Market Rates Research Articles

Analyzing the data from beverage companies to evaluate the validity of the Fama-French three-factor model

The Fama-Fench 3-factor model (FF3) is one of the most commonly used models for valuing companies. It is curious to see whether this model can reasonably capture the changes in the treacherous stock market and accurately predict the expected returns of a company in practice. In this article, machine learning is adopted to analyze data from the past five years in terms of the 10-year t-bill return as the risk free rate and the S&P 500 rate of return as the market rate of return to compare and analyses the rate of return of Nestle, Danone, Unilever, Coca-Cola and PepsiCo over the past five years. In the comparative analysis, this essay randomly selected the rate of return for 80% of the days in the past five years as the training set and used the rate of return for the remaining 20% of the days as the test set. Besides, this study uses regression analysis to obtain a theoretical model of FF3, which is then brought to the test set data for testing. In this article, the null hypothesis is that the error is equal to 0 and the alternative hypothesis is that the error is not equal to 0. According to the analysis, hypothesis validation is adopted to check the accuracy of FF3 by analyzing the results of the hypothesis test and using the FF3 derived from the training set to predict whether the error between the resulting data and the actual data is 0.

The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach

Global stock markets are incredibly unpredictable. Resource prices have a significant market impact on varying securities. With the use of cutting-edge technology like artificial intelligence, analysts and researchers are employing various machine learning techniques and econometrics methodologies to anticipate stock price trends in order to better comprehend stock market volatility. Volatility is the degree of variation in a time sequence of market rates. Stock market equity returns depend on the business output where the investor has trust in high and low equity. This research explores the interaction between industrialized and developing economies' market volatility relationships between 2000 and 2020 as well as the aforementioned impacts taking place on developing financial prudence worldwide. The aim of the study is to integrate an appropriate GARCH framework to estimate the uncertainty dependent on market conditions in the European Union, the Pacific, South America, Latin America, East Asia, West Asia and South Asia stock return indices. The Generalized Auto-Regressive Conditional Heteroscedasticity method is used for analyzing the effect of updates from the USA that influences the returns of S&P 500 globally as well as European Union, Pacific, South American, Latin American, East Asian, West Asian and South Asian indices returns. For capital markets of the world, there is a significant gap in equity return uncertainty. Such results have major effects on investors looking to diversify their portfolios. For international and domestic institutional shareholders, this paper is significant. The impact of international institutional investors' investments and effects of the growth of the equity market return may be omitted as the analysis is restricted exclusively to the European Union, the Pacific, South America, Latin America, East Asia, West Asia, and South Asia.

The marketing strategy of the business complex-case study of Xi Ying Men

In recent years, due to the government's increased supervision on the real estate industry, the growth rate of the commercial real estate market has slowed down, and it is difficult to de inventory in some regions, and the structural contradiction has become increasingly prominent. With the rise and development of e-commerce, traditional integrated commercial entities are facing a severe development situation. Xiyingmen Building Materials and Home Furnishings Plaza was founded in 1997 and headquartered in Shanghai. It specializes in the development, operation and management of urban complex and building materials and furniture plaza projects. Because of its early start and perfect supporting facilities, it also achieved good financial performance in the early stage. However, with the continuous emergence of large commercial complexes, the pattern of new and old business districts has changed significantly, and the competition between commercial complexes has become increasingly fierce. The financial performance of Xiyingmen Building Materials and Home Furnishing Plaza has declined year by year. Therefore, it is urgent to carry out special research, propose feasible measures, summarize effective experience, which is conducive to promoting the sustainable development of the industry, bringing better benefits to the operation of the industry, and can provide theoretical reference for the formulation of marketing strategies for many similar commercial complexes.
 From the perspective of the demand and service of target merchants and consumers, this paper first analyzes the macro environment analysis, regional business development analysis, competitor comparison analysis, project positioning analysis, SWOT analysis and other aspects of Xiyingmen Building Materials and Home Furnishing Plaza, which provides a solid foundation and reference value for the project to formulate marketing strategies.

Observed and expected interest rate pass-through under remarkably high market rates.

This paper investigates the pass-through from observed and expected policy interest rates to the remarkably high lending rates in the Brazilian economy, accounting for financial-institution specific characteristics, borrower types, asymmetric adjustment and persistence in loan rates. We use a unique and non-public dataset with expected variables identified by professional forecasters and apply a fixed-effects approach to alternative specifications as robustness checks. Financial institutions correctly forecast the next target level of the policy rate and anticipate adjustments in their loan rates. There is evidence of over-proportional and positively asymmetric pass-through to loans with higher interest rate margins, implying a positive correlation between degrees of pass-through and spreads across persistent lending rates. These findings contribute to explain why loan interest rates are so high in the Brazilian economy.

Evaluating Monetary Policy Effectiveness in North Macedonia: Evidence from a Bayesian Favar Framework

Abstract This paper has adopted a Bayesian FAVAR approach to examine the monetary transmission mechanism in North Macedonia. The model is based on a broad data set that encompasses 140 monthly time series spanning between January 2010 and January 2019. In particular, the impact of policy on bank portfolio variables, and the impact of policy on economic activity variables have been evaluated. Our findings show that monetary tightening, causes a fall in output, inflation rate, employment, bank lending, the stock of government securities held by banks, and equity prices. On the other hand, it increases short-term money market rates, lending rates, deposits, and only in the immediate aftermath of the key policy rate rise, the share of non-performing loans in the loan portfolio. The study is expected to provide useful input to monetary policy implementation in North Macedonia. The study as well enriches the literature in this domain by discussing the challenges facing monetary authorities of small open economies with fixed exchange rate regimes in understanding how their policy instrument work through the economy.

INDONESIA’S FINANCIAL STRESS EVENTS AND MACROECONOMIC DYNAMICS

In this study, we use a Markov-Switching Bayesian Vector AutoRegression model to investigate the episodic relationship between financial stress and the key macroeconomic variables in the case of Indonesia. We find different nature of relationships among Indonesia’s real sector variables (household consumption expenditure and consumer price index), financial sector variables (interbank money market rate) and the policy variable (broad money supply during the times of high and low financial stress). Regime changes occurred on several occasions, including during the 2008 global financial crisis period and at the beginning of the COVID-19 pandemic.

INDONESIA’S FINANCIAL STRESS EVENTS AND MACROECONOMIC DYNAMICS

In this study, we use a Markov-Switching Bayesian Vector AutoRegression model to investigate the episodic relationship between financial stress and the key macroeconomic variables in the case of Indonesia. We find different nature of relationships among Indonesia’s real sector variables (household consumption expenditure and consumer price index), financial sector variables (interbank money market rate) and the policy variable (broad money supply during the times of high and low financial stress). Regime changes occurred on several occasions, including during the 2008 global financial crisis period and at the beginning of the COVID-19 pandemic.

How Do the Financial Markets Respond to India’s Asset Purchase Program? Evidence from the COVID-19 Crisis

ABSTRACT This study examines the impacts of India’s unconventional monetary policy on the exchange rate, stock market, and bond market during the COVID-19 crisis. The Reserve Bank of India announced an asset purchase programs (APPs) four times during the pandemic. Using daily data from January 1, 2019, to August 13, 2021, and applying the EGARCH methodology, this study finds that the APPs effectively reduced the yield rate in the bond market and its volatility. However, the first two announcements did not impact the financial market significantly. In contrast, the third and fourth announcements helped to compress the yield rate and its volatility. Further, the AAPs also helped to restrain the exchange rate depreciation and its volatility. Overall findings suggest that APPs had a desired impact on the targeted variables.

Pre- Epidemic and Post-Epidemic Comparison of Firm Market Risk Sensitivity Based on CAPM Model

According to the Capital Asset Pricing Model (CAPM), the expected return and the risk of the security are related. Since January 2020, due to the COVID-19, numerous businesses failed to adjust to the new reality and grew dangerous and unpredictable for their investors. The goal of this research is to assess how the pandemic might impact asset pricing and company betas. This study has utilized empirical data and regression analysis to measure beta of CAPM model before and after COVID-19 of 5 companies in the airplane industry. The data of return of each company, risk free rate and market rate are calculated from the stock price. From the measurement, the companies had volatile stock returns, and most declined. It is also deduced that, except for Spirit Airlines, all four companies had beta values greater than one in the two years prior to the epidemic, indicating that, prior to the epidemic, the risk associated with airline stocks was greater than the risk associated with the market.

Distribution and gene characteristics of H3, H4 and H6 subtypes of low pathogenic avian influenza viruses in environment related avian influenza viruses during 2014-2021 in China

Objective: To analyze the characteristics of low pathogenic H3, H4 and H6 subtypes of avian influenza viruses in environment related avian influenza viruses in China from 2014 to 2021. Methods: Surveillance sites were located in 31 provinces, autonomous region and municipalities to collect environmental samples related to avian influenza, detect the nucleic acid detection of influenza A virus, isolate virus, deeply sequence, analyze pathogenicity related molecular sites, and determine the distribution and variation characteristics of common H3, H4 and H6 subtypes of avian influenza virus in different regions, places and sample types. Results: A total of 388 645 samples were collected. The positive rate of low pathogenic H3 (0.56‰) and H6 (0.53‰) was higher than that of H4 (0.09‰). The positive rate of H4 subtype virus in live poultry market was higher than that in other places, and the difference was statistically significant. The positive rate of H3 and H6 subtypes in sewage samples was higher than that in other samples, and the difference was statistically significant. The positive rate of H3, H4 and H6 viruses in the south was higher than that in the north, and the difference was statistically significant. December was the most active time for virus. The analysis of pathogenicity related molecular sites showed that H3, H4 and H6 subtypes of viruses combined with avian influenza virus receptors, and some gene sites related to increased pathogenicity had mutations. Conclusion: The H3, H4 and H6 subtypes of low pathogenic avian influenza viruses have a high isolation positive rate in the live poultry market and sewage. The distribution of the three subtypes of viruses has obvious regional and seasonal characteristics, and the genetic characteristics still show the feature of low pathogenic avian influenza.

Changing, Development and Current Issues New Oriental Facing during the pandemic

Represented by New Oriental Education Group in the education industry as the third industry, the service industry has been occupying an important status in China's market economy, and by 2020 showed a trend of a surge in its development, but since the outbreak of the pandemic in 2020, the education industry has received the unprecedented hit, many education training institutions are facing the risk of bankruptcy. As a result, the unemployment rate in China's labor market has increased significantly from 2020 to 2022, with countless unemployed workers in the education industry facing the dilemma of changing careers or losing their jobs. Therefore, this paper makes a deep analysis of the advantages, disadvantages, opportunities and challenges of education and training institutions represented by the New Oriental Education Group by using the SWOT model and puts forward relevant suggestions. This paper specifically analyzed that under the epidemic situation and after China's double reduction policy was promulgated; the New Oriental Education Group was faced with the need to significantly reduce the training part of primary and secondary schools, shift the focus of operation from the original K9 to overseas study and adult education, and change a large proportion of the traditional face-to-face teaching method to online teaching. At the same time, the New Oriental Education Group has developed its own special online training software and hardware, which enabled it to achieve a relatively smooth transition from offline face-to-face teaching to online teaching at the first moment of the outbreak. However, online teaching also has some inevitable problems and shortcomings. In this regard, this paper will put forward the corresponding suggestions.

Online Double Auction for Wireless Spectrum Allocation With General Conflict Graph

The spectrum usage often comes in an online fashion. Considering the selfish behaviors of both primary users(PUs) and sencond users(SUs), we design <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">online</i> double spectrum allocation methods. We propose a truthful online double auction for spectrum allocation. Preempting existing spectrum usage is <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">not</i> allowed. We design a strategyproof mechanism for both the primary user side and the SU side. In previous studies, users who do not interfere with each other have not been reasonably allocated to use channels. There is one and only one user on the used spectrum channel at a certain time, which will result in discarding many user requests. Our model allows multiple users to use a spectrum channel at the same time. Aiming at the shortcomings of previous research, we propose the concept of grouping for online auctions, so that all SUs that do not interfere with each other can use spectrum channels at the same time. This will greatly increase the number of users who use the spectrum at the same time. We thus increase the utilization rate of the user market, and a large number of users will not be idle and abandoned.In the design of our experiments, the grouping model proposed in this paper has obtained at least <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"><tex-math notation="LaTeX">$43{\%}$</tex-math></inline-formula> utilization rate on the set channel, and our experiments have obtained good generality for different interference radius.

Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks

We first employ the method of multivariate GARCH models and Vine-Copula-CoVaR to analyse relationships between dependence, systematic risk spillover, and volatility spillover between the USD/CNY exchange rate and the returns on WTI crude oil futures and the Chinese stock market since China's 2005 foreign exchange reform. We utilise daily data from 2005 to 2020. We find a more complex dependence of the USD/CNY exchange rate on stock markets and WTI crude oil prices. All have negative risk spillovers among paired markets, with WTI having the most substantial risk spillover. However, the strength of the systematic risk spillover varies across markets. Based on the results of the VAR(1)-BEKK-GARCH (1,1) and Wald tests confirm that there is a substantial mean spillover from the Chinese stock market and the USD/CNY exchange rate to the WTI crude oil price, whereas there is a more significant spillover from the WTI crude oil price to Chinese stock market volatility. The empirical findings extend the systematic understanding of the international crude oil price shocks to the dependence and transmission mechanism between the Chinese stock market and the USD/CNY exchange rate (USD/CNY). Our findings can help investors and policymakers to manage risk better and develop more sensible market rules.

Towards carbon neutrality: A dynamic game approach replacing fossil energy with new marine energy

Based on the dynamic game perspective, this paper establishes a duopoly energy manufacturer substitution game model to explore whether the replacement of traditional fossil energy by marine new energy can reduce carbon emissions and effectively promote carbon neutrality. The results of the study found that the energy output growth rate of new marine energy will increase, and that of traditional fossil energy manufacturers decreases gradually in the game of new marine energy to conventional fossil energy. Research shows that the new marine energy is re-placing the traditional fossil energy, and the total output growth rate of the energy market depends on the technology accumulation and market game effect in this alternative process. Also, it is positive and keeps increasing in the alternative rate of new marine energy to traditional fossil energy. Furthermore, the substitution factor and discount factor positively affect the energy substitution rate. However, the depreciation rate has the opposite effect, and the market scale has no effect on the rate of new marine energy. In the process of marine new energy substitution, there is always a steady-state path that tends to the saddle point equilibrium. The improvement of technology R&D input efficiency is conducive to new energy substitution, reducing the use of fossil energy, and contributing to the realization of carbon neutrality.

How to improve energy efficiency policies to address energy poverty? Literature and stakeholder insights for private rented housing in Europe

Households in the private rented sector (i.e., households renting properties at a market rate from a private landlord), and especially those of lower income, face far more energy poverty issues than the general population, meaning that they are often unable to afford socially and materially required levels of energy services. In this context, energy efficiency policies are of the outmost importance as they can improve households' living conditions and contribute to the alleviation of energy poverty. Nevertheless, when it comes to the private rented sector across Europe, implementing such policies is hindered by several barriers. Our article sheds light on structural factors that serve as barriers to, and solutions for, the implementation of energy efficiency policies in the private rented sector across Europe. Our approach is twofold: first, an in-depth desk research is performed to identify financial, social, political/regulatory, and technical barriers and solutions. Literature findings are then supplemented and validated by a European-wide survey, eliciting knowledge embedded in 64 relevant stakeholders and field experts. Our findings indicate that although financial barriers are always of the essence, a holistic assessment of barriers is required, as there is a lack of awareness about policies that could improve tenants' living conditions. They also provide possible solutions that governmental bodies at all levels and other organisations could implement to improve energy efficiency and tackle energy poverty. Overall, our work suggests key implications, which, if acted upon, could accelerate the deployment of energy efficiency policies in the private rented sector across Europe.

Investment Decision Using Capital Asset Pricing Model (CAPM) in Indonesia’s Banking Sector

The focus of this research was to determine and investigate the application of the Capital Asset Pricing Modeling (CAPM) technique in analyzing investment decisions in particular banking stocks that specialize in digital banking operating models. Investors generally follow the IT or digital sector (Tech stocks) due to the sector's track record of delivering high returns and the promise for even greater returns in the future. In the banking sector, investors continue to pursue digital bank stocks as their holdings because they believe they may create value and expand. Six digital banking stocks were chosen for this study, all of which are listed on the Indonesian Stock Exchange and have an observation period of April 2021 to March 2022. These stocks are Bank Jago Tbk, Bank Neo Commerce Tbk, Bank Danamon Tbk, Bank Permata Tbk, Bank BTPN Tbk, and Bank OCBC NISP Tbk. This research uses linear regression analysis to determine the beta coefficient for the Capital Asset Pricing Modeling (CAPM) method and compares the expected return to the stock market's rate of return during the observation period in order to further differentiate between undervalued and overvalued stocks. The study found that two of the six digital banking companies had higher returns than expected (undervalued/efficient stocks), namely Bank Jago and Bank Neo Commerce, with the remaining four categorized as overvalued/inefficient.

Estimating stock pledge rate using VaR and modified ES model

ABSTRACT This study mainly focuses on the reasonable determination of the stock pledge rate in the A-share market. Based on the Value-at-Risk (VaR) and modified Expected Shortfall (ES) models, 137 sample stocks were used to measure the pledge rate of stocks. The breakdown times and breakdown probability were used to verify the validity of the two models. Firstly, the results indicate that the adjusted breakdown probability calculated by the two models is less than 5%, the two models are highly reliable in measuring the stock pledge rate. Secondly, the stock pledge rate measured by the modified ES model is more effective compared with the VaR model. Finally, the prediction results of modified ES are still robust under different warning lines and liquidation lines.

Current progress in treatment technologies for plastic waste (bisphenol A) in aquatic environment: Occurrence, toxicity and remediation mechanisms

Bisphenol-A (BPA) is a type of endocrine disrupting compound (EDC) that is being widely used in the production of polycarbonate and epoxy resins. In the last few years, human exposure to BPA has been extensively high due to the continuous increment in the Annual Growth Rate (AGR) of the BPA global market. The presence and transportation of BPA in the environment could cause serious damage to aquatic life and human health. This paper reviewed the literature on the exposure and toxicity mechanisms of BPA and advanced analytical techniques for the detection of BPA in the environment and human beings. The study indicated that BPA can cause damaging effects on numerous tissues and organs, including the reproductive system, metabolic dysfunction, respiratory system, immune system and central nervous system. On the basis of reported studies on animals, it appears that the exposure of BPA can be carcinogenic and responsible for causing a variety of cancers like ovarian cancer, uterine cancer, prostate cancer, testicular cancer, and liver cancer. This review paper focused mainly on the current progress in BPA removal technologies within last ten years (2012–2022). This paper presents a comprehensive overview of individual removal technologies, including adsorption, photocatalysis/photodegradation, ozonation/advance oxidation, photo-fenton, membranes/nanofilters, and biodegradation, along with removal mechanisms. The extensive literature study shows that each technology has its own removal mechanism and their respective limitations in BPA treatment. In adsorption and membrane separation process, most of BPA has been treated by electrostatic interaction, hydrogen boning and π-π interations mechanism. Whereas in the degradation mechanism, O* and OH* species have played a major role in BPA removal. Some factors could alter the removal potential and efficiency of BPA removal. This review paper will provide a useful guide in providing directions for future investigation to address the problem of BPA-containing wastewater treatment.

Turnover, Prices, and Reallocation: Why Minimum Wages Raise the Incomes of Low-Wage Workers

The research on the minimum wage contributes insights into claims raised in legal arguments that employers and workers have equal power and that an employer’s management power must be unrestricted lest the firm or the economy suffer. Mandated minimum wages, the conventional argument goes, will force firms to pay a wage higher than the market rate, resulting in job losses and, potentially, bankruptcy. But evidence from minimum wage increases and expansions finds that the policy can improve labor market conditions without causing harmful side effects because of such “channels of adjustment” as reduced worker turnover, consumer price increases, and the reallocation of low-wage workers to higher-paying establishments. In general, employer mandates can increase the prevalence of good jobs. By altering the mix of firms and reallocating workers across them, the minimum wage creates or at least shifts the composition of jobs toward those that are more productive and pay higher wages.

The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger causality test show that in Asian countries, there is a bidirectional causality between stock market and gold price. In addition, there is a unidirectional relationship between the stock market and the USD exchange rate, while the gold price and the USD exchange rate are completely independent of each other. Meanwhile, in European countries, stock market, gold price and USD exchange rate have a causal relationship at 1% significant level. The results of the impulse-response function analysis show that, in Asia, the stock market has a negative impact on the gold price and a positive effect on the USD exchange rate. In Europe, the stock market has a negative impact on the other two markets in the short term. The variance decomposition results suggest that, in Europe, the stock market return explains 2.5% for the gold price shock and 6.2% for the USD exchange rate shock from the tenth period. Meanwhile, these figures in the Asian countries are 1.6% and 3.2%, respectively.