ETF arbitrage: Intraday evidence

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, our correlation and error correction results suggest investors view them as close substitutes. Spreads increase just before arbitrage opportunities, consistent with a decrease in liquidity. Order imbalance increases as markets become more one-sided and spread changes become more volatile which suggests an increase in liquidity risk. The price deviations are followed by a tendency to quickly correct back towards parity.     

Characterisation and Diagnosis of Rural—Urban Interface Farming in the Tu Liem and Thanh Tri Districts of Hanoi City,Vietnam

A research project was carried out in two areas in the outskirts of Hanoi city using a combination of qualitative and quantitative methods. The objective was to study interactions among the vegetable farming systems and the peri-urban context within which they are situated. The farms studied were characterised as small-scale farms that use high inputs of soil amendments and pesticides for diversified crop rotation systems. The main source of irrigation water and nutrients for vegetable farming in southern Hanoi is wastewater from the To Lich River. In northern Hanoi, irrigation water is obtained directly from the Red River and nutrients are supplied through high fertiliser inputs. The concentrations of COD (144–287 mg l^?1), N-NH₄ ⁺ (1–25 mg l^?1), PO₄ ^3? (0.5–4 mg l^?1) and coliform (525 × 10³?28 × 10⁶ MPN 100 ml^?1) along the To Lich River was much higher than the limits specified in the Vietnamese standard for water used in agriculture. A higher Cu content in soil in Phuc Ly seems to be linked to the high input of chicken manure at the site. However, the contents of heavy metals in irrigation water, in vegetables and in the soil surface layer at the two sites were lower than the Vietnamese maximum permissible levels.     

Poverty identification: practice and policy implications in Vietnam

To identify poor households, the government of Vietnam applies a combination of proxy means tests and quick collection of income data. This paper examines how well the government's poverty identification reaches the really poor in Vietnam. It is found that there is a large difference between the poverty rate for provinces and districts reported by the government and the rates estimated using expenditure and income data from independent household surveys. There is also a large difference between the poverty status of households identified by local authorities and the poverty status identified by income or expenditure data. More than 50 per cent of the poor households identified by local authorities are not poor in terms of income or expenditure measures. A better identification approach would be to use only proxy means tests and not income data collected using the simple questionnaire.     

Interaction effects of dual organizational commitment on retention in international assignments: the case of Western expatriates in Vietnam

The purpose of this study is to examine the interaction effects of two commitment foci (parent company and local operation commitment) on a focal work behavior (retention in an international assignment). Accordingly, this study formulated and tested four hypotheses by using hierarchical regression, moderated regression analyses and plots of two-way interactions. The data were gathered from 471 Western expatriates working for the subsidiaries of multinational companies in Vietnam. The results confirmed that all components (affective, normative and continuance) of parent company commitment and local operation commitment positively predicted retention in international assignments; however, the retention was more driven by the parent company commitment. Besides, the relationships between two components (affective and continuance) of local operation commitment and retention were moderated by the corresponding components of parent company commitment. The findings improve the understanding of dual commitment's links to work behaviors in international business contexts. Moreover, as to the practical implication, multinational companies were recommended to be aware of the level of expatriate commitments to two foci in order to reduce the rate of premature return.     

Which covariates should be controlled in propensity score matching? Evidence from a simulation study

Propensity score matching is a widely‐used method to measure the effect of a treatment in social as well as medicine sciences. An important issue in propensity score matching is how to select conditioning variables in estimation of the propensity scores. It is commonly mentioned that variables which affect both program participation and outcomes are selected. Using Monte Carlo simulation, this paper shows that efficiency in estimation of the Average Treatment Effect on the Treated can be gained if all the available observed variables in the outcome equation are included in the estimation of propensity scores. This result still holds in the presence of non‐sampling errors in the observed control variables.     

The effects of listing changes between NASDAQ market segments

This study analyzes the effects of listing changes within NASDAQ market segments during the period of 1998 to 2005. We find that firms phased up from the NASDAQ Small Capital Market (SmallCap) to the NASDAQ National Market (NNM) experienced significant declines in bid-ask spreads, the volatility of returns, and the probability of informed trading, and firms that phased down from NNM to the SmallCap experienced decreases in bid-ask spreads, but insignificant changes in the volatility of returns and the probability of informed trading. We also estimate simultaneous equations models of bid-ask spreads, return volatility, and trading volume for both groups of firms. The results confirm that improved liquidity is associated with the listing changes for the phase-up firms. However, the simultaneous equations model suggests that the decreases in bid-ask spreads for the phase-down firms are caused by the changes in share prices.     

Drivers of firm formalization in Vietnam: an attention theory explanation

Informal enterprises are widely viewed as a mechanism to engage unemployed people in the economy and thereby alleviate poverty in developing economies. However, over-representation in an economy may lead to both economic growth and broader employment opportunities being sacrificed. This paper presents a process model to investigate three potential drivers for firms to formalize: the first from a desire to grow and develop the firm through innovation, the second from the wish to access government financial support and the third stimulated by the payment of unofficial payments or bribes. We use data from surveys of Vietnamese firms in 2005, 2007, 2009 and 2011 to investigate these drivers of formalization. Although we find support for all three of these drivers, the results differ in significance across years and firm types. We explain these differences using attention theory to show how different situations and events can make the formalization decision more likely over time.     

Unemployment or credit: Which one holds the potential? Results for a small open economy with a low degree of financialization

This paper investigates the relative importance of unemployment versus credit in determining the potential level of real activity for a small open economy with a low degree of financialization. We use a multivariate unobserved component model (MUC) to derive the potential output and the associated output gap for the Lithuanian economy. The model is estimated via Bayesian methods and the time paths of unobserved variables are extracted via the Kalman filter. The inclusion of unemployment in the MUC model substantially improves the estimates of the output gap in real time. Adding information about credit further emphasizes the overheating of the economy in the pre-crisis period, both in real time and ex post. Including credit preserves the conclusions regarding turning points. We uncover a strong negative correlation between the model-implied unemployment gap (without accounting for credit) and real credit growth. Data revisions do not appear to be the primary source of revisions of output gap estimates.     

Trend‐cycle Estimation Using Fuzzy Transform and Its Application for Identifying Bull and Bear Phases in Markets

This paper is focused on one of the fundamental problems in financial time‐series analysis; namely, the identification of the historical bull and bear phases. We start with the proof that the trend‐cycle can be well estimated using the technique of a higher degree fuzzy transform. Then, we suggest a mathematical definition of the bull and bear phases and provide a novel technique for their identification. As a consequence, the turning points (i.e. the points where the market changes its phase) are detected. We illustrate our methodology on several examples.     

Capital regulation and bank balance sheet adjustments: a simultaneous approach

This study examines the balance sheets of banks in 15 Asian countries from 2004 to 2016 to explore how they respond to stricter capital regulation. We consider the simultaneity of balance sheet adjustments. Employing a normalisation method, the study found that Asian banks increased regulatory capital, primarily through retained earnings, and expanded assets over the study period. However, the two-step system Generalised Method of Moments results do not support the positive effect of capital regulation on regulatory capital components adjustments. In addition, stricter capital regulation even induces banks to reduce lending.