Gilbert V. Nartea and Muhammand A. Cheema
The purpose of this paper is to re-examine the presence of rational speculative bubbles in the Malaysian stock market in light of contradictory results presented in previous…
Abstract
Purpose
The purpose of this paper is to re-examine the presence of rational speculative bubbles in the Malaysian stock market in light of contradictory results presented in previous studies.
Design/methodology/approach
The authors use descriptive statistics, explosiveness tests and the duration dependence test. They use an expanded data set that encompasses at least two alleged bubble episodes addressing a significant limitation of previous studies. The authors use both monthly and weekly returns addressing concerns about the sensitivity of duration dependence test results to the use of monthly versus weekly returns, as well as a battery of alternative measures of returns.
Findings
The authors detect bubble footprints but they do not appear to be rational. They found no evidence of rational speculative bubbles over the sample period regardless of whether monthly or weekly returns was used. The authors suggest that if there were bubbles in the Malaysian stock market, they might have been caused by irrational investor behaviour. The authors’ results do not support the suggestion that the duration dependence test is sensitive to the use of monthly versus weekly returns.
Practical implications
Despite the absence of rational bubbles in the Malaysian stock market, the faint bubble footprints detected still suggest caution for investors, as the authors cannot categorically rule out the presence of irrational bubbles.
Originality/value
This paper clarifies conflicting results of previous studies. It also contributes to the literature on bubble testing by presenting new evidence from an emerging market refuting the claim that duration dependence test results are sensitive to the use of either weekly or monthly returns.
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Gilbert V. Nartea, Bert D. Ward and Hadrian G. Djajadikerta
This paper aims to confirm the existence of size, book to market (BM) and momentum effects in the New Zealand (NZ) stock market. It also aims to compare the performance of the…
Abstract
Purpose
This paper aims to confirm the existence of size, book to market (BM) and momentum effects in the New Zealand (NZ) stock market. It also aims to compare the performance of the CAPM, the Fama‐French (FF) model, and Carhart's model in explaining the variation of stock returns.
Design/methodology/approach
The paper adapts the Fama and French methodology using a 2×3 size‐BM ratio sort. It also forms three portfolios based on past returns to verify the momentum effect.
Findings
The paper documents significant BM and momentum effects but a relatively weaker size effect. The paper finds some improvement in explanatory power provided by the FF model relative to the CAPM but it still leaves a large part of the variation in stock returns unexplained. The FF model is also unable to explain the strong momentum effect in New Zealand.
Practical implications
The findings imply that: cost of capital estimates would be more accurate using Carhart's model; portfolio managers can increase returns by investing in small and high BM firms that are recent winners; performance evaluation should take into account the size, BM, and momentum effects; and the existence of size and BM return premia appear to be rewards to risk bearing.
Originality/value
The existing literature testing the robustness of the FF model in markets outside the USA is sparse, especially in emerging markets, with most of these studies suffering from data problems. The NZ stock market provides an interesting setting for such a study because of its unique characteristics.
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This paper seeks to examine the benefits of further diversifying a global portfolio of financial assets with New Zealand farm real estate (FRE).
Abstract
Purpose
This paper seeks to examine the benefits of further diversifying a global portfolio of financial assets with New Zealand farm real estate (FRE).
Design/methodology/approach
The paper compares efficient sets generated with and without FRE using portfolio theory.
Findings
The results show that given the predominantly negative correlation between FRE and financial assets, the risk‐return tradeoffs of portfolios of financial assets can be improved significantly. The diversification benefits measured in terms of risk reduction, return enhancement, and improvement in the Sharpe performance ratios are robust under a number of FRE risk‐return scenarios as well as under high and low inflationary periods. Using five and ten‐year rolling periods it also finds that FRE is a consistent part of risk efficient portfolios. Consistent with the results reported in Lee and Stevenson, for the UK real estate the risk reduction benefits of diversifying with FRE are larger than the risk enhancement benefits.
Practical implications
The results suggest that FRE takes on a consistent role of risk‐reducer rather than a return‐enhancer in a globally diversified portfolio. FRE appears to deserve more serious consideration by investment practitioners that it has been accorded in the past.
Originality/value
The study examines the role of direct real estate in a globally diversified portfolio of financial assets.
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Satit Aditto, Christopher Gan and Gilbert Nartea
The purpose of this paper is to investigate farmers’ risk aversion using the equally likely certainty equivalent approach and the negative exponential utility function to identify…
Abstract
Purpose
The purpose of this paper is to investigate farmers’ risk aversion using the equally likely certainty equivalent approach and the negative exponential utility function to identify risk preference classification.
Design/methodology/approach
Stochastic efficiency with respect to a function is applied to determine the risk efficient farming systems for the farmers in central and north-east regions of Thailand.
Findings
The study results showed that maize followed by sorghum is the most risk efficient farming system for the extremely risk averse rain-fed farmers in the central region of Thailand. Intensive planting of wet rice and dry rice cultivation is preferred by the extremely risk averse central region irrigated farmers. Wet rice and cassava together with raising small herd of cattle is the most economically viable farming system for the extremely risk averse rain-fed farmers in the north-east region, while two rice crops with raising cattle is preferred by the extremely risk averse north-east irrigated farmers of Thailand.
Originality/value
The findings of this study provide useful information to reinforce the empirical basis for risk analysis for Thai farmers. The results will provide more accurate information regarding risk at the farm level to policy makers and researchers.
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Emrah Köksal Sezgin, Abdullah Tanrısevdi and Ahu Sezgin
The study aims to examine the mediating effects of escapism (ESC) and ethnic food experience (EFE) in the relationship between diversity (DIV) and behavioral intentions (BI) of…
Abstract
Purpose
The study aims to examine the mediating effects of escapism (ESC) and ethnic food experience (EFE) in the relationship between diversity (DIV) and behavioral intentions (BI) of visitors attending Hoi An International Food Festival held in Vietnam.
Design/methodology/approach
The research takes a predictive and explanatory approach rather than theory confirmation. Partial least squares (PLS) algorithm was used to analyze multiple mediation. The data were collected from 323 attendees through a self-administered questionnaire.
Findings
The research highlights that escapism and EFE have positive and significant mediating effects on the relationship between DIV and BI. Furthermore, while EFE is the most important predictor of BI, escapism has emerged as an antecedent variable that deserves to be given the highest importance. Finally, visitors who are participating in their first international food festival do not seem to consider the nexus between DIV and ESC as much as repeaters.
Research limitations/implications
The study's limitations include the collection of data from a single festival and the fact that the analyses are only quantitative. The results contribute to festival organizers by revealing the importance of multiple mediation roles.
Originality/value
This study contributes novel insights to the literature on festival and event management, extending previous studies and filling a gap by proposing ESC and EFE as multiple mediators in the nexus between DIV and BI. The present study provides a comprehensive examination of the influence of individual variables previously analyzed separately on festival-goers' experiences. This facilitated the identification of crucial aspects of the circumstance, thereby reducing any ambiguity.