Advances in Decision Sciences最新文献_第9页

Extension of Stein’s Lemmas to General Functions and Distributions 斯坦引理在一般函数和分布中的推广

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i4p77-88

Moawia Alghalith, W. Wong

引用次数: 1

Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries 美国货币和股票市场的时变溢出效应:两个多世纪以来的历史证据

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i4p44-76

Semei Coronado, Rangan Gupta, Besma Hkiri, O. Rojas

{"title":"Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries","authors":"Semei Coronado, Rangan Gupta, Besma Hkiri, O. Rojas","doi":"10.47654/v24y2020i4p44-76","DOIUrl":"https://doi.org/10.47654/v24y2020i4p44-76","url":null,"abstract":"In this paper, we analyze time-varying causality between the dollar-pound exchange rate and S&P 500 returns over the monthly period of September, 1791 to September, 2019. Based on a Dynamic Conditional Correlation-Multivariate Generalised Autoregressive Conditional Heterosckedasticity (DCC-MGARCH) framework, we find that evidence of unidirectional causality between the two returns is in general weak, and primarily restricted to the period following the breakdown of the Bretton Woods agreement. However, instantaneous spillovers across the returns of these two markets is quite strong, which in turn tends to suggest the existence of nonsynchronous trading and also high-frequency causal dependency, with the latter confirmed based on daily data covering 3 January 1900 â€“ 4 October 2019. Moreover, the underlying DCC reveals that there is actually portfolio diversification opportunities for investors. Finally, an analysis of the second moments reveal much stronger evidence of volatility spillovers between these two assets, when compared to the return linkages. This result has important implications from the perspective of policy making aiming to reduce the impact of uncertainty on the real economy.","PeriodicalId":38875,"journal":{"name":"Advances in Decision Sciences","volume":"24 1","pages":"44-76"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70849998","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: 5

Does Political Dominance Impact Economic Inequality? 政治优势影响经济不平等吗?

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i1p121-149

H. Ryu, D. Slottje

引用次数: 1

The US Term Structure and Return Volatility in Global REIT Markets 全球房地产投资信托基金市场中的美国期限结构和收益波动

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i3p84-109

Rıza Demirer, Rangan Gupta, Asli Yuksel, Aydin Yuksel

{"title":"The US Term Structure and Return Volatility in Global REIT Markets","authors":"Rıza Demirer, Rangan Gupta, Asli Yuksel, Aydin Yuksel","doi":"10.47654/v24y2020i3p84-109","DOIUrl":"https://doi.org/10.47654/v24y2020i3p84-109","url":null,"abstract":"This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components that reflect the expectations factor and the maturity premium. We show that the expectations factor component of the U.S yield curve has significant explanatory power over return volatility in REIT stocks, both in the U.S. and globally, even after controlling for stock market trading activity. The expectations factor is generally found to have a positive effect on REIT market volatility, more significantly for the U.S. and Japanese REITs, highlighting the role of global funding conditions (via expected short rates) on return fluctuations in real estate markets. Comparing the findings for the pre- and post-global crisis periods, however, we find that the U.S. term structure has largely lost its explanatory power over global REIT markets, implied by largely insignificant effects during the post-global crisis period. The findings highlight the changing dynamics in REIT investments in the aftermath of the 2018 global credit crunch, possibly due to the slowdown of investments in the real estate sector globally, and suggest that investors will have to focus more on the idiosyncratic risk factors that drive these markets.","PeriodicalId":38875,"journal":{"name":"Advances in Decision Sciences","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70850170","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: 0

Summary of Advances in Decision Sciences (ADS) – 2020 决策科学进展综述(ADS) - 2020

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i4p89-100

引用次数: 1

Net Interest Margin of Commercial Banks in Vietnam 越南商业银行净息差

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i1p1-27

Nguyen Duy Suu, Thu-Quang Luu, Kim-Hung Pho, M. McAleer

引用次数: 12

Impact of Board Characteristics and State Ownership on Dividend Policy in Vietnam 越南董事会特征和国有制对股利政策的影响

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i4p1-34

Dang-Khoa Duong, T. Phan, Kim-Hung Pho, M. McAleer

{"title":"Impact of Board Characteristics and State Ownership on Dividend Policy in Vietnam","authors":"Dang-Khoa Duong, T. Phan, Kim-Hung Pho, M. McAleer","doi":"10.47654/v24y2020i4p1-34","DOIUrl":"https://doi.org/10.47654/v24y2020i4p1-34","url":null,"abstract":"The relationship between board characteristics and state ownership on dividend policy has been carefully examined in the literature in developed and emerging markets. This paper would seem to be the first to analyse the impacts of board gender diversity and state ownership in the Vietnam market for the following: (1) the number of female directors on the boards of directors is about 25%, which is the highest among South-East Asian countries; and (2) Vietnam has not fully transformed into a market economy, so the state ownership in the listed firm is apparent. Therefore, it is worth trying to examine the impacts of board gender diversity and state ownership on dividend policy in Vietnam. This paper illustrates that the female CEO and female CEO duality decrease the dividend ratio, while chairwomen tend to use dividend ratio as a tool to manage the company. Moreover, Boards of Directors (BODs) with more than three female members usually decrease the dividend payout ratio. The empirical findings are consistent with agency theory, as managers increase payouts to reduce free cash flow and agency costs in firms. The results also indicate that there is an inverse relationship between state ownership and the dividend payout ratio. It is due to higher state ownership allows firms to access external debts easily, so these firms pay high dividends to reduce agency costs. Moreover, governments perceive dividends from holding capital in listed firms as a source of revenue for the state budget. Therefore, firms with higher state ownership are more likely to increase dividend payouts.","PeriodicalId":38875,"journal":{"name":"Advances in Decision Sciences","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70850432","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

Review of Matrix Theory with Applications in Education and Decision Sciences 矩阵理论及其在教育与决策科学中的应用综述

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i1p28-69

N. Hau, T. T. Tình, Hoa Anh Tuong, W. Wong

引用次数: 2

Analysis of Bus Commuting Time of High School Students in Taichung City, Taiwan 台中市中学生巴士通勤时间分析

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i2p167-189

Y. Lien, Jing-Doo Wang, S. Pan, Cheng-Yuan Ho, S. Liao

引用次数: 1

Revisiting the Role of Gender in Health Taxonomy: Evidence from the Elderly in India 性别在健康分类中的作用:来自印度老年人的证据

Advances in Decision Sciences Pub Date : 2020-01-01 DOI: 10.47654/v24y2020i2p104-133

D. Ghosh, Jaydeep Sengupta, A. Tiwari

引用次数: 0