Market-level Analysis Research Articles

Imported financial risk in global stock markets: Evidence from the interconnected network

This paper proposes an interconnected network, including the volatility layer and sentiment layer, to examine imported financial risk in global stock markets. We compare and explore the topology structures of global volatility risk spillovers and sentiment risk spillovers based on the static sample and dynamic sample. Our results show that sentiment risk spillovers across global stock markets are stronger than volatility risk spillovers. Meanwhile, we observe that volatility risk spillovers and sentiment risk spillovers among global stock markets are heterogeneous during periods of financial system stress. The market-level analysis suggests that developed economies, such as the US, UK, and France, are dominant players in global volatility risk and sentiment risk. Finally, we observe that Asian stock markets suffered from substantial imported volatility risks during the crisis, but imported sentiment risks in Asian stock markets are weak.

Healthcare Market-Level and Hospital-Level Disparities in Access to and Utilization of High-Quality Hip and Knee Replacement Hospitals Among Medicare Beneficiaries.

This study aimed to determine whether healthcare markets with higher social vulnerability have lower access to high-quality hip and knee replacement hospitals and whether hospitals that serve a higher percentage of low-income patients are less likely to be designated as high-quality. This cross-sectional study used 2021 Centers for Medicare and Medicaid Services outcome measures and 2022 Joint Commission (JC) process-of-care measures to identify hospitals performing high-quality hip and knee replacement. A total of 2,682 hospitals and 304 healthcare markets were included. For the market-level analysis, we assessed the association of social vulnerability with the presence of a high-quality hip and knee replacement center. For the hospital-level analysis, we assessed the association of disproportionate share hospital (DSH) percentage with each high-quality designation. Healthcare markets were approximated by hospital referral regions. All associations were assessed with fractional regressions using generalized linear models with binomial family and logit links. We found that healthcare markets in the most vulnerable quartile were less likely to have a hip and knee replacement hospital that did better than the national average (odds ratio [OR] 0.22, P = 0.02) but not more or less likely to have a hospital certified as advanced by JC (OR 0.41, P = 0.16). We found that hip and knee replacement hospitals in the highest DSH quartile were less likely to be designated by the Centers for Medicare and Medicaid Services as better than the national average (OR 0.18, P = 0.001) but not more or less likely to be certified as advanced by JC (OR 1.40, P = 0.28). Geographic distribution of high-quality hospitals may contribute to socioeconomic disparities in patients' access to and utilization of high-quality hip and knee replacement. Equal access to and utilization of hospitals with high-quality surgical processes does not necessarily indicate equitable access to and utilization of hospitals with high-quality outcomes. Level III.

Let's do it Frank's way: general principles and historical specificity in the study of entrepreneurship

AbstractFormal economic models of entrepreneurship have two characteristics: they model entrepreneurship as an allocation of resources, and they identify common factors affecting this allocation. These common factors are represented as parameters of optimization models, and they are evaluated at the market level. We argue that although these models are useful, they are incomplete because certain aspects of entrepreneurial behavior, such as judgment, alertness, or innovativeness, cannot be easily transformed into allocative problems. Moreover, entrepreneurial acts involve idiosyncratic elements, which limit the applicability of the market-level analysis to individual cases. Thus, the traditional economic methods have to be complemented by approaches highlighting the role of individual and historical specificity. The study of entrepreneurship, therefore, requires a synthesis of both general theory and historicist approaches, as envisioned a century ago by Frank Knight.

Ramadan effect on sectoral herding

One variable that affects stocks prices in the financial markets is herding behavior. As the level of herding is not constant over time, its level may be different during some events. Herding may increase during religious events like Ramadan in the Muslim world causing volatility to increase and leading to unexplained stock prices. The purpose of this study was to test the effect of Ramadan on herding presence at market and sector levels. The study was based on the behavioral finance theory which considers mood and behavior of investors as variables that may affect the prices of stocks. The enquiry that the researcher tried to answer was whether the presence of herding in the market and sectors is affected by Ramadan. To achieve the study purpose, a quantitative study was conducted using daily data from Amman stock exchange for the period from 2000 to 2018. Collected data were analyzed using ordinary least squares (OLS) method. The Results of market-level analysis showed that market investors do not herd during and out of Ramadan. At sector-level, however, herding is absent during Ramadan and exists out of it in services and industrial sectors while it's absent in both times in the financial sector.

A Taxonomy of SME E-Commerce Platforms Derived from a Market-Level Analysis

ABSTRACTSmall and medium-size enterprises (SMEs) constitute a large and important sector of the U.S. and U.K. economies and e-commerce platforms have evolved that are designed specifically to help small business owners and entrepreneurs. Despite the popularity and importance of these digital platforms, there is a paucity of research in this area. This article contributes to theory by being the first study to map out the competitive landscape of SME e-commerce platforms in two markets using a theoretical framework and analysis that is based on business model and strategic group theories. In total, 144 platforms were analyzed using an online panel data methodology, which identified 32 leading SME e-commerce platforms in the UK and United States. These leading platforms were analyzed at the market level using cluster analysis based on strategic group theory and website content analysis. A taxonomy is proposed based on theoretical constructs derived from business model theory: value proposition, Web 2.0 sophistication, and revenue model. Five distinctive strategic groups are identified: information laggards, basic networking, advanced networking, advanced networking mature, and social media markets. The study further outlines managerial implications for SMEs, SME e-commerce platform providers, and external sponsors of the platforms—predominantly government organizations and banks.

Oil Prices, Stock Markets and Firm Performance: Evidence from Europe

This paper extends the understanding of the relationship between oil prices, stock markets and financial performance of oil and gas firms over the past decade. Firstly it studies the impact of oil price fluctuations on stock markets in Europe. Secondly, it examines the volatility spillovers between oil and European stock markets. As oil price changes do not equally affect all industries, the study conducts both market-level and sector-level analysis. Thirdly, it examines the impact of crude oil price changes on the financial performance measure of oil and gas firms, both listed and unlisted, from the Western European region. The findings show existence of the one-way directional relationship between oil and most of the European sector stock markets. Furthermore, the results indicate volatility spillovers between returns in oil price and stock markets. It was found that crude oil prices significantly and positively impact the performance of listed oil and gas firms in Western Europe. In the case with unlisted firms, the results suggest existence of other factors that have an impact on their performance. The geopolitical crisis (2014) negatively affected the financial performance of both listed and unlisted firms. On the other hand, financial performance of only listed oil and gas firms was negatively influenced by the global financial crisis (2008-2009).

Systematic or Idiosyncratic? Spillover Effects in Corporate Bond Markets and Portfolio Implications

Periods with high financial distress and uncertainty are characterized by increased co-movement in corporate bond markets. In this paper, we study the dynamic interactions among corporate bond returns in a period from 2004 to 2016 that covers important macroeconomic, financial and political events. In particular, we provide a framework for the evaluation of contagion among corporate bonds in different regions during a period with increased financial turmoil. We measure contagion in terms of dynamic spillovers, which capture the degree of homogeneity in bond returns. Our specification distinguishes two sources of bond risk: the systematic risk and the idiosyncratic risk. To account for a market-level analysis of co-movement, we employ a panel VAR model in which the variables (bond markets) are treated as endogenous. Based on our results, the systematic risk component accounts for a larger portion of variation in bond returns relative to the idiosyncratic component, indicating the existence of homogeneity in global corporate bond markets. The emerging markets are also net receivers of international shocks, whereas innovations in U.S. bond markets contribute importantly to the instability in global bond markets.

Evaluating the risk of Chinese housing markets: What we know and what we need to know

Real estate is an important driver of the Chinese economy, which itself is vital for global growth. However, data limitations make it challenging to evaluate competing claims about the state of Chinese housing markets. This paper brings new data and analysis to the study of supply and demand conditions in nearly three dozen major cities. We first document the most accurate measures of land values, construction costs, and overall house prices. We then create and investigate a number of supply and demand metrics to see if price growth reasonably can be interpreted as reflecting local market fundamentals. Key results include the following:(1)Real house price growth has been high, averaging 10% per annum since 2006. However, there is substantial heterogeneity across markets, ranging from 2.8% (Jinan) to 19.8% (Beijing). House price growth is driven by rising land values, not by construction costs. Real land values have risen by 14.4% per annum on average. In Beijing, the increase has been by a remarkable 27.5% per year (or by 1036%) since 2004.(2)There is variation about the strong positive trend in house price and land value growth. Land values fell by nearly one-third at the beginning of the global financial crisis, but more than fully recovered amidst the 2009–2010 Chinese stimulus. More recent growth has been much more modest, with some markets beginning to decline. Quantities of land sales by local governments to private residential developers have dropped sharply since 2013. The most recent data show transactions volumes down by half or more. This should lead to a reduced supply of new housing units in coming years.(3)Market-level analysis of short- and longer-run changes in supply–demand balances finds important variation across markets. In the major East region markets of Beijing, Hangzhou, Shanghai and Shenzhen which have experienced very high rates of real price growth, we estimate that the growth in households demanding housing units has outpaced new construction since the turn of the century. However, there are thirteen large markets, primarily in the interior of the country, in which new housing production has outpaced household growth by at least 30% and another eleven in which it did so by at least 10%. Regression results show that a one standard deviation increase in local market housing inventory is associated with a 0.45 standard deviation lower rate of real house price growth the following year.(4)There are no official data on residential vacancy rates in China, but some researchers have reported very high figures (17%+). We develop a new series at the provincial level which yields a much lower vacancy rate on average, but it has been rising—from 5.2% in 2009 to 7.8% in 2014.(5)The risk of housing even in markets such as Beijing which show no evidence of oversupply, is best evidenced by price-to-rent ratios. They are well above 50 in the capital city. Poterba's (1984) user cost model suggests these levels can be justified only if owners have sufficiently high expectations of future capital gains. Even a modest one percentage point drop in expected appreciation (or increase in interest rates) would result in a drop in prices of about one-third, absent an offsetting increase in rents.

Value and Momentum in Commercial Real Estate:A Market-Level Analysis

Value and momentum strategies are widely recognized by capital market portfolio managers, although commercial real estate evidence is limited. In this article, Beracha and Downs apply these strategies in a market-level analysis using NCREIF data from 1986 through 2014. Conducting the analysis at the market-, or MSA-level, illustrates its usefulness to an institutional portfolio manager deciding which markets to target or, potentially, exit. Surprisingly, yet consistent with other asset classes, future returns on commercial real estate are positively correlated with the value effect, as measured by relative cap rate, and positively correlated with relative returnmomentum. Each strategy is robust to risk adjustment and persists over extended investment horizons. As suggested, value and momentum risk factors may benefit institutional investors in establishing benchmarks and monitoring performance.

Value and Momentum in Commercial Real Estate:A Market-Level Analysis

Value and Momentum in Commercial Real Estate:<i>A Market-Level Analysis</i>

Value and Momentum in Commercial Real Estate:A Market-Level Analysis

Value and Momentum in Commercial Real Estate:<i>A Market-Level Analysis</i>

PERUBAHAN TINGKAT SUKU BUNGA DAN KINERJA PASAR MODAL INDONESIA: ANALISIS PADA TINGKAT PASAR DAN TINGKAT INDUSTRI

The objective of this paper is to test empirically the performance of Indonesian capital market following the interest rate change. This study also tests the relationship between the interest rate changes and the subsequence performance in various industries, which are financial and manufacture sector. We used market level analysis as well as industry level analysis. We examine the 1996-2001 period. The sample consists of 64 interest rate change, 34 increase and 30 decrease. We used one market index and two industry index, which are Indonesian Capital Market Composite Index, Financial Sector Index and Manufacture Sector Index. In order to examine the market and industry performance following interest rate change, we test the mean-adjusted return (MAR) and cumulative mean-adjusted return (CMAR) during 21 event windows with t-test statistics. The results indicate that market and industrial performance react negatively to the increase of interest rate, while react positively to the decrease of interest rate. Besides, there is also an indication that financial sector performance tends to be more sensitive than manufacture sector performance. Keywords: Interest rate change, market performance, financial and manufacture performance, market-level analysis, industry-level analysis.

Use of cognitive enhancers and associated medical care costs among patients with dementia: a nationwide study in Taiwan

Pharmaceutical therapy for patients with dementia including cholinesterase inhibitors (ChEI) and memantine is covered by Taiwan's National Health Insurance (NHI) but with strict reimbursement criteria. This study compared utilization of selected cognitive enhancers among elderly patients with dementia and estimated associated differences in medical care costs. This study used medical claims and pharmacy claims from the NHI Research Database of Taiwan from 2009 to 2011, which included all patients 65 years or older diagnosed with dementia in their outpatient or inpatient claims. Both individual-level and market-level analysis were performed to calculate the average medical costs per person and the share of drug expenditures. Generalized linear models with propensity score adjustment estimated differences in medical care costs by use of selected cognitive enhancers. Users of ChEI had the highest medication and outpatient costs but the lowest inpatient costs among all users of cognitive enhancers. However, annual adjusted total medical care costs per ChEI user were not significantly different from those who used cerebral vasodilators (CBV). In 2011, 52.4% of the elderly with dementia in Taiwan used cognitive enhancers, but among them 88.3% used CBV while 9.2% used ChEI. Among patients with dementia who used at least one cognitive enhancer, the aggregated expenditure as a share of their total drug expenditures was 9.7% in 2011. Given that CBV had a much higher utilization rate than ChEI or memantine among elderly people with dementia, the strict reimbursement policy for ChEI and memantine may need to be revisited to increase access to those drugs by patients with dementia in Taiwan.

Availability, Health-Care Costs, and Utilization Patterns of Biologics in Taiwan

Objective To provide an overview of the use of biologics in Taiwan, including the access to new biologics, the impact of this access on the growth of health-care expenditure, and the utilization patterns. Methods We first conducted a market-level analysis to investigate the availability of global biologics in Taiwan as well as the growth and concentration of aggregate spending on biologics. We then conducted a patient-level analysis to investigate the costs and utilization patterns for selected new biologics. Results We found that the concentration index is such that the 20 leading biologics in Taiwan account for more than 90% of the total spending on biologics. In our patient-level study on four biologics, the annual cost of treatment per patient ranged from NT$100,000 to NT$400,000. The prevalence rate of the user was between 6.5 and 37.2 per 100,000 of population. The treatment costs were inversely related to the prevalence rate of users. We also found that physicians in larger and public hospitals were more likely to prescribe new biologics to their patients compared with their counterparts practicing in smaller and private hospitals. In addition, we found that physicians were more likely to prescribe biologics to patients with more severe diseases and higher comorbidities. Conclusions We conclude that public spending on biologics in Taiwan is highly targeted toward about 20 products with higher annual expenditures and growth rates and that the utilization of these biologics is targeted at a small number of patients. In addition, the access to these costly biologics is not uniform among patients in a country with universal coverage for prescription drugs.

The Impact of Market Concentration on the Availability of Credit to Small Businesses in the Aftermath of the Financial Crisis of 2007-2008: A Market-Level Analysis

The Impact of Market Concentration on the Availability of Credit to Small Businesses in the Aftermath of the Financial Crisis of 2007-2008: A Market-Level Analysis

Greek market efficiency and its international integration

Political, economic and legal risks are among the causes of market inefficiency and the consequent under-development of financial markets. To further the understanding of the factors affecting market development, this study evaluates the Athens Stock Exchange (ASE). The Greek market provides a unique opportunity to isolate market efficiency as a factor in market development. Since its membership to the European Union (EU) in 1981, political and legal risks in the Greek market are similar to those of the other EU member countries such as the U.K., Germany and France. Greece's inclusion in the Eurozone in 2000 has eliminated many of the economic risks. The unrealized potential of the ASE is therefore questioned. Considering the relatively small number of stocks in the ASE, market level analysis is potentially inappropriate: studies may be rejecting the ASE's efficiency due to irregularities in a few influential stocks. Thus, this study analyzes the efficiency of the ASE by evaluating the market's, as well as individual stocks’, returns. A well documented anomaly for the ASE, the day-of-the-week effect, is evaluated as are return predictability tests including a runs test, causality from other markets, and causality from liquidity. Both on the market level and on the individual level, evidence of inefficiencies are found. Based on the evidence that about 94% of Greek stocks’ returns are Granger-caused by at least one foreign market, it is concluded that the Greek market lacks the appeal for international diversification. Overall, the ASE's unrealized potential is blamed on lingering market inefficiencies and especially on its causal relationship with international markets.

Homebuyers and Wildfire Risk: A Colorado Springs Case Study

In recent years, the threat that wildfire poses to homes has received much attention in both the mainstream press and academic literature. However, little is known about how homebuyers consider wildfire risk during the home-purchase process. In the context of a unique wildfire education program, we consider two approaches to examining the relationship between wildfire risk and home purchases. Results from a market-level analysis using home sales price data are compared to household survey results. The household survey validates the market-level analysis and provides further insight into homebuyers and wildfire risk. Specifically, we find that while homebuyers prefer locations near dangerous topography, they also prefer less flammable building materials. However, most homebuyers were unaware of wildfire risk when they made their home-purchase decisions.

Price Endogenous Mathematical Programming Models and Trade Analysis

Takayama and Judge introduced the price endogenous mathematical programming model as an alternative to the traditional econometric approach to sector-level policy analysis. McCarl and Spreen provided a review of price endogenous mathematical programming models. In that paper, they showed how price endogeneity can be introduced into a standard firm-level linear programming model. The introduction of price endogeneity allows expansion of the firm-level specification to a market-level analysis. At the time of publication of McCarl and Spreen, however, the application of price endogenous mathematical programming models was limited by the availability of software packages that could directly solve such models. The typical application used linear supply and/or demand relationships, which resulted in a quadratic programming (QP) specification. The advent of MINOS in the 1980s and then its incorporation into GAMS has lifted the computation constraint. In the present day, numerous price endogenous models have been developed. I can lay claim to six such models.

Bank Consolidation and Small Business Lending within Local Markets

This paper uses the relatively new CRA small business loan data to examine how bank consolidation has been related to small business lending within a bank's local community - particularly to borrowers having more modest economic prospects, such as very small businesses or those located in low- and moderate-income areas. The results of multivariate tests indicate that during the late 1990s, banks experiencing merger activity- including banks that did not themselves merge but were part of active holding companies - had systematically lower small business loan growth than inactive banks. But, the effects appear to reflect a general decline in small business lending rather than a shift away from lending to lower- income areas or to very small businesses. At the local level, merger-related effects are more pronounced when the merger activity increases the local market share of the surviving bank or its parent holding company. Thus, our results indicate that, at least in terms of the quantity of credit, the effects of bank consolidation do not appear to fall disproportionately on the businesses having more modest prospects. On the other hand, the market-level analysis indicates that standard antitrust concerns about the provision of local banking services still seem to apply in small business credit markets.

Medicare contracting risk/Medicare risk contracting: a life-cycle view from twelve markets.

To examine the evolution of the Medicare HMO program from 1996 to 2001 in 12 nationally representative urban markets by exploring how the separate and confluent influences of government policy initiatives and health plans' strategic aims and operational experience affected the availability of HMOs to Medicare beneficiaries. Qualitative data gathered from 12 nationally representative urban communities with more than 200,000 residents each, in tandem with quantitative information from the Centers for Medicare and Medicaid Services and other sources. Detailed interview protocols, developed as part of the multiyear, multimethod Community Tracking Study of the Center for Studying Health System Change, were used to conduct three rounds of interviews (1996, 1998, and 2000-2001) with health plans and providers in 12 nationally representative urban communities. A special focus during the third round of interviews was on gathering information related to Medicare HMOs' experience in the previous four years. This information was used to build on previous research to develop a longitudinal perspective on health plans' experience in Medicare's HMO program. From 1996 to 2001, the activities and expectations of health plans in local markets underwent a rapid and dramatic transition from enthusiasm for the Medicare HMO product, to abrupt reconsideration of interest corresponding to changes in the Balanced Budget Act of 1997, on to significant retrenchment and disillusionment. Policy developments were important in their own right, but they also interacted with shifts in the strategic aims and operational experiences of health plans that reflect responses to insurance underwriting cycle pressures and pushback from providers. The Medicare HMO program went through a substantial reversal of fortune during the study period, raising doubts about whether its downward course can be altered. Market-level analysis reveals that virtually all momentum for the program has been lost and that enrollment is shrinking back to the levels and locations found in the mid-1990s.