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A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market
No full textInternational audienceWe employ a multi-stage methodology combining complex network analytics and financial risk modelling to unveil the correlation structures amongst the price jump risks of companies forming the KSE-100 index in Pakistan. We identify the most influential companies in terms of jump risk, and identify communities — clusters of companies with similar price movement characteristics or with highly correlated price jumps. We find that equities in Pakistan stock market experience jumps in different time periods that are correlated to varying degrees within and across industries resulting in 19 different communities, four of which are strongly connected. While Oil & Gas, Cement and Banking sectors exhibit a significant representation of firms in communities, the automobile industry, however, seems to play an important role in risk propagation. These results provide an interesting insight to investors and other stakeholders from an emerging market viewpoint identifying the major sectors driving the volatility of KSE-100 index
An integrated production scheduling and delivery route planning with multi-purpose machines: A case study from a furniture manufacturing company
No full textInternational audienceRecently, many modern industries have adopted joint scheduling of production and distribution decisions. Such coordination is necessary in make-to-order (MTO) businesses, where it is challenging to achieve timely delivery at minimum total cost and meet the requirements for high customization. To deal with these challenges, a practical production configuration and delivery method is required, in addition to a closer link between production and distribution schedules. Hence, in this study, we address an integrated production scheduling-vehicle routing problem with a time window, where it is assumed that production is performed in a flexible job-shop system. Our framework is modeled as a novel bi-objective mixed integer problem, in which the first objective function aims to minimize a sum of the production and distribution scheduling costs, and the second objective function tries to minimize a weighted sum of delivery earliness and tardiness. To practically validate the application of our framework, a case study from a furniture manufacturing company producing customized goods is considered, and experimental data are derived. Based on the real data, the model is first optimally solved by an e-constraint method, and then a Hybrid Particle Swarm Optimization (HPSO) algorithm is developed to solve the model for medium- and large-sized problems in a reasonable time. We discuss the benefits of integration by comparing the results of the proposed model with that of the separate approach. The results show that the company can establish a proper rational balance between cost and customer concerns, and they can use the integration policy as a lever to improve customer satisfaction without the system experiencing a significant increase in total operational cost
Understanding Heterogeneous Consumer Preferences in Chinese Milk Markets: A Latent Class Approach
No full textInternational audienceWe examine heterogeneous consumer preferences in Chinese milk markets. Using a discrete choice experiment, we examine how the brand, quality certification, traceability label and price influence consumers’ milk choices. We identify four consumer segments using a latent class model: price conscious (9.8%), balanced thinking (19.8%), health conscious (57.5%), and environment conscious (12.9%) consumers. These four segments have distinct preferences: price conscious consumers prefer green certification; balanced thinking consumers have the highest willingness to pay for traceability labels; health conscious consumers have strong brand awareness; and environment conscious consumers prefer organic certification and traceability labels and use price as a quality signal. Such diversity of consumer preference can be explained by four psychological factors: price consciousness, food safety concerns, health consciousness and environmental concerns
Which is the relationship between the product's environmental criteria and the product demand? Evidence from the French food sector
No full textInternational audienceThe purpose of this paper is to identify which environmental criteria can influence the product demand in a context of business-to-business. These criteria can be related to the product's environmental characteristics, to the organization strategies or green practices developed by the firms and to the supplier selection process.Building the conceptual framework from the literature review, a set of environmental criteria were extracted, selected and validated. These criteria were used as a basis for the definition of a questionnaire survey that was sent to 5820 professionals from the food industry in France. The analysis of the 248 complete answers shows that the environmental characteristics of the product can influence product's demand. The most influential attribute to improve the product's environmental quality that increases the product's demand is the introduction of organic labelled raw materials. Besides, the practices that influence mostly the product demand are related to the geographical proximity with the stakeholders. Moreover, the results show that the most important selection criterion when choosing a supplier is the importance given to the quality and environmental performance of components offered. Hence, we show that in the French food market, as opposite to what is usually assumed in many research works, the carbon emissions yield during the production process and transportation process have still no significant impact on products' demand. Lastly, in this work, we quantify the demand increase that company can achieve when enhancing the environmental quality of its products. We show that the impact of the enhancement of those criteria on the demand can have different aspects. 55.6% of respondents advocate for a demand increase and most of them (33.6%) estimate this increase between 5 and 10% of the initial demand. Finally, some respondents (4.8%) indicate that the enhancement of environmental quality does not necessarily increase the demand. However, without efforts to enhance the environmental quality of their products, the demand can decrease.These findings allowed concluding that the business-customers are becoming more and more exigent by privileging organic labelled and local products and making that the companies analyse the geographical proximity with the stakeholders as a key factor during the selection process. We provide companies managers in food industry with better understanding about the environmental criteria that increase the products demand helping them to target the right decisions and to be efficient in their process of environmental quality enhancement. We also assess and try to quantify and give an estimation about the demand evolution regarding the enhancement of product's environmental quality. Our findings are also helpful for Operational Research community
Currency returns during democratic transition: evidence from Tunisia
No full textInternational audienceThe purpose of this paper is to investigate the question whether democratic transition elections influence currency returns. Also, the paper examines the behavior of the currency market around these elections in Tunisia
Assessment of the impact of progressive carbon taxation strategies on Supply Chain’s strategic decisions and performances
No full textInternational audienceThe carbon tax legislation has been widely advocated as a cost-efficient law to push companies to reduce their carbon emission through their supply chain’s (SC) activities. Based on a carbon emission reduction’s target, different carbon taxation strategies have been implemented around the world. Generally, governments launch the carbon tax with a relatively low carbon price and plan to increase it incrementally over the years by adopting various strategies in a way to attend their emission reduction objective. The majority of developed mathematical models within the green supply chain design (GSCD) under carbon tax legislation have ignored the dynamic aspect of this legislation. Within this paper, we aim to contribute to the literature by studying the impact of the dynamic carbon tax legislations on the strategic decisions of a SC, its economic and environmental performances. Within this optic, we study the technology investment problem under different progressive strategies of carbon taxation, mainly a linear, a convex and a concave carbon taxes functions as well as a constant carbon tax law. Our objective is to assess and compare the efficiency of these progressive strategies for the purpose of assisting companies that are greening their SCs, in finding a compromise between reducing their carbon emissions and increasing their profits
Joint pricing and inventory decisions for perishable products with age-, stock-, and price-dependent demand rate
No full textInternational audienceThis article presents a deterministic model for jointly optimising pricing and inventory control of a perishable product subject to both physical deterioration and freshness condition degradation. The demand for the product depends on its price, the current inventory level and the freshness condition. Our model allows for any positive amount of end-of-cycle inventory. Conditions for the existence and uniqueness of an optimal solution of the model are developed and an algorithm is suggested to find the optimal values of the price, the cycle length, the order quantity, and the end-of-cycle inventory. Then, numerical examples are given, and sensitivity analysis is performed. Our study contributes to satisfying the need for inventory models that consider simultaneous physical deterioration and freshness degradation of perishable products along with price-, age- and stock-dependent demand
A behavioral perspective on corporate dividend policy: evidence from France
No full textInternational audiencePurposeThis paper empirically examines the catering theory of Baker and Wurgler (2004) in the particular context of France. Considering the characteristics of French market – known for its high concentration of capital – it attempts to highlight the role family control plays in the managerial tendencies to satisfy non-informative dividend demands.Design/methodology/approachThe paper focuses on a large data set of French firms included in the SBF-250 index over a period of 1992-2010. It uses a variety of dividend policy measures, including dividend premium, percentage of dividend-paying firms and probability of paying dividends. It adopts appropriate empirical specifications (time-series and probit models) to substantiate the research hypotheses.FindingsThe empirical findings show that the percentage of payers rises with the dividend premium, and that the dividend premium and the confidence index of French households are negatively correlated. This reflects the sensitivity of dividend demand to investor sentiment. Moreover, results of multivariate panel regression show a positive and statistically significant effect of the dividend premium on the firm’s tendency to pay, after controlling for firm characteristics. Finally, it finds that the dividend premium effect disappears in the case of family-controlled firms. This result is in line with the long-term orientation of family firms.Research limitations/implicationsThe study focuses on the dividend payment behavior of French firms. Although dividends are deeply engrained in France, authors believe that it will be interesting to look at the whole payout policy and particularly the role played by share repurchases.Practical implicationsAddressing short-term catering and managerial opportunism, the results of this study may be of interest for shareholders, potential investors and regulators.Originality/valueTo the best of the authors’ knowledge, this is the first study that provides empirical evidence on Baker and Wurgler (2004) catering theory by considering the particularity of French market where, unlike the US, percentage of dividend-paying firms is high and the corporate ownership structures are different
Strategy execution in public sectors: empirical evidence from Belgium
No full textInternational audienceMany public sector organizations have shown a consistent lack of capability to execute their strategic plans compared with private sector organizations. This failure explains why most public sector organizations are grappling with the dynamics of the twenty-first century in service delivery. Further, the strategy execution gap is vast in the public sector organizations than in the private sector organizations. The purpose of this paper is built based on the curiosity to develop a conceptual model that can close the strategy execution gap in public sector organizations
Co-movements between Bitcoin and Gold: A wavelet coherence analysis
No full textInternational audienceIn this paper, we use dynamic conditional correlations (DCCs) and wavelet coherence to examine the hedging and diversification properties of gold futures vis-à-vis Bitcoin prices. Our research aims to reveal whether the bubble patterns of behavior in gold futures prices can be used to hedge against the bubble behavior in the Bitcoin market in the short-term, and vice versa; as well as whether each can be used to manage and hedge overall market and sector downside risk of the other asset/commodity. We find evidence of volatility persistence, causality, and phase differences between Bitcoin and gold futures prices. Contagion is observed to increase during the European sovereign debt crisis. Wavelet coherence results indicate a relatively high degree of co-movement across the 8–16 weeks frequency band between Bitcoin and gold futures prices for the 2012–2015 time period