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Article
Publication date: 2 October 2017

Louie Ren and Peter Ren

Numerous articles have been written to prove or to disapprove the hypothesis of market efficiency. The purpose of this paper is to apply the forecast accuracy measure, mean…

449

Abstract

Purpose

Numerous articles have been written to prove or to disapprove the hypothesis of market efficiency. The purpose of this paper is to apply the forecast accuracy measure, mean absolute deviation (MAD), to check the validity of the hypothesis.

Design/methodology/approach

Forecast accuracies from applying different simple moving average methods to independently identically distributed (i.i.d.) or near i.i.d. normal time series are assessed by MAD. When moving period n is greater than m, then the mean of the MADs from the MA with n moving periods will be smaller than the mean of the MADs from the MA with m moving periods.

Findings

In this study, when different MAs are applied to four near i.i.d. finance time series from Fama’s papers, the MAD cannot distinguish the differences among MA methods with various moving periods. This contradiction implies that the four finance time series in Fama’s papers may not be i.i.d and implies that the market is not efficient.

Research limitations/implications

The finding is only based on simulation and four near i.i.d. time series studied in Fama’s papers in 1965 and 1970.

Practical implications

The study shows that that the differences of the rates of returns from Johns Manville, Goodyear, Owens Illinois, and General Electric studied are not i.i.d. and that the market is not efficient. It refutes what Fama (1965, 1970) has claimed.

Social implications

When the market is not efficient, investors may gain profit from the market.

Originality/value

Based on the literature review, this is the first study to use the forecast accuracy measure, MAD, for market efficiency.

Details

Benchmarking: An International Journal, vol. 24 no. 7
Type: Research Article
ISSN: 1463-5771

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Article
Publication date: 5 February 2018

Louie Ren, Peter Ren and Yong Glasure

The purpose of this paper is to examine three different forms of returns based on the price difference, percentage change, and difference in logarithm price from moving average…

323

Abstract

Purpose

The purpose of this paper is to examine three different forms of returns based on the price difference, percentage change, and difference in logarithm price from moving average buy-sell trading rule. Statistical linear correlation, the means of returns from buy/sell days, and the flexibility of long-term moving periods are examined.

Design/methodology/approach

Traditional linear correlations, pairwise student t-test, and ϕ coefficient for two binary buy/sell decision variables are studied from the simple block bootstrap (convenience) sampling from S&P, Dow Jones, and NASDAQ price indices from January 29, 1985 to January 6, 2016.

Findings

The authors find that different forms of returns from MA(1-50) are strongly linearly correlated via 150 simple block bootstrap (convenience) samples from S&P, Dow Jones, and NASDAQ price indices from January 29, 1985 to January 6, 2016. In other words, the price differences, the percentage returns, and logarithmic returns are exchangeable for returns from S&P, Dow Jones, and NASDAQ. The authors refute the claims from Metghalchi et al.’s (2005, 2011) papers and Brock et al.’s (1992) paper. The authors conclude that the market is efficient and investors cannot gain benefits from moving average technical trading rule. Lastly, the authors find that the decisions from MA(1-50) and MA(1-200) are highly correlated; therefore, the length of periods used in long-period moving average is flexible.

Originality/value

It is one of the first studies about different forms of returns, their conclusions on the market efficiency, and the flexibility of long-term moving period for moving average buy/sell technical rules.

Details

Benchmarking: An International Journal, vol. 25 no. 1
Type: Research Article
ISSN: 1463-5771

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Article
Publication date: 5 March 2018

Louie Ren, Peter Ren and Yong Glasure

The purpose of this paper is to examine the profitability from various simple trading range break-out rules on the NASDAQ index.

181

Abstract

Purpose

The purpose of this paper is to examine the profitability from various simple trading range break-out rules on the NASDAQ index.

Design/methodology/approach

Runs test is used to test whether the returns from every other days on buy and sell days are random. If they are not random, then the Student T-test will not be applicable to test the predictive power for profitability from the simple trading range break-out rules on the NASDAQ index.

Findings

Empirical study in this paper shows that the returns on buy and sell days are not random via runs test. Therefore, the simple trading range break-out rules cannot lead to the conclusion that they have the predictive power for profitability from the T-test. Applying the simple trading range break-out rule to NASDAQ does not support or overturn the market efficiency hypothesis.

Research limitations/implications

The study is only based on the five simple trading range break-out rules from 9,311 daily closing prices on the NASDAQ over the period of February 5, 1971 to December 12, 2007. It can serve as a counter example for other studies about the predictive power of profitability from different trading rules.

Practical implications

Contrary to numerous previous research works, the study shows that the simple trading range break-out rules have no predictive power for profitability, and should not be used to test the market efficiency.

Originality/value

Based on the literature review, the study is one of the first empirical studies showing the returns on buy and sell days are not independent, and the authors cannot conclude that the trading range break-out rules have the predictive power for profitability on the NASDAQ index.

Details

Benchmarking: An International Journal, vol. 25 no. 2
Type: Research Article
ISSN: 1463-5771

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Article
Publication date: 28 July 2021

Nichola Robertson, Yelena Tsarenko, Michael Jay Polonsky and Lisa McQuilken

The purpose of this paper is to empirically examine the factors driving and mitigating the experienced vulnerabilities of women undergoing the transformative service of in-vitro…

462

Abstract

Purpose

The purpose of this paper is to empirically examine the factors driving and mitigating the experienced vulnerabilities of women undergoing the transformative service of in-vitro fertilisation (IVF), and how this influences women’s evaluations and intentions.

Design/methodology/approach

The conceptual framework was tested using quantitative data collected via an online survey of Australian women who have undergone IVF treatment. Hayes’ PROCESS macro was used to analyse the data.

Findings

The results indicate that women’s persistent goal-striving alongside their perceived personal sacrifices influence the association between their need for parenthood and their experienced vulnerability. Institutional factors such as IVF clinic technical and interpersonal quality influence these consumers’ IVF experience evaluations and word-of-mouth (WoM) intentions.

Research limitations/implications

This study’s results are limited to women who are undergoing IVF treatment. Further empirical work is needed to deepen the understanding of the role played by partners and other family members in women’s IVF experiences.

Practical implications

IVF clinics can reduce women’s experienced vulnerability by encouraging women who have a good probability of succeeding to persist in the pursuit of the goal of conceiving a child via IVF. This can be achieved by enabling and empowering them so that they give themselves the best chance during treatment, thus facilitating their control. Managing the expectations of those women with a lower probability of success is also recommended. The importance of the technical and interpersonal quality delivered by IVF clinics in influencing the positive evaluations and behavioural intentions of women experiencing vulnerabilities is further highlighted.

Originality/value

This study contributes to the transformative service research literature by: examining the IVF transformative experience, which has been largely overlooked; focussing on the intersection of transformative services and consumers experiencing vulnerability, which is an emerging research area; and testing a framework quantitatively that intermingles individual and institutional factors as antecedents and consequences of consumers’ experienced vulnerabilities, advancing the existing conceptual and qualitative work.

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Article
Publication date: 8 February 2016

Louie Ren and Peter Ren

The purpose of this paper is to look at the power of the Student t-test applied to two independent samples when returns from AR(1) process are categorized into two samples by…

380

Abstract

Purpose

The purpose of this paper is to look at the power of the Student t-test applied to two independent samples when returns from AR(1) process are categorized into two samples by moving average buy-sell trading rule.

Design/methodology/approach

Simulation and empirical study for returns from NASDAQ via bootstrapping resampling method are conducted.

Findings

The authors conclude that applying the MA Trading Rule followed by Student t-test is not appropriate for analyzing market efficiency.

Originality/value

Moving average buy-sell trading rule is widely used in finance to test if the market is efficient. In this paper, it is one of the first kind of research to examine the power of the test via simulation and empirical study.

Details

Managerial Finance, vol. 42 no. 2
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 8 April 2020

Jiangnan Qiu, Liwei Xu, Min Zuo, Jingxian Wang and Weadon Helen

Online knowledge integration has been an important concern of the online knowledge community as it can lead to various positive outcomes of online knowledge coproduction. This…

391

Abstract

Purpose

Online knowledge integration has been an important concern of the online knowledge community as it can lead to various positive outcomes of online knowledge coproduction. This paper identifies online knowledge integration factors by considering group heterogeneity and group interaction process.

Design/methodology/approach

Based on the categorization-elaboration model (CEM) and interactive team cognition (ITC) theory, a research model that reflects the antecedent's factors and mediating factors of online knowledge integration was developed and empirically examined based on data collected from 2,339,836 data extracted from Wikipedia.

Findings

Group interaction process plays an essential mediator role in online knowledge integration. Group knowledge heterogeneity negatively influences online knowledge integration and group experience heterogeneity positively, and they both positively promote online knowledge integration through group interaction process with different paths.

Research limitations

Our research concerns the OKC context in one setting (Wikipedia). We expect that the results will generalize to other OKC platforms.

Practical implications

The findings of the study could assist the online knowledge community's organizers to understand the motivational mechanisms of online knowledge integration. Group interaction process could be regarded as the key role to promote group wisdom and maintain group independence.

Social implications

We advance the understanding of the online knowledge integration and gain a richer understanding of the importance of group interaction independence for online knowledge integration based on the agreement of group wisdom. It suggested keeping group interaction independence is an important aspect for highly online knowledge integration among heterogeneity groups.

Originality/value

This study extends CEM and ITC theory to the domain of knowledge integration context and finds the mechanism between group heterogeneity and online knowledge integration by introducing the group interaction process.

Details

Information Technology & People, vol. 34 no. 1
Type: Research Article
ISSN: 0959-3845

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Article
Publication date: 22 September 2020

Qianqian Mao, Yanjun Ren and Jens-Peter Loy

The purpose of this paper is to detect the existence of price bubbles and examine the possible contributing factors that associate with price bubble occurrences in China…

706

Abstract

Purpose

The purpose of this paper is to detect the existence of price bubbles and examine the possible contributing factors that associate with price bubble occurrences in China agricultural commodity markets.

Design/methodology/approach

Using recently developed rolling window right-side augmented Dickey–Fuller test, we first detect the dates of price bubbles in China's two important agricultural commodity markets, namely corn and soybeans. Then, we use a penalized maximum likelihood estimation of a multinomial logistic model to estimate the contributing factors of price bubbles in both markets, respectively.

Findings

Results from the bubble detection indicate that price bubbles account for 5.48% (3.91%) of the studied periods for corn (soybeans). More importantly, we find that market liquidity and speculation have opposite effects on the occurrences of bubbles in the corn and soybeans market. World stocks-to-use and exchange rates affect the occurrences of bubbles in a different way for each commodity, as well. Price bubbles are more likely associated with strong economic activity, high interest rates and low inflation levels.

Originality/value

This is the first study considering commodity-specific features into the formation of price bubbles. Through accurately identifying the bubble dates and fixing the estimation bias of rare events models, this study enables us to obtain robust results for each commodity. The results imply that China's corn and soybeans market respond differently to the speculative activity and external shocks from international markets. Therefore, future policy regulations on commodity markets should focus on more commodity-specific factors when aiming at avoiding bubble occurrences.

Details

China Agricultural Economic Review, vol. 13 no. 1
Type: Research Article
ISSN: 1756-137X

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Article
Publication date: 30 July 2018

Yanjun Ren, Yanjie Zhang, Jens-Peter Loy and Thomas Glauben

Given the fact that the income disparity has become extremely severe in rural China, the purpose of this paper is to examine heterogeneity in food consumption among various income…

989

Abstract

Purpose

Given the fact that the income disparity has become extremely severe in rural China, the purpose of this paper is to examine heterogeneity in food consumption among various income classes and to investigate the impact of changes in income distribution patterns on food demand in rural China.

Design/methodology/approach

In this study, the authors partition the households into five income classes according to the distribution of household per capita net income. Using household data drawn from the China Health and Nutrition Survey in 2011, a two-stage demand model is applied to estimate a food demand system for each of the income classes. After obtaining the estimated income elasticities of eight studied food groups for each income class, the authors then examine the responsiveness of food demand to the changes in income distribution by means of four scenarios with varying income distribution.

Findings

The empirical results indicate that substantial differences in food consumption exist across various income classes. Specifically, the lowest-income households are more sensitive to price and income changes for most studied food groups than the highest-income households are. In general, income responsiveness is higher for meats, aquatic products and dairy products. Based on estimated income elasticities, the projected food consumption under different income distribution patterns shows that changes in income distribution have significant influences on food consumption. In addition, the authors conclude that a more equal distribution of income would be associated with a higher demand for food in rural China.

Originality/value

This paper employs a two-stage demand model to estimate food demand in rural China by income classes. The results imply substantial differences in food demand for various income classes. Therefore, income distribution should be taken into account instead of an average estimation for the population as a whole when investigating food demand in rural China. Given the significant changes in income distribution in rural China, this study provides several important policy implications to alleviate income inequality and poverty, as well as to improve nutrition for lower-income classes.

Details

China Agricultural Economic Review, vol. 10 no. 3
Type: Research Article
ISSN: 1756-137X

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Article
Publication date: 1 April 2004

Georgios I. Zekos

Investigates the differences in protocols between arbitral tribunals and courts, with particular emphasis on US, Greek and English law. Gives examples of each country and its way…

11803

Abstract

Investigates the differences in protocols between arbitral tribunals and courts, with particular emphasis on US, Greek and English law. Gives examples of each country and its way of using the law in specific circumstances, and shows the variations therein. Sums up that arbitration is much the better way to gok as it avoids delays and expenses, plus the vexation/frustration of normal litigation. Concludes that the US and Greek constitutions and common law tradition in England appear to allow involved parties to choose their own judge, who can thus be an arbitrator. Discusses e‐commerce and speculates on this for the future.

Details

Managerial Law, vol. 46 no. 2/3
Type: Research Article
ISSN: 0309-0558

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Article
Publication date: 1 April 2005

Ed Weymes

Traditional management theory is grounded in the concept of bureaucracy which provides a platform for managers to control behavior. When behavior is controlled, personal freedom…

4161

Abstract

Traditional management theory is grounded in the concept of bureaucracy which provides a platform for managers to control behavior. When behavior is controlled, personal freedom and the ability to innovate are curtailed, yet creativity is a key driver competitive advantage. Creativity is unleashed when individuals are provided with the opportunity to express their individual freedom, when they feel their actions make a difference. Organizations, bounded only by economic motives, fail to provide such an environment, but when an organization extends its focus to encompass society and the environment, members of the organization can be inspired to share the dream of the organization. This paper explores the traditional management concepts, and presents the reader with a philosophy that both encourages individual freedom and maintains an ordered society. The paper concludes by applying the philosophy to a model for organization design, which facilitates individual freedom and retains the controls necessary to meet performance targets.

Details

Corporate Governance: The international journal of business in society, vol. 5 no. 2
Type: Research Article
ISSN: 1472-0701

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