Finance Commons^™

Price Dislocations: Insights From Trade Repository Data, Albert Menkveld, Lucas Saru, Shihao Yu

Research Collection Lee Kong Chian School Of Business

This paper identifies price dislocation events in EuroSTOXX 50 futures, i.e., periods marked by high absolute returns. Combining public limit order book data with confidential trade repository data collected under the European Market Infrastructure Regulation (EMIR), we analyze market conditions around such dislocations. We find that price dislocations are accompanied by an increase in trading volume, and in the number of trades. EMIR data enables us to identify who participates in these trades, which allows us to tell if the volume increase is driven by fewer investors trading more, i.e., a more concentrated market, or by more investors participating. The …

Case Series Overview: Analysis Of Innovation Applications And Value Driven By Aigc Technology—An Early Investment Perspective In The Chinese Market, Siyuan Ma, Mengyu Wang, Tianyi Zhang

Sim Kee Boon Institute for Financial Economics

This case series explores the innovative applications and value analysis driven by AIGC (AI-generated content) technology from the perspective of early-stage investments in the Chinese market. We analyse the influence of core factors such as technology progression, market demand, policy environment, industry cycles and data on AIGC-driven value creation; case studies are provided to illustrate how AIGC has varying applications across different industries depending on market conditions. This series contains four cases: first, we first explore the investment opportunities of AIGC by combining the core technological value and industrial application status of generative AI, using China’s energy industry as a …

Credit Union Member Benefits: Does Local Religiosity Matter?, Travis Davidson, Thanh Ngo, Hongxia Wang

Finance and Economics

We examine the impact of religiosity on credit union member benefits and document a positive association between local religiosity and member benefits. Members of credit unions in more religious counties enjoy lower interest rates on loans, higher interest rates on deposits, and consequently lower interest spreads. The effect varies by credit union types, and results suggest a stronger association between religiosity and member benefits for credit unions with a narrower field of membership. Further analysis indicates local religiosity is associated with improved operating performance, lower non-interest expenses, and higher quality earning assets, but increased liquidity risk. The results are robust …

China’S Turn To Domestic-Led Growth: Replacing Consumption Taxes With Land Taxes?, Yilin Hou, Michael Kumhof, Lei Shao

Center for Policy Research

As part of its turn towards domestic-led growth China plans to stimulate consumption, including through a reduction in consumption taxes. We compare two model-based scenarios in which the revenue losses from lower consumption taxes are replaced by higher income taxes or higher land taxes. The model is carefully calibrated to recent Chinese data, including detailed fiscal data. We find that higher income taxes lead to significant losses in output and incomes, while higher land taxes lead to significant gains. These gains are increasing in the share of land in net wealth, a statistic for which better data would be invaluable.

Does Idiosyncratic Volatility Follow A Random-Walk? Evidence From U.S. Stocks, Zihan Cao, Ossama Elhadary

Publications and Research

In asset pricing literature, idiosyncratic volatility (IVOL) measures the firm-specific risk that is not explained by broader market movements. In this study, I investigate whether the idiosyncratic volatility (IVOL) of individual stocks follows a random-walk. Using monthly residuals from the Fama-French three-factor model (Fama & French, 1993), I estimate IVOL for more than 11,000 U.S. stocks, and apply the Augmented Dickey-Fuller test (Said & Dickey, 1984) to determine whether IVOL behaves like a random-walk. While most stocks display random-walk behavior, the proportion varies across industries, with some sectors showing deviations from random-walk behavior. Stocks with different levels of average return …

4 Of 4: Impact Of Policy And Technological Factors On Ai Innovation And Investment: The 2b Model Service Industry, Siyuan Ma, Mengyu Wang, Tianyi Zhang

Sim Kee Boon Institute for Financial Economics

This case explores AI investment opportunities in 2B model services, particularly in sectors that intrinsically benefit from the reduction in human error. We will analyse applications in the legal industry as an example of overarching 2B model service trends.

3 Of 4: Analysis Of Innovation Applications And Value Driven By Aigc Technology: An Early Investment Perspective In The Chinese Market, Siyuan Ma, Mengyu Wang, Tianyi Zhang

Sim Kee Boon Institute for Financial Economics

This case series explores the innovative applications and value analysis driven by AIGC (AI-generated content) technology from the perspective of early-stage investments in the Chinese market. We analyse the influence of core factors such as technology progression, market demand, policy environment, industry cycles and data on AIGC-driven value creation; case studies are provided to illustrate how AIGC has varying applications across different industries depending on market conditions. This series contains four cases: first, we first explore the investment opportunities of AIGC by combining the core technological value and industrial application status of generative AI, using China’s energy industry as a …

2 Of 4: Impact Of Human Resource Factors On Ai Investment: Ai In The Human Resource Market, Siyuan Ma, Mengyu Wang, Tianyi Zhang

Sim Kee Boon Institute for Financial Economics

This case will explore the implications that AIGC trends have on the development of the Chinese Human Resource (HR) market. While previous generation internet products were based on common needs and provided standardized products, the development of large AI models has opened doors to personalized custom products and services. Take AI applications in online education as an example: AI education models are developing to tailor to individual needs, since almost everything is not only digitalised but also based on dynamic database analysis for each user, including traffic distribution, sales conversion and service evaluation.

1 Of 4: Aigc Technology And Applications: Policy And Industry Development, Siyuan Ma, Mengyu Wang, Tianyi Zhang

Sim Kee Boon Institute for Financial Economics

This case explores the investment opportunities of AIGC by combining the core technological value and industrial application status of generative AI. We then analyse the impacts of these large-scale sectoral changes in a study of AI in China’s energy industry. We are currently in the early stage of the generative AI industry, thus it is analysed more from the perspective of early value investment, including trend investment opportunities brought by macro cycles, inflection point investment opportunities brought by industry transformation and application, and value creation brought by disruptive innovation. The early investment in the Chinese market is also at a …

Technical Appendix: Analysis Of Innovation Applications And Value Driven By Aigc Technology—An Early Investment Perspective In The Chinese Market, Siyuan Ma, Mengyu Wang, Tianyi Zhang

Sim Kee Boon Institute for Financial Economics

Following the introduction of generative AI/AIGC concepts and applications, it is necessary to clarify two related technical concepts: machine vision (CV) and convolutional neural networks (CNN). Computer Vision (CV) is a discipline that studies how to convert inputs such as images, sounds, and videos into a language that computers can understand. Taking 2D images as an example, all images can be broken down into very small pixels, each of which can be converted into a number (based on grayscale) or a combination of numbers. The number represented by each pixel is the feature of that pixel, and combining these numbers …

Eco 4000 – Statistical Analysis For Economics And Finance [Syllabus], Dmytro Dushko

Open Educational Resources

The course introduces econometric techniques that are useful for conducting empirical analyses in economics and finance. Its purpose is to enable students to master these concepts and successfully complete an independent empirical project. The course will be structured into three roughly equal parts: the first part will cover probability and sets, providing a foundation for statistical reasoning; the second part will focus on statistics, delving into quantitative methods for analyzing economic data; and the third part will introduce econometrics, emphasizing linear models that establish relationships between two or more variables of interest. We will explore linear models from both theoretical …

Investigating The Market Dynamics Of Aeroponically Cultivated Products With Delay, Pulak Kundu, Uzzwal Kumar Mallick

Mathematical Modelling and Numerical Simulation with Applications

Aeroponically grown potatoes offer higher yields and year-round production but often face delayed market entry due to high setup costs, technical barriers, and logistical challenges. A delay-based mathematical model has been newly proposed in this study to analyze the dynamics of demand, supply, and pricing for aeroponically grown products. The model’s existence, stability, and sensitivity have been investigated analytically, and numerical simulations have been carried out using the Runge-Kutta 4th order method with the dde23 solver. Findings reveal that market stability is maintained when delays are below seven years, but delays beyond this threshold lead to persistent fluctuations in price, …

Improving Schools To Promote Upward Mobility: The Promise And Limits Of School Finance Reforms, Sarah Reber

Brookings Scholar Lecture Series

As part of the Brookings Scholar Lecture Series, Brookings Mountain West presents a lecture titled, "Improving Schools to Promote Upward Mobility: The Promise and Limits of School Finance Reforms" by Brookings senior fellow in economic studies, Sarah Reber.

Systematic differences in access to high-quality schools by race, income, and other characteristics perpetuate inequality across generations. Local property tax financing of schools is often identified as a key cause of unequal educational opportunity. While the consensus of rigorous research supports the common intuition that, on average, “money matters” in improving educational outcomes, questions about how much, and under what conditions, school …

The Impact Of Stocks Traded In The Iraq Stock Exchange On Bank Credit Rates For The Period 2008–2023, Waleed Ashour Khalid

Muthanna Journal of Administrative and Economics Sciences

Trading volumes are one of the most important indicators of liquidity in financial markets. Although the Iraqi banking system has experienced liquidity turmoil since 2003, this has led to a significant decline in the stock market. This study aims to investigate the impact of trading volumes on bank credit in the Iraq Stock Exchange. Based on a sample of 60 companies listed on the Iraq Stock Exchange and 18 banks, the study spanned a 15-year period, from 2008 to 2023. Using the least squares method, we demonstrated the relationship between the liquidity of stocks traded in Iraqi financial markets and …

The Role Of Modern Costing Techniques (Green Target Costing, Total Quality Management) In Reducing Production Costs And Achieving Sustainable Development Goals: “An Exploratory Study In The Iraqi Stock Market”, Mawj Abbas Jasim Alhchaimi, Ali Mahdi Hameed, Fatimah Flayyih Oudah, Adnan Kadhum Matrood

Muthanna Journal of Administrative and Economics Sciences

Costing techniques, such as Green Target Costing and Total Quality Management, play a crucial role in achieving sustainable development goals. These techniques assist organizations in achieving integration between economy, environment, and society, leading to sustainable development. Green Target Costing helps identify and reduce environmental costs, encouraging companies to use resources efficiently, and contributing to sustainable development goals. Additionally, Total Quality Management improves quality, reduces costs, and promotes a quality culture within the organization, ultimately contributing to sustainable development through enhanced institutional performance. The use of these costing techniques, Green Target Costing and Total Quality Management, enables organizations to achieve sustainable …

The Role Of Visible Management Practices In Reducing Administrative Corruption, An Exploratory Study Of The Opinions Of A Sample Of Employees At The Technical Institute / Mosul, Yasser Salem Hussein Ahmed, Raghad Mohammed Yahya Suleiman Kharoufa

Muthanna Journal of Administrative and Economics Sciences

The research aims to determine the extent to which visual management, with its extended dimensions (setting work requirements, eliminating and purifying, and reducing waste), can limit its administrative impact in the research organization. The research problem crystallized in raising the following questions: What is related to the agreement and influence between management practices and management even after the management director? to achieve what the current research sought, the descriptive analytical approach was adopted. The study community was identified in the Technical Institute-Mosul, which is one of the formations affiliated with the Northern Technical University to apply the analytical aspect of …

Exploring The Relationship Between Quality Audits Performance Metrics And Compliance Within Healthcare Quality Management Systems, Abdulrahman Abdullah Alrahmani

Muthanna Journal of Administrative and Economics Sciences

This research examines the complex interconnections for quality audits, performance measurements, and compliance rates inside a healthcare quality management system by analyzing data coming from 500 patients across several departments within a single hospital. The study adopts a quantitative methodology, including diverse healthcare quality metrics such as patient satisfaction, infection rates, readmission rates, and medical mistakes. Statistical analysis indicated a robust positive connection (r = 0.808, p < 0.05) between quality audit scores, and performance measures, indicating, that elevated audit scores strongly predicted superior hospital performance. The association between compliance rates, and performance measurements used to be poor (r = 0.004, p > 0.05), indicating a more intricate interaction within the quality management system analysis for departments including Cardiology, Neurology, Orthopedics, Pediatrics, and General Medicine revealed comparable trends, alongside correlation values between 0.77, and 0.83. ANOVA …

The Role Of The Liquidity Gap In Credit Expansion - An Analytical Study Of A Sample Of Commercial Banks Listed On The Iraq Stock Exchange, Laila Abdul Karim Mohammed

Muthanna Journal of Administrative and Economics Sciences

This research aims to analyze the specificity of succession between nine and the expansion of credit on the establishment consisting of five private Iraqi commercial banks for the period (2014-2023). The research may be conducted at the level of descriptive analysis with standard employment trends and relative analyses and analysis of these ratios by relying on the following financial data of the banks under study and analyzing them, The research results showed that all the banks studied have a positive liquidity gap, but this excess liquidity was not reflected in credit expansion, as Iraqi banks behave conservatively in investing their …

Rising Waters, Falling Taxes: The Impact Of Hurricane Sandy On Property Tax Assessments In New York City, Wei Guo, Qing Miao, Yusun Kim, Yilin Hou

Center for Policy Research

Climate disasters pose fiscal challenges for local governments by increasing recovery costs and demand for property tax relief. Homeowners with or without property damage face tax burdens that may not match changes to their property value. This study examines the impact of Hurricane Sandy on property values and tax assessments in New York City. Using a difference-in-differences approach and comprehensive property-level data, we find that (1) inundated properties faced greater tax burdens due to limited declines in taxable value; (2) unaffected properties in flood zones saw tax burden increases due to declining market values and unchanged taxable values; and (3) …

The Impact Of Applying Of International Financial Reporting Standards (Ifrs) On The Quality Of Financial Information: Exploratory Study Of A Sample Of Academic Specialists Accounting And University Staff In The Kurdistan Region Of Iraq, Adil Abdulqader Mustafa Almzory, Firas Akram Mohammed Al-Aqrawi, Dlawar Qader Abbas

Muthanna Journal of Administrative and Economics Sciences

The objective of this study is to examine the qualitative characteristics of financial information and analyze their relationship with International Financial Reporting Standards (IFRS) and to investigate the perspectives of the study sample regarding the impact of IFRS on the quality of financial information Which shows that the research problem from the main and sub-questions is whether the International Financial Reporting Standards (IFRS) significantly affect the quality of financial information and the basic qualitative aspects of financial information. In this research, have been used primary data. Primary data have been collected through the answers received from Sample of Academic Specialists …