Securities Market Research Articles

The economic burden of long COVID in Australia: more noise than signal?

To estimate the potential economic burden of long COVID in Australia. A stock-and-flow model of weekly estimated numbers of people with long COVID (January 2021 to June 2023); application of proxy cost estimates from people living with myalgic encephalomyelitis/chronic fatigue syndrome; time series analysis of labour market and social security datasets. The working age Australian population. The likely number of Australians severely impacted by long COVID; the economic cost of long COVID; and the impacts of long COVID, determined by analysis of labour market data. At its peak in late 2022, between 181 000 and 682 000 Australians may have experienced some long COVID symptoms, of whom 40 000-145 000 may have been severely affected. Severe cases potentially decreased to affecting 10 000-38 000 people by June 2023. The likely economic burden of long COVID in Australia during 2022 was between $1.7 billion and $6.3 billion (some 0.07% to 0.26% of gross domestic product). Labour market data suggest that between 25 000 (February 2023) and 103 000 (June 2023) more working age Australians reported being unable to work due to long term sickness than would have been predicted based on pre-COVID-19 trends. This does not appear to have translated into increased claims for Disability Support Pensions, but numbers of working age Carer Allowance recipients have grown markedly since 2022. Long COVID likely imposed a small but significant aggregate toll on the Australian economy, while exposing tens of thousands of Australians to substantial personal economic hardship and contributing to labour market supply constraints. Yet while some signal from long COVID is discernible in the labour force data, Australia lacks adequate direct surveillance data to securely guide policy making.

Navigating cyber threats: Exploring digital marketing and cyber security adoption among SME entrepreneurs

Navigating cyber threats: Exploring digital marketing and cyber security adoption among SME entrepreneurs

Potential of the securities market in Russia

Potential of the securities market in Russia

Deep learning-based high-frequency jump test for detecting stock market manipulation: evidence from China’s securities market

PurposeThis study aims to tackle the critical issue of detecting stock market manipulation, which undermines the integrity and stability of financial markets globally. Even enhanced with machine learning, traditional statistical methods often struggle to analyze high-frequency trading data effectively due to inherent noise and the limited availability of publicly known manipulation cases. This leads to poor model generalization and a tendency toward over-fitting. Focusing on China's securities market, our study introduces an innovative approach that employs deep learning-based high-frequency jump tests to overcome these challenges and to develop a more effective method for identifying manipulative activities.Design/methodology/approachWe employed the “Jump Variation – Time-of-Day” (JV-TOD) non-parametric technique for jump tests on high-frequency data, coupled with the synthetic minority over-sampling technique (SMOTE) algorithm for re-balancing sample data. Our approach trains a deep neural network (DNN) on refined data to enhance its ability to identify manipulation patterns accurately.FindingsOur results show that the deep neural network model, calibrated with high-frequency price jump data, identifies manipulation behavior more specifically and accurately than traditional models. The model achieved an accuracy rate of 94.64%, an F1-score of 95.26% and a recall rate of 95.88%, significantly outperforming traditional models. These results demonstrate the effectiveness of our approach in mitigating over-fitting and improving the robustness of market manipulation detection.Practical implicationsThe proposed model provides regulatory entities and financial institutions with a more efficient tool to monitor and counteract market manipulation, thereby improving market fairness and investor protection.Originality/valueBy integrating the JV-TOD jump test with deep learning, this study proposed a new approach to market manipulation detection. The innovation is in its capacity to detect subtle manipulation signals that traditional methods typically overlook. Our model, which is trained on jump test data enhanced by the SMOTE algorithm, excels at learning complex manipulation patterns. This enhances both detection accuracy and robustness. In contrast to existing methods that are challenged by the noisy and intricate nature of high-frequency data, our approach shows enhanced performance in identifying nuanced market manipulations, offering a more effective and reliable method for detecting market manipulation.

Precarious employment expectancy by history of mental-health-related sickness absence in Finland

Abstract Background Poor mental health may lead to labour market insecurity including precarious employment and vice versa. Less is known of how mental health is associated with cumulative engagement in precarious employment over the working career. We examined how the working career is expected to be distributed into precarious and other types of employment by history of mental-health-related sickness absence. Methods We used a register-based 70% population sample to examine wage-earners living in Finland in 2018. Applying the Sullivan method, we calculated the expectancy of precarious and non-precarious employment between age 25 and 63 (N = 1268666) based on a novel measure (score with items on temporariness, agency employment, multijob holding, underemployment and income level) and limited employment (due to which precariousness could not be assessed) among those with and without compensated (granted after 10 weekdays) sickness absence due to mental disorders in the past five years (mental SA history). Results Precarious employment expectancy was higher among those with than among those without a mental SA history (2.5 vs. 1.5 among men and 3.5 vs. 2.8 years among women). The difference in the limited employment expectancy was in the same direction, but much larger among men (6.5 vs. 3.3 among men and 4.4 vs. 3.4 years among women). Men with a mental SA history were expected to spend almost a fourth of their working career with either precarious or limited employment, whereas for men without such a history the number was 13%. Conclusions Individuals with mental disorders have notable accumulation of precarious employment over the working career. They also spend excessive time with limited employment, which may have similar elements as precarious employment and reflect broader labour market insecurity. Attempts should be made to ensure that insecure employment conditions among people with mental health problems do not further deteriorate their health and work ability. Key messages • People with mental disorders spend a disproportionate part of their working career either precariously employed or facing other insecurities in the labour market. • Interventions aiming to promote health and work ability should take into account the interplay between poor mental health and poor employment conditions.

Influence of Corporate Information Transparency on Foreign Institutional Investors' Shareholding Behavior: Evidence from Public Listed Companies in China

In 2003, China implemented the Qualified Foreign Institutional Investor (QFII) system, which has garnered considerable interest from international institutional investors in the mainland market. As global investors, QFIIs depend significantly on precise, thorough information to bolster their investing criteria. Consequently, the transparency of corporate information becomes a crucial factor for QFIIs. However, due to the relatively late development of the Chinese market, an imbalanced structure of listed companies and information asymmetry, the information disclosure of listed companies has been subject to certain degrees of distortion. Therefore, to better facilitate the development of China's securities market and to help QFIIs fully realize their advanced value investment strategies, this paper aims to study the impact of corporate information transparency on the stockholding behavior of foreign institutional investors. This paper begins by reviewing the literature on the factors influencing institutional investor holdings, corporate transparency, and the characteristics of foreign institutional investors' stockholding. It then defines the concepts of corporate information transparency and foreign institutional investors, analyzes the current state of information transparency in Chinese listed companies, and examines the development of the QFII system in China. The theoretical framework explores the mechanisms through which corporate information transparency influences the stockholding behavior of foreign institutional investors. In the empirical analysis, the paper plans to measure the information transparency of listed companies from three perspectives: earnings quality, information ratings by the Shenzhen Stock Exchange, and the number of analyst followings, to investigate how corporate information transparency influences QFII stockholding behavior.

Securities Markets in Which Some Investors Receive Information About Cash Flow Betas

We analyze a single-factor setting in which there is private information regarding cash flows as well as their betas. Private information about betas, together with market makers’ risk aversion and mean betas’ nonnegativity, implies a nonlinear price schedule whose stochastic slope covaries positively with order flow when the expected factor payoff is positive and vice versa. We predict a negative relation between the covariance and expected returns and an attenuation of the beta anomaly in asset returns after accounting for this relation. Empirical tests confirm these predictions. This paper was accepted by Lukas Schmid, finance. Funding: L. Yang acknowledges the Social Sciences and Humanities Research Council of Canada [Grant 435-2021-0040] and Bank of Canada Fellowship for financial support. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02061 .

Research on Portfolio Investment in the Risky U.S. Stock Market Based on the Mean-Variance Model

Abstract: Against the backdrop of a thriving securities market and economy, there is a growing demand among investors for stock portfolio models in risky markets. This paper explores the application of the mean-variance model in this context, aiming to assist investors in making more informed investment decisions in an uncertain market. Through an in-depth analysis of the mean-variance model, the main conclusion of this paper is that certain stocks, such as AAPL, receive a higher investment proportion due to their lower risk and stable expected returns. In contrast, some high-risk or low-expected-return stocks, such as SBUX, MSFT, and QCOM, hold a smaller or zero proportion in the portfolio. This conclusion highlights the importance of balancing risk and return when constructing a portfolio and provides investors with specific asset allocation recommendations. It can help them effectively control risk while pursuing maximum returns, thereby achieving long-term stable investment gains.

Financing Sustainability: Unveiling the Role of Government Debt in Carbon Reduction Performance

The existing literature on government debt has predominantly focused on its influence on economic growth, with relatively limited attention paid to its ecological implications. Government debt, as an important financial tool, plays an essential role in improving the quality of economic development, yet its impact on sustainable governance remains underexplored. Against this backdrop, this paper investigates the relationship between government debt and carbon reduction using a sample of Chinese listed companies from 2010 to 2023. After excluding missing and financial firm data, our final sample includes 26,535 observations. We obtained these data from the China Security Market Accounting Research (CSMAR) database and the Wind database. This study utilizes ordinary least squares (OLS) as the baseline regression and identifies a significant positive impact of government debt on carbon emissions. Further, the moderating analysis suggests that the positive impact of government debt on carbon reduction is particularly stronger in state-owned (SOEs) and heavily polluting enterprises. To ensure the robustness of these findings, we also use fixed-effects models and the generalized method of moments (GMM), validating the consistency of the findings. This research provides critical practical and theoretical insights for regulators and adds to the prevailing body of literature on emissions reduction.

On determination of fair and economically reasonable liquidation value of preferred shares

A preferred share on the Russian securities market is a limited instrument that is a hybrid between an ordinary share and a bond. In the business environment, disputes arise regarding the definition of the liquidation value, which differs from the balance sheet, market, nominal. The authors analyze the nature of the preferred share from an economic point of view, the customs of the business turnover established in the Russian Federation and develop a methodology for determining the fair and economically justified liquidation value of preferred shares.

Component structure of economic security of an agricultural enterprise

The article examines the component struc­ture of economic security of an agricultural enterprise. The main components of economic security and their interrelation are analyzed. The peculiarities of ensuring economic security in the agricultural sector are revealed. A comprehensive approach to the formation of the economic security system of an agricultural enterprise is proposed, taking into account the specifics of the industry. The necessity of integ­ra­ting various security components to achieve sustainable development of agricultural enter­prises is substantiated. The research hypothesis is that an effective economic security system of an agricultural enterprise should be based on the integration of various security components, considering their interconnection and mutual influence. The methodological basis of the research is a systematic approach, methods of analysis and synthesis, comparison, and gene­ralization. Based on the analysis of scientific sources and considering industry specifics, a component structure of economic security for agricultural enterprises is proposed, which includes financial, production and techno­logi­cal, market, personnel, innovatve investment, environmental, and information security. The necessity of a comprehensive approach to for­ming the economic security system of an agricultural enterprise is substantiated, taking into account the interconnection and mutual influ­ence of its components. The proposed approach allows for a systematic assessment of the economic security level and the development of strategies for its provision in agricultural enterprises. It can be used in forming a monito­ring system for economic security and making management decisions to improve it. The research results create a theoretical foundation for developing a methodology for integrated assessment of the economic security level of an agricultural enterprise and forming an organi­zational and economic mechanism for its provi­sion in modern economic conditions, which defines prospects for further research in this direction

Foreign Exchange Risk Analysis and The Futures Hedging Strategy Construction--- The Case Study of Amazon

This paper explores the foreign exchange risk encountered by Amazon.com Inc. and proposes corresponding futures hedging strategies. With global market uncertainties, foreign exchange risk significantly impacts the financial performance of multinational companies like Amazon. The paper analyzes Amazon's foreign exchange risk factors, highlighting that the primary risks stem from international business revenues and holdings of foreign currency cash equivalents and marketable securities. Based on these risk factors, the study proposes several potential hedging strategies, including forward market hedging, futures hedging, and exchange rate options hedging. Forward market hedging mitigates risk by agreeing to exchange currencies at a predetermined rate in the future; futures hedging avoids counterparty default risk through standardized contracts; and exchange rate options hedging offers flexibility by allowing the exercise to be abandoned if the exchange rate moves favorably. The paper further develops a specific futures hedging strategy based on several key assumptions, including efficient market hypothesis, zero transaction costs, unlimited liquidity, and the absence of risk-free arbitrage opportunities. The strategy involves shorting futures contracts; if the exchange rate declines at maturity, the hedge is successful and profitable; if the exchange rate rises, the hedge is unsuccessful, resulting in a loss. The findings suggest that using futures contracts for hedging enables Amazon to stabilize its financial performance in case of market uncertainties, protecting it from adverse impacts of foreign exchange risk. Despite discrepancies between actual sales data and forecasts, the hedging strategy still demonstrates its effectiveness in maintaining financial stability.

Selection of wines for wine lists in restaurants of Bosnia-Herzegovina: A comparative study

This study examines the wine list strategy preferences among restaurateurs in Bosnia and Herzegovina, focusing on identifying which criteria are deemed most and least important. A structured analysis categorizes strategies based on their frequency of selection as “Most Important” and “Least Important,” establishing a clear hierarchy of value among various criteria. The findings highlight two predominant strategies: “Preference for local wine” and “High reputation brand,” which is significant in the decision-making process. Restaurateurs consistently prioritize these strategies, with a dual emphasis on promoting local wine traditions and responding to market demands for reputable brands. The study underscores a pragmatic approach among Bosnian-Herzegovinian restaurateurs, who prioritize familiarity and perceived market security in their wine selections, potentially at the expense of enhancing gastronomic experiences and customer education. Further analysis using Z-scores confirmed the statistical signif-icance of these findings, identifying Strategy Choices 4 and 6 with notably high Z-scores, indicating their distinct importance compared to other criteria. This quantitative approach enhances the understanding of how these strat-egies stand out within the surveyed context, emphasizing their relevance in shaping wine list strategies. The study contributes insights into the strategic decision-making processes of Bosnian-Herzegovinian restaurateurs regard-ing wine selection, highlighting the dominance of local wine preference and brand reputation considerations. It underscores potential areas for improvement in integrating gastronomic expertise and enhancing customer expe-riences, suggesting avenues for future research and strategic refinement in the local restaurant industry.

Conflict of interest in the securities market

In the article examines the problem of applying the legal interpretation of the concept of “conflict of interest,” including as applicable to legal relations in the stock market. Such concepts as the fiduciary duties of a trustee, the controversial nature of the legal definition of a conflict of interest through the concept of personal interest are considered. The need for further development of the prudential regulation system and a more specific definition of the criteria for the fiduciary duties of the principal in the securities market are substantiated. The possibility of introducing into Russian practice the approach used in the common law system is analyzed. According to this approach, only proof of the fact of dishonest fulfillment of fiduciary duties, such as loyalty, due diligence and information duty can serve as a basis for prosecution in the event of a conflict of interest, but not the establishment of the fact of personal interest. In particular, from this point of view, the fundamental rule of the common law system applied in the stock market is considered — to fully rely on the information (i.e., a situation completely opposite to the approach that has developed in Russian law in relation to identifying conflicts of interest) provided by the broker to the client, and to expect, that he will perform his duties with all competence and due care. The author substantiates the greater effectiveness of the approach of establishing a presumption of conscientious fulfillment of fiduciary duties by a trustee and bringing to responsibility only if the contrary fact is proven.

Legal regulation of the securities institute in the context of integration of new regions of Russia

Before joining the Russian Federation, the Donetsk and Lugansk People’s Republics already had their own, Russia-oriented, experience in legal regulation in the financial market. The Zaporozhye and Kherson regions are moving into the Russian legal field directly from the law of Ukraine. The Ukrainian legislation, focused on the law of the European Union, provides for a wider range of equity securities than the Russian one, it is also clearer and more structured, therefore, an investor in the securities market, according to the author, will feel more comfortable in the Ukrainian legal field than in the Russian one. However, Russia has a longer experience of legal regulation of modern stock market instruments and the application of relevant norms. The effective integration of new regions into the Russian legal field would be facilitated by the streamlining of legal norms in our country concerning the institution of securities.

Развитие общего финансового рынка ЕАЭС: правовые аспекты

In the article, it was considered the areas of the development of the common financial market in the EAEU: expanding the list of countries participating in the forming of the com-mon financial market; deepening integration in those sectors and areas in which it is already taking place; inclusion of new sectors in the process of forming the common financial market. It is justified that the market of the digital currencies and financial assets will be a new sector of the common financial market in the EAEU in the future (along with banking, insurance and securities market).

Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis

ABSTRACT In order to make the constructed investment portfolio model better adapt to the actual securities market, this paper incorporates the multifractal correlations into the portfolio model of multi-risk assets optimization. On the basis of using variable detrended covariance to measure multifractal correlations, the variable detrended covariance is embedded into the reward-risk criterion, the mean multifractal detrended cross correlation analysis portfolio (M-D) model of multi-risk assets is constructed, and the analytical solution of the M-D model of multi-risk assets is given. The empirical analysis shows that the M-D model not only can improve investment performance but also meet the return-risk criterion much more, reaching the goal of optimizing the multi-risk asset portfolio model.

Economic Development and the Development of the Securities Market: A Study of China's CSI 300 Index

The Chinese securities market has experienced over two decades of development and has emerged as a significant global investment market. However, compared to other developed securities markets, it still faces issues such as an inadequate institutional framework, irrational investor behavior, and imperfect mechanisms. To explore the relationship between China's economic development and its securities market, this paper employs Eviews time series analysis and VAR modeling for empirical research, aiming to uncover the relationship and operational mechanisms between the two. The findings indicate a certain correlation between economic development and securities market development in China. The variance decomposition reveals that the contribution of economic development to the securities market is relatively low, highlighting a major issue within the Chinese securities market. Consequently, this paper proposes reform suggestions from various perspectives, including institutional, investor, and listed company aspects, to guide the healthy growth of the Chinese securities market and create a favorable environment for economic development.

Impact Compatibility between the Accounting and Economic System in Achieving Economic Development: An Applied Study on a Sample of Companies listed in Iraqi Market of Securities

This study aims to examine and analyze the role of compatibility between the accounting and economic systems in in achieving the economic development. In addition, To achieve the objectives of this study, an applied method approach based on quantitative and mathematical evaluation and analysis of the variables depending on the annual financial statements of the following: an intentional sample of commercial banks, a sample of companies listed in the Iraqi Securities Market, and official market bulletins from 2017 to 2021. The study sample consisted of 28 banks and companies listed in the market, divided equally between the banking sector, represented by the sample of the Applicable Sector of the IFRSs, which was 14 banks, and a sample of companies in other sectors of the market and not applicable to the IFRSs, represented by 14 companies distributed among different sectors according to the relative weight. Moreover, to examine the hypotheses of the study, the inferential statistical method was used; EViews program to examine the relationship between the variables, , and finally the SSPS program to examine the statistical differences between the study variables. Based on the above, the study reached a set of conclusions, the most prominent of which was the existence of a relationship and a significant impact of between the accounting and economic systems in economic development and economy systems in the context of Iraq. The study reached a set of recommendations. The most prominent recommendation is the need for professional regulators of the accounting profession in Iraq to between the accounting and economic systems. This is due to the great advantages that contribute effectively and efficiently to the quality of accounting and economic work, in addition to the ongoing bases follow-up on its implementation, and this will be reflected positively on the level of the economy of the country.

The influence of monetary factors on the formation of nominal interest rates

Subject. This article examines the impact of inflation expectations and the real interest rate on the market situation in Russia within the period from 2010 to 2022. Objectives. The article aims to test the possible disputability of the assumption that if the real interest rate remains stable, then the nominal interest rate should respond to changes in inflation expectations, because according to the results of most research works, the Fisher hypothesis is not confirmed in developing countries, while for countries with developed economies this phenomenon is confirmed. Methods. For the study, I used econometric tests, as well as modeling of the effect using short-term regression with an element of error correction estimated by the least squares method. Results. The Fisher effect in the Russian market has not been confirmed, which emphasizes the specifics of the functioning of emerging markets. Conclusions and Relevance. The results of the study may be useful to financial market agents and can be used to assess the effect of the current regressors under study on the nominal yield of the Russian fixed-income securities market. The application of the results of the study can also contribute to improving the forecasting of market trends in a changing macroeconomic environment.