Small consequences of a major agreement: the MILA case

2018 ◽  
Vol 31 (3) ◽  
pp. 486-518 ◽  
Author(s):  
Nicolas Hardy ◽  
Nicolas S. Magner ◽  
Jaime Lavin ◽  
Rodrigo A. Cardenas ◽  
Mauricio Jara-Bertin
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Latin American ◽  
Earnings Announcements ◽  
Market Model ◽  
Conditional Heteroscedasticity ◽  
Content Type ◽  
Corporate Earnings ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Practical Implications

Purpose The purpose of this paper is to provide evidence about the effects of the MILA agreement in terms of improving financial market efficiency. Design/methodology/approach The authors measure efficiency by studying the stock reaction to earnings announcements using a conditional heteroscedasticity generalized autoregressive conditional heteroscedasticity-adjusted market model and the most commonly implemented event study tests for 3,399 events across four countries in the Latin American Integrated Market (MILA). Findings Contrary to expectations, the results show that the MILA agreement has isolated gains in terms of reaction to corporate earnings announcements, which translates into partial improvements in market efficiency. However, the evidence indicates that the MILA agreement favored cointegration, which is in line with other studies. Practical implications This paper provides evidence for policymakers and regulators that a stock market agreement is a condition that promotes market cointegration, but it is not an element that in itself ensures an improvement in market efficiency. To achieve greater MILA benefits, regulatory and market-level changes are required. Originality/value This is the first study that analyses the effect of a stock market agreement on the efficiency of markets, expanding on what has been studied in the finance literature regarding the influence of these agreements on cointegration.

A study on volatility and return spillover of exchange-traded funds and their benchmark indices in India

2019 ◽  
Vol 46 (1) ◽  
pp. 19-39 ◽  
Author(s):  
Buvanesh Chandrasekaran ◽  
Rajesh H. Acharya
Keyword(s):  
Time Series Data ◽  
Moving Average ◽  
Series Data ◽  
Autoregressive Moving Average ◽  
Exchange Traded Funds ◽  
Volatility Spillover ◽  
Conditional Heteroscedasticity ◽  
Content Type ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Practical Implications

Purpose The purpose of this paper is to empirically examine the volatility and return spillover between exchange-traded funds (ETFs) and their respective benchmark indices in India. The paper uses time series data which consist of equity ETF and respective index returns. Design/methodology/approach The study uses autoregressive moving average–generalized autoregressive conditional heteroscedasticity and autoregressive moving average–exponential generalized autoregressive conditional heteroscedasticity models. The study uses data from the inception date of each ETF to December 2016. Findings The findings of the paper confirm that there is unidirectional return spillover from the benchmark index to ETF returns in most of the ETFs. Furthermore, ETF and benchmark index return have volatility persistence and show the presence of asymmetric volatility wherein a negative news has more influence on volatility compared to a positive news. Finally, unlike unidirectional return spillover, there is a bidirectional volatility spillover between ETF and benchmark index return. Practical implications The study has several practical implications for investors and regulators. A positive daily mean return over a fairly long period of time indicates that the passive equity ETFs can be a viable long-term investment option for ordinary investors. A bidirectional volatility spillover between the ETFs and benchmark index returns calls for the attention of the market regulators to examine the reasons for the same. Originality/value ETFs have seen fast growth in the Indian market in recent years. The present study considers the longest period data possible.

scholarly journals Earnings announcements, stock price reaction and market efficiency – the case of Saudi Arabia

2018 ◽  
Vol 11 (3) ◽  
pp. 416-431 ◽  
Author(s):  
Ali Murad Syed ◽  
Ishtiaq Ahmad Bajwa
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Capital Market ◽  
Earnings Announcements ◽  
Abnormal Returns ◽  
Share Price ◽  
Market Model ◽  
Foreign Investors ◽  
Content Type ◽  
Quarterly Earnings

PurposeThis study aims to find the response by stock market against the announcements of quarterly earnings is empirically tested by exploiting event study methodology. Efficient market hypothesis (EMH) on Saudi stock exchange is also tried on.Design/methodology/approachThe market model is applied to help gauge the expected returns and to illustrate abnormal returns around the event date.FindingsThe results established that Saudi Stock Market does not bear semi-strong form of EMH. How efficient is the Saudi market is also reflected through evidence of significant abnormal returns and post-earnings announcement drift around earning announcements dates.Research limitations/implicationsThe authors have not used analysts’ forecast as the expected earnings which are the limitation. As mentioned earlier, the authors used the quarterly earnings of the previous year as a proxy and that proxy could have been replaced by analysts’ forecast. Another limitation is that the trading volume in the event window is not considered.Practical implicationsThe behavior of Saudi capital market is of much concern, and the study of this with a perspective of EMH is the significance of this paper.Social implicationsAll stakeholders closely watch earnings announcements and its share price movement around the announcement date. Recently, Saudi Arabia has opened its doors to foreign investors, and big foreign investors are going to enter into Saudi capital market, and after their entry, the behavior of market could be different. In the authors’ opinion, this is the right time to study the efficiency of Saudi market before the entry of foreign investors.Originality/valueThis study is based on the gap created by EMH of Saudi market using event methodology, observed in the existing literature, and it will be a contribution to literature.

Consumer value creation through WhatsApp use

2019 ◽  
Vol 32 (4) ◽  
pp. 455-471
Author(s):  
Jorge Cruz-Cárdenas ◽  
Jorge Guadalupe-Lanas ◽  
Ekaterina Zabelina ◽  
Andrés Palacio-Fierro ◽  
Margarita Velín-Fárez ◽  
...  
Keyword(s):  
Latin American ◽  
Value Creation ◽  
Emotional Support ◽  
Design Methodology ◽  
Instant Messaging ◽  
Role Performance ◽  
Content Type ◽  
Consumer Value ◽  
Depth Interviews ◽  
Practical Implications

Purpose The purpose of this paper is to understand in-depth how consumers create value in their lives using WhatsApp, the leading mobile instant messaging (MIM) application. Design/methodology/approach The study adopts the perspective of customer-dominant logic (CDL) and uses a qualitative multimethod design involving 3 focus groups and 25 subsequent in-depth interviews. The research setting was Ecuador, a Latin American country. Findings Analysis and interpretation of the participants’ stories made it possible to identify and understand the creation of four types of value: maintaining and strengthening relationships; improving role performance; emotional support; and entertainment and fun. In addition, the present study proposes a conceptual model of consumer value creation as it applies to MIM. Practical implications Understanding the way consumers create value in their lives using MIM is important not only for organizations that offer MIM applications, but also for those companies that develop other applications for mobile phones or for those who wish to use MIM as an electronic word-of-mouth vehicle. Originality/value The current study is one of the first to address the topic of consumer behavior in the use of technologies from the perspective of CDL; this perspective enables an integrated qualitative vision of value creation in which the consumer is the protagonist.

Weather, investor psychology and stock returns: evidence from Fiji's stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janesh Sami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Sunshine Duration ◽  
Market Returns ◽  
Modeling Framework ◽  
Stock Market Returns ◽  
Content Type ◽  
Asset Pricing Models ◽  
Weather Changes ◽  
Practical Implications

PurposeThis paper investigates whether weather affects stock market returns in Fiji's stock market.Design/methodology/approachThe author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020.FindingsThe results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji.Research limitations/implicationsIt is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables).Practical implicationsInvestors and traders should consider their mood while making stock market decisions to lessen mood-induced errors.Originality/valueThis is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

Adaptive efficiency of the Mexican Stock Exchange

2018 ◽  
Vol 31 (2) ◽  
pp. 326-335
Author(s):  
Esmeralda Brito-Cervantes ◽  
Semei Coronado ◽  
Manuel Morales-García ◽  
Omar Rojas
Keyword(s):  
Market Efficiency ◽  
Granger Causality ◽  
Latin American ◽  
Stock Exchange ◽  
Information Process ◽  
Causality Test ◽  
Content Type ◽  
Regulatory Policies ◽  
Adaptive Efficiency ◽  
Non Linear

Purpose The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike. Design/methodology/approach The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied. Findings Derived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors. Originality/value This paper complements studies on the P–V relationship and efficiency in a Latin American market.

The Latin American art market: literature and perspectives

2018 ◽  
Vol 31 (1) ◽  
pp. 239-276 ◽  
Author(s):  
Urbi Garay
Keyword(s):  
Latin American ◽  
American Art ◽  
Art Market ◽  
Latin American Art ◽  
Positive Real ◽  
Content Type ◽  
Art Collectors ◽  
The Arts ◽  
New Research ◽  
Practical Implications

Objective The purpose of this paper is to present the progress and trends of the literature on art as an investment and to outline potential research lines to be developed. Design/methodology/approach This work gathers, analyses and critically discusses the attributes of investments in art in general, and in Latin American art in particular. Findings Most studies report that art (art in general, and Latin American in particular) has offered relatively low but positive real returns, which have tended to be below those offered by stocks and similar to those realized by bonds. Art has a low correlation with other investments. Research limitations and implications The literature on the attributes of Latin American art as an investment is limited and new research would help to close the knowledge gap with respect to this segment of the art market as it continues to grow. Practical implications Similarly to the research carried out into other segments of the art market, studies on Latin American art suggest that the works of art are worth more, ceteris paribus: the more renowned the artist, the larger the work, whether they were executed in oil, and if they were auctioned at Sotheby’s or Christie’s. The paper also details a series of practical implications for those who participate in the art market. Originality/value To the best of the authors’ knowledge, this is the first exhaustive review of the literature on the attributes of Latin American art as an investment. The findings of this study are useful for academics, art collectors, auction houses, gallerists and others who take part in the arts market.

Political connection and firm value: an Indian perspective

2014 ◽  
Vol 3 (2) ◽  
pp. 170-189 ◽  
Author(s):  
Debabrata Datta ◽  
Santanu K. Ganguli
Keyword(s):  
Corporate Governance ◽  
Theoretical Model ◽  
Stock Market ◽  
Stock Prices ◽  
Empirical Test ◽  
Political Connection ◽  
Content Type ◽  
Election Results ◽  
Political Governance ◽  
Practical Implications

Purpose – The purpose of this paper is to verify existence of political connection of firms in India. For this purpose the paper first presents a theoretical model and then tests empirically the movement of stock prices during two state elections in India. Design/methodology/approach – The methodology is theoretical modelling where the paper applies the standard Cournot model of oligopoly. The paper then applies correlation and Wilcoxon Paired Rank Sum test to verify the results of the theoretical model by using data from the Indian stock market during the election results. Findings – The theoretical result states that some firms opt for political connection and some remain independent in an oligopoly. It also shows that political connection affects stock price. The empirical results find out that divergent responses of stock prices to the election results can be linked to politically connection. Research limitations/implications – The theoretical model is a simple two firm model and not generalized to n number of firms. The empirical test considers only two state elections and applies simple statistical test. The study is restricted to one country only. Practical implications – The paper has practical implications for stock market. It has implications for corporate governance and for political governance. This is important since political connection of firms has emerged as an important issue in India. Social implications – The paper is important as it addresses the issue of political connection of firms, which have ramifications for social equilibrium. In a democratic country like India any nexus between political party and firms may adversely affect not only corporate governance but also political governance. Originality/value – This paper looks at political connectedness theoretically in a federal structure, an issue not addressed so far in the literature. Second it considers not so discussed topic of market perception of political connection in India. The originality of the paper is that it presents a theory and also verifies the theoretical results with empirical test.

Clusters or un‐clustered industries? Where inter‐firm marketing cooperation matters

2012 ◽  
Vol 27 (5) ◽  
pp. 392-402 ◽  
Author(s):  
Christian Felzensztein ◽  
Eli Gimmon ◽  
Claudio Aqueveque
Keyword(s):  
Latin American ◽  
Marketing Strategies ◽  
Industry Cluster ◽  
Trade Associations ◽  
Content Type ◽  
Firm Cooperation ◽  
Marketing Activities ◽  
New Industry ◽  
Practical Implications

PurposeThis paper aims to focus on the perceived role of clusters in inter‐firm cooperation and social networks.Design/methodology/approachThe study was carried out in a region of Latin America where limited research has been conducted in terms of inter‐firm relationships. Managers from three key natural resources‐based industries in Chile participated in the survey; one of these industries constituted a well‐defined cluster whereas the other two did not. The survey assessed managers' perceptions of the benefits and opportunities of inter‐firm cooperation in strategic marketing activities.FindingsResults support the advantages of clusters. Managers of firms which are part of clustered industries tend to perceive more benefits and opportunities for inter‐firm co‐operation in marketing activities. Additionally, significant differences between clustered and non‐clustered industries in terms of their co‐operation behavior and objectives were found.Research limitations/implicationsThe findings shed light on strategies for the enhancement of inter‐firm cooperation in marketing, of particular value for marketers in small‐and‐medium sized enterprises. The paper suggests establishing new clusters and promoting more regional clusters policies since clustering seems to provide better and positive inter‐firm interaction leading to cooperation.Practical implicationsThere are lessons to be learned at national and regional levels for Latin American and emerging economies fostering new industry cluster policies.Originality/valueClustered firms and industries may result in more innovative marketing strategies at both local and international levels than non‐clustered firms. The authors encourage regional development bodies to foster more cooperation among firms and trade associations.

scholarly journals Volatility clustering, risk-return relationship and asymmetric adjustment in the Finnish housing market

2020 ◽  
Vol 13 (4) ◽  
pp. 661-688 ◽  
Author(s):  
Josephine Dufitinema
Keyword(s):  
Housing Market ◽  
Portfolio Management ◽  
House Price ◽  
Significant Risk ◽  
Price Volatility ◽  
Asymmetric Adjustment ◽  
Conditional Heteroscedasticity ◽  
Content Type ◽  
Risk Return ◽  
Autoregressive Conditional Heteroscedasticity

Purpose The purpose of this paper is to examine whether the house prices in Finland share financial characteristics with assets such as stocks. The studied regions are 15 main regions in Finland over the period of 1988:Q1-2018:Q4. These regions are divided geographically into 45 cities and sub-areas according to their postcode numbers. The studied type of dwellings is apartments (block of flats) divided into one-room, two rooms and more than three rooms apartment types. Design/methodology/approach Both Ljung–Box and Lagrange multiplier tests are used to test for clustering effects (autoregressive conditional heteroscedasticity effects). For cities and sub-areas with significant clustering effects, the generalized autoregressive conditional heteroscedasticity (GARCH)-in-mean model is used to determine the potential impact that the conditional variance may have on returns. Moreover, the exponential GARCH model is used to examine the possibility of asymmetric effects of shocks on house price volatility. For each apartment type, individual models are estimated; enabling different house price dynamics, and variation of signs and magnitude of different effects across cities and sub-areas. Findings Results reveal that clustering effects exist in over half of the cities and sub-areas in all studied types of apartments. Moreover, mixed results on the sign of the significant risk-return relationship are observed across cities and sub-areas in all three apartment types. Furthermore, the evidence of the asymmetric impact of shocks on housing volatility is noted in almost all the cities and sub-areas housing markets. These studied volatility properties are further found to differ across cities and sub-areas, and by apartment types. Research limitations/implications The existence of these volatility patterns has essential implications, such as investment decision-making and portfolio management. The study outcomes will be used in a forecasting procedure of the volatility dynamics of the studied types of dwellings. The quality of the data limits the analysis and the results of the study. Originality/value To the best of the author’s knowledge, this is the first study that evaluates the volatility of the Finnish housing market in general, and by using data on both municipal and geographical level, particularly.

Market liberalizations and efficiency in Latin America

2016 ◽  
Vol 33 (4) ◽  
pp. 553-575 ◽  
Author(s):  
Sheung Chi Chow ◽  
Yongchang Hui ◽  
João Paulo Vieito ◽  
ZhenZhen Zhu
Keyword(s):  
Latin America ◽  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Hypothesis Test ◽  
Ratio Test ◽  
Market Liberalization ◽  
Content Type ◽  
Stock Market Liberalization ◽  
The Impact

Purpose This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America. Design/methodology/approach Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad and Tobago, are used in the analysis. To examine the impact of stock market liberalization on efficiency, the authors use several approaches, including the runs test, Chow–Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the stochastic dominance (SD) test, on the above Latin American stock market indices. Findings The authors find that stock market liberalization does not improve stock market efficiency in Latin America. Originality/value This investigation is among the first to examine the impact of stock market liberalization on the efficiency of the stock markets. It is among the first to examine the impact of stock market liberalization on the efficiency of the Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a SD approach on issue about efficient market.

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