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Hedging effectiveness for international index futures markets

Abstract

This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countries

Open access
Inner Life, Meaningful Work, Conditions for Community, and Organisational Citizenship Behaviour

Abstract

This paper investigated the relationship that exists among inner life, meaningful work, conditions for community, and organisational citizenship behaviour amongst Nigerian academics. The study embraced a quantitative approach using survey research design, which is ex post facto in nature with the engagement of quantitative and correlational methods. Thus, a convenience sampling technique was utilised to administer 328 questionnaires amongst the academics of two Nigerian public universities. Three hypotheses were stated and tested using inferential statistics tools via the IBM Statistical Package for the Social Sciences (SPSS) version 20 and the Analysis of Moment Structure (AMOS) version 22. The multivariate statistical processes used in this paper are confirmatory factor analyses, structural equation modelling, as well as model fit indices. The results indicated an insignificant positive relationship between inner life and organisational citizenship behaviour. However, it was evident that a strong positive relationship existed between conditions for community and organisational citizenship behaviour. In contrast, the study revealed that there was no significant relationship between meaningful work and organisational citizenship behaviour. Therefore, this paper concludes that the management of universities should always communicate the mutual benefit of engaging in organisational citizenship behaviour to the members of their staff through effective conditions for community, such as aiding of staff personal growth and fair evaluation of work.

Open access
Latvian High-Tech Industry: Trends and Developments

Abstract

The paper covers analysis of high-tech industry development in Latvia, as well as its facilitating and restricting factors. High-tech industries become more important in Latvia both in terms of export share and generated value added; also the number of enterprises and employees is increasing. A stable political system, enabling business environment, a relatively low corporate income tax rate, and government aid are considered as some of the most important facilitating factors. The paper emphasizes the government’s role in promoting and developing the high-tech manufacturing. The most significant limitations are the lack of skilled specialists and sophisticated real estate space, and the remote industrial supply companies and the service centres. Recommendations are given on the possible development directions, including improvements in manufacturing infrastructure, enhancements of the skill level of the labour force, and bringing up a new generation of entrepreneurs.

Open access
Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany

Abstract.

This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-normality of German stock market and higher probability of negative trading days. We measure the occurrences of extreme-day returns and their significance in measuring annual volatility. Our time series analysis indicates that the occurrences of extreme-days show a cyclical trend over the sample time period. Our comparison of negative and positive extreme-days indicates that negative extreme-days overweigh the positive extreme days. Standard deviation, as measure of volatility used traditionally, gives altered ranks of annual volatility to a considerable extent as compared to extreme-day returns. Lastly, existence of extreme day returns can be explained by past period occurrences, which show predictability.

Open access
Comparing Simple Forecasting Methods and Complex Methods: A Frame of Forecasting Competition

Abstract

The gross capital formation (GCF), which helps to gradually increase GDP itself, is financed by domestic savings (DS) in both developed and developing countries. Therefore, forecasting GCF is the key subject to the economists’ decisions making. In this study, I use simple forecasting methods, namely dynamic relation model called “Autoregressive Distributed Lag Model (ARDL)”, and complex methods such as Adaptive Neuro Fuzzy Inference System (ANFIS) method and ARIMA-ANFIS method to determine which method provides better out-of-sample forecasting performance. In addition, the contribution of this study is to show how important to use domestic savings in forecasting GCF. On the other hand, ANFIS and hybrid ARIMA-ANFIS methods are comparatively new, and no GCF modeling using ANFIS and ARIMA-ANFIS was attempted until recently to the best of my knowledge. In addition, Autoregressive Integrated Moving Average (ARIMA) method and Vector Autoregressive (VAR) model serve as benchmarks, allowing for fair competing for the study.

Open access
The Croatian banking system total assets concentration dynamics: performing a variety of inequality measures

Abstract

The paper provides an overview of the trend in the concentration of the total assets of banks in Croatia for the period from 2007 to 2016 with the aim of analysing and presenting the changes that occurred in the system. Also, the paper shows the theoretical framework of the indicators used in the research as well as the comparison of their obtained values. The data used to calculate the total assets concentration are taken from the Croatian National Bank. The concentration indices used in the study include the entropy measure, the Theil entropy, the Gini coefficient, the Pietra index, the Atkinson index and the coefficient of variation. The results indicate a very slight decrease in concentration over the past several years, while the coefficient of variation points to the heterogeneity of the system, as well as to inequalities among the banks, which are most evident in the size of banks assets.

Open access
The Effects of Socio-Economic Factors on Health of Elderly in East Java

Abstract

The study examines the effect of the socio-economic factors on the health status of elderly in East Java using the Indonesian Socio-Economic Survey (SUSENAS) of 2016. The socio-economic factors consist of sex, education, working activity, relationship status with the head of household, living arrangement, economic status, and location of residence. This study uses the ordered probit analysis accommodating three ordered potential health status of elderly, including (1) elderly without health problems, (2) elderly with health problems but not severe, and (3) elderly with severe health problems. The result of the study suggests that the health of the elderly is influenced significantly by some socioeconomic factors including education, working activity, relationship status with head of household, living arrangement, and economic factors.

Open access
An empirical study of customer usage and satisfaction with e-banking services in the Republic of Macedonia

Abstract

Recent developments in the field of information and communication technologies (ICTs) have created new opportunities for enhancing both the operations and competitiveness within the banking sector. The application of contemporary ICT-based solutions has resulted in significant changes in the traditional banking business, through the involvement of brand new approaches in the process of distribution of banking products and services to customers. As a part of the services offered by any modern bank, e-banking has become a synonym for an efficient system aimed at delivering traditional banking services through electronic communications channels, available to anybody, anywhere and anytime. The goal of the paper is to perform an empirical analysis of the current situation regarding the level of customer usage and satisfaction with e-banking services in the Republic of Macedonia. The study will enable us to determine which variables affect the level of adoption and satisfaction with е-banking services. The study is fully based on the statistical data analysis of the responses gathered from a representative sample of e-banking customers.

Open access
Evaluating the Performance of Socially Responsible Investment Funds

Abstract

The definition and scope of sustainability have evolved over the years, stimulated by debates which have won the attention of investors, thereby creating concepts such as responsible investment, socially responsible investment, responsible finance, etc. The purpose of the paper is to demonstrate whether screening has an effect on the financial performance of mutual funds and whether these effects are positive or negative. The study mainly focuses on the U.S. market as it is well developed and therefore provides greater insight and value. The research method uses the Markowitz and Sharpe market models to determine the market value of SRI and non SRI mutual funds. The study also depicts the investors’ attitude towards embedding sustainability driven variables in the decision making process as well as the market response to socially responsible investments.

Open access
Financial Deepening, Foreign Direct Investment and Output Performance in Nigeria

Abstract

This study examines the relationship between financial deepening, foreign direct investment and output performance in Nigeria from 1980-2015 using the Autoregressive Distributed Lag (ARDL) Bound Test approach. A long-run relationship was established between financial deepening indicators, foreign direct investment and output performance in Nigeria. Foreign direct investment and market capitalization as a percentage of the GDP exerted significantly on output performance both in the short-run and in the long-run periods. It is recommended that financial depth should be enhanced through improved and highly efficient provision of credit by banks to the real sector of the Nigerian economy.

Open access