Frankie Chau, Galiya B. Dosmukhambetova and Vasileios Kallinterakis
The purpose of this paper is to examine whether the mandatory adoption of International Financial Reporting Standards (IFRS) has produced an impact on the level of noise trading…
Abstract
Purpose
The purpose of this paper is to examine whether the mandatory adoption of International Financial Reporting Standards (IFRS) has produced an impact on the level of noise trading and volatility dynamics in three major central and eastern European (CEE) markets.
Design/methodology/approach
The paper employs the theoretical framework proposed by Sentana and Wadhwani to allow the existence of both rational investors and trend‐chasing traders in examining the extent to which mandatory IFRS adoption affects the level of noise trading and volatility in the market place.
Findings
The results show that noise trading was mostly significant prior to the IFRS introduction, with its significance dissipating following the implementation. Moreover, the paper finds that the level and persistence of stock return volatility has greatly decreased after the implementation of IFRS.
Research limitations/implications
These findings are important in understanding the effect of IFRS adoption on the information environment and market dynamics and bear some important implications for the corporate managers, accounting professions and policy makers. For instance, the documented dissipation in noise trading post‐IFRS implies that the activity in the sample markets is dominated by rational fundamental investors for whom financial reports constitute part of their decision‐making input. Thus, it is crucial that the enforcement of IFRS constitutes a key priority of local authorities as a contributing factor to the efficiency and transparency of the market environment.
Practical implications
The finding that moving towards the international accounting standards helps to improve the quality and stability of financial markets should provide a useful reference for many other countries which have recently introduced and/or been considering switching to IFRS as their mandatory accounting standards.
Originality/value
This paper provides the first investigation of the effect of accounting standards’ harmonization upon the level of noise trading and volatility of three major transition markets (the Czech Republic, Hungary, and Poland) in the CEE area.
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Farrukh Suvankulov, Marco Chi Keung Lau and Frankie Ho Chi Chau
This paper aims to estimate the impact of job search on the internet on the probability of re‐employment and the duration of unemployment spells.
Abstract
Purpose
This paper aims to estimate the impact of job search on the internet on the probability of re‐employment and the duration of unemployment spells.
Design/methodology/approach
The study uses national panel datasets from Germany (SOEP 2003‐2007) and South Korea (KLIPS 1996‐2006) to estimate probit and Hausman‐Taylor IV models of the impact of job search on the internet on the probability of re‐employment. The study also explores duration analysis with the aim of estimating the impact of internet job search on the duration of unemployment.
Findings
In Germany and South Korea job seekers who used the internet had a 7.1 and 12.7 percentage point higher probability, respectively, of being re‐employed in the next 12 months. Furthermore, job seekers who used the internet had a shorter duration of unemployment in both Germany and South Korea.
Practical implications
Over the past decade, internet penetration rates and use of the internet in job search have risen sharply across the world. The internet has significantly changed the job application process and improved the channels of communication between employers and job seekers. The findings of the research indicate that the internet is beneficial and should be a part of job search efforts.
Originality/value
The contribution of this study is twofold. It is the first study to use panel datasets to analyze the link between internet use and job search outcomes. Therefore, the results are robust to unobserved heterogeneity problems. The study also addresses the issue of endogeneity of job search on the internet by using the Hausman‐Taylor IV model.
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This study examined the dynamic role of the Japanese property sector, particularly the real estate investment trusts (REITs), in mixed-asset portfolios of stocks and bonds, as…
Abstract
Purpose
This study examined the dynamic role of the Japanese property sector, particularly the real estate investment trusts (REITs), in mixed-asset portfolios of stocks and bonds, as well as office, retail, hotel and residential REITs.
Design/methodology/approach
Daily data were retrieved from 01 January 2008 to 31 December 2019. The sample time frame consisted of in-sample and out-of-sample periods. The dynamic conditional correlation-generalised autoregressive conditional heteroskedastic (DCC-GJRGARCH) model was deployed to obtain the forecast estimates of time-varying volatility of REITs and correlations with other assets. The estimates were employed to construct out-of-sample portfolios based on the three assets for daily investment. The five sets of portfolios with each individual property sector REITs, as well as a portfolio of stocks and bonds that served as a benchmark, were produced. The average utility for each set of portfolios was estimated and compared with the average utility of the benchmark portfolio. The average transaction cost (TC) for portfolio rebalancing was calculated as well.
Findings
The forecast of volatility estimates for each property sector revealed that each asset displayed a similar pattern with the differences in the volatility magnitude. Notably, hotel and retail REITs were more volatile than other property sector REITs. The property sector REITs exhibited a positive correlation with stocks but negatively linked with bonds. The results unveiled the diversification benefits of incorporating property sector REITs. The portfolio with property sector REITs had higher risk-adjusted returns and utility, compared to portfolio consisting of stocks and bonds. The benefits outweighed the TC for portfolio rebalancing.
Practical implications
This study highlights the importance of quantifying the conditional time-varying volatility and correlations of the property sector REITs with other asset returns, especially for investment decision, to select and include property sector REITs in mixed-asset portfolios. For fund managers seeking liquid assets in daily investment, this analysis suggests the inclusion of hotel and retail REITs to enhance REITs' portfolio performance.
Originality/value
This study is the first to investigate the dynamic characteristics of the volatility and correlation of each property sector REITs with other financial assets by employing the conditional framework that accounted for short- and long-run persistency in economic shocks. The reported outcomes shed light on the differences in the underlying properties that contribute to the variances in dynamic volatility of each sector REITs, as well as REITs' correlations with stocks and bonds. This application enables the authors to transmit the dynamics of variance-covariance matrix amongst each property sector REITs, stocks and bonds into asset allocation problem on a daily basis.
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Karen Joe Laidler and Maggy Lee
This paper, aims to contribute to the wider project of understanding the production of knowledge about crime and justice and, “to cultivate and sustain a reflexive awareness about…
Abstract
Purpose
This paper, aims to contribute to the wider project of understanding the production of knowledge about crime and justice and, “to cultivate and sustain a reflexive awareness about the conditions under which such knowledge is (or is not) produced” (Loader and Sparks, 2012, p. 6). In reviewing the core issues and concerns about crime and control from the 1980s as articulated in these research dissertations, the authors seek to be self-reflexive about academic criminology as a field of enquiry in Hong Kong.
Design/methodology/approach
In this research, 209 dissertations, completed between 1988 and 2015, are categorized on the basis of the main subject or theme of investigation carried out by each of the research paper.
Findings and originality/value
This discussion is among the first and few attempts to look at the development of criminology in the Hong Kong China region and draws from the unique perspectives of practitioners – those working on the front lines – in their attempts to understand crime and its control with a criminological imagination.