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High levels of turnover in financial markets are consistent with the notion that trading, like gambling, yields direct utility to some agents. The purpose of this paper is to show that the presence of these agents attenuates covariance risk pricing and volatility, and implies a negative relation between volume and future returns. Since psychological literature indicates that the desirability of a gamble arises from the ex ante volatility of the outcome, the authors propose that agents derive greater utility from trading more volatile stocks. These stocks earn lower average returns in equilibrium, although the risk premium on the market portfolio is positive. The authors then consider a dynamic setting where agents’ utility from trading increases when they make positive profits in earlier rounds (e.g. due to an endowment effect). This leads to “bubbles,” i.e. disproportionate jumps in asset returns as a function of past prices, higher volume in up markets relative to down markets, as well as a leverage effect, wherein down markets are followed by higher volatility than up markets.

Analytical.

The presence of gamblers attenuates covariance risk pricing and volatility, and implies a negative relation between volume and future returns. If gamblers prefer more volatile stocks, these stocks earn lower average returns in equilibrium. If agents’ utility from trading increases when they make positive profits in earlier rounds (e.g. to an endowment effect), this leads to higher volume and lower volatility in up markets relative to down markets.

No paper has previously modeled agents who derive direct utility from trading.

This study aims to examine the transmission mechanism of factors on the characteristic fluctuation of Vietnamese coffee bean export price (PVN).

Applying Markov switching–vector autoregressive model.

Significantly, the empirical results showed that the transmission of independent variables on PVN is non-linear, and the fluctuation of PVN is affected by many factors, especially PVN in the previous period. In addition, the effect of Robusta coffee price was the greatest with coefficient is 0.28785, and the correlation between PVN and it was also the highest in both regimes with coefficients are 0.5317 and 0.3959, respectively.

These obtained results are in accordance with reality, as Vietnam is the largest exporter of Robusta coffee in the world.

This paper aims to illustrate, within the context of a well-known linear diversification model, that risk management as exerted by banks and regulators ultimately depends on how risk is assessed and conceptualized. The two risk metrics used are the probability of bank failure and value at risk (VaR). The paper also extends the results of the model by incorporating an explicit analysis of correlation of the bank's portfolios.

The paper is based on a well-known model of linear diversification of two banking institutions developed by Wagner (2010) in the Journal of Financial Intermediation. The authors added considerations that were unexplored by Wagner and derived the corresponding logical and practical implications.

The authors found that depending on which of the two risk metrics being used, the way diversification is perceived and risk is managed may differ. This situation may very well end-up generating different incentives for banks and regulators. The authors suggest a general rationale for considering how to think about the apparent dilemma and the challenges faced by regulators. The authors also offer an explicit analysis of correlation for the bank's portfolios.

The results are dependent on the particular aspects of the model, so the research results may lack generality in other contexts.

Despite the limitations already mentioned, the paper illustrates some relevant points within the open debate about risk measurement and diversification.

This paper contributes to the open discussion of diversification, risk perception and systemic crisis.

This paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.

This survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels.

The positive effect of QE announcements on stock and bond prices seems to be unified across studies. A contagion effect from US QE to other emerging markets is identified, while currency devaluation is present in most cases for the country that its central bank adopted such policies. Moreover, impacts of non-conventional practices on GDP, inflation and unemployment are examined. The studies presenting weak instead of strong positive effects on inflation are more, and these studies, also, present weak positive effects on GDP growth.

Based on the large body of research on non-conventional action taking, this is the first survey including effects of each country that adopted quantitative easing (QE) measures and that provides results from every methodology employed in order to estimate unconventional practices' impacts.

This macroeconomic analysis chronicles the risk behavior of market-based financial intermediaries and traditional depository institutions from 1980 to 2010 and assesses the role that competition, financial innovation and regulation played in their evolving risk behaviors. The paper aims to discuss these issues.

Using a two-part CAPM framework in line with Campbell et al. (2001), risk measures are constructed through the decomposition of industry-level risk and firm-level idiosyncratic risk. These constructed measures are used in a VAR model with a historical decomposition approach to assess the impact of the three factors on the relative risk behavior of these firms.

The results indicate that the market-based and traditional intermediaries exhibited a period of diverging relative average firm-level risk behavior followed by a period of converging risk behavior. Using the derived firm-level risk measures, the impact of competition, financial innovation and regulatory changes on explaining these changing risk behaviors is explored. The results suggest that regulatory changes (i.e. deregulation) can best explain the relative risk behavior over the divergence period through late 1999 relative to the other two variables. The period from November 1999 through the financial crisis marks the converging risk behaviors across these intermediaries. Over this period, the changing nature of competition played the most important role in driving these behaviors.

The key contribution of this analysis highlights the evolutionary changes in the risk behaviors of market-based and traditional financial intermediaries and the factors driving both their diverging and converging nature over time.

The purpose of this paper is to examine the key logistics related skills required at the various levels of management logistics from the licensing certification perspective.

This exploratory study utilizes the concept mapping methodology to combine the qualitative expert data with quantitative multivariate statistical analysis.

The research results suggest that certain components of logistics skills are more important than others depending on the level of management. Assessment format preferences also differ at each assessment level.

This paper is not designed to produce a high level of precision in the output. Instead, this study is structured to explore the possibility of building a licensing/certification framework in Taiwan.

This study serves as a “blueprint” of the logistics certification program in Taiwan and provides a practical reference list for logistics‐related firms for the purpose of training and recruiting. Another implication is that the logistics certification program for the middle‐level logisticians deserves the highest priority over the operational and strategic levels.

This study offers an important first step to establishing an executable logistics licensing/certification program/system.

Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to explore whether Chinese stock index futures should be responsible for the 2015 stock market crash.

Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market.

The results showed the following: the CSI 500 stock index futures market has significant one-way mean spillover effect on its spot market. The volatility in CSI 500 stock index futures market also has a significant positive spillover effect on its spot stock market, and the mean value of dynamic correlation coefficient between the two market volatility is 0.4848. The spillover effect of the CSI 500 stock index futures market on the underlying spot market is significantly asymmetric, characterized by relatively moderate and slow during the period of the markets rising, yet violent and rapid during the period of the markets falling. The findings suggest that although the stock index futures itself was not the “culprit” of Chinese stock market crash in 2015, its existence indeed accelerated and exacerbated the stock market’s decline under the imperfect trading system.

Different from the existing literature mainly focusing on CSI 300 stock index futures, this paper empirically examines the impact of the introduction of CSI 500 stock index futures on 2015 Chinese stock market crash for the first time.

This paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020.

First, the authors used the Markov-switching autoregression (MS–AR) model to capture the regime-switching behavior in the stock market returns. Second, the authors applied the Markov-switching regression and vector autoregression (MS-VAR) models in order to study, respectively, the co-movement and causality relationship between returns of conventional and Islamic indexes across market states.

Results show the presence of two different regimes for the three studied markets, namely, stability and crisis periods. Also, the authors found evidence of a co-movement relationship between the conventional and Islamic indexes for the three studied markets whatever the regime. For the Granger causality, it is proved only for emerging and developed markets and only during the stability regime. Finally, the authors conclude that Islamic indexes can act as diversifiers, or safe-haven assets are not strongly supported.

This paper is the first study that examines the co-movement and the causal relationship between conventional and Islamic indexes not only across different financial markets' regimes but also during the COVID-19 period. The findings may help investors in making educated decisions about whether or not to add Islamic indexes to their portfolios especially during the recent outbreak.

From past to present, Istanbul has witnessed many empires and historical events. This accumulation has made Istanbul one of the most important cities in Turkey. The architecture and historic potential of the city dates back to centuries ago. Palace architecture is the most important cultural inventories of the city. Over time, technological developments and the industrial revolution brought the “western influence” to Turkey. This effect is observed on planning character and on the planting design. The main material of the work is Topkapı Palace, Beylerbeyi Palace and Dolmabahçe Palace. In this context, this paper consist of three stages. Literature studies have been carried out in the first stage. “Western effect” on the palaces has been investigated after the second step consisting of the field study and mapping. As result of the examinations, western influence was studied in three stages as general planning character, structural material and plant material. As a result of the study, results were obtained for each title. Suggestions were made for rehabilitation and palace gardens planning.

With the presence of pricing errors, the authors consider statistical inference on the variance risk premium (VRP) and the associated implied variance, constructed from the option prices and the historic returns.

The authors propose a nonparametric kernel smoothing approach that removes the adverse effects of pricing errors and leads to consistent estimation for both the implied variance and the VRP. The asymptotic distributions of the proposed VRP estimator are developed under three asymptotic regimes regarding the relative sample sizes between the option data and historic return data.

This study reveals that existing methods for estimating the implied variance are adversely affected by pricing errors in the option prices, which causes the estimators for VRP statistically inconsistent. By analyzing the S&P 500 option and return data, it demonstrates that, compared with other implied variance and VRP estimators, the proposed implied variance and VRP estimators are more significant variables in explaining variations in the excess S&P 500 returns, and the proposed VRP estimates have the smallest out-of-sample forecasting root mean squared error.

This study contributes to the estimation of the implied variance and the VRP and helps in the predictions of future realized variance and equity premium.

This study is the first to propose consistent estimations for the implied variance and the VRP with the presence of option pricing errors.