scholarly journals An MFDFA Study to find Herd Behaviour and Information Asymmetry during Demonetization

2020 ◽  
Vol 19 (3) ◽  
pp. 41-59
Author(s):  
Niranjana Balasubramanian
Keyword(s):  
Information Asymmetry ◽  
Hill Estimator ◽  
Herd Behavior ◽  
Herding Behavior ◽  
Data Set ◽  
Unusual Event ◽  
Volatility Index ◽  
Time Period ◽  
Different Response ◽  
Indian Stock Market

The paper attempts to identify how the Indian stock market reacts to an unusual event like demonetization through the observation of herd behavior. The data set considered is the NIFTY 50 index collected on 9th November 2016. This method could become a failure if giant investors are well aware of the massive proceeding as stock markets are prone to information asymmetry. Thus, the existence of the same is checked using Hill estimator. The sectoral herding behavior is also captured for three selective sectors namely PSU banks, Energy sector, and Automobile sector as each sector may pose a different response towards the event. The volatility index is examined for a time period of 10 years from 2008 to 2018.

What make investors herd while investing in the Indian stock market? A hybrid approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muskan Sachdeva ◽  
Ritu Lehal ◽  
Sanjay Gupta ◽  
Aashish Garg
Keyword(s):  
Stock Market ◽  
Fuzzy Ahp ◽  
Hybrid Approach ◽  
North India ◽  
Second Phase ◽  
Herd Behavior ◽  
Herding Behavior ◽  
Two Phase ◽  
Content Type ◽  
Indian Stock Market

PurposeIn recent years, significant research has focused on the question of whether severe market periods are accompanied by herding behavior. As herding behavior is a considerable cause of the speculative bubble and leads to stock market deviations from their basic values it is necessary to examine the motivators which led to herding behavior among investors. The paper aims to discuss this issue.Design/methodology/approachIn this study, the authors performed a two-phase analysis to address the research questions of the study. In the first phase, for text analysis NVivo software was used to identify the factors driving herding behavior among Indian stock investors. The analysis of a text was performed using word frequency analysis. While in the second phase, the Fuzzy-AHP analysis techniques were employed to examine the relative importance of all the factors determined and assign priorities to the factors extracted.FindingsResults of the study depicted Investor Cognitive Psychology (ICP), Market Information (MI), Stock Characteristics (SC) as the top-ranked factors driving herding behavior, while Socio-Economic Factors (SEF) emerged as the least important factor driving herding behavior.Research limitations/implicationsThe current study was undertaken among stock investors from North India only. Moreover, numerous factors are not part of the study but might significantly influence the investors' herding behaviors.Practical implicationsComprehending the influences of the different factors discussed in the study would enable stock investors to be more aware of their investment choices and not resort to herd behavior. This research enables decision-makers to understand the reasons for herd activity and helps them act accordingly to improve the stock market's performance.Originality/valueThe current study will provide an inclusive overview of herding behavior motivators among Indian stock investors. This study's results can be extremely useful for both academics and policymakers to gain some insight into the functioning of the Indian stock market.

Determinants of Trading Decision: An Experiential Examination

GIS Business ◽  
2018 ◽  
Vol 13 (1) ◽  
pp. 1-9
Author(s):  
Gunjan Sharma ◽  
Tarika Singh ◽  
Suvijna Awasthi
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Capital Mobility ◽  
Influential Factors ◽  
Herd Behavior ◽  
Human Beings ◽  
The Past ◽  
The Government ◽  
Indian Stock Market

In the midst of increasing globalization, the past two decades have observed huge inflow of outside capital in the shape of direct and portfolio investment. The increase in capital mobility is due to contact between the different economies across the globe. The growing liberalization in the capital market leads to the growth of various financial products and services. Over the past decade, the Indian capital market has witnessed numerous changes in the direction of developing the capital markets more robust. With the growing Indian economy, the larger inflow of funds has been fetched into the capital markets. The government is continuously working on investor’s education in order to increase retail participation in the Indian stock market. The habits of the risk-averse middle class have been changing where these investors started participating in the Indian stock market. It is an explored fact that human beings are irrational and considering this fact becomes imperative to investigate factors that influence the trading decisions. In this research, ‘an attempt has been made to investigate various factors that affect the individual trading decision’. The data has been collected from various stockbroking firms and from clients of those stockbroking firms their opinions were recorded by means of a questionnaire. Data collected through the structured questionnaire, 33 questions were prepared which was given to the 330 respondents on the basis of convenience sampling out of which 220 individuals filled questionnaire, the total of 200 questionnaires was included in the study after eliminating the incomplete questionnaire. Various factors are being explored from the literature and then with the help of factor analysis some of the most influential factors have been explored. Factors like overconfidence, optimism, cognitive bias, herd behavior, advisory effect, and idealism are the factors which influenced the trading decision of the investors the most. Such kind of a study is contributing in the area of behavioral finance as a trading decision is an important aspect while investing in the stock market. And this kind of study would be helping and assisting financial advisors to strategies for their clients in making the right allocation and also the policy maker and market regulators to come up with better reforms for the Indian stock markets.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

Origins and Destinations – Social Security Claimant Dynamics

1998 ◽  
Vol 27 (3) ◽  
pp. 351-369 ◽  
Author(s):  
MICHAEL NOBLE ◽  
SIN YI CHEUNG ◽  
GEORGE SMITH
Keyword(s):  
The United States ◽  
Data Sets ◽  
Income Support ◽  
Data Set ◽  
Family Structures ◽  
Highly Educated ◽  
Lone Parents ◽  
Lone Mothers ◽  
Time Period ◽  
Short Time

This article briefly reviews American and British literature on welfare dynamics and examines the concepts of welfare dependency and ‘dependency culture’ with particular reference to lone parents. Using UK benefit data sets, the welfare dynamics of lone mothers are examined to explore the extent to which they inform the debates. Evidence from Housing Benefits data show that even over a relatively short time period, there is significant turnover in the benefits-dependent lone parent population with movement in and out of income support as well as movement into other family structures. Younger lone parents and owner-occupiers tend to leave the data set while older lone parents and council tenants are most likely to stay. Some owner-occupier lone parents may be relatively well off and on income support for a relatively short time between separation and a financial settlement being reached. They may also represent a more highly educated and highly skilled group with easier access to the labour market than renters. Any policy moves paralleling those in the United States to time limit benefit will disproportionately affect older lone parents.

scholarly journals Consistent satellite XCO<sub>2</sub> retrievals from SCIAMACHY and GOSAT using the BESD algorithm

2015 ◽  
Vol 8 (2) ◽  
pp. 1787-1832 ◽  
Author(s):  
J. Heymann ◽  
M. Reuter ◽  
M. Hilker ◽  
M. Buchwitz ◽  
O. Schneising ◽  
...  
Keyword(s):  
Carbon Cycle ◽  
Detailed Comparison ◽  
Mean Difference ◽  
Total Carbon ◽  
Retrieval Algorithm ◽  
Data Sets ◽  
Data Set ◽  
Time Period ◽  
Comparison Results ◽  
The Future

Abstract. Consistent and accurate long-term data sets of global atmospheric concentrations of carbon dioxide (CO2) are required for carbon cycle and climate related research. However, global data sets based on satellite observations may suffer from inconsistencies originating from the use of products derived from different satellites as needed to cover a long enough time period. One reason for inconsistencies can be the use of different retrieval algorithms. We address this potential issue by applying the same algorithm, the Bremen Optimal Estimation DOAS (BESD) algorithm, to different satellite instruments, SCIAMACHY onboard ENVISAT (March 2002–April 2012) and TANSO-FTS onboard GOSAT (launched in January 2009), to retrieve XCO2, the column-averaged dry-air mole fraction of CO2. BESD has been initially developed for SCIAMACHY XCO2 retrievals. Here, we present the first detailed assessment of the new GOSAT BESD XCO2 product. GOSAT BESD XCO2 is a product generated and delivered to the MACC project for assimilation into ECMWF's Integrated Forecasting System (IFS). We describe the modifications of the BESD algorithm needed in order to retrieve XCO2 from GOSAT and present detailed comparisons with ground-based observations of XCO2 from the Total Carbon Column Observing Network (TCCON). We discuss detailed comparison results between all three XCO2 data sets (SCIAMACHY, GOSAT and TCCON). The comparison results demonstrate the good consistency between the SCIAMACHY and the GOSAT XCO2. For example, we found a mean difference for daily averages of −0.60 ± 1.56 ppm (mean difference ± standard deviation) for GOSAT-SCIAMACHY (linear correlation coefficient r = 0.82), −0.34 ± 1.37 ppm (r = 0.86) for GOSAT-TCCON and 0.10 ± 1.79 ppm (r = 0.75) for SCIAMACHY-TCCON. The remaining differences between GOSAT and SCIAMACHY are likely due to non-perfect collocation (±2 h, 10° × 10° around TCCON sites), i.e., the observed air masses are not exactly identical, but likely also due to a still non-perfect BESD retrieval algorithm, which will be continuously improved in the future. Our overarching goal is to generate a satellite-derived XCO2 data set appropriate for climate and carbon cycle research covering the longest possible time period. We therefore also plan to extend the existing SCIAMACHY and GOSAT data set discussed here by using also data from other missions (e.g., OCO-2, GOSAT-2, CarbonSat) in the future.

scholarly journals Faculty Publishing Productivity: Comparisons over Time

2006 ◽  
Vol 67 (3) ◽  
pp. 230-239 ◽  
Author(s):  
John M. Budd
Keyword(s):  
Academic Librarians ◽  
Tenure Track ◽  
Data Set ◽  
Part Time Faculty ◽  
Time Period ◽  
Rate Of Increase ◽  
Part Time ◽  
Per Capita ◽  
Time Faculty ◽  
Over Time

Concerns about higher education abound, and these include concerns about productivity. The present study extends two previous examinations of faculty publishing productivity covering the years 1991 to 1993 and 1995 to 1997. Both members of ARL and a group of institutions included in ACRL’s data set are included. For both groups there are some increases in mean total numbers of publications, although the rate of increase has decreased since the second time period. Per capita rates of publication demonstrate an even flatter pattern. In recent years, there have been some changes in the dynamics of universities’ faculties; there are more part-time faculty and more faculty who are not on the tenure track. These factors, coupled with the publishing data, point to activities that all academic librarians should be aware of.

Forecast of the efficiency confidence interval of decision-making units in data envelopment analysis

2020 ◽  
Vol 33 (02) ◽  
pp. 431-445
Author(s):  
Azarnoosh Kafi ◽  
Behrouz Daneshian ◽  
Mohsen Rostamy-Malkhalifeh ◽  
Mohsen Rostamy-Malkhalifeh
Keyword(s):  
Decision Making ◽  
Data Envelopment Analysis ◽  
Confidence Interval ◽  
Data Envelopment ◽  
Data Set ◽  
Interval Model ◽  
Time Period ◽  
Proposed Model ◽  
The Future ◽  
Decision Making Units

Data Envelopment Analysis (DEA) is a well-known method for calculating the efficiency of Decision-Making Units (DMUs) based on their inputs and outputs. When the data is known and in the form of an interval in a given time period, this method can calculate the efficiency interval. Unfortunately, DEA is not capable of forecasting and estimating the efficiency confidence interval of the units in the future. This article, proposes a efficiency forecasting algorithm along with 95% confidence interval to generate interval data set for the next time period. What’s more, the manager’s opinion inserts and plays its role in the proposed forecasting model. Equipped with forecasted data set and with respect to data set from previous periods, the efficiency for the future period can be forecasted. This is done by proposing a proposed model and solving it by the confidence interval method. The proposed method is then implemented on the data of an automotive industry and, it is compared with the Monte Carlo simulation methods and the interval model. Using the results, it is shown that the proposed method works better to forecast the efficiency confidence interval. Finally, the efficiency and confidence interval of 95% is calculated for the upcoming period using the proposed model.

scholarly journals Developments in the production of economics PhDs at four research-intensive universities in South Africa

2017 ◽  
Vol Volume 113 (Number 3/4) ◽  
Author(s):  
Phillip de Jager ◽  
Liezel Frick ◽  
Pieter van der Spuy ◽  
◽  
◽  
...  
Keyword(s):  
South African ◽  
Doctoral Education ◽  
Academic Departments ◽  
Current Status ◽  
Pedagogical Practice ◽  
Data Set ◽  
International Trends ◽  
Time Period ◽  
Recent Developments ◽  
Notable Increase

Abstract There is a national drive to increase PhD production, yet we know little about how this imperative takes shape within different disciplines. We therefore set out to explore recent developments and the current status of the PhD in economics at four South African research-intensive universities. A data set of all economics PhDs produced in these commerce faculties during the period 2008–2014 was analysed to determine whether the departments of economics responded to the call for increased doctoral production, and the role the PhD by publication might have played in the process. How an increase in quantity might influence doctoral education in the respective academic departments was also considered by supplementing the quantitative data with perspectives from heads of department at the four institutions. The notable increase in doctoral production over the time period studied shows that national and international trends have influenced doctoral education in economics departments within South African research-intensive universities. Increased usage of the PhD by publication has implications for policy and pedagogical practice within these departments, especially as there seems to be limited available supervisory capacity. Other changes in departmental practices, such as the entrenchment of a research culture and the promotion of collaborative research amongst students and staff, also contributed to maintain quality in doctoral education.

scholarly journals Intention, Principle, Outputs and Aims of the Experimental Pavilion Research of Building Envelopes Including Windows for Wooden Buildings

2017 ◽  
Vol 13 (1) ◽  
pp. 42-51 ◽  
Author(s):  
Daniela Štaffenová ◽  
Ján Rybárik ◽  
Miroslav Jakubčík
Keyword(s):  
Experimental Research ◽  
Climatic Conditions ◽  
Point Of View ◽  
Physical Parameters ◽  
Data Sets ◽  
Data Set ◽  
Building Envelopes ◽  
Climate Conditions ◽  
Time Period

AbstractThe aim of experimental research in the area of exterior walls and windows suitable for wooden buildings was to build special pavilion laboratories. These laboratories are ideally isolated from the surrounding environment, airtight and controlled by the constant internal climate. The principle of experimental research is measuring and recording of required physical parameters (e.g. temperature or relative humidity). This is done in layers of experimental fragment sections in the direction from exterior to interior, as well as in critical places by stable interior and real exterior climatic conditions. The outputs are evaluations of experimental structures behaviour during the specified time period, possibly during the whole year by stable interior and real exterior boundary conditions. The main aim of this experimental research is processing of long-term measurements of experimental structures and the subsequent analysis. The next part of the research consists of collecting measurements obtained with assistance of the experimental detached weather station, analysis, evaluation for later setting up of reference data set for the research locality, from the point of view of its comparison to the data sets from Slovak Hydrometeorological Institute (SHMU) and to localities with similar climate conditions. Later on, the data sets could lead to recommendations for design of wooden buildings.

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