New empirical results on anomalies and herd behaviour: Vietnam stock market 2000-2004

info:eu-repo/semantics/published

Some new results on anomalies and herd behavior: Vietnam stock market

info:eu-repo/semantics/published

The Vietnamese Corporate Bond Market An Early Exploration into the 1992-1999 Period

This paper summarizes the situation of corporate bonds in Vietnam for the period 1992-1999. Corporate bonds are new in the transitional economy, but the capital shortage and operational inefficiency of the banking sector and financial system would likely drive the bond market up in the future. The paper also discusses some conditions for the Vietnamese bond market to further develop, based on the facts and observation.

Mergers and Acquisitions in Vietnam’s Emerging Market Economy, 1990-2009

This paper is the first major and thorough study on the M&A activities in Vietnam’s emerging market economy, covering almost entirely the M&A history after the launch of Doi Moi. The surge in these activities since mid-2000s by no means incidentally coincides with the jump in FDI and FPI inflows into the nation. M&A industry in Vietnam has its socio-cultural traits that could help explain economic happenings, with anomalies and transitional characteristics, far better than even the most complete set of empirical data. Proceeds from sales of existing assets and firms have mainly flowed into the highly speculative industries of securities, banking, non-bank financials, portfolio investments and real estates. The impacts of M&A on Vietnam’s long-term prosperity are, thus, highly questionable. An observable high degree of volatility in the M&A processes would likely blow outthe high ex ante expectations by many speculators, when ex post realizations finally arrive. The effect of the past M&A evolution in Vietnam has been indecisively positive or negative, with significant presence of rent-seeking and likelihood of causing destructive entrepreneurship. From a socio-economic and cultural view, the degree of positive impacts it may result in for domestic entrepreneurship will perhaps be the single most important indicator.

Corporate Bond Market in the Transition Economy of Vietnam, 1990-2010

Corporate bond appeared early in 1992-1994 in Vietnamese capital markets. However, it is still not popular to both business sector and academic circle. This paper explores different dimensions of Vietnamese corporate bond market using a unique, and perhaps, most complete dataset. State not only intervenes in the bond markets with its powerful budget and policies but also competes directly with enterprises. The dominance of SOEs and large corporations also prevents SMEs from this debt financing vehicle. Whenever a convertible term is available, bondholders are more willing to accept lower fixed income payoff. But they would not likely stick to it. On one hand, prospective bondholders could value the holdings of equity when realized favorably ex ante. On the other hand, the applicable coupon rate for such bond could turn out negative inflationadjusted payoff when tight monetary policy is exercised and the corresponding equity holding turns out valueless, ex post. Given the weak primary market and virtually nonexistent secondary market, the corporate bond market in Vietnam reflects our perception of the relationship-based and rent-seeking behavior in the financial markets. For the corporate bonds to really work, they critically need a higher level of liquidity to become truly tradable financial assets.

Examining Relationships between Culture, Creativity and Business Stage in an Emerging Market: A Categorical Data Analysis of Vietnam’s Data Set

In this article, we offer a new way of exploring relationships between three different dimensions of a business operation, namely the stage of business development, the methods of creativity and the major cultural values. Although separately, each of these has gained enormous attention from the management research community, evidenced by a large volume of research studies, there have been not many studies that attempt to describe the logic that connect these three important aspects of a business; let alone empirical evidences that support any significant relationships among these variables. The paper also provides a data set and an empirical investigation on that data set, using a categorical data analysis, to conclude that examinations of these possible relationships are meaningful and possible for seemingly unquantifiable information. The results also show that the most significant category among all creativity methods employed in Vietnamese enterprises is the “creative disciplines” rule in the “entrepreneurial phase,” while in general creative disciplines have played a critical role in explaining the structure of our data sample, for both stages of development in our consideration.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Nonparametric estimation of structural models for high-frequency currency market data

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.

Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

Cost Heterogeneity and the Potential Savings from Market-Based Policies

Policy makers and analysts are often faced with situations where it is unclear whether market-based instruments hold real promise of reducing costs, relative to conventional uniform standards. We develop analytic expressions that can be employed with modest amounts of information to estimate the potential cost savings associated with market-based policies, with an application to the environmental policy realm. These simple formulae can identify instruments that merit more detailed investigation. We illustrate the use of these results with an application to nitrogen oxides control by electric utilities in the United States.

Making it in the Modern Job Market: A Study of Communication among the Deaf and Hard of Hearing Population

Gemstone Team AUDIO (Assessing and Understanding Deaf Individuals' Occupations)

Of Mice and Men: An Ergonomic and Market Assessment of Current Computer Mice

Gemstone Team MICE (Modifying and Improving Computer Ergonomics)

Contracting Freedom: Governance and East Indian Indenture in the British Atlantic, 1838-1917

This is a dissertation about identity and governance, and how they are mutually constituted. Between 1838 and 1917, the British brought approximately half a million East Indian laborers to the Atlantic to work on sugar plantations. The dissertation argues that contrary to previous historiographical assumptions, indentured East Indians were an amorphous mass of people drawn from various regions of British India. They were brought together not by their innate "Indian-ness" upon their arrival in the Caribbean, but by the common experience of indenture recruitment, transportation and plantation life. Ideas of innate "Indian-ness" were products of an imperial discourse that emerged from and shaped official approaches to governing East Indians in the Atlantic. Government officials and planters promoted visions of East Indians as "primitive" subjects who engaged in child marriage and wife murder. Officials mobilized ideas about gender to sustain racialized stereotypes of East Indian subjects. East Indian women were thought to be promiscuous, and East Indian men were violent and depraved (especially in response to East Indian women's promiscuity). By pointing to these stereotypes about East Indians, government officials and planters could highlight the promise of indenture as a civilizing mechanism. This dissertation links the study of governance and subject formation to complicate ideas of colonial rule as static. It uncovers how colonial processes evolved to handle the challenges posed by migrant populations.

The primary architects of indenture, Caribbean governments, the British Colonial Office, and planters hoped that East Indian indentured laborers would form a stable and easily-governed labor force. They anticipated that the presence of these laborers would undermine the demands of Afro-Creole workers for higher wages and shorter working hours. Indenture, however, was controversial among British liberals who saw it as potentially hindering the creation of a free labor market, and abolitionists who also feared that indenture was a new form of slavery. Using court records, newspapers, legislative documents, bureaucratic correspondence, memoirs, novels, and travel accounts from archives and libraries in Britain, Guyana, and Trinidad and Tobago, this dissertation explores how indenture was envisioned and constantly re-envisioned in response to its critics. It chronicles how the struggles between the planter class and the colonial state for authority over indentured laborers affected the way that indenture functioned in the British Atlantic. In addition to focusing on indenture's official origins, this dissertation examines the actions of East Indian indentured subjects as they are recorded in the imperial archive to explore how these people experienced indenture.

Indenture contracts were central to the justification of indenture and to the creation of a pliable labor force in the Atlantic. According to English common law, only free parties could enter into contracts. Indenture contracts limited the period of indenture and affirmed that laborers would be remunerated for their labor. While the architects of indenture pointed to contracts as evidence that indenture was not slavery, contracts in reality prevented laborers from participating in the free labor market and kept the wages of indentured laborers low. Further, in late nineteenth-century Britain, contracts were civil matters. In the British Atlantic, indentured laborers who violated the terms of their contracts faced criminal trials and their associated punishments such as imprisonment and hard labor. Officials used indenture contracts to exploit the labor and limit the mobility of indentured laborers in a manner that was reminiscent of slavery but that instead established indentured laborers as subjects with limited rights. The dissertation chronicles how indenture contracts spawned a complex inter-imperial bureaucracy in British India, Britain, and the Caribbean that was responsible for the transportation and governance of East Indian indentured laborers overseas.

A COMPARISON OF MARKET CLEARING TOOLS IN ELECTRICITY SYSTEMS

To maintain a strict balance between demand and supply in the US power systems, the Independent System Operators (ISOs) schedule power plants and determine electricity prices using a market clearing model. This model determines for each time period and power plant, the times of startup, shutdown, the amount of power production, and the provisioning of spinning and non-spinning power generation reserves, etc. Such a deterministic optimization model takes as input the characteristics of all the generating units such as their power generation installed capacity, ramp rates, minimum up and down time requirements, and marginal costs for production, as well as the forecast of intermittent energy such as wind and solar, along with the minimum reserve requirement of the whole system. This reserve requirement is determined based on the likelihood of outages on the supply side and on the levels of error forecasts in demand and intermittent generation. With increased installed capacity of intermittent renewable energy, determining the appropriate level of reserve requirements has become harder. Stochastic market clearing models have been proposed as an alternative to deterministic market clearing models. Rather than using a fixed reserve targets as an input, stochastic market clearing models take different scenarios of wind power into consideration and determine reserves schedule as output. Using a scaled version of the power generation system of PJM, a regional transmission organization (RTO) that coordinates the movement of wholesale electricity in all or parts of 13 states and the District of Columbia, and wind scenarios generated from BPA (Bonneville Power Administration) data, this paper explores a comparison of the performance between a stochastic and deterministic model in market clearing. The two models are compared in their ability to contribute to the affordability, reliability and sustainability of the electricity system, measured in terms of total operational costs, load shedding and air emissions. The process of building the models and running for tests indicate that a fair comparison is difficult to obtain due to the multi-dimensional performance metrics considered here, and the difficulty in setting up the parameters of the models in a way that does not advantage or disadvantage one modeling framework. Along these lines, this study explores the effect that model assumptions such as reserve requirements, value of lost load (VOLL) and wind spillage costs have on the comparison of the performance of stochastic vs deterministic market clearing models.