Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Purpose: This paper aims to examine the extent of price clustering in a selection of Islamic stocks listed in Indonesia, Malaysia and Pakistan and also investigates the determinants of the phenomenon at the firm level. Design/methodology/approach: The author test the uniformity of price distribution in the selected securities. Then, the determinants of price clustering were investigated through multivariate analysis based on a binary logistic regression model. Following the arguments of Narayan et al. (2011), who emphasize the importance of considering firm heterogeneity when studying the phenomenon, the author conducts the empirical study at the firm level. Findings: The evidence indicates that Islamic stocks show a mild level of price clustering. Only half of the stocks under analysis rejected the uniformity test in the distribution of prices. In these cases, investors exhibited a preference for prices ending at zero and five. The evidence does not confirm the cultural clustering theories. Price clustering is found to be positively associated with price level and relative bid-ask spread. Overall, the negotiation hypothesis, which predicts that investors prefer round prices to minimize the costs associated with negotiations, best explains most of our results. Research limitations/implications: The existence of price clustering is difficult to reconcile with the prediction of the efficient market hypothesis that prices should follow a random walk. Moreover, the evidence indicates that Muslim investors share a preference for round prices in some settings, under the assumption that Islamic stocks are mostly traded by Muslim investors. Originality/value: To the authors best knowledge, this is the first study to address the subject of price clustering in Islamic stocks

Time-Series Momentum in a Small European Stock Market: Evidence from a New Historical Financial Dataset

In this paper, we examine the Portuguese stock market for indication of time-series momentum effects using a new historical financial dataset that covers about 120 years of data. We find strong time-series momentum effects that cannot be explained by conventional risk factors. The positive return continuation seems to last for a period of 12 months, being heavily concentrated at the first month. At longer investment horizons, returns tend to mean-revert. The market exhibited significant time-series momentum for all look-back and holding periods of 12 months or less. A strategy with a 1-month look-back period and a 12-month holding period is shown to be the most profitable yielding a Sharpe ratio roughly 5.4 times that generated by a passive strategy. Time-series momentum strategies tend to perform best during extreme up-market periods and deliver the worst returns during down markets. This suggests that the strategy may not offer significant diversification benefits. Our findings add to the evidence that time-series momentum effects are not a product of data mining and are difficult to reconcile with the assertion that stock markets follow a random walk.</jats:p

O efeito semana do ano e a Hipótese dos Mercados Adaptativos: Evidências a partir de uma nova base de dados

Neste artigo estudamos pela primeira vez a anomalia de calendário designada de efeito semana do ano no mercado de acções português. O efeito semana do ano foi identificado originalmente por Levy e Yagil (2012) e refere-se à verificação de rendibilidades de mercado significativamente diferentes em algumas semanas do ano. A amostra utilizada foi construída a partir de uma nova base de dados histórica que cobre cerca de 120 anos de história do mercado accionista português. Verificou-se que a primeira e a última semanas do ano geraram rendibilidades significativamente mais elevadas do que as restantes semanas do ano. Além disso, a análise de subamostras revelou que o efeito semana do ano evoluiu de forma adaptativa ao longo do tempo. Em geral, os nossos resultados sugerem que a Hipótese dos Mercados Adaptativos proporciona uma melhor explicação para a dinâmica do mercado de acções português.</jats:p

Upper lobe cavity with intracavitary mass: an unexpected diagnosis

info:eu-repo/semantics/publishedVersio

Contribution of the losses in the conductors of an installation in the use of electronic ballasts in fluorescent illumination

The global economic and energy situation implies that all contributions for reducing energy consumption are important and relevant in terms of study and investment analysis. In electrical installations, energy consumption can be reduced by reducing losses in the conductors, associated with the use of electronic ballasts in fluorescent illumination, allowing a better use of the energy and of the installed power, which can be an important issue, particularly when using renewable energies. In this sense, this study presents a new software application that compares and chooses the best investment in the acquisition and installation of electronic ballasts in fluorescent illumination

Radial artery pseudoaneurysm: rare complication of a frequent procedure

info:eu-repo/semantics/publishedVersio

Del ideal al material: una anatomía socio-conductual de una subasta holandesa en Portugal

Neste artigo levamos a cabo um estudo etnográfico de um leilão de pescado que tem lugar em Matosinhos (Portugal). A observação in situ do funcionamento do mercado aponta para a existência de uma comunidade de participantes coesa, marcada pela informalidade e pela aceitação tácita das regras constitutivas do leilão. As condições materiais de criação do mercado (organização do espaço, ecrãs, comandos de transmissão de ordens) revelam-se centrais no fortalecimento e na atenuação de dinâmicas de observação recíproca e de competição entre os agentes. Entendidas no seu conjunto, as contribuições deste artigo evidenciam a importância de se considerar as condições substanciais de criação de um mercado, por oposição a uma abordagem metodológica meramente formal.In this paper we carry out an ethnographic study at a fish auction that takes place in Matosinhos (Portugal). The in-situ observation of the functioning of the market suggests the existence of a cohesive community of participants, marked by informality and by the tacit acceptance of the constitutive rules of the auction. The material conditions of market creation (organization of the space, screens, remote control to transmit market orders) are central to the strengthening and weakening of the dynamics of mutual observation and competition among market participants. Taken together, the contributions of this paper highlight the importance of considering the substantive conditions of market creation, as opposed to a purely formal methodological approach.Dans cet article, nous menons une étude ethnographique lors d’une vente aux enchères de poisson à Matosinhos (Portugal). L’observation in situ du fonctionnement du marché suggère l’existence d’une communauté de participants cohésive, marquée par l’informalité et l’acceptation tacite des règles de comportement de la vente aux enchères. Les conditions matérielles de la création du marché (organisation de l’espace, écrans, télécommande pour transmettre les ordres) sont essentielles pour renforcer et atténuer les dynamiques d’observation mutuelle et de concurrence entre agents. Prises ensemble, les contributions de cet article soulignent l’importance de considérer les conditions substantielles de la création du marché, par opposition à une approche méthodologique purement formelle.En este artículo se realiza un estudio etnográfico a una subasta de pescado que tiene lugar en Matosinhos (Portugal). La observación in-situ del funcionamiento del mercado apunta a la existencia de una comunidad de participantes cohesiva, marcada por la informalidad y la aceptación tácita de las reglas constitutivas de la subasta. Las condiciones materiales de creación del mercado (organización del espacio, pantallas, comandos de transmisión de órdenes) se revelan centrales en el fortalecimiento y la atenuación de dinámicas de observación recíproca y de competencia entre los agentes. Entendidas en su conjunto, las contribuciones de este artículo ponen de manifiesto la importancia de considerar las condiciones sustanciales de creación de un mercado, en oposición a un enfoque metodológico meramente formal

Tarifação social no consumo residencial de água

Este artigo examina as limitações e os efeitos da adoção de uma estrutura tarifaria por uma empresa prestadora de serviços de utilidade pública que utiliza um sistema de subsídios cruzados para financiar uma tarifa mais baixa cobrada aos usuários pobres. Os exercicios de simulação tarifária são feitos usando-se tarifas diferenciadas segundo a classificação social dos consumidores, sendo medidos os efeitos que o subsídio provoca em termos da quantidade demandada e do seu impacto sobre o nível de bem-estar dos usuários. Na parte final do artigo, mostra-se como este tipo de estrutura tarifária pode ser convertido naquele no qual as tarifas são estabelecidas para blocos de quantidades consumidas do serviço, a maneira tradicional de cobrar os serviços de utilidade pública.This article examines the restrictions and effects of the implementation of a rate structure with lower tariffs charged to the poor by a public utility using a cross-subsidy system to finance it. The simulations made allow the quantification of its effect upon the quantities demanded and its social welfare impacts. In the last section, it is shown how to translate a rate structure based upon the social classification of the users of the service into a traditional one of charging different tariffs according to blocks of quantity consumed

Neighborhood properties of complex networks

A concept of neighborhood in complex networks is addressed based on the criterion of the minimal number os steps to reach other vertices. This amounts to, starting from a given network $R_1$, generating a family of networks $R_\ell, \ell=2,3,...$ such that, the vertices that are $\ell$ steps apart in the original $R_1$, are only 1 step apart in $R_\ell$. The higher order networks are generated using Boolean operations among the adjacency matrices $M_\ell$ that represent $R_\ell$. The families originated by the well known linear and the Erd\"os-Renyi networks are found to be invariant, in the sense that the spectra of $M_\ell$ are the same, up to finite size effects. A further family originated from small world network is identified