Market Spreads Research Articles

Free Float in the Polish Capital Market and Its Importance for Investors

Theoretical background: Free float (hereinafter referred to as FF) refers to the ratio of shares held by small investors (less than 5%) to all shares in a company. FF investors are generally unrelated to each other or to ma-jor shareholders and they constantly review the company’s current stock market valuation and thus improve the stock market efficiency. This means that the higher the FF, the potentially higher liquidity and better valuation of the company’s shares. A low FF recalls the institution of protecting the rights of minority shareholders, calls into question the sense of maintaining a public company status, and raises the potential risk of incorrect valuation. The literature generally lacks studies referring to all these issues as well as FF statistics in Poland. Purpose of the article: The purpose of the article is to sum up the term “free float”, analyze FF statistics on the Polish capital market, indicate the link between FF and market liquidity, identify potential risks associated with listed companies having low FF and to determine whether it makes sense for the strategic investor to maintain public company status with low FF. Research methods: Theoretical analysis (including analysis of capital market laws) and statistical analysis. Main findings: The research confirmed that the relationship between FF and stock market liquidity is positive, but only considering FF in nominal terms. On the Polish capital market, as the nominal level of FF increases, market capitalization and trading liquidity increase largely and the average market spread decreases slightly. The article also points out important risks associated with low FF conditioning low liquidity, such as the risk of stock manipulation and the risk of incorrect company valuation. Potential areas for changing the law on squeeze-out/sell out institutions due to the inadequacy of the FF percentage were also pointed out.

Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model

AbstractThe shocks on certain market spread to other markets due to the financial linkages of global economy, which is known as volatility spillover effect. In this study, we propose a volatility forecasting model for global market indices using the spatial‐temporal graph neural network (GNN). The volatility spillover between markets are reflected in the model by estimating the linkage between markets, which is the input of GNN, using the volatility spillover index. An empirical analysis is conducted on eight representative global market indices. From the out‐of‐sample results, we found the following features. First, the proposed spatial‐temporal GNN spillover model outperforms the benchmark models in short‐ and mid‐term forecasting. Second, the forecasting accuracy highly depends on the inclusion of the market index with a high volatility spillover effect. Including S&P500, which contains the highest net spillover index, effectively helps to forecast the volatilities of other markets. Third, the investor can gain economic gain by using predicted volatility from proposed model in the mean‐variance framework.

Metabolism studies of 4'Cl-CUMYL-PINACA, 4'F-CUMYL-5F-PINACA, and 4'F-CUMYL-5F-PICA using human hepatocytes and LC-QTOF-MS analysis.

4'Cl-cumyl-PINACA (SGT-157), 4'F-cumyl-5F-PINACA (4F-cumyl-5F-PINACA, SGT-65), and 4'F-cumyl-5F-PICA (4F-cumyl-5F-PICA, SGT-64) are a series of new halogenated cumyl synthetic cannabinoid receptor agonists (SCRAs). Due to rapid metabolism, monitoring and screening for SCRAs in biological matrices requires identification of their metabolites. It is an essential tool for estimating their spread and fluctuations on the global illicit market. The purpose of this study was to identify human biotransformations of 4'Cl-cumyl-PINACA, 4'F-cumyl-5F-PINACA, and 4'F-cumyl-5F-PICA in vitro and characterize for the first time the metabolic pathways of halogenated cumyl SCRAs. 4'Cl-cumyl-PINACA, 4'F-cumyl-5F-PINACA, and 4'F-cumyl-5F-PICA were incubated with human hepatocytes in duplicates for 0h, 1h, 3h, and 5h. The supernatants were analysed in data-dependent acquisition on a UHPLC-QToF-MS and the potential metabolites were tentatively identified. A total of 11 metabolites were detected for 4'Cl-cumyl-PINACA, 21 for 4'F-cumyl-5F-PINACA, and 10 for 4'F-cumyl-5F-PICA. The main biotransformations were oxidative defluorination, followed by hydroxylation with dehydrogenation, N-dealkylation, dihydrodiol formation, and glucuronidation. Hydroxylations were most common at the tail moieties with higher abundancy for indole than indazole compounds. N-dealkylations were more common for fluorinated tail chain compounds than the non-fluorinated 4'Cl-cumyl-PINACA. In conclusion, many metabolites retained halogen groups at the cumyl moieties which, in various combinations, may be suitable as analytical biomarkers.

Controller design for HDD benchmark problem using RNN-based reinforcement learning

With the rapid spread of the cloud server market, hard disks are required to achieve even higher speeds and capacities. To meet these demands, it is necessary to improve the accuracy of positioning control of the magnetic head that writes data to the disk. In this paper, we propose a controller designed by recurrent neural network based (RNN-based) reinforcement learning for the “Benchmark problem of designing a control system for a hard disk drive with two-stage actuators” and evaluate the performance of the RNN-based designed controller. We also propose a method to convert an RNN-based controller to a state-space linear controller, which guarantees stability and enables performance analysis. This contributes to eliminating the black box drawback of reinforcement learning. Performance verification on the benchmark problem shows that the 3σ value of the head position of the track pitch of the RNN-based controller shows an accuracy improvement of about 1.8-fold compared to the reference (example) controller. The sensitivity function of the RNN-based controller shows superior disturbance attenuation especially for the disturbance due to external vibration caused by air-cooling fan and other HDDs in a storage box. The article describes the structure of the proposed RNN-based controller and presents an evaluation of the benchmark results.

Does owner CEO narcissism promote exporting SMEs' market spreading strategy? Joint effects of asset-specific investments and firm exporting experience

This study explores the influence of owner chief executive officer (CEO) narcissism on the market spreading strategy of exporting small-to-medium enterprises (SMEs). Combining insights from the literature on CEO narcissism and trait activation theory, it is argued that SMEs with narcissistic owner CEOs are more likely to prefer a market spreading strategy, depending on firm-level asset-specific investments and exporting experience. The empirical analysis of a sample of 248 exporting SMEs in China supports the theoretical prediction that owner CEO narcissism has a positive impact on the preference toward a market spreading strategy. In addition, the results show that asset-specific investments weaken the positive influence of owner CEO narcissism on the preference of a market spreading strategy, but this negative moderating effect becomes less significant as SMEs gain more exporting experience. This paper contributes to the emerging research on the role of owner CEO narcissism in firm internationalization decisions, offering a more complete understanding of the extent to which owner CEO narcissism can influence exporting SMEs' tendency toward market spreading, and delineating how such influence may be dependent on organizational-level situational factors.

A Comparative Analysis Between the Influence of Social Media and Mass Media on the Stock Market

Now more than ever, the media has an active role in an investor’s life. From traditional news coverage to social media networking sites, news on the stock market spread within seconds. With Reddit and Twitter’s active role in company news, stock price movements can be exponential in short periods of time. This study analyzes the influence between social media and mass media on the stock market, by comparing its volatility returns with that of the markets. News articles and social media posts were collected through a series of coding bots that only chose sources with high viewing rates. Also, sources from the past few years were chosen due to their impact on the study. With these sources, I analyzed the volatility of the stock throughout a period of five trading days. Then compared the volatility of each stock to that of the Standard and Poor’s 500 in the same period. Moreover, further research investigated investors' sentiment towards the media through a questionnaire. The study found how both mass media and social media affect the markets constantly; however, social media has a greater impact than mass media when comparing the volatilities and percent changes.

The green bonds: Empirical evidence and implications for sustainability

This paper explores the pricing of green bonds in the Italian primary and secondary market and their implications for sustainability by investigating the effect that a green label has on a bond's spread through propensity score matching. From a sample of 420 fixed-rate, euro-denominated bonds priced at on the euro mid-swap from 2014 to the first half of 2021, bonds with a green label are matched with conventional bonds, to assess whether there is a significant difference in spreads between them. The results on the primary market show that green bonds' issuance spread is, on average, 35 to 40 basis points lower than that of comparable conventional bonds at a highly significance level.The spread discount seems to persist regardless of the issuer's sector, even with a difference in the magnitude, being remarkably higher for corporates. On the secondary market, the estimation results confirm the discount impact of the green label on the bonds' market spread, even if this impact is lower than at the issuance. This study aims at giving better coverage of the advantages green bonds are able to generate also in a relatively small and illiquid financial markets. Furthermore, we show that green bonds are effective instruments for issuers to achieve a lower cost of debt to finance green projects and for investors to support the transition to a greener and more sustainable economy.

"Do Institutional Interventions Benefit Farmers – Evidence from Marketing Maize Through Farmer Producer Organization in Davangere District of Karnataka"

"Government of Karnataka launched “State FPO Policy 2018” with the vision of forming at-least one Farmer Producer Organization (FPO) in every hobli (group of villages) jurisdiction, thereby collectivizing around 5 lakhs farmers over the next five years. Many of these FPO’s promoted by different development departments are in the nascent stage of development and are involved in input and output business. Davanagere district has the highest production of maize in Karnataka and FPO’s promoted by different organizations in the district are involved in activities of marketing maize of member farmers of FPOs. Hence, an attempt is made in the present study to analyze the benefits of marketing maize through institutional model of farmer producer organizations. Cost, returns, price spread, margins and efficiency of marketing were analysed and studied to understand the economic benefits of member farmers marketing maize through FPO’s. The cost of production per quintal of maize for FPO member farmer of over non-FPO farmers was lower by ` 86.25/quintal as FPO farmer realized a higher yield of 1.83 quintal per acre. Net returns realized by FPO farmers was higher by 13.46 over non-FPO farmers and producer share in the consumer rupee was higher by 4.93% over non-FPO farmers. The study findings indicate the benefits to member of FPO in marketing maize through institutional model and hence the model can be strengthened by addressing various constraints in the institutional supply chain model."

The effects of CSR disclosure on asymmetric information and RoI of publicly listed companies in SRI-Kehati index in Indonesia

PurposeThis study aims to investigate the influence of corporate social responsibility (CSR) disclosure on asymmetric information and return on investment (RoI) in Indonesia. The research specifically assesses the effects of CSR disclosure along with other independent variables such as total assets, return on equity, capital expenditures, net profit margin and sales growth on asymmetric information and RoI.Design/methodology/approachThe study applied a panel econometric regression model to examine and test the effects of CSR disclosure and financial indicators on asymmetric information and RoI. A total of 275 samples were garnered from private and state-owned publicly listed companies selected in the SRI-Kehati index as sustainable firms in Indonesia from 2009 to 2019. Those listed companies in the SRI-Kehati index have market recognition and are able to maintain sustainability practices in their business doings. Asymmetric information was calculated by measuring the spread of market share prices. CSR disclosure was measured with global reporting initiative standards. Other variables did not require calculation.FindingsThis study discerns the significant influence of CSR disclosure on asymmetric information and RoI on the listed firms of the SRI-Kehati Index in Indonesia. To articulate, the more transparent CSR disclosure is, the asymmetric information should be lower. Besides that, more comprehensive CSR disclosure is associated with a better corporate return of investment. In scrutinizing the control variables, this research validates the significant influence of corporate assets and sales revenue on both dependent variables.Research limitations/implicationsThis research has some limitations that require further research. First, the research was conducted in Indonesia. However, other Southeast Asian markets may have their own uniqueness. Therefore, further research is needed in other specific Southeast Asian countries. Second, the sampling bounds on the corporation which gained sustainable recognition in SRI-Kehati Index. Future studies can extend more observation by comparing SRI-Kehati index to firms, which are not listed in the index.Practical implicationsThis study recommends better capital market monitoring and evaluation to improve the quality of the firms’ reports in both business and social aspects. By investing more in philanthropic and social activities, firms can signal the market credibility to their various external stakeholders on their market adjustment to changing external business environment.Social implicationsAs for society, robust CSR disclosures will facilitate investors’ understanding of the conditions before making an investment in public listed companies. At the same time, companies issuing the disclosures are expected by society to perform responsibly, as illuminated in the report. As a result, the CSR disclosures will create a virtuous cycle of sustainability between the company and the society.Originality/valueFirst, this research reinforces the global corporate governance concern to urge more corporate disclosures on firm performance in an Indonesian context. Second, this study fills the research gap on the association of CSR disclosure to asymmetric information in Indonesian literature. Third, the findings underpin the integration of social responsibility on the firms’ core business decision-makings to warrant business credibility to all firms’ stakeholders in Indonesia.

The Curious Case of IL&FS Financial Crisis

This case attempted to demystify the IL&FS financial crisis of 2018, which grappled with various Indian financial markets. The case presented immediate probing issues to the investors as key stakeholders, the first being the factors that played the role of catalyst leading to a blow-up of the IL&FS financial crisis and the second being the identification of preventive measures to create a robust vigilance system. The case also outlined how the default of IL&FS on some of the debt instruments triggered the domino effect in the money market, equity market, bond market, and mutual funds in the ever-increasingly connected financial world. It highlighted crucial internal and external factors which acted as key drivers in the IL&FS financial crisis. This crisis also exhibited strong interconnection of financial markets as troubles in one market spread across other markets. The study brought to the fore the role of regulatory bodies, independent audit agencies, and credit rating agencies in the development of such a crisis. It contributed by creating a critical platform to raise essential points for further discussions related to the emergence of the IL&FS crisis, the factors driving this crisis, and its impact on the sustainability of the financial ecosystem of India.

Consumer Acceptance of Plant-Based Meat Substitutes: A Narrative Review.

The great environmental impact of increasing animal product consumption requires the willingness to reduce or to substitute meat consumption. A possible substitute product, plant-based meat substitute, is made from plants and offers a sensory experience similar to conventional meat. In this narrative review, we focus on the consumer acceptance of plant-based meat alternatives. We searched for peer-reviewed studies in SCOPUS and Web of Science (WoS) up to December 2021. Of all 111 records identified, 28 were eligible, and, thus, included in this narrative review. The results imply that established consumer behavior has complex socio-economic implications for the adoption of plant-based meat substitutes. Plant-based meat was consistently rated more favorably than other meat substitute products, but sensory and nutritional implications still exist. Environmental and health-related factors may contribute to the market spread of plant-based meat substitutes, but these factors alone are not sufficient. Furthermore, so far there is no information available about how the hypothetical measurements used in the studies (such as willingness to pay) will translate to real life consumer behavior. Despite these barriers, there is certainly a great market potential for plant-based meat alternatives, which is expected to be more pronounced in the future, with increasing environmental and health awareness.

The role of different information sources in information spread: Evidence from three media channels in China

Using a comprehensive dataset from 2008 to 2018, we study the role of different information sources (traditional media, new media, and social media) on information spread in the Chinese stock market. The findings reveal varied leading and lagging relationships in the timeliness of fraud information disclosure from three media types and the most significant impact from social media. The results on price synchronicity reveal the significantly negative influence of all media coverages; among them, the impact of new media is in the first position, social media is in second place, and traditional media is the smallest. Furthermore, this influence is more pronounced for firms that are not audited by Big 4 auditors or with lower institutional ownership. In summary, we reveal the different effects of three media channels around fraud events and price synchronicity in China.

Which is Better: Value Strategy or Growth Strategy?

Purpose: On the backdrop of the recent value versus growth debate in both academics and investment community, this paper investigates which is a better strategy, value or growth strategy. Design/methodology/approach: Reworking the Euler equation, this paper derives the relationship among return, profit growth, and risk. We use three different risk metrics proposed by Park and Fang (2021). We regress the value minus growth return on profit growth and risk variables to determine which is the primary driver of the return in the Korean stock market. The data run from 2000 through 2021. Findings: Our data show that the accumulated return on value minus growth stocks steadily increases over 2000- 2012 in Korea, indicating that value stocks outperform growth stocks over the long horizon. Our regression results show that the time-varying risk effect reverts from negativity contemporaneously to positivity with a time lag, and its temporal effect is negligible when aggregated in time. There exists a positive long-run risk effect on the value minus growth return. However, the effect of profit growth on return is not significant, indicating that growth firms’ profit prospect is not a factor in the determination of value minus growth return. Research limitations/implications: In the past, stock market uncertainty (risk) have been most caused by either financial system failures or technological innovations. Whether value stocks outperform growth stocks or vice versa may crucially depends on the causes of stock market uncertainty. We need to refine our model to account for the differences in the causes of stock market uncertainty. Originality/value: Our model is a first attempt to combine profit growth and risk in a unifying framework to explain the value and growth spread in the stock market. The conditional CAPM is a risk-based approach in which profit growth is not accounted for.

ANALISIS FAKTOR YANG MEMPENGARUHI TINGKAT PEMBELIAN IMPULSIF KONSUMEN DI PASAR MODERN KOTA TEGAL PADA MASA PANDEMI COVID-19

The role of retail trade which is packaged in the modern market is currently experiencing quite rapid development, however, with the Covid-19 pandemic, it has greatly impacted retail companies. The impact of the Covid-19 pandemic requires business actors and modern market managers to form strategies to develop and maintain the Balinese power of the community. The purpose of this study is to determine the magnitude of the influence of product completeness factors, price perceptions on impulsive purchases and motivation as intervening variables during the COVID-19 pandemic, on the other hand, to evaluate strategies in strengthening MSMEs in the city of Tegal. The object of this research is the modern market spread in the city of Tegal with a total sample of 150 respondents. This study uses the associative method. and analysis of data processing using the Partial Least Square – Structural Equation Modeling (PLS–SEM) method with data processing using Smart PLS. Then the outer model, inner model, and hypothesis testing were carried out. The results showed that the product completeness factor did not have a positive effect on consumer motivation, while price perceptions had a positive effect on consumer motivation. Product completeness, price perception and motivation have a positive effect on impulse buying. However, the motivational variable cannot mediate the relationship between product completeness and impulse buying at the modern market in the city of Tegal during the Covid-19 pandemic, while the price perception variable has a positive effect on impulse buying through consumer motivation in Tegal city modern market during the Covid-19 pandemic.

Do Bond Investors Care about Margin Trading and Securities lending?: ——An Empirical Study Based on Secondary Market of Medium Term Notes

Since the advent of margin trading in 2010, the spillover effect of margin trading system has attracted extensive attention. From the perspective of bond investors, this paper studies the effect of margin trading and securities lending on the credit spread in the secondary market of MTN(medium-term notes). It is found that listed companies’ margin trading and securities lending are significantly positively correlated with credit spreads, and securities lending has a greater effect. Credit spreads increase 0.26% for each 1% increase in relative financing balance, and 20.10% for each 1% increase in relative margin lending balance. Further study found that the change of financing balance was more significant in the AAA grade, 5-year medium-term notes issued by state-owned enterprises, while the change of margin balance was more significant in the non-AAA grade, 3-year medium-term notes issued by state-owned enterprise.The above results show that bond investors do care about the signals released by margin trading and securities lending.

A Model Checking-based Approach to Malicious Family Detection in iOS Environment

As a result of the spread in the mobile market, new kinds of malware have developed. Many malicious users began to produce harmful applications for open-source operating systems such as Android, and closed-source operating systems like iOS. For this reason, new anti-malware methodologies are necessary to identify them. Currently, most of them base their approach on the signature, and it does not allow users to defend themselves from current threats. In this article, we propose an automatic tool able to identify dangerous iOS applications by defining a system model through Milner's Calculus of Communicating Systems and the consequence use of the State Transitions System to evaluate the behaviors of an application, to categorize if it is malware or a legitimate application. As a result of the experiments conducted, we obtained relevant performances with good precision and recall levels.

Robotizing bond portfolio selection on the Russian debt market on the basis of a modified strategy of riding the yield curve

The modern global debt market features historically low average interest rates, convergence of yields on bonds with different maturities, an increase of yield curve inversion emergence frequency and a large-scale trend to automate financial decision making. The researchers’ attention in these fields is mainly focused on designing models that describe the state of the debt market as whole or its individual instruments in particular, as well as on risk management methods. At the same time, the specialized literature offers very few works concerning the topic of computer algorithms for bond portfolio selection based on traditional or advanced investment strategies. The aim of the present research is to create a modification of the existing algorithm of riding the yield curve strategy application, employing, first, average bond yield over the holding period instead of traditional bond yield to maturity; second, a developed algorithm for calculating the market spread on bonds; and, third, alternative risk evaluation indicators (compensation coefficients), which allow us to measure objectively price risk, liquidity risk, transaction costs risk and a general risk. The modification and the development of the algorithm for calculating the market spread were carried out using the direct measurement of the result technique, which entails application of the strategy to the data on bond issues received through the Moscow Exchange API. The selection of financial instruments was conducted in all sectors of the Russian debt market: public bonds, sub-federal and municipal bonds, corporate bonds. The modified algorithm enabled us to get extra yield for each selected bond issue, thereby proving the high effectiveness of the technique compared to the traditional strategy. Software implementation of the algorithm can be integrated into any robotized or semi-robotized stock exchange trading application.

Does Gross or Net Debt Matter More for Emerging Market Spreads?

AbstractDoes gross or net debt matter for long‐term sovereign spreads in emerging markets? The topic is important for understanding the borrowing cost implications of public asset–liability management decisions (e.g., using assets to lower debt). We investigate this question using data on emerging market economies (EMEs) over the period 1998–2014. We find that both gross debt and assets have a significant impact on long‐term sovereign bond spreads in emerging markets, with effects roughly offsetting each other (coefficients of opposite sign and similar magnitude). Hence, net debt seems more appropriate than gross debt when evaluating the impact of indebtedness on spreads. The empirical results suggest that an increase in net debt by 10 percentage points of GDP implies an increase in the spread by 100–120 basis points, and the effect is larger during periods of domestic distress. The key results from this empirical study are quite robust to alternative specifications and subgroups of EMEs.

2C-x and DOx hallucinogens: a systematic review

The drug market has seen a significant global expansion in the last decades. The synthetic designer drugs belonging to the class of amphetamines and derived phenylethylamines have experienced the greatest spread in the drug market for abuse. As phenylethylamines are organic compounds that stimulate the central nervous system of humans, many are abused as recreational drugs. A large array of substituted amphetamines can be easily synthetized by replacing one or more hydrogen atoms in the structure of phenylethylamine. Among these, the most dangerous for human health are those analogues or homologues that have hallucinogenic effects (besides the stimulant pharmacological activity), such as those belonging to the 2C-x and DOx classes of amphetamines. This review describes the physico-chemical and spectral properties of the most representative compounds of the two classes.

Choosing factors: the international evidence

ABSTRACT Extending Fama and French’s U.S. study on choosing factors to international equity markets, we test nested and non-nested asset pricing models for North America, Europe, Asia excluding Japan, and Japan. For non-nested models, we propose a new simulation methodology using a blocks bootstrap approach that takes into account factor dependencies. The resultant out-of-sample Sharpe ratios across all models and countries are lower than Fama and French’s pairs bootstrap approach. While we confirm that the six-factor model with market, size, and small size spread factors for value, profitability, investment, and momentum produces the highest maximum squared Sharpe ratio in most economies, an exception is Asia excluding Japan. Additionally, spanning regressions reveal that size does not matter in any of the international equity markets, whereas value matters in Europe, Asia excluding Japan, and Japan.