1,720,963 research outputs found
An Empirical Study of Pairs Trading in Cambodia Securities Exchange
Get PDFA pair trading strategy of two shares works when there is a co-integration between the two equities. This paper uses the two-step Engle and Granger method to establish whether or not the two stock price series had a long-run relationship. Since the residual term predicted from the sample regression function between the dependent variable, PPSP, and the independent variable, PWSA, is stationary, as indicated by the ADF test, all listed stocks in CSX, a pair of equities, PPSP and PWSA, are co-integrated. During the research period, the price spread increased three times to two standard deviations. At any point, one unit of outperformance stock is short, and one unit of co-integrated ratio is long. Pair trading has an average investment return of 8.0264 percent, outperforming the weighted average return of 1.1651 percent
Empirical Analysis of Commercial Banks\u27 Loans in Cambodia: Panel Data Models
No full textThe aim of this research is to employ three distinct panel models, specifically Pooled OLS, Fixed Effect, and Random Effect models, in order to investigate the impact of the five components of banks\u27 risk rating, referred to as CAMEL, on the loan growth rate of commercial banks. The measurement of these components included the equity to asset ratio for capital adequacy (C), the non-performing loan to loan ratio for asset quality (A), the operating expense to asset ratio for management capability (M), the return on asset for earning quality (E), and the liquid asset to asset ratio for liquidity (L). Furthermore, each model took into account two macroeconomic indicators, specifically the real GDP growth and the growth rate of money supply measured by broad money (M2), as control variables. Over a span of 12 years, from 2011 to 2022, a total of 22 commercial banks were carefully chosen. The results of the Fixed Effect test suggest that the FE model is more suitable when compared to the Pooled OLS model. However, the Hausman test indicates that the RE model is more appropriate than the FE model. The findings of this study revealed that the quality of assets played a highly significant role in determining the rate of loan growth. The slope coefficient in all three models was found to be statistically significant at a 5% level. Additionally, the management capability and earning quality were also found to have a statistically significant impact on the loan growth rate. Furthermore, the growth rate of real GDP was found to statistically influence the loan growth rate, whereas the impact of broad money on the loan growth rate was found to be statistically insignificant
Do Belt and Road Countries Promote Global Value Chains?
Get PDFIn order to strengthen the partnership both economically and politically among countries in the region, the Belt and Road Initiative (BRI) was introduced and implemented since 2013 by the People Republic of China. The main purpose of this policy is to provide the financial aids to the member states to develop necessary fundamental infrastructures such as roads, bridges, highways, railways, hydro dam and develop other sectors. Such an investment is vital to the member states to build their capacity to increase and strengthen their domestic production, especially encourage exporting the products to foreign markets. Moreover, BRI also aims to connect the production chains among the member states to allow them to share technology and build a strong manufacturing foundation and strengthen the competitive advantage. The purpose of this study, therefore, is to understand how the BRI encourage and increase the Global Value Chains (GVCs) participation. The Probit model is adopted in this study to predict the propensity score and also used to compare the economic structure between the BR and Non-BR member states. Based on the Balancing test, the result shows that the economic structure of BR countries, known as the treatment group are not similar to the Non-BR countries or control group. Last but not least, the empirical results of Different-in-Different (DID) model has indicated in contrast that becoming the member state of the BRI does not encourage the GVCs. Despite BRI is implemented since 2013 until now, it does not encourage the GVCs participation, instead it decreases the GVCs participation. On the contrary, the FTA between China and other partners is the major factor that encourages the GVCs participation
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Applying Value-at-Risk on A Portfolio Investment in The Cambodia Securities Exchange
Get PDFValue-at-Risk (VaR) is a very famous and popular model which has been widely used to measure the potential exposure of the value of loss of an underlying asset or an investment portfolio at a certain confidence level and holding period. The main objective of this paper is the implement all of the three approaches applicable to estimate VaR namely non-parametric, parametric, and Monte-Carlo simulation VaR on the synthetic investment portfolio which consists of HKL’s bond and five stocks listing and trading in CSX besides the securities the portfolio also includes the FX and commodity, such as, gold and crude oil. At the position date the initial market value of this portfolio is KHR 591,514,539. With the confidence level of 95% and the holding period of 1 day VaR is KHR 6,198,453, KHR 5,523,467 and KHR 5,354,189 estimated by the non-parametric, parametric and Monte-Carlo simulation respectively. This research also indicates that the non-parametric VaR is very simple to implement; therefore, this approach is highly recommended for the investors who intention is the estimate the risk exposure of the value of the assets or portfolio. On the other, the parametric and Monte-Carlo simulation approaches, which is perceivably more difficult than the non-parametric, are highly recommended for the study which intention is to seek high accuracy
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
An Examination of Monetary Aggregates in Cambodia: A Vector Autoregressive Model
Get PDFIn order to investigate the movement of monetary aggregate in Cambodia, a system of equations known as the Vector Autoregression (VAR) model was adopted. The model included four endogenous variables, namely broad money, inflation rate, exchange rate, and interest rate. The study period covered from January 2002 to March 2023. The Augmented Dickey-Fuller test indicated that the money supply and consumer price index series were integrated of order one, I(1), while the exchange rate and interest rate were integrated of order zero, I(0). To avoid spurious results, all data series were transformed to first differences and the VAR model was run. The optimal lag length of the model was determined to be one lag, as indicated by the Schwarz Information Criterion. The impulse response function revealed that inflation rate had a positive impact on the movement of monetary aggregate, while exchange rate depreciation had a negative impact on monetary aggregate. In contrast, the movement of interest rate had a less significant influence on money supply. The forecast error variance decomposition over twelve months into the future showed that the variation of monetary aggregate was mainly explained by exchange rate fluctuation, followed by inflation rate, and the least variation was caused by interest rate
The Effect of Fiscal Policy on Inflation Rate in Cambodia
Get PDFA reduced-form VAR model was employed to investigate the inter-relationship between three macroeconomic indicators, consumer price index, nominal exchange rate, and government expenditure. The estimated result of the forecast error variance decomposition indicated that the variation of inflation rates over the period of the study was mainly caused by the variation of itself about 96 percent in the short-run and reduced to around 81.31 percent in the long-run. This claimed that the price was sticky in Cambodia. In the short-run, the percentage change of exchange rate caused no more than 5 percent change of the variation of inflation rate, but the effect was predicted to be two and haft folds in the long run. The variation of inflation rate caused by the percentage change of government expenditure was no greater than 6 percent considered as low as compared to the percentage change of exchange rate. The estimated result of the impulse response function indicated that fiscal expansionary had a positive and negative effect on inflation rate in the short and long run, respectively
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