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J. of Learning Disabilities and Offending Behaviour     Hybrid Journal   (Followers: 24)
J. of Management Development     Hybrid Journal   (Followers: 5, SJR: 0.318, h-index: 23)
J. of Management History     Hybrid Journal   (Followers: 1)
J. of Managerial Psychology     Hybrid Journal   (Followers: 12, SJR: 0.759, h-index: 34)
J. of Manufacturing Technology Management     Hybrid Journal   (Followers: 4, SJR: 0.656, h-index: 35)
J. of Mental Health Training, Education and Practice, The     Hybrid Journal   (Followers: 8, SJR: 0.221, h-index: 2)
J. of Modelling in Management     Hybrid Journal   (Followers: 1)
J. of Money Laundering Control     Hybrid Journal   (Followers: 402)
J. of Organizational Change Management     Hybrid Journal   (Followers: 22, SJR: 0.403, h-index: 37)
J. of Organizational Effectiveness : People and Performance     Hybrid Journal   (Followers: 1)
J. of Organizational Ethnography     Hybrid Journal   (Followers: 7)
J. of Place Management and Development     Hybrid Journal   (Followers: 2, SJR: 0.419, h-index: 1)
J. of Product & Brand Management     Hybrid Journal   (Followers: 8, SJR: 0.383, h-index: 22)
J. of Property Investment & Finance     Hybrid Journal   (Followers: 5, SJR: 0.474, h-index: 12)
J. of Public Mental Health     Hybrid Journal   (Followers: 20, SJR: 0.151, h-index: 3)
J. of Quality in Maintenance Engineering     Hybrid Journal   (Followers: 4, SJR: 0.851, h-index: 29)
J. of Research in Interactive Marketing     Hybrid Journal   (Followers: 6, SJR: 0.544, h-index: 8)
J. of Research in Marketing and Entrepreneurship     Hybrid Journal   (Followers: 12)
J. of Risk Finance, The     Hybrid Journal   (Followers: 9)
J. of Science and Technology Policy Management     Hybrid Journal   (Followers: 2, SJR: 0.249, h-index: 3)
J. of Service Management     Hybrid Journal   (Followers: 8, SJR: 1.162, h-index: 14)
J. of Services Marketing     Hybrid Journal   (Followers: 12, SJR: 1.069, h-index: 31)
J. of Small Business and Enterprise Development     Hybrid Journal   (Followers: 12, SJR: 0.289, h-index: 20)
J. of Social Marketing     Hybrid Journal   (Followers: 9, SJR: 0.662, h-index: 7)
J. of Strategy and Management     Hybrid Journal   (Followers: 4)
J. of Systems and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0.221, h-index: 3)
J. of Technology Management in China     Hybrid Journal   (Followers: 1)
J. of Workplace Learning     Hybrid Journal   (Followers: 8, SJR: 0.547, h-index: 18)
Kybernetes     Hybrid Journal   (Followers: 1, SJR: 0.298, h-index: 22)
Leadership & Organization Development J.     Hybrid Journal   (Followers: 22, SJR: 0.521, h-index: 20)
Leadership in Health Services     Hybrid Journal   (Followers: 24, SJR: 0.319, h-index: 10)
Library Hi Tech     Hybrid Journal   (Followers: 1084, SJR: 0.926, h-index: 19)
Library Hi Tech News     Hybrid Journal   (Followers: 707, SJR: 0.442, h-index: 8)
Library Management     Hybrid Journal   (Followers: 800, SJR: 0.948, h-index: 12)
Library Review     Hybrid Journal   (Followers: 742, SJR: 0.573, h-index: 11)
Management Decision     Hybrid Journal   (Followers: 5, SJR: 1.423, h-index: 34)
Management of Environmental Quality: An Intl. J.     Hybrid Journal   (Followers: 6, SJR: 0.265, h-index: 14)
Management Research : The J. of the Iberoamerican Academy of Management     Hybrid Journal   (Followers: 3)
Management Research News     Hybrid Journal   (Followers: 3)
Management Research Review     Hybrid Journal   (Followers: 6, SJR: 0.318, h-index: 13)
Managerial Auditing J.     Hybrid Journal   (Followers: 1, SJR: 0.29, h-index: 19)
Managerial Finance     Hybrid Journal   (Followers: 3)
Managing Service Quality     Hybrid Journal   (Followers: 8, SJR: 0.72, h-index: 28)
Marketing Intelligence & Planning     Hybrid Journal   (Followers: 12, SJR: 0.354, h-index: 24)
Measuring Business Excellence     Hybrid Journal   (Followers: 1, SJR: 0.438, h-index: 13)
Meditari Accountancy Research     Hybrid Journal   (Followers: 2)
Mental Health and Social Inclusion     Hybrid Journal   (Followers: 22, SJR: 0.211, h-index: 4)
Mental Health Review J.     Hybrid Journal   (Followers: 17, SJR: 0.191, h-index: 2)
Microelectronics Intl.     Hybrid Journal   (SJR: 0.331, h-index: 14)
Multicultural Education & Technology J.     Hybrid Journal   (Followers: 3, SJR: 0.236, h-index: 5)
Multidiscipline Modeling in Materials and Structures     Hybrid Journal   (Followers: 1, SJR: 0.245, h-index: 7)
Multinational Business Review     Hybrid Journal   (Followers: 2)
Nankai Business Review Intl.     Hybrid Journal  
New Library World     Hybrid Journal   (Followers: 606, SJR: 0.746, h-index: 13)
Nutrition & Food Science     Hybrid Journal   (Followers: 10, SJR: 0.183, h-index: 10)
OCLC Systems & Services     Hybrid Journal   (Followers: 109, SJR: 0.378, h-index: 12)
On the Horizon     Hybrid Journal   (SJR: 0.398, h-index: 12)
Online Information Review     Hybrid Journal   (Followers: 187, SJR: 0.712, h-index: 30)
Pacific Accounting Review     Hybrid Journal  
Performance Measurement and Metrics     Hybrid Journal   (Followers: 7, SJR: 0.387, h-index: 10)
Personnel Review     Hybrid Journal   (Followers: 11, SJR: 0.876, h-index: 36)
Pigment & Resin Technology     Hybrid Journal   (Followers: 1, SJR: 0.322, h-index: 21)
Policing: An Intl. J. of Police Strategies & Management     Hybrid Journal   (Followers: 482, SJR: 0.486, h-index: 22)
Program: Electronic Library and Information Systems     Hybrid Journal   (Followers: 308, SJR: 0.554, h-index: 14)
Property Management     Hybrid Journal   (Followers: 2, SJR: 0.304, h-index: 9)
Qualitative Market Research: An Intl. J.     Hybrid Journal   (Followers: 3, SJR: 0.365, h-index: 18)
Qualitative Research in Accounting & Management     Hybrid Journal   (Followers: 6, SJR: 0.254, h-index: 3)
Qualitative Research in Financial Markets     Hybrid Journal   (Followers: 4)
Qualitative Research in Organizations and Management: An Intl. J.     Hybrid Journal   (Followers: 6)
Quality Assurance in Education     Hybrid Journal   (Followers: 4, SJR: 0.665, h-index: 19)
Quality in Ageing and Older Adults     Hybrid Journal   (Followers: 37, SJR: 0.239, h-index: 11)
Rapid Prototyping J.     Hybrid Journal   (Followers: 4, SJR: 0.928, h-index: 41)
Records Management J.     Hybrid Journal   (Followers: 16, SJR: 0.275, h-index: 9)
Reference Reviews     Hybrid Journal   (Followers: 12)
Reference Services Review     Hybrid Journal   (Followers: 30, SJR: 1.599, h-index: 16)
Research on Economic Inequality     Hybrid Journal   (Followers: 4, SJR: 0.232, h-index: 8)
Research on Emotion in Organizations     Hybrid Journal   (Followers: 8, SJR: 0.186, h-index: 6)
Review of Accounting and Finance     Hybrid Journal   (Followers: 2, SJR: 0.125, h-index: 2)
Review of Marketing Research     Hybrid Journal   (Followers: 14, SJR: 0.518, h-index: 3)
Safer Communities     Hybrid Journal   (Followers: 41, SJR: 0.338, h-index: 4)
Sensor Review     Hybrid Journal   (Followers: 1, SJR: 0.257, h-index: 21)
Smart and Sustainable Built Environment     Hybrid Journal   (Followers: 10)
Social Care and Neurodisability     Hybrid Journal   (Followers: 4)
Social Enterprise J.     Hybrid Journal   (Followers: 7)
Social Responsibility J.     Hybrid Journal   (Followers: 2, SJR: 0.228, h-index: 4)
Society and Business Review     Hybrid Journal   (Followers: 2)
Soldering & Surface Mount Technology     Hybrid Journal   (Followers: 2, SJR: 0.303, h-index: 21)
South Asian J. of Global Business Research     Hybrid Journal  
Sport, Business and Management : An Intl. J.     Hybrid Journal   (Followers: 4)
Strategic Direction     Hybrid Journal   (Followers: 1, SJR: 0.112, h-index: 4)
Strategic HR Review     Hybrid Journal   (Followers: 3)
Strategic Outsourcing : An Intl. J.     Hybrid Journal   (Followers: 2)
Strategy & Leadership     Hybrid Journal   (Followers: 20, SJR: 0.209, h-index: 15)
Structural Survey     Hybrid Journal   (SJR: 0.285, h-index: 9)
Studies in Economics and Finance     Hybrid Journal   (Followers: 3, SJR: 0.222, h-index: 5)
Supply Chain Management: An Intl. J.     Hybrid Journal   (Followers: 12, SJR: 1.628, h-index: 56)
Sustainability Accounting, Management and Policy J.     Hybrid Journal   (Followers: 7, SJR: 0.355, h-index: 4)
Team Performance Management     Hybrid Journal   (Followers: 7, SJR: 0.283, h-index: 11)
The Bottom Line: Managing Library Finances     Hybrid Journal   (Followers: 116, SJR: 0.349, h-index: 6)
The Electronic Library     Hybrid Journal   (Followers: 897, SJR: 0.799, h-index: 23)

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Journal Cover   Studies in Economics and Finance
  [SJR: 0.222]   [H-I: 5]   [3 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1086-7376
   Published by Emerald Homepage  [312 journals]
  • Governance and Long-term operating performance of family and non-family
           firms in Australia
    • Authors: Enver Halili, Ali Salman Saleh, Rami Zeitun
      First page: 398
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The purpose of this study is to conduct a comparative analysis of the long-term operating performance of family and non-family firms from the Agency Theoretic perspective. The analysis is focused on investigating the impact of family ownership on principal-agent conflicts of interest. Design/methodology/approach This paper examines the relationship between firm operating performance and family ownership for a large sample of 677 Australian-listed companies. The study uses the Generalized Method of Moments (GMM) estimator model developed by Arellano and Bond (1991) and used by other studies in finance (Baltagi, 2012; Bond, 2002; Mohamed et al., 2008). Findings The empirical results show that firms with ownership concentration has a better operating performance due to the alignment of owner-management interests. This study also finds that family listed companies have higher survival rates and perform better than non-family companies. Our findings support the hypothesis that agency costs arise as the result of privileged access of information and self-interest behaviour of managers (outsiders) in firms with dispersed ownership structures. Originality/value Earlier studies have only focused on short-term perspectives, particularly investigating small and medium types of Australian family businesses from narrow aspects such as productivity, business behaviour, capital structure and leverage. Therefore, this study has conducted a comparative examination of family and non-family firms listed on the Australian Stock Exchange (ASX) in order to identify the impact of agency costs on their financial performance.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:18Z
      DOI: 10.1108/SEF-02-2014-0034
  • The cross-section of Johannesburg Securities Exchange listed equity
           returns (1994 - 2011)
    • Authors: Jakobus Daniel Van Heerden, Paul Van Rensburg
      First page: 422
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange. Design/methodology/approach To reach the objective the study follows an empirical research approach. Cross-sectional regression analyses, factor-portfolio analyses and multifactor analyses are performed using fifty firm-specific factors for listed shares over three sample periods during 1994 to 2011. Findings The results suggest that a strong value and momentum effect is present and robust on the JSE, while a size effect is present but varies over time. Multifactor analyses show that value and momentum factors are collectively significant in explaining the cross-section of returns. The results imply that the JSE is either not an efficient market or that current market risk models are incorrectly specified. Practical implications The findings of the study offers practical application possibilities to investment analysts and portfolio managers. Originality/value To the authors' knowledge, this is the first study to use such a comprehensive dataset for the specific analyses on the JSE over such a long period. All previously identified statistical biases are addressed in this study. Different approaches are applied to compare results and test for robustness for the first time.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:15Z
      DOI: 10.1108/SEF-09-2014-0181
  • Forecasting stock index volatility with GARCH models: International
    • Authors: Prateek Sharma, Vipul _
      First page: 445
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models. We investigate whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance of stock indices. Design/methodology/approach Using the daily price observations of twenty-one stock indices of the world, we forecast one-step-ahead conditional variance with each forecasting model, for the period 1 January 2000 to 30 November 2013.The forecasts are then compared using multiple statistical tests. Findings We find that the standard GARCH model outperforms the more advanced GARCH models, and provides the best one-step-ahead forecasts of the daily conditional variance. Our results are robust to the choice of performance evaluation criteria, different market conditions and the data-snooping bias. Originality/value This study addresses the data snooping problem by using an extensive cross-sectional data set and the superior predictive ability test (Hansen, 2005). Moreover, it covers a sample period of 13 years, which is relatively long for the volatility forecasting studies. It is one of the earliest attempts to examine the impact of market conditions on the forecasting performance of GARCH models. We allow for a rich choice of parameterization in the GARCH models, and employ a wide range of performance evaluation criteria, including statistical loss functions and the Mincer-Zarnowitz regressions (Mincer and Zarnowitz, 1969). Therefore, our results are more robust and widely applicable as compared to the earlier studies.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:16Z
      DOI: 10.1108/SEF-11-2014-0212
  • Asymmetric cointegration and causality effects between financial
           development and economic growth in South Africa.
    • Authors: Andrew Phiri
      First page: 464
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose This paper investigates asymmetric cointegration and causality effects between financial development and economic growth for South African data spanning over the period of 1992 to 2013. Design/methodology/approach Our study make use of the momentum threshold autoregressive (MTAR) approach which allows for threshold error correction (TEC) modelling and granger causality analysis between the variables. In carrying out our empirical analysis, we employ six measures of the financial development variables against gross domestic per capita, that is, three measures which proxy banking activity and another three proxies for stock market development. Findings The empirical results generally indicate an abrupt asymmetric cointegration relationship between banking activity and economic growth, on one hand, and a smooth cointegration relationship between stock market activity and economic growth, on the other hand. Moreover, causality analysis generally reveals that while banking activity tends to granger cause economic growth, stock market activity is, however, caused by economic growth increase. Originality/value Our study contributes to the literature by examining asymmetries in the cointegration and causality relations by using both banking and stock market proxies against economic growth for the South African economy.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:15Z
      DOI: 10.1108/SEF-01-2014-0009
  • The impact of economic and financial development on environmental
           degradation: an empirical assessment of EKC hypothesis
    • Authors: Samia Nasreen, Sofia Anwar
      First page: 485
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The purpose of present study is to validate the impact of economic and financial development along with energy consumption on environmental degradation using dynamic panel data models for the period 1980-2010. The study uses three sub-panels constructed on the basis of income level to make panel data analysis more meaningful. Design/methodology/approach Larsson et al. panel cointegration technique, fully modified OLS and vector error correction model (VECM) causality analysis are applied for empirical estimation. Findings Main empirical findings demonstrate that financial development reduces environmental degradation in high income panel and increases environmental degradation in middle and low income panel. Hypothesis of the environmental Kuznets curve is accepted in all income panels. Granger causality results show the evidence of bidirectional causality between financial development and CO2 emission in high income panel, unidirectional causality from financial development to CO2 emission in the middle and low income panels. Originality/value In empirical literature only a few studies explain the effect of financial development on environment. The present study is an effort to fill this gap by exploring the effect of economic and financial development on environmental degradation.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:18Z
      DOI: 10.1108/SEF-07-2013-0105
  • Financial constraints, bank concentration and SMEs: evidence from Pakistan
    • Authors: Abubakr Saeed, Muhammad Sameer
      First page: 503
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose This paper empirically investigates the impact of bank market concentration on financial constraints on firm investment. Design/methodology/approach Our analysis is based on cross-industries panel of 368 listed Pakistani non-financial firms over the period 2001-2009. Further, Generalized Method of Moments (GMM) estimation technique has been used to estimate the the dynamic panel data model. Findings By applying a dynamic panel analysis, we find that SMEs are financially constrained in the credit market. Our main finding indicates that reduction in bank concentration eases financing constraints and this effect is more pronounced for SMEs. In addition, while testing the firm opacity in this context results reveal that opaque firms are more financially constrained, and bank market competition is less favourable to the firms with greater opacity. Originality/value Our results firstly assess the efficacy of ongoing financial reforms in Pakistan and secondly offer implications for other economies that exhibit financial development similar to that of Pakistan.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:14Z
      DOI: 10.1108/SEF-02-2014-0046
  • The golden target: analyzing the tracking performance of leveraged gold
    • Authors: Tim Leung
      First page: 278
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose The main objective of this study is to understand the tracking errors of leveraged exchange-traded funds on gold, and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach The authors formulate and solve a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the path of the leveraged gold benchmark. Findings The results suggest that market-traded LETFs do not track a leveraged position in gold effectively over a long horizon, and the dynamic leveraged futures portfolio achieves lower tracking errors over multiple years. Research limitations/implications The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold ETF, in order to achieve a desired leveraged exposure in spot gold. Practical implications The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold ETF, in order to achieve a desired leveraged exposure in spot gold. Originality/value – The main contribution of the paper is the use of gold futures to dynamically replicate a gold benchmark with any given leverage ratio, and the detailed comparison of the tracking performance of LETFs versus optimal static and dynamic futures portfolios.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:26:49Z
      DOI: 10.1108/SEF-01-2015-0009
  • FVA and CVA under margining
    • Authors: Lixin Wu, Chonhong Li
      First page: 298
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose To provide a framework of replication pricing of derivatives and identify FVA and CVA as price components. Design/methodology/approach We propose the notion of bilateral replication pricing. In the absence of funding cost, it reduces to unilateral replication pricing. The the absence of funding costs, it introduces bid-ask spreads. Findings The valuation of CVA can be separated from that of FVA, so-called split up. There may be interdependence between FVA and the derivatives value, which then requires a recursive procedure for their numerical solution. Research limitations/implications We have assume deterministic interest rates, constant CDS rates and loss rates for the CDS. We have also not dealt with re-hypothecation risks. Practical implications The results of this paper allow user to identify CVA and FVA, and mark to market their derivatives trades according to the recent market standards. Originality/value For the first time, a line between the risk-neutral pricing measure and the funding risk premiums is drawn. Also, the notion of bilateral replication pricing extends the unilateral replication pricing.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:26:36Z
      DOI: 10.1108/SEF-08-2014-0162
  • Lipper’s rating and the performance of unit trusts in Malaysia
    • Authors: Ahmad Ridhuwan Abdullah, Nur Adiana Hiau Abdullah
      First page: 322
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose The purpose of this paper is to examine the risk-adjusted performance of rated funds and determine the usefulness of Lipper Leader rating of unit trusts in Malaysia during the period 2000 to 2010. Design/methodology/approach The paper utilizes the Sharpe ratio, Treynor ratio, Jensen’s alpha and Fama-French 3-factor model to measure performance. Findings During the period of study, the performance of the market index and risk free rate outperformed that of 68 equity unit trust funds in the 3-year, 5-year, and 10-year investment horizons. The ranking, based on four performance measures, corresponds to Lipper rating for the lowest rated and leader funds, but not for the 3- and 4-key rated funds. Further, there is a significant difference in the performance of the 5-key, 4-key and 3-key rated funds which outperform the lowest rated funds, indicating that Lipper rating is able to distinguish superior and inferior unit trust funds. Research limitations/implications Some of the limitations in this study are that the indexes could be self-constructed. The existing index might not represent the asset allocation of the funds concerned. Additional variables might have to be considered when examining fund performance as they should correspond to the characteristics of a fund. Practical implications The results indicate that Lipper rating classification could identify the highest and lowest performing funds. Therefore, investors could use this rating to make informed investment decisions without undertaking time consuming analysis to ascertain the good and bad quality funds in the market. Originality/value The contribution of this study is that it analyzes the effectiveness and capability of Lipper Leader rating in identifying quality funds in the context of an emerging market. Performance comparison between Lipper Leader rating and methods used in portfolio theory bridges the theory-practice gap between practitioners and academics. To date, there have been no attempts to study and compare the ratings of advisory firms with theoretical performance measures, particularly in the context of Malaysia.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:24Z
      DOI: 10.1108/SEF-05-2012-0064
  • Financial development and economic growth: empirical evidence from India
    • Authors: madhu sehrawat, A K Giri
      First page: 340
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose The purpose of this paper is to examine the relationship between financial development and economic growth in India using annual data from 1982-2012. Design/methodology/approach The stationarity properties are checked by ADF, DF-GLS, KPSS and Ng- Perron unit root tests. The long- and short-run dynamics are examined by using the autoregressive distributed lag (ARDL) approach to co-integration. Findings The co-integration test confirms a long run relationship in financial development and economic growth for India. The analysis of ARDL test results reveals that both bank-based and market-based indicators of financial development have a positive impact on economic growth in India. Hence, the results support the supply-leading hypothesis and highlight the importance of financial development in economic growth. The findings also indicate that the Indian bank-centric financial sector has the potential for economic growth through credit transmission. Research limitations/implications The present study recommends appropriate reforms in financial markets to attain sustainable economic growth. The findings are useful for policy makers who want to maintain a parallel expansion of financial development and growth. Originality/value To date, there are hardly any studies that use both market-based as well as bank-based indicators as proxies of financial development and analyze their role in economic growth in India. So the contribution of the paper is to fill this gap in literature.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:43Z
      DOI: 10.1108/SEF-10-2013-0152
  • Jump-diffusion option pricing models: evidence from recent financial
    • Authors: VIPUL KUMAR SINGH
      First page: 357
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose Objective of this research paper is to investigate empirically the forecasting performance of jump-diffusion option pricing models of (Merton and Bates) with the benchmark Black-Scholes model relative to market, for pricing Nifty index options of India. The specific period chosen for this study canvasses the extreme up and down limits (jumps) of the Indian capital market. And as, equity markets keep on facing high and low tides of financial flux amid new economic and financial considerations. With this backdrop, the paper focuses on finding an impeccable option-pricing model which can meet the requirements of option traders and practitioners during tumultuous periods in the future. Design/methodology/approach Envisioning the fact the all option pricing models normally does wrong valuation relative to market. For estimating the structural parameters that governs the underlying asset distribution purely from the underlying asset return data we have used the non-linear least square method. As an approach we analyzed model prices by dividing the option data into fifteen moneyness-maturity groups - depending on the time to maturity and strike price. The prices are compared analytically by continuously updating the parameters of two models using cross-sectional option data on daily basis. Estimated parameters then used to figure out the forecasting performance of models with corresponding Black-Scholes and market - for pricing day-ahead option prices and implied volatility. Findings The outcomes of the paper reveal that the jump-diffusion models are a better substitute of classical Black-Scholes, thus improving the pricing bias significantly. But compared to jump-diffusion model of Merton’s, the model of Bates’ can be applied more uniquely to find out the pricing of three popularly traded categories; deep-out-of-the-money (DOTM), out-of-the-money (OTM) & at-the-money (ATM) of Nifty index options. Practical implications The outcome of this research work reveals that the jumps are important components of pricing dynamics of Nifty index options. Incorporation of jump-diffusion process into option pricing of Nifty index options leads to a higher pricing effectiveness, reduces the pricing bias, and gives values closer to the market. Since the models have been tested in extreme conditions to determine the dominant effectuality, the outcome of this paper helps traders in keeping the investment protected under normal conditions. Originality/value The specific period chosen for this study is very unique; it canvasses the extreme up and down limits (jumps) of the Indian capital market and provides the most apt situation for testifying the pricing competitiveness of the models in question. To testify the robustness of models, they have been put into a practical implication of complete cycle of financial frame.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:11Z
      DOI: 10.1108/SEF-08-2012-0099
  • Optimum portfolio selection using a hybrid genetic algorithm and analytic
           hierarchy process
    • Authors: Maghsoud Solimanpur, gholamreza mansourfar, farzad ghayour
      First page: 379
      Abstract: Studies in Economics and Finance, Volume 32, Issue 3, August 2015.
      Purpose Portfolio selection is a multi-objective decision-making problem in financial management. Purpose of this paper is to present a multi-objective model to the optimum portfolio selection using genetic algorithm and analytic hierarchy process. Design/methodology/approach The proposed approach solves the problem in two stages. In the first stage, the portfolio selection problem is formulated as a zero-one mathematical programming model to optimize two objectives, namely return and risk. A genetic algorithm (GA) with multiple fitness functions called as MFFGA is applied to solve the formulated model. The proposed GA results in several non-dominated portfolios being in the Pareto (efficient) frontier. A decision-making approach based on analytic hierarchy process (AHP) is then used in the second stage to select the portfolio from among the solutions obtained by GA which satisfies a decision-maker's interests at most. Findings The proposed decision-making system enables an investor to find a portfolio which suits for his/her expectations at most. The main advantage of the proposed method is to provide prima-facie information about the optimal portfolios lying on the efficient frontier and thus helps investors to decide the appropriate investment alternatives. Originality/value The value of the paper is due to its comprehensiveness in which seven criteria are taken into account in the selection of a portfolio including return, risk, beta ratio, liquidity ratio, reward to variability ratio (RVAR), Treynor’s ratio (TR), and Jensen’s alpha.
      Citation: Studies in Economics and Finance
      PubDate: 2015-06-26T12:27:33Z
      DOI: 10.1108/SEF-08-2012-0085
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