Journal of Capital Markets Studies最新文献

{"title":"Long-term relationship of crude palm oil commodity pricing under structural break","authors":"M. A. Salami, Razali Haron","doi":"10.1108/JCMS-09-2018-0032","DOIUrl":"https://doi.org/10.1108/JCMS-09-2018-0032","url":null,"abstract":"PurposeThe 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/approachIn 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.FindingsThis 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/implicationsThis 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 implicationsThis 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/valuePrevious 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.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116452074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An investigation of magnet effect via overnight returns: the Malaysian case","authors":"I. Sifat, Azhar Mohamad, Zarinah Hamid","doi":"10.1108/JCMS-04-2018-0012","DOIUrl":"https://doi.org/10.1108/JCMS-04-2018-0012","url":null,"abstract":"\u0000Purpose\u0000Magnet 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.\u0000\u0000\u0000Design/methodology/approach\u0000This 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.\u0000\u0000\u0000Findings\u0000Based 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.\u0000\u0000\u0000Originality/value\u0000The research is the first of its kind in attempting to measure the magnet effect in Malaysia via overnight jumps.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125212934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Reforming accounting to support the shift towards a sustainable financial system","authors":"Nihel Chabrak","doi":"10.1108/JCMS-05-2018-0015","DOIUrl":"https://doi.org/10.1108/JCMS-05-2018-0015","url":null,"abstract":"PurposeConsidering 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/approachThe paper rests on the entity theory of Littleton (1934).FindingsThe 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/implicationsThis paper calls researchers to explore the theoretical avenues proposed in the paper to develop the model in practice.Practical implicationsThe implementation of this reform requires a regulatory reform and the redesign of the economic coordination mechanisms which could be challenging in practice.Social implicationsThe accounting model proposed in the paper contributes to a new quality of growth, which is a growth based on well-being and inclusiveness.Originality/valueThe paper draws on the UNEP framework, which has not been investigated in other research studies.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126363819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Executing large-scale processes in a blockchain","authors":"M. Ramkumar","doi":"10.1108/JCMS-05-2018-0020","DOIUrl":"https://doi.org/10.1108/JCMS-05-2018-0020","url":null,"abstract":"\u0000Purpose\u0000The 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.\u0000\u0000\u0000Design/methodology/approach\u0000This paper proposes several modifications to conventional blockchain networks to improve the scale and scope of applications.\u0000\u0000\u0000Findings\u0000Simple modifications to cryptographic protocols for constructing blockchain ledgers, and digital signatures for authentication of transactions, are sufficient to realize a scalable blockchain platform.\u0000\u0000\u0000Originality/value\u0000The original contributions of this paper are concrete steps to overcome limitations of current blockchain networks.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"202 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122413835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Migration policy uncertainty and stock market investor sentiment","authors":"B. M. Ordu-Akkaya","doi":"10.1108/JCMS-09-2018-0033","DOIUrl":"https://doi.org/10.1108/JCMS-09-2018-0033","url":null,"abstract":"\u0000Purpose\u0000The 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.\u0000\u0000\u0000Design/methodology/approach\u0000The 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.\u0000\u0000\u0000Findings\u0000Findings 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.\u0000\u0000\u0000Originality/value\u0000Given 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.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125664694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Combating corporate tax avoidance by requiring large companies to file their tax returns","authors":"P. Sikka","doi":"10.1108/JCMS-01-2018-0005","DOIUrl":"https://doi.org/10.1108/JCMS-01-2018-0005","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to develop arguments for a public policy of requiring all large companies to make their tax returns publicly available. It is argued that such a policy would help to check tax avoidance, strengthen public accountability and secure fair competition.\u0000\u0000\u0000Design/methodology/approach\u0000The policy proposal rests on notions of transparency and public accountability.\u0000\u0000\u0000Findings\u0000The paper argues that the proposed policy is feasible.\u0000\u0000\u0000Research limitations/implications\u0000The paper hopes to stimulate debates about the value of public filing of corporate returns and limits of public accountability.\u0000\u0000\u0000Social implications\u0000The paper extends the range of public policies which might be able to check organised tax avoidance.\u0000\u0000\u0000Originality/value\u0000It is one of the few papers to call for public filings of large company tax returns.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128434366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Cointegration and causality in capital markets","authors":"A. Inci","doi":"10.1108/JCMS-03-2018-0009","DOIUrl":"https://doi.org/10.1108/JCMS-03-2018-0009","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets.\u0000\u0000\u0000Design/methodology/approach\u0000Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets.\u0000\u0000\u0000Findings\u0000This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets is digested correctly, completely, and in a fast manner, and is propagated to the other market. The evidence indicates high efficiency.\u0000\u0000\u0000Originality/value\u0000This study is one of the first papers that uses 30-minute interval intraday data to investigate efficiency in oil and gas commodity markets.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130415948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Due diligence in capital markets","authors":"M. King","doi":"10.1108/JCMS-07-2018-014","DOIUrl":"https://doi.org/10.1108/JCMS-07-2018-014","url":null,"abstract":"","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115113732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Towards a well-functioning stock market in context","authors":"J. Haslam, Jiao Ji, Hanwen Sun","doi":"10.1108/JCMS-01-2018-0003","DOIUrl":"https://doi.org/10.1108/JCMS-01-2018-0003","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to summarise and reflect upon key issues at the interface of prices, information and regulation with a focus upon the stock market in context. Reflecting upon academic research in the area of efficient markets, and regulatory policy, the concern is to discern issues in terms of policy and support for policy. What does the research imply for policy? Is it possible that the research, perhaps given its rhetoric, can be misinterpreted in relation to policy? The study is also concerned to develop avenues for future research based on these considerations.\u0000\u0000\u0000Design/methodology/approach\u0000The paper is an analytical and critical review and writing.\u0000\u0000\u0000Findings\u0000The reading of the research suggests a pragmatic regulatory policy that should be concerned to improve stock market functioning, including with respect to information, as well as the context of which this is part. At the same time, the literature may be read as promoting anti-regulatory policy.\u0000\u0000\u0000Practical implications\u0000On the one hand, these are consistent with the pragmatic policy referred to above. On the other hand, further research is suggested to explore substantively the rhetoric of the research and its interpretation and to explore understandings of the research and its implications amongst key constituencies in practice.\u0000\u0000\u0000Originality/value\u0000The concern is to bring key insights from the academic literature together with a view to promoting a pragmatic policy orientation, while cautioning in a critical perspective about how this academic literature and research might be interpreted from a policy perspective.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130479055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Comprehensive evaluation of the financial performance for intermediary institutions based on multi-criteria decision making method","authors":"G. Aras, Nuray Tezcan, Ozlem Kutlu Furtuna","doi":"10.1108/JCMS-04-2018-0013","DOIUrl":"https://doi.org/10.1108/JCMS-04-2018-0013","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to assess the financial performance of the intermediary institutions that have operated in the Turkish capital markets taking the issue of bank-origin and non-bank-origin institutions into account.\u0000\u0000\u0000Design/methodology/approach\u0000Financial performance of the intermediary institutions has been measured by the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) method between the years 2005 and 2016. In order to implement the TOPSIS method, the relative importance of financial performance indicators has been determined by Entropy, survey results and considering equal weights approaches.\u0000\u0000\u0000Findings\u0000Empirical findings indicate that the average performances of continuously operating intermediary institutions during the concerned period are above the average performance levels of all intermediaries. Additionally, the average rank of bank-origin intermediary institutions have been found higher than the non-bank origins for all years. This reveals that the average financial performance of the bank-origin intermediary institutions is higher than the average score of non-bank origins during the related years.\u0000\u0000\u0000Originality/value\u0000This study is unique in terms of evaluating the performance of intermediary institutions in Turkish capital markets with a comprehensive framework. Determining the relative importance of financial performance indicators according to entropy, survey results and equal-weight approaches and revealing the average financial performance ranking methodology for bank-origin and non-bank-origin intermediary institutions have added value.\u0000","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122992175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}