Short-term impacts of the cricket match performances on national share markets – a case study of India and Australia

We investigate the impact that investor sentiment can have on stock market following performances by the national cricket teams of India and Australia in one-day cricket matches from 1990 to 2011. Motivated by previous findings of cricket’s impacts on stock markets, this study expands on previous research by investigating whether performances of individuals within the teams can also have an impact on their respective leading stock indices. Using an event study, we find no evidence of player or team performances significantly impacting the stock or futures markets. However, we find evidence of a ‘mood effect’ of poor performance by key players of national cricket teams in terms of significant drop in trading volumes in the following day. Our research poses and statistically examines some interesting questions and opens up the field for further research on this intriguing topic of sporting event impacts on national economies.

Selection of the right risk measures for portfolio allocation

 An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments. A preselection procedure dealing with large datasets is also introduced to eliminate stocks that have low diversification potential before running the portfolio optimisation model. Portfolios are evaluated by four performance indices, i.e., the Sortino ratio, the Sharpe ratio, the Stutzer performance index, and the Omega measure. Experimental results demonstrate that high performance and also well-diversified portfolios are obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or higher moments in general produces low performance and poorly diversified portfolios. In addition, the preselection applied to large datasets results in portfolios that have not only high performance but also high diversification degree.

A real-time abnormality detection system for intensive care management

Detecting abnormalities from multiple correlated time series is valuable to those applications where a credible realtime event prediction system will minimize economic losses (e.g. stock market crash) and save lives (e.g. medical surveillance in the operating theatre). For example, in an intensive care scenario, anesthetists perform a vital role in monitoring the patient and adjusting the flow and type of anesthetics to the patient during an operation. An early awareness of possible complications is vital for an anesthetist to correctly react to a given situation. In this demonstration, we provide a comprehensive medical surveillance system to effectively detect abnormalities from multiple physiological data streams for assisting online intensive care management. Particularly, a novel online support vector regression (OSVR) algorithm is developed to approach the problem of discovering the abnormalities from multiple correlated time series for accuracy and real-time efficiency. We also utilize historical data streams to optimize the precision of the OSVR algorithm. Moreover, this system comprises a friendly user interface by integrating multiple physiological data streams and visualizing alarms of abnormalities. © 2013 IEEE.

What is the value of corporate sponsorship in sports?

This paper investigates the stock market reaction to investor mood swings resulting from the Indian Premier League (IPL) cricket matches. We find that stocks listed on the Bombay Stock Exchange (BSE) that sponsor the IPL cricket are unaffected by the cricket matches. This finding is robust along two lines: (a) the effect is insignificant both statistically and economically which we demonstrate using a simple trading strategy; and (b) results hold across a wide range of portfolios. Our results, both statistical and trading strategy-based, suggest that the portfolios of companies that sponsor cricket in India are efficient. Our findings stand in sharp contrast to the evidence obtained by the broader sports literature suggesting that sports actually impact stock returns, driven principally by psychological factors.

Differences in underpricing of A-REIT IPOs and Australian property company IPOs

Purpose – A variety of papers have analyzed the underpricing of REIT IPOs or property company IPOs. The purpose of this paper is to compare the two sectors and examines differences in the underpricing of the two types of IPOs. Design/methodology/approach – An OLS regression is used to identify factors influencing the underpricing of A-REIT and property company IPOs from 1994 until 2014. Findings – This study finds that A-REIT IPOs have a significantly lower underpricing on average than Australian property company IPOs. The time taken to list appears to influence the underpricing of both A-REIT IPOs and property company IPOs, in that issues that are filled more quickly have higher underpricing but with the magnitude of the impact being less for A-REITs. The sentiment toward the stock market also appears to impact on the underpricing of A-REIT and property company IPOs again with the magnitude of the impact being less for A-REITs. Practical implications – The paper provides information to new A-REIT and property company issuers, underwriters and investors. Originality/value – The study is the first to compare and examine the differences in the underpricing of both REITs and property companies in the one country over the same time period.

Corporate political connections, agency costs and audit quality

Purpose – The effect of political connections of agency costs has attracted considerable research attention due to the increasing recognition of the fact that political connection influences corporate decisions and outcomes. This paper aims to explore the association between corporate political connections and agency cost and examine whether audit quality moderates this association. Design/methodology/approach – A data set of Bangladeshi listed non-financial companies is used. A usable sample of 968 firm-year observations was drawn for the period from 2005 to 2013. Asset utilisation ratio, the interaction of Tobin’s Q and free cash flow and expense ratio are used as alternative proxies for agency costs; membership to Big 4 audit firms or local associates of Big 4 firms is used as a proxy for audit quality. Findings – Results show that politically connected firms exhibit higher agency costs than their unconnected counterparts, and audit quality moderates the relationship between political connection and agency costs. The results of this paper suggest the importance of audit quality to mitigate agency problem in an emerging economic setting. Research limitations/implications – The findings of this paper could be of interest to regulators wishing to focus regulatory effort on significant issues influencing stock market efficiency. The findings could also inform auditors in directing audit effort through a more complete assessment of risk and determining reasonable levels of audit fees. Finally, results could inform financial statement users to direct investments to firms with lower agency costs. Originality/value – To the knowledge of the authors, this study is one of the first to explore the relationship between political connection and agency costs, and the moderating effect of audit quality of this relationship.

Perks and the informativeness of stock prices in the Chinese market

While the literature shows that perks can affect firm values positively or negatively, we argue that firms with higher perks are more likely to be associated with a lower quality of financial reporting, which, in turn, can affect the informativeness of stock prices. Based on hand-collected data on perks from Chinese listed firms, we find that firms with lower perks are associated with higher informativeness of stock prices (or lower R-square). Moreover, the positive association between perks and R-square is shown to be weaker for firms with higher financial reporting quality through audit and earnings quality measures.

Asymmetric information and market decline: evidence from the Chinese market

In this paper, we show that aggregate illiquidity is a priced risk factor on the Shanghai Stock Exchange (SHSE). We develop the relationship between the illiquidity factor, asymmetric information, and market decline. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger market decline.

The Chinese state enterprise sector: labour market reform and the impact on male-female wage structure

The paper examines the wage structure in the Chinese state enterprise sector between 1981 and 1987. This period is of particular interest given the introduction of major labour market reforms in China during the early 1980s. In essence the reforms represented a movement away from administratively determined prices towards a market–oriented system combined with a relatively flexible system of labour allocation. The Juhn, Murphy and Pierce (1991) decomposition is employed to shed light on the role of changing labour market institutions over the period.

Recent global trends in the Chinese construction industry and its market

The rapidly increasing construction demand in China, particularly spurred by the coming 2008 Beijing Olympic Games and the 2010 Shanghai Expo, provides challenging opportunities for overseas construction enterprises. Therefore understanding the structure and dynamics of construction industry in China is crucial, particularly the potential changes of the market after the China's entry into the World Trade Organization. This paper analyses the development of construction economics and institutional regulations in the construction market, and provides a comprehensive image on the Chinese construction sector in the global environment.

Time-varying hedge ratios: an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Time varying hedge ratios : an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.