Monthly seasonality in U.S. long term corporate bonds

Version of RecordWe explore monthly seasonality in high grade long term corporate bonds from January 1926 to December 2008. We test three types of month effects. In addition, we analyze the data based on Republican and Democratic presidencies. The mean of monthly total returns for the entire data set (0.50%) is significantly greater than zero. The mean return of January is significantly higher than the mean of the other eleven months stacked together; the mean of March is significantly lower. We find significantly higher or lower volatilities for some months compared to the other months. January experienced the highest mean monthly return, followed by a dip in February and March, and then an upward trend until January. The mean of monthly returns during the Republican presidencies (0.66%) is significantly higher than during the Democratic presidencies (0.33%). Though not fully efficient the U.S. corporate bond market exhibits a high degree of efficiency.Hamid, S. A. (2010, April). Monthly Seasonality in U.S. Long Term Corporate Bonds. In Proceedings of the Academy of Accounting and Financial Studies, 15(1). New Orleans, LA

Philosophy and practice of Islamic economics and finance

Version of RecordAn introductory paper intended for those who are uninitiated about Islamic economics and finance. (Library-derived description)Hamid, S. A. (2006). Philosophy and practice of Islamic economics and finance (Working Paper No. 2006-01). Southern New Hampshire University, Center for Financial Studies

Behavior of monthly total returns of U.S. government bonds : 1926-2007

Version of RecordWe explore for presence of monthly seasonality in monthly total returns of U.S. long term government bonds from January 1926 to December 2007. We test three types of effects with respect to monthly seasonality. We further partition the data into three sub-periods and explore monthly seasonality. In addition, we explore monthly seasonality based on Republican and Democratic presidencies. We look at the nature of monthly returns during contraction and expansion periods, as well as periods of crisis. The mean of monthly total returns of long term government bonds for the entire data set (0.47%) was significantly greater than zero. The mean of monthly returns of none of the months was significantly greater than the mean of the other eleven months stacked together. We find evidence of month effect with respect to variances of monthly returns. When we partition the data into three sub-periods, we do not find any discernible monthly seasonality. We also find the mean of monthly returns during the Republican presidencies to be significantly higher than during the Democratic presidencies. Government bond returns were on average significantly higher during contraction periods than during expansion periods. The Great Depression was good for the bond market; war periods were comparatively not as attractive for bond investing because governments tend to peg interest rates during such periods. Though not fully efficient, the U.S. long term government bond market exhibits a high degree of efficiency.Hamid, S. A. & Habib, A. (2010). Behavior of Monthly Total Returns of U.S. Government Bonds: 1926-2007. Journal of Business and Accounting, (2)1, 42-56

Can neural networks learn the Black-Scholes model? A simplified approach

Version of RecordNeural networks have been shown to learn complex relationships. It would be interesting to see if the networks can be trained to learn the nonlinear relationship underlying Black-Scholes type models. Interesting hypothetical questions that can be raised are: If option pricing model had not been developed, could a technique like neural networks have learnt the nonlinear form of the Black-Scholes type model to yield the fair value of an option? Could the networks have learnt to produce efficient implied volatility estimates? Our results from a simplified neural networks approach are rather encouraging, but more for volatility outputs than for call prices.Hamid, S. A. & Habib, A. (2005). Can neural networks learn the Black-Scholes model? A simplified approach (Working Paper No. 2005-01). Southern New Hampshire University, Center for Financial Studies

A new perspective on the anomalies in the monthly closings of the Dow Jones Industrial Average

Version of RecordThis study explores three types of month effects in the Dow Jones Industrial Average: (a) for a given period, if the mean of monthly percentage changes of each month was different from zero, (b) for a given period, if the mean of monthly percentage changes for a month was different from the means of all the other months, and (c) for a given period, if the variance of the monthly percentage changes for a month was different from the variances of all the other months. For our entire data set (May 1896 to December 2002) we find that the means of monthly percentage changes of only July, August, January and December were significantly greater than zero (months put in descending order). But the means of none of these three months were significantly higher compared to the means of all the other months. With a mean percentage change of -1.25%, only September appears with significant negative returns. And this mean is significantly lower compared to the means of all the other months. In other words, for the entire data set, we have a negative September effect. Month effect with respect to variance (variance of monthly percentage changes for a month being significantly different from all the other months) was found for January, February and December (lower variances), and April (higher variance). When we look at the first half of the twentieth century versus the second half, we see more pronounced month effects in the second half - considering all three types of effects we analyze. December exhibited all three types of effects in this period. When we sub-divide the last century into four 25-year periods, we find more pronounced month effects in the last quarter than in the previous three quarters. When we sub-divide the data into 10-year periods, we do not find any consistent and discernible pattern. The month effect varies with the time period we consider and the type of effect we analyze. Though one would expect the DJIA stocks to be free from seasonal patterns since each one of them are closely followed by a large number of analysts, the existence of any type of month effect is surprising. However, given that no discernible pattern is detectable is a reflection of efficiency of the DJIA stocks to a large degree.Hamid, S. A. & Dhakar, T. S. (2003). A new perspective on the anomalies in the monthly closings of the Dow Jones Industrial Average (Working Paper No. 2003-04). Southern New Hampshire University, Center for Financial Studies

Plastic Concrete Reuse Using Extended Set-Retarding Admixtures

This paper reports a preliminary experimental study on the effect of extended setretarding admixture or ‘stabiliser’ on the plastic and hardened properties of grouts and concretes containing general purpose Portland cement, blended cement and low heat cement. The effect of stabiliser on efflux time or ‘flow time’ of GP cement grout was studied and the dosage required to achieve an efflux time of 35 seconds was estimated. The results showed a linear relationship with increasing stabiliser dosage extending the holding time of the grout. The effect of stabiliser on the timing and measure of peak hydration temperature was then assessed and the results showed that for GP cement and GB cementitious grouts, peak temperatures were lower after adding stabiliser, and for all three grouts the time to peak hydration was significantly increased. Finally, the effect of stabiliser on the plastic and hardened properties of fresh concrete, stabilised concrete, and a blend of fresh and stabilised concrete was assessed. The results showed that the initial one hour slumps and the final slumps of the blended concretes were all within tolerance. The results also showed that adding stabiliser to the concretes did not a significantly reduce compressive strength when compared to the original, non-stabilised concretes

The behavior of U.S. Producer Price Index : 1913 to 2004

Version of RecordThis paper analyzes the behavior of U.S. PPI over the period January 1913 to March 2004 using monthly “all commodities index” values. The mean of monthly percentage index changes for the entire data set (0.23%) was significantly greater than zero. January, July and November had mean monthly percentage changes which were significantly greater than the mean changes of the other months over the entire period. March, May and September had mean percentage changes significantly lower than the other months. We find that there is some periodicity to all commodities index. The mean of monthly commodities index changes during the Republican presidencies (0.08%) was significantly lower than the mean changes during the Democratic presidencies (0.38%) and so were the medians. We slice the entire data into three sub-periods. We find that though the means and medians have significantly increased over the three sub-periods, the standard deviations of the means have decreased. Granger causality tests reveal that while oil prices affected the all commodities index and the finished goods index, the causal relationship is not true the other way at the 99% significance level. The findings have implications for policy makers, analysts, investors, and manufacturers.Hamid, S. A., Dhakar, T. S., & Thirunnavukkarasu, A. (2006). The behavior of U.S. Producer Price Index: 1913 to 2004 (Working Paper No. 2006-04). Southern New Hampshire University, Center for Financial Studies

Revealing Youngsters’ Impulsive Buying Behavior through Hedonic Shopping Motivations

This paper evaluates the relationship between hedonic shopping motivations and impulsive buying behavior of young Chinese buyers. 615 respondents are surveyed using convenience sampling and analyzed through Structural Equation Modelling. The results indicate that adventure seeking, gratification seeking, and idea shopping have a positive effect on impulsive buying, whereas role shopping has a negative effect on impulsive buying. However, social shopping and value shopping are found to be insignificant to impulsive buying. The study contributes to impulsive buying by investigating the hedonic shopping motivations of young Chinese buyers which is so far found to be missing in the existing literature. Keywords: Hedonic shopping; impulsive buying; young consumers; China. DOI: 10.7176/EJBM/11-3-1

Young Buyers: Shopping Enjoyment and Obsessive-Compulsive Buying

The purpose of this paper is to evaluate the relationship between hedonic shopping motivations and obsessive-compulsive shopping behavior from youngsters’ perspective. The study is based on the survey of 615 young Chinese buyers (mean age=24) and analyzed through Structural Equation Modelling (SEM). The findings show that adventure seeking, gratification seeking, and idea shopping have a positive effect on obsessive-compulsive buying, whereas role shopping and value shopping have a negative effect on obsessive-compulsive buying. However, social shopping is found to be insignificant to obsessive-compulsive buying. The study has a number of implications. Marketers should display more information about latest trends and fashions, as young buyers are found to shop for ideas and information. Managers should design the layouts with more exciting and impressive features, as these buyers are found to shop for adventure and gratification. Salesmen should take greater care into consideration while offering them to buy products such as gifts, souvenir etc. for their dear ones, as these buyers are less likely to enjoy buying for others. Moreover, business managers should less rely on discount promotions, as this consumer segment is found to be less likely to shop for discounts and bargains. This study contributes to the literature by investigating the relationship between hedonic shopping motivations and obsessive-compulsive buying of young Chinese buyers, which is found to be lacking in the literature so far according to the best of authors’ knowledge. Keywords: Hedonic shopping, Obsessive-compulsive buying, Young consumers, China. DOI: 10.7176/EJBM/11-3-1