Efficiency and Anomalies in Stock Markets

The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies

An investigation into the use of neural networks for the prediction of the stock exchange of Thailand

Stock markets are affected by many interrelated factors such as economics and politics at both national and international levels. Predicting stock indices and determining the set of relevant factors for making accurate predictions are complicated tasks. Neural networks are one of the popular approaches used for research on stock market forecast. This study developed neural networks to predict the movement direction of the next trading day of the Stock Exchange of Thailand (SET) index. The SET has yet to be studied extensively and research focused on the SET will contribute to understanding its unique characteristics and will lead to identifying relevant information to assist investment in this stock market. Experiments were carried out to determine the best network architecture, training method, and input data to use for this task. With regards network architecture, feedforward networks with three layers were used - an input layer, a hidden layer and an output layer - and networks with different numbers of nodes in the hidden layers were tested and compared. With regards training method, neural networks were trained with back-propagation and with genetic algorithms. With regards input data, three set of inputs, namely internal indicators, external indicators and a combination of both were used. The internal indicators are based on calculations derived from the SET while the external indicators are deemed to be factors beyond the control of the Thailand such as the Down Jones Index

Financial intermediation and economic performance in Zimbabwe

Financial literature is replete with theoretical and empirical evidence suggesting financial development has a causal effect on economic growth. Yet there is no consensus on the finance-growth nexus. The direction of causality is still controversial In fact, classical economists argue that financial factors are neutral and hence cannot have real effects. Critics argue the traditional methods of identifying long run economic relationships fail to address the methodological conflict between equilibrium implied by theory and the disequilibria in the data. The rise of new representation techniques such as the General Methods of Moments (GMM) and vector autoregression [VAR] brought with them empirical flexibility, which facilitates the re-examination of several theories. VAR characterization permits the economic system to determine the behavior of macroeconomic variables simultaneously. The endogenous growth theoretical literature gives credibility to system-wide V AR financial models. This research is both critical (in its search for a common framework to inform debate on Zimbabwe) and positive (to the extent it undertakes an empirical investigation.) Empirically, the study examines the nature and intensity of links between financial intermediation and economic performance in a small developing economy. A Vector Autoregressive [VAR] framework is applied to model and estimate the temporal and dynamic relationships between financial aggregates and economic activity. Cointegration among the variables is examined to determine the degree of heterogeneity and coevolution. The general impulse response function [GIRF] and variance decomposition [VDC] analytical techniques are applied to throw light on the speed and direction of the causal links and the persistence of shocks over time. Branches of financial theory, e.g. agency risk, corporate governance and information asymmetry have taught us economic activity does not take place in a vacuum or perfect market. To put this research into perspective, the study critically examines the evolution of Zimbabwean institutional structures in search of a new conceptual framework with potential to inform debate. The works of Levine (1997, 1998) LaPorta, Lopez-de-Silanes, Shleifer and Vishny (1997, 1998, 2000), Beck, Levine and Loayza (2000), Kane (1981, 1983, 2000) Jensen and Meckling (1976) and Stiglitz (1989) give considerable prominence to governance and institutional design. Allen and Gale(1994, p10) emphasized that institutional settings underlie the process of financial innovation. In fact, Schumpeter (1954, p12) exalts history, statistics and theory as the three pillars of economic analysis. Stiglitz (1989, p199) agrees that particular localized historical events could have permanent effects. More recently, Beck, Demirgüç-Kunt and Levine (2001) summarized the theory and provided an empirical examination of the links between laws, politics and finance

SIMULATING SEISMIC WAVE PROPAGATION IN TWO-DIMENSIONAL MEDIA USING DISCONTINUOUS SPECTRAL ELEMENT METHODS

We introduce a discontinuous spectral element method for simulating seismic wave in 2- dimensional elastic media. The methods combine the flexibility of a discontinuous finite element method with the accuracy of a spectral method. The elastodynamic equations are discretized using high-degree of Lagrange interpolants and integration over an element is accomplished based upon the Gauss-Lobatto-Legendre integration rule. This combination of discretization and integration results in a diagonal mass matrix and the use of discontinuous finite element method makes the calculation can be done locally in each element. Thus, the algorithm is simplified drastically. We validated the results of one-dimensional problem by comparing them with finite-difference time-domain method and exact solution. The comparisons show excellent agreement

Financial sector development and economic growth in Rwanda.

Doctor of Philosophy in Economics. University of KwaZulu Natal, Westville 2017.There is a widespread consensus in the literature that financial sector development plays a significant role in economic growth. Several studies have also shown that economic growth is associated with an efficient banking sector with low ratios of Non-Performing Loans (NPLs). Against this background, the government of Rwanda holds the view that developing the financial sector can lead to the country’s economic growth. However, there is no agreement in the literature on whether or not individuals and companies increase borrowing in response to financial sector development. In the case of Rwanda, no study that the researcher is aware of has established the directional influence between borrowing and financial sector development, and its links to economic growth. Similarly, no assessment has been made of the country’s financial sector efficiency and the causes of NPLs. Therefore, the main objective of this study is to assess the mechanism that relates financial sector development to economic growth in Rwanda. The study is made of three inter-related papers corresponding to the three specific objectives that together contribute to the achievement of the general objective of understanding how finance relates to economic growth in Rwanda. The first paper sets to investigate the relationship between financial intermediation and economic growth in Rwanda. Using a Cointegrated Structural Vector Autoregressive model on quarterly data for the period 1996:1 to 2010:4, the study finds the existence of a cointegrating relationship between financial intermediation and economic growth. It also observes that domestic credit to private sector shock accounts for the largest proportion of fluctuations in real output growth, followed by potential liquidity available, supporting the supply-leading hypothesis in the intermediation link between financial sector development and economic growth in Rwanda. The second paper aims at assessing the efficiency of commercial banks in Rwanda. Using a stochastic frontier analysis for the period 2007 to 2013, the study finds that the commercial banking sector has a mean cost efficiency score of 88.56 percent, suggesting that in order to enhance their efficiency, banks can reduce their input composition by 11.44 percent. Finally, the third paper investigates the microeconomic factors that influence NPLs in the Rwandan banking sector. Applying a multivariate logistic model, the study finds a negative relationship between repayment period and NPLs, indicating that an extension of the repayment period up to four years can lead to decreases in NPLs. Thus, for Rwanda to attract businesses that can easily make use of current financial services, it should reinforce incentives regarding the legal framework to conduct business. The country should also continue to promote the adoption and use of modern technology as well as sensitizing financial intermediaries to extend the repayment period. Combined, these measures could boost the financial sector’s efficiency, hence stimulating economic growth

Influence of venture capital syndication on governance and performance of new ventures

The research examines the effectiveness of governance systems in venture capital (VC)–backed technology-based new ventures that are not yet at the initial public offering stage. The novel study from 98 VC-backed technology-based new ventures examines how the role of Founder-CEO and venture performance varies in venture capital syndicated new ventures. Strategic innovation enables the new ventures to position their products differently from their competition and achieve strategic financial rewards, which compensates the investors and founders for their willingness to take risks. The research finds that VC-Syndication results in more Founder-CEO succession than solo VC new ventures. Additionally, foreign VCSyndication encompasses more professional-CEOs than domestic VC-Syndication. Consistent with our theoretical framework of VC-Syndication and the involvement of foreign venture capitalists, not only results in changing the CEO role, but also influences the innovative and financial performance. Changing the Founder-CEO reflects the strategic challenges new ventures face in their development. The results are consistent with the assumption that governance factors are important tools used to provide resources and capabilities, while being involved in mitigating agency risks associated with venture capital involvement in new ventures, and reflect positively on new venture performance

University selection in Maritime Canada: studies of millennial students across four universities suggest that it should not be business as usual

This paper examines the criteria by which university students choose a particular university. With a dataset of 456 first-year millennial undergraduate business students, from four institutions located in Canada’s Maritime Provinces, factor analysis helped identify the drivers of decision-making reported by females and males, and in-province and out-of-province students. These results may facilitate change in the recruitment strategies of undergraduate university administration and recruitment officials

Factors influencing sustainability content on corporate websites: the case of Canadian oil companies

Over the Last decade, the Internet has become an indispensible tool and a key element in most companies’ communications strategies. This study attempts to assess the impact of certain determinants on the sustainability disclosures posted on the websites of oil companies, which are generally regarded as highly polluting. The website content of 68 of the largest oil firms listed on the S&P/TSX was assessed using indices based on each of the three Global Reporting Initiative (GRI) components to determine its relation to certain corporate characteristics. The results tend to show that the larger the firm and the greater its media exposure, the more likely it is to include social responsibility disclosures on its website