Scientific Annals of Economics and Business
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Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures
Get PDFThis study investigates the use of several trading strategies, based on Machine Learning methods, to profit on the risk premium of the Nordic electricity base-load week futures. The information set is only composed by financial data from January 02, 2006 to November 15, 2017. The results point out that the Support Vector Machine is the best method, but, most importantly, they highlight that all individual models are valuable, in the sense that their combination provides a robust trading procedure, generating an average profit of at least 26% per year, after considering trading costs and liquidity constraints. The results are robust to the different data partitions, and there is no evidence that the profitability of the trading strategies has decreased in recent years. We claim that this market allows for profitable speculation, namely by using combinations of non-linear signal extraction techniques.JEL Codes - G13; G14; Q4
The Transmission of Global Commodity Prices to Consumer Prices in a Commodity Import-Dependent Country: Evidence from Morocco
Get PDFThis paper uses the Breitung and Candelon (2006) causality test to examine the effect of global oil and food price changes on the inflation in Morocco over the period from 1998Q1 to 2018Q1. The results show significant transmission from oil and food prices to domestic inflation. Specifically, the food prices are shown more important than oil prices in explaining inflation in the short-run, which reflects the high weight of food in the consumption basket. However, the effect of oil prices on inflation is much more persistent than the effect of food prices. Furthermore, the impact of commodity price shocks on inflation exhibits asymmetries. The oil price hikes affect more weakly the inflation than oil price decreases, whereas the food price increases are more transmitted to inflation than food price decreases. Our findings may provide useful information to researchers and policymakers in formulating more appropriate monetary policy.JEL Codes - C32; E31; Q0
Financial Literacy Perception Scale for the Portuguese Population
Get PDFThis study aims to propose and validate a financial literacy perception scale for the Portuguese population. The utilized methodology was quantitative, based on a two-part questionnaire survey. The first part studies the sociodemographic profile and the second part evaluates the respondent's perception of financial literacy. The sample consisted of 830 Portuguese individuals, over 18 years old. The main results of this study demonstrate that the financial literacy perception scale presents a tri-factorial structure with satisfactory validity and reliability levels. The three obtained factors are 1-2 years financial planning and goals, long term savings and an affinity for numerical calculation. This study contributes to the increase of scientific knowledge in the field of financial literacy, to the assistance of financial education policymakers in the reformulation of their policies and to the creation of tools to help consumer financial behavior.JEL Codes - G02; G11; G2
An Effectiveness Assessment of Preventive Management Strategies in order to Manage Non Performing Assets in Indian banks: A Case Study
Get PDFThere are two kinds of strategies to control Non Performing Assets i.e. curative and preventive. The paper is an attempt to focus on the effectiveness of various preventive strategies in controlling NPA in future.For this study primary data have been collected from 82 branches out of 138 branches of Sagar District in Madhya Pradesh of India. The respondents are the branch managers or recovery officer of each branch.The primary data are related to the causes of NPA, actual usage of preventive measures and effectiveness of each preventive strategy. It highlights few new causes which are barely covered by the earlier researches. The study also represents the actual usage of various preventive measures along with the effectiveness of preventive measures in averting NPA to be occurred in future. The outcome of this study could provide a valuable insight about which strategy is more effective to prevent these stressed assets. Besides that, it could aware the banking authorities regarding the problems faced by the managers in using the preventive measures.JEL Codes - G21; G23, G2
Environmental Audit and Environmental Disclosure Quality
Get PDFIn this study we explore the association between environmental audit and the quality of environmental disclosure as measured by voluntary and timely disclosure. Relying on a multiple theory framework and using a sample of 81 French non-financial companies listed on the SBF 120 index covering the six-year period from 2012 to 2017, we found a positive and statistically significant relationship between the level of voluntary disclosure of environmental information and the environmental audit committee, the environmental auditor's BIG 4, debt levels, firm size, earnings management, and the industry. In addition, findings indicate that the environmental audit committee, CSR committee, the environmental auditor's BIG 4, earnings management, firm size, and the industry have an impact on the timely disclosure of environmental information. However, the regression of the results showed that there is no relationship between CSR committee and the level of the voluntary disclosure of environmental disclosure.JEL Codes - M4
Sponsoring Esports to Improve Brand Image
Get PDFThis research aimed to identify how esports sponsorships affect the sponsors’ brand image. An exploratory focus was adopted along with a convergent-parallel mixed method with equal status. Twenty-two experts in esports sponsorships were interviewed and 5,638 esports fans were surveyed. Quantitative data was processed on SPSS 25 and qualitative data on NVivo 10. The two data sets were analysed separately from one another, but the results were interpreted together and given the same level of importance. The results showed that all experts believe that sponsoring esports can positively affect the sponsors’ brand image and roughly one-third of fans perceive more positively a small number of brands as a result of them sponsoring esports. This image improvement is, however, dependent on multiple variables, including activation strategy, brand type, and target audience. The findings are relevant for academics and companies looking to better understand the brand image effects of sponsoring esports.JEL Codes - M31; M3
Development Impact Bonds in Financing Flood Risk Management
Get PDFIn this paper, the authors propose a new innovative solution to financing flood prevention and financing its consequences using the development impact bonds model. Firstly, the necessity of financing the flood problem is to be described as a public task, including the presentation of previous methods and solutions. Secondly, the authors derive a new model for financing flood problems basing on development impact bonds. This kind of financing comes from the New Public Management idea called “payments-by-results”. The new model shows that there is a possibility to construct a financial mechanism, which allows financing anti-flood interventions, such as relocation of residents from flood-threatened areas, using private financial resources, and giving the government the guarantee to pay only for the success of the intervention, which means a guarantee of effective public spending. At the end of the paper a SWOT analysis into this solution is presented.JEL Codes - G22; G23; H40; H54; H70; H84; Q5
Does Polarized Political Environment Hamper Foreign Investors? The Evidence from Parliamentary Democracies
Get PDFThe socio-political characteristics of the host environment influence investment decisions. The complexity of the political setup strengthens the need for advanced research in the field. The main contribution of this article is to identify the party polarization as a separate dimension of the political system. This paper examines the relationship between the foreign direct investment (FDI) inflows and the host country political factors: the party polarization and the political stability. Besides constructing the political polarization index in a traditional way, authors also formulate a novel measure, which explicitly shows the divergence of political parties on economic actions. By using the manifesto data of 50 parliamentary democracies based on fixed effects model, authors conclude that political polarization is an important socio-political factor which has been previously neglected in literature while addressing the determinants of foreign investments. The paper shows that the effect of political polarization on FDI inflows changes for country groups of different institutional and development indicators. Authors underline the importance of political instability in tackling the polarization impact on capital flows. Accounting together the two variables, the authors find a negative significant effect on FDI.JEL Codes - C33; D72; F21; F23; F50; P1
Challenges for China’s Sustainable Growth
Get PDFFor more than a quarter of a century, China has experienced a significant economic growth. Yet, this rapid growth has brought on many economic, social and environmental challenges, which might negatively influence the future development of the country. The objective of this paper is to analyse the Chinese economic evolution in order to determine if its growth model is sustainable over time. The research methods consisted in an investigation of the specialized literature, which helped us formulate four research hypotheses, and in a statistical analysis of secondary data, which allowed us develop four models, in order to test the hypotheses. The conclusions show that, to sustain the growth rate, China needs to increase its human capital stock, to keep the pace of attracting the foreign investments, to reduce the size of the government, to diminish the public consumption and to invest in the renewable energy, for increasing the energy efficiency.JEL Codes - Q01; I25; F21; Q5
You Need Three Butterflies to Cause a Hurricane
Get PDFThe aim of this study is verifying the impact of high volatility, scarce liquidity and stop-loss orders on abnormal events like the May 6, 2010 Flash Crash. The paper assumes those three factors to be the main drivers, proposes a mathematical model based upon them and analyses audit trail data to verify whether those factors actually were at the origin of that event. It uses the concept of 'run', an uninterrupted sequence of trades all occurring in the same direction and compares volatility, liquidity and occurrence of stop-loss orders over the analysis period. The results found provide suggestive evidence that a combination of the three factors contributed to the crash. Each of them, taken individually, does not usually lead to extreme behaviours. Even two factors together may not disturb the orderly functioning of the markets but the combination of volatility, scarce liquidity and stop-loss orders may lead to a crisis.JEL Codes - G1