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Market Conditions and Fund Flows: Evidence from Hedge Funds 市场条件和资金流动:来自对冲基金的证据
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2013.10.1.8465
Wen-Hsiu Chou, Dongmin Ke, D. Xu
{"title":"Market Conditions and Fund Flows: Evidence from Hedge Funds","authors":"Wen-Hsiu Chou, Dongmin Ke, D. Xu","doi":"10.32890/ijbf2013.10.1.8465","DOIUrl":"https://doi.org/10.32890/ijbf2013.10.1.8465","url":null,"abstract":"This paper investigates whether market conditions affect fund investor behaviour in the hedge fund industry, especially the volatility in the up and down markets. Using a sample of 5,254 individual hedge funds from January 1994 to December 2009, we find that hedge fund investors tend to invest less during up and down-volatile markets.They also adopt different investment strategies in these two market conditions. When market is calm and relatively predictable, there is almost no difference in their behaviors between up and down markets. We also find that smart money effect exists over both 3- and 12-month periods under all market conditions except volatile markets. A further investigation suggests that the observed smart money effect is largely driven by hedge fund performance persistence, which is present and significant is quiet markets only. The findings are relevant to portfolio theories concerning investor recognition of upside and downside volatilities.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114522814","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}
引用次数: 1
IJBF NEW EVIDENCE ON THE EFFECT OF CBOE OPTIONS LISTING ON THE VOLATILITY OF NEW YORK LISTED STOCKS 芝加哥期权交易所期权上市对纽约上市股票波动性影响的新证据
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2008.5.1.8359
K. Mazouz
{"title":"IJBF NEW EVIDENCE ON THE EFFECT OF CBOE OPTIONS LISTING ON THE VOLATILITY OF NEW YORK LISTED STOCKS","authors":"K. Mazouz","doi":"10.32890/ijbf2008.5.1.8359","DOIUrl":"https://doi.org/10.32890/ijbf2008.5.1.8359","url":null,"abstract":"This paper re-examines the evidence on how the listing of options impacts on underlying stock’s volatility by taking into consideration the possible presence of a learning effect, along with the impact of the very endogenous nature of the options listing decision itself. Our analyses are centred on both the portfolio approach as well as the individual stock approach applied on the sample of optioned stocks with a matched control sample. The results show that the individual stock approach yielded accurate results, as it is amenable to both the sign and the statistical significance test of variance change. However, unlike the individual stock approach, the more frequently applied portfolio approach relies more on the sign rather than the statistical significance. Based on these analyses, we found no evidence of the CBOE-option listing effect’s presence on the volatility of the underlying stocks in the New York Stock Exchange.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123808670","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}
引用次数: 6
Determining the role of debt in the economy and a new approach for solving sovereign debt crises 确定债务在经济中的作用和解决主权债务危机的新方法
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2013.10.1.8470
M. Iqbal
{"title":"Determining the role of debt in the economy and a new approach for solving sovereign debt crises","authors":"M. Iqbal","doi":"10.32890/ijbf2013.10.1.8470","DOIUrl":"https://doi.org/10.32890/ijbf2013.10.1.8470","url":null,"abstract":"This paper aims to begin a dialogue on how to seek a longer term solution to the sovereign debt problems in general and those of EU in particular. Although the history of debt crises is quite old, none of the several solutions proposed and tried in the past have been successful to curb recurring debt crisis. This issue has assumed critical importance as the Eurozone debt crisis, which followed after the 2007-09 global financial crisis. Several governments have been outvoted in Europe due to this crisis and the cohesion of Eurozone is at stake. A rethinking on debt creation and its macroeconomic effects are being seriously studied. It seems that traditional options available to policy makers have lost much of their luster. It is high time that unconventional measures may have to be offered for consideration to provide longer term solution. This paper is a brief on the Islamic approach to the role of debt, and has potential to limit debt creation in the long term. We present some basic tenets of that approach referring in particular to the current dev eloped nation sovereign debt crisis.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125130138","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}
引用次数: 2
The Contagion from the 2007-09 US Stock Market Crash 2007-09年美国股市崩盘的蔓延
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2011.8.4.8445
A. Castellanos, Francisco Vargas, Luis G. Rentería
{"title":"The Contagion from the 2007-09 US Stock Market Crash","authors":"A. Castellanos, Francisco Vargas, Luis G. Rentería","doi":"10.32890/ijbf2011.8.4.8445","DOIUrl":"https://doi.org/10.32890/ijbf2011.8.4.8445","url":null,"abstract":"The global financial crisis that took place during the period 2007-09 had its most prominent manifestation in the general stock market crash. This could be studied from the perspective of financial contagion, using a mathematical tool known as wavelets. This paper aims to assess the impact of the US stock market crash on the other stock markets all over the world. As an initial point the assumption that the former was the epicenter of the global financial crisis stands out. In order to determine the existence of differentiated impacts that show the presence of inertial factors in different stock exchange markets, a filtering technique is used on stock market indexes to assess such impacts. The data series are worked out on different time scales in order to identify short and long term effects.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126353675","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}
引用次数: 7
Economic freedom, macroeconomic fundamentals and foreign direct investment in fast emerging BRICS and Malaysia 快速崛起的金砖国家和马来西亚的经济自由、宏观经济基本面和外国直接投资
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2013.10.1.8467
Cat Ho, Noryati Ahmad, Hayati Mohd. Dahan
{"title":"Economic freedom, macroeconomic fundamentals and foreign direct investment in fast emerging BRICS and Malaysia","authors":"Cat Ho, Noryati Ahmad, Hayati Mohd. Dahan","doi":"10.32890/ijbf2013.10.1.8467","DOIUrl":"https://doi.org/10.32890/ijbf2013.10.1.8467","url":null,"abstract":"This study investigates the major factors that determine the inflow of foreign direct investment (FDI) into fast emerging countries: Brazil, China, India, Russia, South Africa (BRICS) and Malaysia. Two sets of factors are identified: macroeconomic and country specific fundamentals. The period of analysis is 1977-2010. The study provides empirical evidence that economic growth, government consumption and trade openness are vital for FDI. In addition, country specific infrastructure quality and economic freedom are also critical factors in determining FDI for this group of countries. Our findings have significant policy implications for the growth and development of these countries, particularly through foreign direct investments.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122344055","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}
引用次数: 10
Exchange rate volatility and purchasing power parity: does euro make any difference? 汇率波动与购买力平价:欧元有影响吗?
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2010.7.1.8401
M. Manzur, F. Chan
{"title":"Exchange rate volatility and purchasing power parity: does euro make any difference?","authors":"M. Manzur, F. Chan","doi":"10.32890/ijbf2010.7.1.8401","DOIUrl":"https://doi.org/10.32890/ijbf2010.7.1.8401","url":null,"abstract":"This paper provides a new test of the purchasing power parity (PPP) and its relevance for the Euro. Principal component analysis (PCA) is employed to construct a pooled measure of inflation for 12 Euro-currency countries. This measure is used to test the PPP for Euro against three major currencies, namely, those of the Japan, UK and USA. The test results are then used to measure the speed of adjustment of the deviations from parity using rolling and recursive regressions procedures.Finally, the forecasting accuracy of the PPP-based Euro exchange rates is compared with those given by the random walk model, and the synthetic Euro series provided by the European Central Bank. In general, the results are supportive of PPP.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123760735","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}
引用次数: 11
Stock market contagion in the early stages of the global financial crisis: the experience of the GCC countries 全球金融危机初期的股市传染:海湾合作委员会国家的经验
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2010.7.1.8397
I. Moosa
{"title":"Stock market contagion in the early stages of the global financial crisis: the experience of the GCC countries","authors":"I. Moosa","doi":"10.32890/ijbf2010.7.1.8397","DOIUrl":"https://doi.org/10.32890/ijbf2010.7.1.8397","url":null,"abstract":"This study examines stock market contagion from the United States to the markets of the GCC countries during the period 2007-08. These countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates) were also experiencing accelerating debt levels, overheated real estate markets, and drying up of liquidity. The main hypothesis under investigation is that the collapse of the GCC stock markets did not result purely from contagion, in the sense that these markets did not follow closely the US market during that period. It is argued that local factors were more influential in triggering the collapse and that those markets would have collapsed with or without the global financial crisis. The empirical results show rather limited evidence for the effect of U.S. stock prices on GCC stock prices and a much more important role for oil prices. However, neither of these variables alone can explain the behaviour of GCC stock prices during the period under investigation because of the role played by the domestic factors that caused bubbles and crashes.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130202280","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}
引用次数: 13
Does Noise Signal Affect Flipping Activities 噪音信号会影响翻转活动吗
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2009.6.2.8392
Fennee Chong, Ruhani Ali, Zamri Ahmad
{"title":"Does Noise Signal Affect Flipping Activities","authors":"Fennee Chong, Ruhani Ali, Zamri Ahmad","doi":"10.32890/ijbf2009.6.2.8392","DOIUrl":"https://doi.org/10.32890/ijbf2009.6.2.8392","url":null,"abstract":"In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) in an offer for sale. It is affected by investors’ opinion about, for example, the new issue’s future prospect on the first listing day.The initial premium which is defined as the difference between the opening price and the offer price divided by the offer price is used as a proxy for noise signal. Using initial public offers listed on the Main Board of Bursa Malaysia during the period of 1991 to 2003, we find support for the relationship between noise signal and flipping activity in the immediate aftermarket as evident in several models tested as well as the bullish and bearish market models. Among the fundamental factors included in this study, bigger size of offer was found to discourage flipping activities.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130231102","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}
引用次数: 21
AN ANALYSIS OF BANK EFFICIENCY IN THE MIDDLE EAST AND NORTH AFRICA 中东和北非地区银行效率分析
The International Journal of Banking and Finance Pub Date : 1900-01-01 DOI: 10.32890/ijbf2012.9.4.8462
Saeid Eisazadeh, Zeinab Shaeri
{"title":"AN ANALYSIS OF BANK EFFICIENCY IN THE MIDDLE EAST AND NORTH AFRICA","authors":"Saeid Eisazadeh, Zeinab Shaeri","doi":"10.32890/ijbf2012.9.4.8462","DOIUrl":"https://doi.org/10.32890/ijbf2012.9.4.8462","url":null,"abstract":"This paper reports institutional factor effects on bank efficiency in Middle Eastern and North African countries during a recent 14 years. The methods used are: Stochastic Frontier Analyses and second-stage Tobit regression to investigate the impact of institutional-cum-financial as well as bank-specific variables on efficiency. Overall, the analysis shows that banks could save 20 percent of their total costs if they were operating efficiently. Factors that affect production efficiency are: macroeconomic stability, financial development, the degree of market competition, legal rights and contract laws, better governance and political stability. Differences in technology seem to be crucial in explaining efficiency differences. Our findings point to the importance of policies that aim to build stronger institutions, promote more competition, and improve governance. Policies should be aimed at giving banks incentives to improve their capitalization and liquidity. Improvements in the legal system and in the regulatory and supervisory bodies would also help to reduce inefficiency, areas of immediate concerns for this vast region. Finally, increased investments and upgrading of the stock markets in the region would help banks improve their performance through market-based investor actions.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125767565","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}
引用次数: 15
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