Essays in option market liquidity

Ph. D. Thesis.This study investigates equity option market liquidity with different aspects of the bid-ask spread, open interest, and trading volume in the US. We find a newly discovered determinant of option liquidity: excess cash (that is, the level of cash reserve in excess of what can be captured by firm characteristics) after accounting for underlying stock liquidity. We display evidence that an increase of 1% in excess cash holding leads to a 0.58% reduction in option bid-ask spread, 0.28% increase in open interest, and 0.26% increase in trading volume. We also demonstrate that there is a significantly positive linkage between stock and equity option market liquidity. The results show that funding liquidity is a liquidity supplier of their market liquidity linkages. Stocks with a higher probability of informed trading or facing greater short-selling pressures register a significant reduction in the stock-equity option market liquidity interactions. What is more, we analyse the effects of option market liquidity on stock price crash risk. We find that the magnitude of crash risk will increase when the companies with a higher trading volume and open interests of the options, while the option bid-ask spread will decrease market crashes

Malaysian bilateral trade relations and economic growth

This paper examines the structure and trends of Malaysian bilateral exports and imports and then investigates whether these bilateral exports and imports have caused Malaysian economic growth. Although the structure of Malaysia’s trade has changed quite significantly over the last three decades, the direction of Malaysia’s trade remains generally the same. Broadly, ASEAN, the EU, East Asia, the US and Japan continue to be the Malaysia’s major trading partners. The Granger causality tests have shown that it is the bilateral imports that have caused economic growth in Malaysia rather than the bilateral exports

Exchange rate misalignments in ASEAN-5 countries

The purpose of this paper is to estimate the exchange rate misalignments for Indonesia, Malaysia, Philippines, Singapore and Thailand before the currency crisis. By employing the sticky-price monetary exchange rate model in the environment of vector error-correction, the results indicate that the Indonesia rupiah, Malaysian ringgit, Philippines peso and Singapore dollar were overvalued before the currency crisis while Thai baht was undervalued on the eve of the crisis. However, they suffered modest misalignment. Therefore, little evidence of exchange misalignment is found to exist in 1997:2. In particular, Indonesia rupiah, Malaysia ringgit, Philippines peso and Singapore dollar were only overvalued about 1 to 4 percent against US dollar while the Thai baht was only 2 percent undervalued against US dollar

Managing the Paradox of Growth in Brand Communities Through Social Media

The commercial benefits of online brand communities are an important focus for marketers seeking deeper engagement with increasingly elusive consumers. Managing participation in these socially bound brand conversations challenges practitioners to balance authenticity towards the community against corporate goals. This is important as social media proliferation affords communities the capacity to reach a scale well beyond their offline equivalents and to operate independently of brands. While research has identified the important elements of engagement in brand communities, less is known about how strategies required to maximise relationships in these circumstances must change with growth. Using a case study approach, we examine how a rapidly growing firm and its community have managed the challenges of a maturing relationship. We find that, in time, the community becomes self-sustaining, and a new set of marketing management strategies is required to move engagement to the next level

Managing the Paradox of Growth in Brand Communities Through Social Media

The commercial benefits of online brand communities are an important focus for marketers seeking deeper engagement with increasingly elusive consumers. Managing participation in these socially bound brand conversations challenges practitioners to balance authenticity towards the community against corporate goals. This is important as social media proliferation affords communities the capacity to reach a scale well beyond their offline equivalents and to operate independently of brands. While research has identified the important elements of engagement in brand communities, less is known about how strategies required to maximise relationships in these circumstances must change with growth. Using a case study approach, we examine how a rapidly growing firm and its community have managed the challenges of a maturing relationship. We find that, in time, the community becomes self-sustaining, and a new set of marketing management strategies is required to move engagement to the next level

Beyond Quantity: Research with Subsymbolic AI

How do artificial neural networks and other forms of artificial intelligence interfere with methods and practices in the sciences? Which interdisciplinary epistemological challenges arise when we think about the use of AI beyond its dependency on big data? Not only the natural sciences, but also the social sciences and the humanities seem to be increasingly affected by current approaches of subsymbolic AI, which master problems of quality (fuzziness, uncertainty) in a hitherto unknown way. But what are the conditions, implications, and effects of these (potential) epistemic transformations and how must research on AI be configured to address them adequately

Energy Supply within Sustainable Agricultural Production: Challenges, Policies and Mechanisms

Providing the security of a broad-based energy and slowing the speed of climate change are the main challenges today of the basic of legal framework to stimulate the development of alternative energy sources. Energy from renewable sources is one part of the system, which not only enables to provide energy self-sufficiency, but also contributes to the reduction heating of the Earth’s atmosphere. International climate agreements indicate the need to intensify the prevention of global warming and accelerate the reduction in CO2 emissions. The implementation of such challenging plans as outlined in the European Green Deal or "Fit for 55," among others, entails the almost complete elimination of GHG emissions in the energy sector, which can be very challenging for some member states. In the EU, the preferred direction of development of RES use is distributed generation and increasing the share of the use of by-products and organic waste for the production biofuels. This creates great opportunities for rural areas, which until the last century were identified with agriculture and the production of food or raw materials. While the role of agriculture will not diminish, as incomes are rising in relatively poor countries with a high elasticity of demand for food, these areas will increasingly perform a number of other important functions as well. The production of energy raw materials and energy, which is no longer a mere idea, but is becoming, thanks to the development of new technologies, a mainstream energy sector that can make contribution to improving energy security and achieving climate neutrality

Fuelling the zero-emissions road freight of the future: routing of mobile fuellers

The future of zero-emissions road freight is closely tied to the sufficient availability of new and clean fuel options such as electricity and Hydrogen. In goods distribution using Electric Commercial Vehicles (ECVs) and Hydrogen Fuel Cell Vehicles (HFCVs) a major challenge in the transition period would pertain to their limited autonomy and scarce and unevenly distributed refuelling stations. One viable solution to facilitate and speed up the adoption of ECVs/HFCVs by logistics, however, is to get the fuel to the point where it is needed (instead of diverting the route of delivery vehicles to refuelling stations) using "Mobile Fuellers (MFs)". These are mobile battery swapping/recharging vans or mobile Hydrogen fuellers that can travel to a running ECV/HFCV to provide the fuel they require to complete their delivery routes at a rendezvous time and space. In this presentation, new vehicle routing models will be presented for a third party company that provides MF services. In the proposed problem variant, the MF provider company receives routing plans of multiple customer companies and has to design routes for a fleet of capacitated MFs that have to synchronise their routes with the running vehicles to deliver the required amount of fuel on-the-fly. This presentation will discuss and compare several mathematical models based on different business models and collaborative logistics scenarios