Competition and efficiency in the MENA banking region: a non-structural DEA approach

The goal of this article is to empirically assess the relationship between competition and efficiency in the banking sector of Middle East and North African (MENA) countries spanning the period 1997–2011. To measure the level of competition, the article estimates the non-structural indicator known as the H-statistic, while the level of bank efficiency is estimated through the nonparametric methodology of the Data Envelopment Analysis (DEA) and the Bootstrap Data Envelopment Analysis (BDEA), respectively. The empirical results are robust under six econometric methodologies, providing sufficient evidence for the presence of a one-way (negative) Granger causality, running from efficiency to competition. The empirical findings lead to the rejection of the ‘Efficient Structure Hypothesis’, implying that increases in competition do not precede increases in cost efficiency.     

An information-theoretic approach for forecasting interval-valued SP500 daily returns

We develop an iterative and efficient information-theoretic estimator for forecasting interval-valued data, and use our estimator to forecast the SP500 returns up to five days ahead using moving windows. Our forecasts are based on 13 years of data. We show that our estimator is superior to its competitors under all of the common criteria that are used to evaluate forecasts of interval data. Our approach differs from other methods that are used to forecast interval data in two major ways. First, rather than applying the more traditional methods that use only certain moments of the intervals in the estimation process, our estimator uses the complete sample information. Second, our method simultaneously selects the model (or models) and infers the model’s parameters. It is an iterative approach that imposes minimal structure and statistical assumptions.     

The construction of a composite index for general satisfaction in Turkey and the investigation of its determinants

The goal of public enterprises is to increase the wealth and happiness of individuals. This target lets them make the investment to fulfill these expectations. However, not all citizens in a country might have the same opportunities. This case requires comparing citizens who live in cities with regard to satisfaction levels. This study consists of two stages. In the first stage, a composite index called the General Satisfaction Index (GSI), which aims to explain the satisfaction levels of citizens living in cities, is obtained by using the Benefit of the Doubt method. Contrary to the previous studies, the satisfaction indicators based on the emotions and senses of citizens are used to construct a composite index. Satisfaction indicators’ contribution to GSI is ensured using the minimum weights. In the second stage of this study, socioeconomic determinants of GSI are investigated in both countrywide and regions by using regularized regression methods. In the result of the regression analyze, it is confirmed that there are different socioeconomic determinants of satisfaction levels for countrywide and each region. For this reason, it is proposed that policymakers should follow different politicizes in each region to increase the satisfaction levels of citizens in the country.     

The impact of shareholders and creditors rights on IPO performance: An international study

This paper examines the impact of cross-country variation in shareholders' and debt holders' rights on post-IPO performance and survival of newly listed stocks across the globe. Using a sample of 10,490 initial public offerings (IPOs) in 40 countries between 2000 and 2013, we find that post-IPO performance and survival is better in countries with stronger shareholder protection, but the impact of creditor protection is negative i.e. stronger creditor protection leads to poor post-IPO performance and survival. This effect is driven by rules requiring creditors’ consent for company reorganization and the mandatory replacement of incumbent managers. Reputable IPO advisors exacerbate the positive impact of shareholder rights and the negative impact of creditor rights.     

Spatiotemporal dynamics of soybean crop in the Matopiba region,Brazil (1990–2015)

Brazil is a world leader in the production and export of grains, particularly soybeans. The newest agricultural frontier in Brazil is the Matopiba region, which is a continuous zone formed by the states of Maranhão, Tocantins, Piauí, and Bahia, located mostly within the Cerrado biome. The objective of this study was to analyze the spatiotemporal dynamics of soybean production and yield in the Matopiba region. We analyzed municipality-based planted areas and production data obtained by the Brazilian Institute of Geography and Statistics during 1990–2015. Yield was estimated from the production and planted area, and the data were analyzed using global and local Moran indices. The results showed that soybean production in the Matopiba region does not occur randomly. Positive and significant autocorrelation was found at the beginning of the time series among those municipalities located in the west of Bahia. This region influenced the soybean expansion from south to north. Currently, high-production areas are concentrated in two autocorrelated blocks: one in western Bahia and the other in the central Matopiba region. Analysis of spatial autocorrelation involving yield showed a decreasing trend at the end of the time series. The presence of municipalities with high yield surrounded by others with low yield, and vice-versa, were observed. The findings of this study could assist local and regional agricultural planning in the Matopiba region, and support related analyses in other fields of agriculture, the environment, and logistics.     

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years.     

Productivity efficiency analysis of the airlines in China after deregulation

Using data envelopment analysis and the Malmquist productivity index, this paper studies productivity efficiency of various airlines in China after the Chinese government deregulated the aviation industry in 2005. The results show that the productivity efficiency of non-state-owned airlines improves rapidly and eventually exceeds state-owned airlines after the deregulation policy. Among the state-owned airlines, the productivity of the local airlines and their technical changes are better than those of the central airlines.     

中国商业银行整体效率研究* ——基于具有中间投入和中间产出的综合网络DEA模型

本文基于对银行业务结构和特征的分析，将银行看做具有中间投入和中间产出的串联两阶段网络生产结构。第一阶段为负债业务和中间业务，第二阶段为资产业务。基于这一网络结构，本文首先建立具有中间投入和中间产出的综合网络DEA模型，并证明在此模型下整体网络DEA有效等价于每个子阶段DEA有效，即此模型是打开黑箱的网络DEA模型，并定义网络决策单元的投影。本文以中国16家上市商业银行为样本，测算了2006-2010年各商业银行的整体效率、子阶段效率、关联指数和每家银行的投影。分析结果显示，大型国有商业银行在负债业务和中间业务阶段具有明显的竞争优势，股份制商业银行在资产业务阶段具有效率优势，城市商业银行的两阶段业务关联性最差。本文计算的投影，给出了银行提高整体效率的改进方向。     

How useful is an Asian Currency Unit (ACU) index for surveillance in East Asia?

An Asian Currency Unit (ACU) index is constructed using an alternative procedure which minimizes a basket or portfolio of assets expressed in terms of national currencies. Using this estimated ACU index and an ACU deviation indicator, the main finding of this study based on the current trajectory of East Asian currencies relative to this regional ACU benchmark is that there is a formation of two contrasting groups of countries in the region—one group of strong currencies and one group of weak currencies. We emphasize that this contrasting trajectory in East Asian intra-regional exchange rates implies disturbed competitive trading relationships in the region, which may result in wasteful beggar-thy-neighbor policies. As emphasized in other recent studies (e.g., Kawai and Takagi, 2012), the region needs a framework for exchange rate policy coordination that will promote intra-regional exchange rate stability. We suggest two important ways in which the region can capitalize on using an ACU index for surveillance purposes in the immediate term. One way is to assess “over- and undervaluation” of individual currencies from the regional ACU average. The other is to use it as a monitoring device for excessive flows of international capital within the region.     

Systemic financial risk early warning of financial market in China using Attention-LSTM model

We propose an Attention-LSTM neural network model to study the systemic risk early warning of China. Based on text mining, the network public opinion index is constructed and used as a training set to be incorporated into the early warning model to test the early warning effect. The results show that: (i) the network public opinion is the non-linear Granger causality of systemic risk. (ii) The Attention-LSTM neural network has strong generalization ability. Early warning effects have been significantly improved. (iii) Compared with the BP neural network model, the SVR model and the ARIMA model, the LSTM neural network early warning model has a higher accuracy rate, and its average prediction accuracy for systemic risk indicators has been improved over short, medium and long terms. When the attention mechanism is included in the LSTM, the Attention-LSTM neural network model is even more accurate in all the cases.