Market Selection Research Articles

Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35

This study assesses the impact of investor sentiment on the volatility of the PSI 20 and IBEX 35 from time series data from January 1988 to May 2019. The impact of investor sentiment on market and portfolio selection has aroused great interest in the literature, however the results obtained are not consensual, considering the different methodologies used to build sentiment indices, as well as the various levels of institutional development in the market.Asymmetric volatility behaviours according to good or bad news were evaluated using the TGARCH model. The results indicate that there is an asymmetric effect of good versus bad news on the volatility of IBEX 35. It was also noted that for Portugal and Spain investor sentiment presents statistical significance with a negative sign, suggesting that market volatility is more sensitive to negative shocks in the conditional variance. In Portugal, contrary to Spain, sentiment has no relevance on return. The study reveals that investor sentiment is a key factor in selecting investment in the market. The relationship that this establishes with volatility, can help to implement policies that allow to minimize future shocks’ impact on return. The study reveals for the first time that investor sentiment is a key factor in selecting investment in the market for Portugal.

A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures

We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure ρ. We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty and compact. However, unlike in classical mean-variance portfolio selection, it can happen that no efficient portfolios exist. We call this situation ρ-arbitrage, and prove that it cannot be excluded -- unless ρ is as conservative as the worst-case risk measure. After providing a primal characterisation of ρ-arbitrage, we focus our attention on coherent risk measures that admit a dual representation and give a necessary and sufficient dual characterisation of ρ-arbitrage. We show that the absence of ρ-arbitrage is intimately linked to the interplay between the set of equivalent martingale measures (EMMs) for the discounted risky assets and the set of absolutely continuous measures in the dual representation of ρ. A special case of our result shows that the market does not admit ρ-arbitrage for Expected Shortfall at level α if and only if there exists an EMM Q ≈ P such that ll dQ/dP ll∞ < 1/α.

Market selection with an endogenous state

This paper explores market selection in general equilibrium when the state of the economy is endogenous. Analysis of consumer survival in this case requires solution of the model’s dynamics, for which evolutionary game theory can be useful; for instance, if the state and beliefs are Markovian and utility logarithmic, then the dynamics of consumption shares are described by the replicator dynamics. This is illustrated in a simple exchange economy, and in a standard monetary economy with multiple long-run equilibria where a plausible form of inflation targeting serves to destabilize a liquidity trap in favor of the target equilibrium.

Evaluating the Social Marketing Success Criteria in Health Promotion: A F-DEMATEL Approach.

Health promotion campaigns are used to raise awareness about health issues with the purpose of improving health outcomes and community wellbeing. They are important for increasing community awareness of health behavior changes. In the application of health promotion, social marketing can be used to influence changes in individual behavior. Social marketing encourages the social behavioral change of the target audience. This social behavioral change refers to the behavior of a certain number of target audiences, not just individual behavior. This research identified various social marketing success criteria to improve the performance of health promotion using decision-making method. Fuzzy decision-making trial and evaluation laboratory (F-DEMATEL) is a structural causal relation method that has been verified effectual in congregating the viewpoints of professionals and thus providing information of greater reliability in various areas. F-DEMATEL method helps to identify the core problems and direction of improvement in complex systems by quantifying the degree to which criteria attributes interact with each other. This research applied F-DEMATEL to evaluate the complex interrelation success criteria of social marketing in order to effectively implement health promotion. Several effective criteria were derived from this research. These influential criteria are “Designing effective Communication message”, “Meeting the needs of beneficiaries”, “Providing more benefit than cost”, “Marketing mix elements”, “Customer orientation”, “Organizational advantage” and “Market selection”. The practitioner must consider the needs of the recipients to accomplish a successful social marketing campaign in health promotion. Moreover, the practitioner also has to design an attractive message and marketing mix strategy to communicate the benefits of the behavioral change to the target audience. Besides, the message delivered by the known organization increases the success of social marketing in promoting healthy lifestyle. This study provides important information for the non-profit organization about selecting the significant criteria to lead to the success of the campaign.

Ban, Boom, and Echo! Entrepreneurship and Initial Coin Offerings

Regulatory spillovers occur when regulation in one country affects either the expected regulatory approach and/or entrepreneurial finance markets in other countries. Drawing on institutional theory, we investigate the global implications of a regulatory spillover on entrepreneurship. We argue that regulatory spillovers have both short- and long-term effects on the number and quality of entrepreneurial finance initiatives such as Initial Coin Offerings (ICOs). Based on a large-scale sample of ICOs in 108 countries, we find that a regulatory ban of ICOs in one country causes a short-term increase in the number of low-rated ICOs in other countries and a long-term drop in the number of ICOs, especially low-rated, which increases the average ICO rating. That is, a restrictive regulation triggered a process of increased market selection.

Can the National Green Industrial Policy Improve Production Efficiency of Enterprises?—Evidence from China

This paper examines whether the national green industrial policy (GIP) can effectively optimize the enterprises’ structural transformation and upgrading, and improve production efficiency of enterprises. Using China’s firm-level data from 1998 to 2007, we take the 2003 “Cleaner Production Promotion Law of PRC” as the turning point of GIP implementation, and employ the difference-in-differences (DID) method to explore the policy effect on total factor productivity (TFP) of enterprises. The analysis shows that GIP can enhance the enterprise’s resource allocation capability and TFP growth. The implementation path of policy mainly relies on the compensation mechanism to incentivize innovation and the elimination mechanism of market selection. Specifically, GIP enhances TFP growth by accelerating the dynamic replacement (enterprise entry and exit) and elimination mechanism of the market, and by promoting innovative production to enhance the enterprise’s production efficiency. Further heterogeneity analysis reveals that state-owned enterprises are more susceptible to the influence of GIP, and GIP exerts more restrictive impact on high-pollution industries. Also, GIP has more significant net spillover effect on technology-intensive enterprises. The study provides a reliable factual basis for the market effect of GIP and the direction for green industry development.

Target Market Selection Using MCDM Approach: A Study of Rolling Stock Manufacturer

Target Market Selection Using MCDM Approach: A Study of Rolling Stock Manufacturer

Heuristics in international business: A systematic literature review and directions for future research

This paper aims at depicting the status of research on heuristics in the international business domain to understand the main topic areas in which heuristics are addressed and delve into the types of heuristics used by managers and entrepreneurs when dealing with international business activities. These are characterized by a high degree of uncertainty, drawing attention on the adoption of heuristics for decision-making. To this aim, the paper systematically reviews studies published in top-ranked international business journals between 1997 and 2018. The systematic literature review shows that the main research areas in which heuristics are developed concern foreign market entry, post-entry international expansion, foreign market selection, and international entrepreneurship. The paper also discusses the type of heuristics that are utilized by decision-makers when dealing with the uncertainty related to the internationalization process. The results of this study show that the international business literature develops the concept of heuristics in very various ways, tending to develop a plurality of approaches, without recurring or dominant forms. It is, however, possible to identify the types of heuristics and heuristically-based decisions, and a significant subset of the analyzed studies show a positive view on their effectiveness in the uncertainty of internationalization processes.

A Multi-Attribute Decision-Making Algorithm Using Q-Rung Orthopair Power Bonferroni Mean Operator and Its Application

The process of decision-making is subject to various influence factors and environmental uncertainties, which makes decision become a very complex task. As a new type of decision processing tool, the q-rung orthopair fuzzy sets can effectively deal with complex uncertain information arising in the decision process. To this end, this study proposes a new multi-attribute decision-making algorithm based on the power Bonferroni mean operator in the context of q-rung orthopair fuzzy information. In this method, in view of multi-attribute decision-making problem of internal relationship between multiple variables and extreme evaluation value, the Bonferroni mean operator is combined with power average operator. Then, the integrated operator is introduced into the q-rung orthopair fuzzy set to develop a new q-rung orthopair power Bonferroni mean operator, and some relevant properties of this new operator are discussed. Secondly, a multi-attribute decision-making method is established based on this proposed operator. Finally, the feasibility and superiority of our method are testified via a numerical example of investment partner selection in the tourism market.

Genetics, insurance and hypertrophic cardiomyopathy

We specify a mathematical model of Hypertrophic Cardiomyopathy (HCM) and consider the potential costs arising from adverse selection in a life insurance market. HCM is a dominantly inherited heart disorder which is relatively common and has high mortality; a population prevalence of 0.2% and annual mortality hazard (force of mortality) of 1% have been widely cited. Adverse selection may arise if insurers may not take account of adverse DNA-based genetic tests for a causative mutation. A novel feature of our model is that it includes cascade genetic testing (CGT) in nuclear families. CGT is the form of testing used in HCM. Among other things, it implies that genetic testing occurs only if a family history exists. We find in most scenarios the premium increases necessitated by adverse selection to be very small – fractions of 1% – but we ask under what circumstances these might increase to appreciable levels. Insurers' inability to use family history in underwriting would have a large impact. We note that the epidemiology of HCM is still evolving and that 0.2% is likely to be a considerable underestimate of mutation prevalence, while recent estimates of annual mortality hazards are much less than 1%. The first of these in particular is likely to limit any adverse selection costs.

SME Internationalization: A Descriptive Review of Nontraditional Approaches

The literature surrounding SME internationalization is still in its infancy but growing rapidly as SMEs become prominent in global markets. This paper outlines that, although stage theories of internationalization have dominated the literature in the past, newer theories deviate from this line of thinking. Notably, theories originating from the field of entrepreneurship, such as effectuation and bricolage, have been found to be quite informative in explaining the behaviour of SMEs, yet they are greatly underrepresented in the internationalization literature. Our study critically reviews the SME internationalization literature and highlights concepts such as resource scavenging, social capital, muddling through, and dynamic experimental internationalization – all reflective of a nontraditional pattern of thinking. These approaches explain the spontaneity and improvisation that is inherent in a lot of SME internationalization. We find that ‘nontraditional’ approaches to internationalization hold great value for both academics and professionals. Our findings reveal that many of the nontraditional approaches are still within the early stages of development, and thus require greater theoretical and empirical analysis. This study forms a foundational basis upon which future researchers can build a stronger understanding of nontraditional SME internationalization. For SMEs contemplating internationalizing, this study provides key insights into the complex process of engaging with foreign markets. Nontraditional approaches introduce strategies that SMEs can employ in both foreign market selection and foreign market entry processes.

Big data analytics and international market selection: An exploratory study

A great deal of information is available on international trade flows and potentialmarkets. Yet many exporters do not know how to identify, with adequate precision, thosemarkets that hold the greatest potential. Even if they have access to relevant information, thesheer volume of information often makes the analytical process complex, time-consuming andcostly. An additional challenge is that many exporters lack an appropriate decision-makingmethodology, which would enable them to adopt a systematic approach to choosing foreignmarkets. In this regard, big-data analytics can play a valuable role. This paper reports on thefirst two phases of a study aimed at exploring the impact of big-data analytics on internationalmarket selection decisions. The specific big-data analytics system used in the study was theTRADE-DSM (Decision Support Model) which, by screening large quantities of marketinformation obtained from a range of sources identifies optimal product‒market combinationsfor a country, industry sector or company. Interviews conducted with TRADE-DSM users aswell as decision-makers found that big-data analytics (using the TRADE-DSM model) didimpact international market-decision. A case study reported on in this paper noted thatTRADE-DSM was a very important information source used for making the company’sinternational market selection decision. Other interviewees reported that TRADE-DSMidentified countries (that were eventually selected) that the decision-makers had not previouslyconsidered. The degree of acceptance of the TRADE-DSM results appeared to be influenced byTRADE-DSM user factors (for example their relationship with the decision-maker andknowledge of the organization), decision-maker factors (for example their experience andknowledge making international market selection decisions) and organizational factors (forexample senior managements’ commitment to big data and analytics). Drawing on the insightsgained in the study, we developed a multi-phase, big-data analytics model for internationalmarket selection.

The impasse of competitive intelligence today is not a failure. A special issue for papers at the ICI 2020 Conference

The impasse of competitive intelligence today is not a failure. A special issue for papers at the ICI 2020 Conference

An evolutionary finance model with a risk-free asset

The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several “short-lived” risky assets (securities) are traded in discrete time. The risky securities live one period, yield random payoffs at the end of it, and then are re-born at the beginning of the next period. The main goal of the study is to identify investment strategies that make it possible for an investor to “survive” in the market selection process. It is shown that a strategy of this kind exists, is in a sense asymptotically unique and can be described by a simple explicit formula amenable for quantitative investment analysis.

Who will Bear the Brunt of Lockdown Policies? Evidence from Tele-workability Measures Across Countries

Lockdowns imposed around the world to contain the spread of the COVID-19 pandemic are having a differential impact on economic activity and jobs. This paper presents a new index of the feasibility to work from home to investigate what types of jobs are most at risk. We estimate that over 97.3 million workers, equivalent to about 15 percent of the workforce, are at high risk of layoffs and furlough across the 35 advanced and emerging countries in our sample. Workers least likely to work remotely tend to be young, without a college education, working for non-standard contracts, employed in smaller firms, and those at the bottom of the earnings distribution, suggesting that the pandemic could exacerbate inequality. Crosscountry heterogeneity in the ability to work remotely reflects differential access to and use of technology, sectoral mix, and labor market selection. Policies should account for demographic and distributional considerations both during the crisis and in its aftermath.

Price probabilities: a class of Bayesian and non-Bayesian prediction rules

This paper examines the implications of the market selection hypothesis on the accuracy of the probabilities implied by equilibrium prices and on the “learning” mechanism of markets. I use the standard machinery of dynamic general equilibrium models to generate a rich class of probabilities, price probabilities, and discuss their properties. This class includes the Bayes’ rule and known non-Bayesian rules. If the prior support is well-specified, I prove that all members of this class perform as well as Bayes’ rule in terms of likelihood. If the prior support is misspecified in that the Bayesian prior does not converge, I demonstrate that some members of price probabilities significantly outperform Bayes’. Because these members are never worse and sometimes better than Bayes, my result challenges the prevailing opinion that Bayes’ rule is the only rational way to learn.

An evolutionary finance model with short selling and endogenous asset supply

Evolutionary finance focuses on questions of “survival and extinction” of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and demand. Equilibrium is formed in each time period in the course of interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has been developed for models in which short selling is not allowed and asset supply is exogenous. The present paper extends the theory to a class of models with short selling and endogenous asset supply.

Strategic Decisions to Enhance the Internationalization of the Performing Arts and Their Sustainability: The Case of Flamenco

Determining how to operate in foreign markets is challenging for the performing arts (PA) because the particular nature of their activities necessarily entails sustainable complexities. This study aims to extend understanding of the internationalization of PA to shed light on the strategic decisions adopted by cultural agents to achieve an economic and cultural objective—generating international income while ensuring the symbolic value of cultural products rooted in local values. A longitudinal empirical case of one leading enterprise in international flamenco production with a successful history in international markets is reported here, and in-depth insights into four strategic decisions that can boost the sustainable internationalization of PA are gained: why (motivations), what (product), where (market selection), and how (entry modes). The results have theoretical and practical implications for a cultural sector with few examples of internationalization that is seeking for international markets to become sustainable while being subject to public financing cuts, strong competition, and globalization. The important role of intermediaries in bridging the gaps between different actors of the PA value chain and in assuring sustainable cultural management of the internationalization process is also identified.

Directional Movement Distribution in the Bitcoin Markets

The crypto exchanges operate primarily on the internet, where the speed of information spreading is significant. Therefore, it is expected that there should be no significant differences among the individual exchanges concerning the same asset being traded. Prices should quickly reach comparable values on all stock exchanges, and they should return to equilibrium in a relative time frame. Hence, the investors, while making decisions on the selection of a cryptocurrency market, should be guided primarily by the exchange security considerations, its flexibility, availability of a product offer, and costs of order processing. The work aims to check whether virtual currency exchanges differ from each other in the context of directional movement, both in an upward and downward trend. To achieve the objective of the paper, we used Directional Movement Index, supported by the Directional Indicators, to compare the distribution of the strength of the directional movement across three different cryptocurrency exchanges (Bitstamp, Coinbase, Kraken) within the up and the downward price movement phase. The comparison is made based on the results of the non-parametrical tests such as Wilcoxon test, Hodges Lehmann test, Ansari-Bradley test, and Conover test. The results show that theoretically, the choice of a cryptocurrency exchange in an upward trend will cause no significant difference for an investor and its strategy. However, the choice of a stock exchange in a downward trend may have a substantial impact on the rates of return.

Impacts of Changes on Productivity Growth in Korea’s Export-leading Industries

This study investigates the impacts of changes on productivity growth in 10 export-leading industries from 1995 to 2014 in Korea. The extent of the impact thereof reflects the industrial features, the level of technological innovation, the maturity of the industry, the growth trajectory within the growth policy framework, market exogenous shocks, and market selection forces. The target industries led the growth and structural upgrades and reached record high productivity growth during the economic upturns. Large establishments persevered in the target industries, thereby verifying their resilience and contributing to the productivity growth in the aftermath of the market exogenous shocks.