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Journal of Capital Markets Studies
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  This is an Open Access Journal Open Access journal
ISSN (Online) 2514-4774
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  • Editorial

    • Pages: 100 - 101
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 100-101, November 2018.

      Citation: Journal of Capital Markets Studies
      PubDate: 2018-11-12T11:04:01Z
      DOI: 10.1108/JCMS-11-2018-034
       
  • Editorial

    • Pages: 102 - 105
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 102-105, November 2018.

      Citation: Journal of Capital Markets Studies
      PubDate: 2018-11-12T11:04:02Z
      DOI: 10.1108/JCMS-11-2018-035
       
  • Executing large-scale processes in a blockchain

    • Pages: 106 - 120
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 106-120, November 2018.
      Purpose The purpose of this paper is to examine the blockchain as a trusted computing platform. Understanding the strengths and limitations of this platform is essential to execute large-scale real-world applications in blockchains. Design/methodology/approach This paper proposes several modifications to conventional blockchain networks to improve the scale and scope of applications. Findings Simple modifications to cryptographic protocols for constructing blockchain ledgers, and digital signatures for authentication of transactions, are sufficient to realize a scalable blockchain platform. Originality/value The original contributions of this paper are concrete steps to overcome limitations of current blockchain networks.
      Citation: Journal of Capital Markets Studies
      PubDate: 2018-10-31T04:04:43Z
      DOI: 10.1108/JCMS-05-2018-0020
       
  • An investigation of magnet effect via overnight returns: the Malaysian
           case

    • Pages: 121 - 135
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 121-135, November 2018.
      Purpose Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this paper is to investigate the existence of magnet effect in Bursa Malaysia via overnight returns. Design/methodology/approach This study investigates the existence of magnet effect via overnight returns in Bursa Malaysia by utilizing historical daily price data from 1994 to 2017 by probabilistic regression approaches. The authors divide the study period into three distinct regimes based on regulatory limit mechanisms. Findings Based on demarcated regimes, the authors find evidence of magnet effect in Bursa Malaysia throughout all regimes, with a heightened magnitude detected between 2002 and 2013. Moreover, upper limit scenarios exhibit a greater propensity for magnet effect. The authors end the paper with implications of the findings for portfolio managers, intraday traders, and policymakers. Originality/value The research is the first of its kind in attempting to measure the magnet effect in Malaysia via overnight jumps.
      Citation: Journal of Capital Markets Studies
      PubDate: 2018-11-02T03:39:20Z
      DOI: 10.1108/JCMS-04-2018-0012
       
  • Migration policy uncertainty and stock market investor sentiment

    • Pages: 136 - 147
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 136-147, November 2018.
      Purpose The purpose of this paper is to examine the volatility transmission between migration policy uncertainty indices (MI) of France, Germany, UK and the USA, and respective stock markets of these countries. Therefore, the author’s major intention is to understand whether MI is a critical factor affecting company valuations and investor sentiment. Design/methodology/approach The author proxies volatility via EGARCH (1,1) for all series and employs Diebold–Yilmaz (2012) methodology to test the spillover, which is a simple yet very intuitive procedure. This method allows one to analyze the numerical amount of spillover, as well as the direction. Findings Findings propose that volatility transmission is from migration index to stock markets for the UK and US markets, but similar findings are not applicable for France and Germany. However, when cross-market transmissions are analyzed, it is observed that migration policy uncertainty of US spills significant volatility to all European stock markets. Hence, the findings underline the central role of US markets. Originality/value Given the increasing worries about migration across the USA and Europe, the author tries to cast light on whether investor sentiment alters by migration policies. The literature is recently building and best of the author’s knowledge; the paper is the first to investigate the cross-country spillover between MIs, which has not been performed before.
      Citation: Journal of Capital Markets Studies
      PubDate: 2018-10-30T03:48:37Z
      DOI: 10.1108/JCMS-09-2018-0033
       
  • Reforming accounting to support the shift towards a sustainable financial
           system

    • Pages: 148 - 161
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 148-161, November 2018.
      Purpose Considering the growing importance of finance in shaping corporate and human activities, the purpose of this paper is to focus on the United Nations Environment Programme (UNEP) Inquiry into the Design of a Sustainable Financial System that aims to align the financial system with sustainable development, with a focus on environmental aspects. Following the inquiry call for better disclosure approaches of material information on the “sustainability impacts” of the financial system as one of the areas of improvement to move toward a sustainable financial system, the author argues for a reform of the accounting model to better reflect the compliance of businesses with “quality of growth” imperatives. Design/methodology/approach The paper rests on the entity theory of Littleton (1934). Findings The new accounting model requires creating a new equity capital account for the entity that is separate from the shareholders equity account. Valuation as well as other related issues on the functioning of this account is briefly explored in the paper. The reform also requires entrusting the responsibility of answering questions related to valuation, capital maintenance and income distribution to the board of directors that should be composed of representatives of the different capitals which have accrued, temporarily or indefinitely, to the business firm. Research limitations/implications This paper calls researchers to explore the theoretical avenues proposed in the paper to develop the model in practice. Practical implications The implementation of this reform requires a regulatory reform and the redesign of the economic coordination mechanisms which could be challenging in practice. Social implications The accounting model proposed in the paper contributes to a new quality of growth, which is a growth based on well-being and inclusiveness. Originality/value The paper draws on the UNEP framework, which has not been investigated in other research studies.
      Citation: Journal of Capital Markets Studies
      PubDate: 2018-11-02T10:48:23Z
      DOI: 10.1108/JCMS-05-2018-0015
       
  • Long-term relationship of crude palm oil commodity pricing under
           structural break

    • Pages: 162 - 174
      Abstract: Journal of Capital Markets Studies, Volume 2, Issue 2, Page 162-174, November 2018.
      Purpose The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account. Design/methodology/approach In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market. Findings This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market. Research limitations/implications This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered. Practical implications This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market. Originality/value Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market.
      Citation: Journal of Capital Markets Studies
      PubDate: 2018-11-09T09:20:03Z
      DOI: 10.1108/JCMS-09-2018-0032
       
 
 
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