, namely escape and recognition, peace of mind, unique involvement, interactivity, and learning. The results of structural equation modeling show that creative tourists’ experience is a good predictor of their memories, satisfaction, and behavioral intentions. The proposed model and findings can greatly help researchers and practitioners understand the concept of creative-tourist experience and its complex relationships with their memories, satisfaction, and behavioral intentions.