Business Commons^™

Market Efficiency And The Returns To Simple Technical Trading Rules: New Evidence From U.S. Equity Market And Chinese Equity Markets, Gary Gang Tian, Guang Hua Wan, Mingyuan Guo

Gary Tian

Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in markets with different efficiency level. To avoid using arbitrarily selected 26 trading rules as did by Brock, Lakonishok and LeBaron (1992) and later by Bessembinder and Chan (1998), this paper examines predictive power and profitability of simple trading rules by expanding their universe of 26 rules to 412 rules. In order to find out …

Workshop | Body Worn Video Recorders: The Socio-Technical Implications Of Gathering Direct Evidence, Katina Michael, Alexander Hayes

Alexander Hayes Mr.

- From in-car video recording to body-worn video recording

- Exploring available technologies: how do they work, pros and cons

- Storing direct evidence in secure storage: factors to consider

- Citizens “shooting” back with POV tech – what are their rights?

- Crowdsourced sousveillance- harnessing public data for forensic profiling

- Police force policies and practices on the application of new media

Reply To "Response: Board Composition And Firm Performance: Evidence From Bangladesh - A Sceptical View", Afzalur Rashid, Anura De Zoysa, Sudhir Lodh, Kathleen Rudkin

Kathy Rudkin

This paper replies to Chowdhury’s (2010) response to the paper "Board Composition and Firm Performance: Evidence from Bangladesh" (2010). It challenges the strength of the criticisms, arguing that the factors discussed in Chowdhury (2010) do not necessarily impair the outcome of the research. The authors elucidate issues raised, and in so doing, reproduce the results incorporating the commentator’s suggestions

The Effect Of Ownership Structure On Leverage Decision: New Evidence From Chinese Listed Firms, Qigui Liu, Gary Tian, Xiaoming Wang

Qigui Liu

This paper examines the effect of state control and ownership structure on the leverage decision of firms listed in the Chinese stock market. Our results show that state-owned enterprises (SOEs) have higher leverage ratios than non-SOEs, and SOEs in regions with a poorer institutional environment have higher leverage ratios than SOEs in better regions. We also show that the largest shareholding (the percentage of shares held by the largest shareholder) in the SOEs has a negative relationship with the leverage ratio, while the largest shareholding in non-SOEs has a non-linear relationship with the short-term and long-term debt ratios. Finally, this …

Macroeconomic Determinants Of Corporate Performance And Failure: Evidence From An Emerging Market The Case Of Jordan, Rami Zeitun, Gary Tian, Steve Keen

Gary Tian

This study investigates the impact of aggregate economic risk on a company’s performance and failure in a panel estimation using 167 Jordanian companies during 1989-2003. Our finding shows that unanticipated changes in interest rate negatively and significantly affect firms’ performance measured by ROA, which suggests that an interest rate rise increases the cost of borrowing and then further negatively affects a firm’s profit. We also found that both the production manufacturing index and Islamic credit facilities positively and significantly affect a firm’s performance. The positive and significant impact of Islamic credit facilities reflects the importance and the significance of the …

Do Migrants Rob Jobs?: New Evidence From Australia, Gary Gang Tian, Jordan Shan

Gary Tian

This study contributes to the recent debate on immigration and unemployment in Australia by investigating the causal linkage between immigration and unemployment. The question of whether `immigrants rob jobs' is examined by identifying the sources of unemployment through causal linkages between unemployment and other key variables such as immigration. The research finds no Granger causality between immigration and unemployment, but does run from industrial structural change to the high unemployment rate in Australia. This research also finds that both GDP growth and immigration inflow reinforce each other in the course of economic development in Australia.

Interactions Among China-Related Stocks: Evidence From A Causality Test With A New Procedure, Gary Gang Tian, Guang Hua Wan

Gary Tian

The purpose of this study is to investigate a causal relationship among five different indices of shares issued by Chinese firms, A-, B- and H-shares listed in China and Hong Kong. This paper re-examines the interactions among these China-related stocks using daily time series data by constructing a vector autoregresion (VAR) model. A new Granger no-causality testing procedure developed by Toda and Yamamoto (1995) was applied to test the causality link among these five stock indices. The results emerging from our research indicate that there are "closed" relations within A-share (as well as within B-share) between Shanghai and Shenzhen markets …

Disproportional Ownership Structure And Pay-Performance Relationship: Evidence From China's Listed Firms, Jerry Cao, Xiaofei Pan, Gary G. Tian

Xiaofei Pan

This paper examines the impact of disproportional ownership structure on the pay-performance relationship in China’s listed firms. We find that the cash flow rights of the ultimate controlling shareholder have a positive effect on this relationship while a divergence between the control rights and cash flow rights has a significantly negative effect. By dividing our sample into state owned enterprises (SOE), state assets management bureaus (SAMB), and privately controlled firms, we find that cash flow rights in SOE controlled firms have a significant impact on accounting based pay performance and cash flow rights in privately controlled firms also affect the …

Capital Structure And Its Implications: Empirical Evidence From An Emerging Market In South Asia, Athula Manawaduge, Anura De Zoysa, Palli Mulla K A Chandrakumara

Anil Chandrakumara

Using panel data regression analysis for a sample of 171 companies, this paper examines the implications of capital structure of corporate entities in an emerging market, Sri Lanka. The results demonstrate that most of the Sri Lankan firms finance their operations with short-term debt capital as against the long-term debt capital. It provides strong evidence to indicate that debt capital has a negative impact on firm performance. The study also found a significant negative relationship between tangibility and performance indicating inefficient utilization of non-current assets. The negative performance implications associated with over-utilization of short-term debts and the under-utilization non-current assets …

An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From South Asian Countries, Reetu Verma, Nelson Perera

Nelson Perera

In this paper, the long-run relationship between Sri Lankan exports and imports during the period 1950 to 2006 is examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The results failed to support the existence of a long-run equilibrium between exports and imports in Sri Lanka. This finding questions the effectiveness of Sri Lanka’s current long-term macroeconomic policies and suggests that Sri Lanka is in violation of its international budget constraint.

The Effect Of Ownership Structure On Leverage Decision: New Evidence From Chinese Listed Firms, Qigui Liu, Gary Tian, Xiaoming Wang

Qigui Liu

This paper examines the effect of state control and ownership structure on the leverage decision of firms listed in the Chinese stock market. Our results show that state-owned enterprises (SOEs) have higher leverage ratios than non-SOEs, and SOEs in regions with a poorer institutional environment have higher leverage ratios than SOEs in better regions. We also show that the largest shareholding (the percentage of shares held by the largest shareholder) in the SOEs has a negative relationship with the leverage ratio, while the largest shareholding in non-SOEs has a non-linear relationship with the short-term and long-term debt ratios. Finally, this …

The Impact Of Migrant Remittances On Economic Growth: Evidence From South Asia, Arusha V. Cooray

Arusha Cooray

Incorporating migrant remittances among other variables into a growth model, and employing panel data over the 1970-2008 period, this study investigates the impact of migrant remittances on economic growth in South Asia. Migrant remittances are found to have a significant positive effect on economic growth. A significant positive interactive effect of remittances on economic growth is detected through education and financial sector development.

Call Auction Transparency And Market Liquidity, Evidence From The Shanghai Stock Exchange, Gary G. Tian, Dionigi Gerace, Alex Frino

Dionigi Gerace

This paper examines the impact of pre-trade information transparency in pre-open call auction on market liquidity on the Shanghai Stock Exchange (SHSE). We examine the natural experiment affected by the Shanghai Stock Exchange in July 2006 when it changed its pre-open auction algorithm from an entirely black box into a limited transparent system with a closed order book. We find that the increase in pre-trade information transparency coincides with a statistically significant reduction in spread at the best quotes. The reduction in spread persists even after controlling for known determinants of depth. Furthermore, there is also evidence of a statistically …

Deficit Financing In Lcds: Evidence From South Asia, Muhammad K. Chowdhury

Khorshed Chowdhury

Fiscal policy triggers three distinct effects on the economy such as (1) interest rate effect (2) price effect and (3) exchange rate effect. A VAR system was developed to capture these effects in jive South Asian countries. Empirical results suggest that budgetary action does not have any perceptible influence ·on the interest rate of the sampled countries. In terms of the price effect, fiscal action has opposite effects in Bangladesh and India. Fiscal action tends to increase aggregate price level in India but reduces the price level in Bangladesh, although the magnitude is very small. For Pakistan the price effect …

Disproportional Ownership Structure And Pay–Performance Relationship: Evidence From China's Listed Firms, Jerry Cao, Xiaofei Pan, Gary Tian

Xiaofei Pan

This paper examines the impact of ownership structure on executive compensation in China's listed firms. We find that the cash flow rights of ultimate controlling shareholders have a positive effect on the pay–performance relationship, while a divergence between control rights and cash flow rights has a significantly negative effect on the pay–performance relationship. We divide our sample based on ultimate controlling shareholders' type into state owned enterprises (SOE), state assets management bureaus (SAMB), and privately controlled firms. We find that in SOE controlled firms cash flow rights have a significant impact on accounting based pay–performance relationship. In privately controlled firms, …

Long-Run Mortality Effects Of Vietnam-Era Army Service: Evidence From Australia's Conscription Lotteries, Peter Siminski, Simon Ville

Simon Ville

We estimate the effect of Vietnam-era Army service on mortality, exploiting Australia's conscription lotteries for identification. We utilize population data on deaths during 1994-2007 and military personnel records. The estimates are identified by over 51,000 compliers induced to enlist in the Army. We find no statistically significant effects on mortality overall, nor for any cause of death. The estimated relative risk (RR) of death associated with Army service is 1.03 (95% CI: 0.92, 1.19). On the assumption that Army service affected mortality only for those who served in Vietnam, the estimated RR is 1.06 (95% CI: 0.81, 1.51).