Constantin Gurdgiev and Barry Trueick
At the onset of the Global Financial Crisis in 2007–2008, majority of the analysts and policymakers have anticipated contagion from the markets volatility in the advanced…
Abstract
Purpose
At the onset of the Global Financial Crisis in 2007–2008, majority of the analysts and policymakers have anticipated contagion from the markets volatility in the advanced economies (AEs) to the emerging markets (EMs). This chapter examines the volatility spillovers from the AEs’ equity markets (Japan, the United States and Europe) to the four key EMs, the BRIC (Brazil, Russia, India and China).
Methodology
The period under study, from 2000 through mid-2014, reflects a time of varying regimes in markets volatility, including the periods of dot.com bubble, the Global Financial Crisis and the European Sovereign Debt Crisis, the Great Recession and the start of the Russian-Ukrainian geopolitical crisis. To estimate volatility cross-linkages between the AEs and BRIC markets, we use multivariate GARCH-BEKK model across a number of specifications.
Findings
We find that, the developed economies weighted return volatility did have a significant impact on volatility across all four of the BRIC economies returns. However, contrary to the consensus view, there was no evidence of volatility spillover from the individual AEs onto BRIC economies with the exception of a spillover from Europe to Brazil. The implied forward-looking expectations for markets volatility had a strong and significant spillover effect onto Brazil, Russia and China, and a weaker effect on India.
Practical Implications
The evidence on volatility spillovers from the AEs markets to EMs puts into question the traditional view of financial and economic systems sustainability in the presence of higher orders of integration of the global monetary and financial systems. Overall, data suggest that we are witnessing less than perfect integration between BRIC economies and AEs markets to-date can offer some volatility hedging opportunities for investors.
Originality
Our chapter contributes to the growing literature on volatility spillovers from the AEs to the EMs in a number of ways. Firstly, we provide a formal analysis of the spillovers to the BRIC economies over the periods of recent crises. Secondly, we make new conclusions concerning longer-term spillovers as opposed to higher frequency volatility contagion covered by the previous literature. Thirdly, we consider a new channel for volatility contagion – the trade-weighted AEs volatility measure.
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Abstract
Purpose
The purpose of this paper is to address a solution to the problem of defect recognition from images using the support vector machines (SVM).
Design/methodology/approach
A SVM‐based multi‐class pattern recognition system has been developed for inspecting commonly occurring fabric defects such as neps, broken ends, broken picks and oil stain. A one‐leave‐out cross validation technique is applied to assess the accuracy of the SVM classifier in classifying fabric defects.
Findings
The investigation indicates that the fabric defects can be classified with a reasonably high degree of accuracy by the proposed method.
Originality/value
The paper outlines the theory and application of SVM classifier with reference to pattern classification problem in textiles. The SVM classifier outperforms the other techniques of machine learning systems such as artificial neural network in terms of efficiency of calculation. Therefore, SVM classifier has great potential for automatic inspection of fabric defects in industry.
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The purpose of this paper is to give an approach for categorization of diverse textile designs using their textural features as extracted from their gray images by means of…
Abstract
Purpose
The purpose of this paper is to give an approach for categorization of diverse textile designs using their textural features as extracted from their gray images by means of multi-class least-square support vector machines (LS-SVM).
Design/methodology/approach
In this work, the authors endeavor to devise a pattern recognition system based on LS-SVM which performs a multi-class categorization of three basic woven designs namely plain, twill and sateen after analyzing their features.
Findings
The result establishes that LS-SVM is able to classify the fabric design with a reasonable degree of accuracy and it outperforms the standard SVM.
Originality/value
The algorithmic simplicity of LS-SVM resulting from replacement of inequality constraints by equality ones and ability of handling noisy data by accommodating an error variable in its algorithm make it eminently suitable for textile pattern recognition. This paper offers a maiden application of LS-SVM in textile pattern recognition.
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Marcellin Makpotche, Kais Bouslah and Bouchra M'Zali
This paper aims to investigate the long-run financial and environmental performance of corporate green bond issuers, worldwide.
Abstract
Purpose
This paper aims to investigate the long-run financial and environmental performance of corporate green bond issuers, worldwide.
Design/methodology/approach
The data includes 259 corporate green bond issuers from 2013 to 2020. The authors adopt the matching approach, using the nearest neighbor method to select the control firms. The event-time approach is used to examine corporate green bond issuers’ long-run stock market performance, and robustness tests are conducted using the calendar-time method. The authors examine green bond issuers’ long-run environmental performance and carbon dioxide (CO2) emissions using difference-in-differences estimations.
Findings
In contrast with the earlier long-run event studies, our results reveal that multiple-time issuers, and issuers operating in industries where the natural environment is financially material, perform financially in the long term relative to the control firms. The authors also document that corporate green bond issuers reduce their CO2 emissions, and improve their resource use efficiency and environmental performance, in the long run.
Originality/value
To the authors’ knowledge, this is the first study that looks at the long-run effect of corporate green bond issuance on firms’ stock market performance. It has the particularity to document that corporate green bond issuance is beneficial for investors and positively affects the environment. Our findings help us understand that firms do not issue green bonds for greenwashing.
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Nischay Arora and Balwinder Singh
The purpose of this paper is to study the pattern of long-run performance of small and medium enterprises (SMEs) initial public offerings (IPOs) and examine the firm- and…
Abstract
Purpose
The purpose of this paper is to study the pattern of long-run performance of small and medium enterprises (SMEs) initial public offerings (IPOs) and examine the firm- and issue-related determinants of long-run performance of SME IPOs in India.
Design/methodology/approach
The 3 6, 9 and 12 months share returns of Indian SME IPOs is studied using event time methodologies, i.e. buy and hold returns, cumulative abnormal returns and wealth relatives on a sample of 375 SME IPOs issued during February 2012 to May 2018. Additionally, ordinary least square regression has been used to investigate the determinants of long-run performance of SME IPOs on a reduced sample of 104 because of non-availability of price observations.
Findings
The findings reveal that Indian SME IPOs exhibit long-run overperformance contradicting the international evidences of underperformance, and this overperformance is significantly evident using buy and hold abnormal return (BHAR). Furthermore, based on the divergence of opinion hypothesis, fads theory and windows of opportunity hypothesis, the results reveal that on one hand, issue size and oversubscription negatively affect BHAR, while on the other hand, auditor reputation, underwriter reputation, hot market, underpricing, inverse of issue price, profits prior to listing positively affect long-run performance. However, firm age, firm size, debt equity ratio, volatility and long-run performance computed through BHAR lacks significant relationship.
Research limitations/implications
The study relied on event time methodology of measuring aftermarket performance of one year because of the limited availability of price offerings. Hence, the study could be extended to analyze aftermarket returns over a period of three to five years to enable reaching the vivid conclusions. Calendar time methodology may also be used to compute abnormal returns.
Practical implications
The results based on the study provides an implication to the investors by providing them an opportunity to bank higher long-run returns by engaging in active and timely trading strategies. Nevertheless, the results also show that investors should be cautioned while taking investment decisions.
Originality/value
The study contributes to rising body of international literature by analyzing the larger and recent sample of IPOs issued from 2012 to 2018 listed on SME exchange.
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Yasir Abdullah Abbas, Nurwati A. Ahmad-Zaluki and Waqas Mehmood
This paper examines the relationship between the extent and quality of the four dimensions of corporate social responsibility disclosure (CSRD) namely community, environment…
Abstract
Purpose
This paper examines the relationship between the extent and quality of the four dimensions of corporate social responsibility disclosure (CSRD) namely community, environment, workplace and marketplace with the long-run share price performance of Malaysian initial public offering (IPO) companies.
Design/methodology/approach
This study utilised secondary data by the content analysis of the annual reports and Datastream of 115 IPOs listed from 2007 to 2015 in Malaysia. The IPO’s performance was determined by calculating the return measures under the equally weighted and value-weighted schemes of the mean abnormal returns and buy-and-hold abnormal returns covering the three years post-listing using the event-time approach.
Findings
The findings demonstrate that Malaysian IPOs experience substantial overperformance and underperformance when both the IPO performance measures are benchmarked against the matched companies and market. The results indicated that the extent and quality of the community and environment CSRD dimensions are positively and significantly correlated to the IPO’s performance. On the other hand, the extent and quality of the workplace and marketplace CSRD dimensions are negatively and significantly correlated to the IPO performance.
Practical implications
Malaysian regulators could benefit from these findings in their endeavour to carry out a reform process on CSRD to improve its quality. The results of this study are important to investors, regulators, non-government organisations, communities and policymakers. They also enhance the understanding of companies about the importance of disclosing greater CSR information to improve their performance and profitability.
Originality/value
To the researchers' best knowledge, this study provides new insights into the association between CSRD and the performance of Malaysian IPO companies, which is considered important.
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Abhishek Kumar and Seshadev Sahoo
Anchor investor (AI) regulation was introduced in 2009 by the Indian market regulator Securities and Exchange Board of India to facilitate the price discovery process during the…
Abstract
Purpose
Anchor investor (AI) regulation was introduced in 2009 by the Indian market regulator Securities and Exchange Board of India to facilitate the price discovery process during the book-building mechanism. This study aims to examine the aftermarket pricing performance of initial public offering (IPO) firms over the long-run period of up to 36 months after the listing date in the anchor investor regime.
Design/methodology/approach
The post-issue performance of 129 Indian IPOs issued from 2009 to 2014 is studied by using buy and hold abnormal returns, cumulative abnormal returns and wealth relatives approaches. This study presents the aftermarket performance indicators of Indian IPOs along with the comparative analysis between anchor-backed and non-anchor-backed IPO categories. Using multiple regression analysis, this study identifies the firm-level variables and issue characteristics that can explain long-term IPO performance.
Findings
This study reports that Indian IPOs continue to underperform in the long run in the anchor regulation era as well. However, anchor-backed IPOs are reported to underperform lesser than the IPOs not backed by anchor investment. Additionally, this study documents that the variables, i.e. offer size, grade, post-issue promoter holding and IPOs issued during hot IPO periods, are significant in explaining the 36-month aftermarket performance.
Originality/value
This study investigates the long-run aftermarket pricing performance of anchor affiliated IPOs in the Indian market context. Thus, it contributes to the limited primary markets’ research from emerging economies. Further, the results provide fresh evidence reaffirming the credibility of AI as an institutional investor for attestation of quality of the issues.
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Yasir Abdullah Abbas, Nurwati A. Ahmad-Zaluki and Waqas Mehmood
This paper aims to examine the relationship between the community and environment disclosures and the long-run share price performance of Malaysian initial public offering (IPO…
Abstract
Purpose
This paper aims to examine the relationship between the community and environment disclosures and the long-run share price performance of Malaysian initial public offering (IPO) companies.
Design/methodology/approach
This study used secondary data through the content analysis of the annual reports and DataStream of 115 sampled IPOs listed on Bursa Malaysia from 2007 to 2015. The present study incorporated weighted least squares and quantile least squares to evaluate the relationship between the community and environment disclosures and IPO performance.
Findings
The results show a positive and significant relationship between the extent and quality of community disclosures and IPO performance; while the extent and quality of environment disclosures have a negative and positive relationship, respectively, with IPO performance. These results suggest that community and environmental activities can be considered an effort to enhance Malaysian IPOs.
Practical implications
These results suggest that Malaysian IPO companies should be involved consistently in corporate social responsibility disclosure, i.e. community and environmental activities, as they have a significant impact on the performance of Malaysian IPOs. The findings can facilitate financial institutions and regulatory agencies in driving companies to be more responsible regarding community and environmental disclosures.
Originality/value
To the best of the authors’ knowledge, this study provides new insights into the relationship between the community and environment disclosures and the performance of Malaysian IPO companies.
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Robert Martin Hull, Sungkyu Kwak and Rosemary Walker
The purpose of this paper is to determine if hedge fund variables (HFVs) are associated with short-run daily buy and hold abnormal returns (BHARs) for a 30-day window around…
Abstract
Purpose
The purpose of this paper is to determine if hedge fund variables (HFVs) are associated with short-run daily buy and hold abnormal returns (BHARs) for a 30-day window around announcement dates for seasoned equity offerings (SEOs).
Design/methodology/approach
This paper utilizes the event study metric that computes BHARs. These BHARs are used in a regression model as dependent variables with HFVs and nonhedge fund variables (NFVs) as independent variables. For regression tests, standard errors are clustered at the month level.
Findings
This paper offers three new findings. First, HFVs are significantly associated with SEO BHARs. Second, HFVs are capable being associated with stronger statistical significance compared to NFVs. Third, not using HFVs can produce an omitted-variable bias.
Research limitations/implications
This paper does not have information on which individual hedge funds use a strategy during the month of the offering but only the proportion of hedge funds that do. A research implication is the proportion can be associated with SEO BHARs in a fashion predicted based on a long or short position.
Practical implications
Hedge funds can use trading strategies to capitalize on established patterns of price behavior.
Social implications
Hedge funds enjoy a trading advantage over smaller investors.
Originality/value
This paper is the first study to document the association between hedge fund stratagems and stock returns around a major corporate event. It shows researchers should consider institutional trading strategies when studying the market response to a major corporate event.
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Kavita Wadhwa and Sudhakara Reddy Syamala
The purpose of this paper is to examine the impact of market timing and pseudo market timing on equity issuance decisions of IPOs in an emerging economy – India. Indian new issues…
Abstract
Purpose
The purpose of this paper is to examine the impact of market timing and pseudo market timing on equity issuance decisions of IPOs in an emerging economy – India. Indian new issues market provides a perfect setting to test market timing against pseudo market timing due to two reasons. First, the US literature shows that most underpriced IPOs are highly overvalued and in India, the authors have the evidence of underpricing of IPOs. But whether Indian IPOs are overvalued or not it is yet to be tested. Second, majority of IPOs were issued in India only after the 1991 economic reforms which may signal the evidence for pseudo market timing hypothesis.
Design/methodology/approach
The authors use direct test to examine the impact of market timing and pseudo market timing variables on the IPO activity. The direct tests of market timing and pseudo market timing hypotheses are based on the positive relation of market timing variables and market conditions variables with IPO activity. The authors examine the long-run performance of IPOs by using the calendar-time regression approach to test market timing against pseudo market timing. This serves as indirect test of market timing and pseudo market timing. Evidence of market timing using indirect test shows that there is a decline in the long-run stock performance of IPOs.
Findings
The results show that in India, firms issue equity not just due to market conditions but they also issue equity in order to time the market. The results of market timing are also supported by the calendar-time approach results. However, the authors find that the evidence of market timing is stronger for hot issue markets as compared to cold issue markets.
Originality/value
This is the first study to comprehensively examine market timing and pseudo market timing using direct and indirect tests for an emerging market context.