Stock Adjustment Research Articles

COVID-19, supply chain disruption and China’s hog market: a dynamic analysis

PurposeThe authors explicitly evaluate the dynamic impact of five most concerned supply chain disruption scenarios, including: (1) a short-term shortage and price jump of corn supply in hog farms; (2) a shortage of market hogs to packing facilities; (3) disruption in breeding stock adjustments; (4) disruption in pork import; and (5) a combination of scenario (1)–(4).Design/methodology/approachThe agricultural supply chain experienced tremendous disruptions from the COVID-19 pandemic. To evaluate the impact of disruptions, the authors employ a system dynamics model of hog market to simulate and project the impact of COVID-19 on China hog production and pork consumption. In the model the authors explicitly characterize the cyclical pattern of hog market. The hog cycle model is calibrated using market data from 2018–2019 to represent the market situation during an ongoing African swine fever.FindingsThe authors find that the impacts of supply chain disruption are generally short-lived. Market hog transportation disruption has immediate impact on price and consumption. But the impact is smoothed out in six months. Delay in import shipment temporarily reduces consumption and raises hog price. A temporary increase of corn price or delay in breeding stock acquisition does not produce significant impact on national hog market as a whole, despite mass media coverage on certain severely affected regions.Originality/valueThis is the first evaluation of short-term supply chain disruption on China hog market from COVID-19. The authors employ a system dynamics model of hog markets with an international trade component. The model allows for monthly time step analysis and projection of the COVID-19 impact over a five-year period. The results and discussion have far-reaching implications for agricultural markets around the world.

Financial integration in emerging economies: an application of threshold cointegration

Abstract The asymmetric short – and long-run relationships between BRICS stock markets are examined using monthly stock price data from January 2001 through December 2014. The asymmetric co-integration analysis confirms the presence of a long-run association between the BRICS stock markets; where, the speed of adjustment to the negative shocks is higher and statistically significant for the Brazil-India and China-India pairs, which indicates quick adjustment of stock prices to bad news compared to good news. Conversely, the speed of adjustment for Indian and South African stock markets is higher for positive shocks, while the relationship between the stock markets pair of Russia and South Africa is linear. The results of asymmetric error correction model (AECM) reveal evidence of bidirectional causality between China-India, India-South Africa and South Africa-Russia, while unidirectional causality runs from the Indian to Brazilian stock market. Thus, we can safely conclude that the Indian stock market has long-run and short-run relationships with most of the other stock markets. This suggests that investors should pay attention to the Indian stock market when investing in BRICS stock markets.

Short‐sale constraints and informational efficiency to private information: A natural experiment

AbstractExploiting a regulatory change in short‐sale constraints (Regulation SHO) as a natural experiment, this paper examines the effect of short‐sale constraints on informational efficiency of stock prices to private information. I find that short‐sellers act as informed traders prior to forthcoming analyst news and trade on negative private information. When short‐sale constraints are relaxed for pilot stocks (treatment group), both trading volume and stock price sensitivity increase prior to the analyst announcement for bad news but not for good news, relative to that of nonpilot stocks (control group). The findings are consistent with the Diamond and Verrecchia model that predicts that short‐selling increases the speed of adjustment of stock prices to private negative information. In the cross‐section, the effect of Reg SHO is stronger in stocks of firms with weak and uncertain information environments (i.e., small firms and firms with high analyst forecast dispersion).

Global Imbalance Adjustment: Stylized Facts, Driving Factors and China's Prospects

AbstractThis paper summarizes global imbalance adjustment after the GFC and analyzes the evolution of balance of payments using a four‐quadrant diagram. We construct the framework of a stock adjustment mechanism to analyze the main driving factors for the imbalance in surplus/deficit countries and debtors/creditors in an attempt to determine the sustainability of imbalance adjustment. We find that imbalances have been reduced to some extent, but most countries have not achieved rebalance after the global financial crisis. Therefore, we propose an ideal path for global imbalance adjustment and summarize the policy practices of representative countries that have followed this route. Based on our analysis, we suggest that China should learn from the Australian experience and adopt a macro‐prudential assessment policy, actively adjust the domestic economic structure and optimize the structure of balance of payments.

Remotely sensed primary productivity shows that domestic and native herbivores combined are overgrazing Patagonia

Abstract Carrying capacity is the maximum animal density an area can sustain without deterioration of its resources. Overgrazing has degraded Patagonia, but sheep stocks decreased and gave way to mixed systems with cattle, goats and guanacos (native wild camelids). The objective of this paper was to develop a method to estimate the carrying capacity based on the remotely sensed data, and to assess wild and domestic herbivore numbers in order to establish if grazing stocks have evolved to balance with carrying capacity. Net Primary Productivity (NPP) MOD17/A3 images and field Aerial Net Primary Productivity (ANPP) data of 66 sites were linearly regressed (R2 = 0.83, p < 0.01), and the slope 0.236 used to convert MOD17/A3 NPP to ANPP. Harvest index (proportion of ANPP that may be sustainably consumed) was estimated as a function of ANPP and carrying capacity as a consumable forage/estimated annual consumption, set at 500 (sheep and goats), 3,200 (cattle) and 750 kg Dry Matter head−1 year−1 (guanacos). Regional ANPP ± SD (2000–2015) was 758 ± 52 kg Dry Matter ha−1 year−1 and Harvest index was 13.7 ± 0.6%. Regional carrying capacity was 14.8 ± 1.6 M sheep or goats, 2.3 ± 0.3 M cattle or 9.9 ± 1.2 M guanacos. Domestic stock was high from 1920 to 1980, but declined thereafter and remained mostly within 1 SD of mean 2000–2015 carrying capacity. In this century, annual provincial stocks and carrying capacity correlated well (R2 = 0.94, p < 0.01) with a slope close to 1. Guanacos increased from 0.5 to 2 M between 2000 and 2015, driving linearly combined grazing pressures 36% and 62% above carrying capacity in southern Patagonia provinces in 2015. Synthesis and applications. From the year 2000, after decades of sheep overstocking, domestic stock has shown a regional trend towards a grazing equilibrium, but growth of guanacos might have upset that trend. Participation of guanacos as a critical excess in total grazing pressure is debatable, but management of these populations is necessary and may be increasingly attractive if combined production systems are developed to incorporate wild meat and fibre. Our method, MOD17/A3 enables a carrying capacity evaluation and stock adjustment in these unique mixed grazing systems, preventing further rangeland degradation and loss of ecosystem services.

Improving Supply Chain for Essential Drugs in Low-Income Countries: Results from a Large Scale Randomized Experiment in Zambia

Despite increased investments in procurement of essential medicines, their availability at health facilities remains extremely low in many low- and middle-income countries. The lack of a well-functioning supply chain for essential medicines is often the cause of this poor availability. Using a randomized trial conducted in 439 health facilities and 24 districts in Zambia, this study helps understand the optimal supply chain structure for essential medicines distribution in the public sector in low-income countries. It shows that a more direct distribution system where clinics order and receive medicines supply directly from the central agency through a cross-docking arrangement significantly reduces the duration and frequency of stockouts compared to a traditional three-level drug distribution system. As an example, the frequency of stockouts for first line pediatric malaria medicines reduced from 47.9% to 13.3% and the number of days of stockout in a quarter reduced from 27 days to 5 days. The direct flow of demand and order information from health facilities to the central supply agency reduces the problem of diffuse accountability that exists in multi-tiered distribution systems. It also shifts the locus of decision making for complex supply chain functions such as scarce stock allocation and adjustment of health facility order quantities to levels in the system where staff competency is aligned with what the function needs. Even when supply chain system redesign such as the one evaluated in this paper are demonstrated to be technically robust using rigorous evidence, they often require navigating a complex political economy within the overall health system and its actors.

The Trouble with Harrod: The fundamental instability of the warranted rate in the light of the Sraffian Supermultiplier

AbstractThe paper argues that Harrodian instability is an instance of what Hicks in his book Capital and Growth (1965) called static instability, related to the direction (and not to the intensity) of the disequilibrium adjustment process. We show why such instability obtains in demand‐led growth models in which the ratio of capacity creating private investment to output ratio is given exogenously by the aggregate marginal propensity to save. We also show that Sraffian Supermultiplier model overcomes the Harrodian instability and that its demand‐led equilibrium is statically stable. It is explained that the latter results do not follow from the presence of autonomous non‐capacity creating expenditure component as such but from its presence within a model in which investment is driven by the capital stock adjustment principle (i.e., the flexible accelerator). Finally, we argue that, although being statically stable, the equilibrium growth path of the Sraffian Supermultiplier model can be dynamically stable or unstable depending on the intensity of the reaction of investment to demand. We then provide a discrete time sufficient condition for the dynamic stability of such equilibrium that implies that the marginal propensity to invest remains lower than the marginal propensity to save during the adjustment process, a modified Keynesian stability condition.

Szczecin - pioneer of electromobility in the region

The article discusses the pioneering role of Szczecin in the field of ecomobility development in the region. Ambitious plans and intentions for modernization and even complete change of public transport and the state of their implementation have been presented. Practical results of the adjustment of rolling stock and rail rolling stock to the national and EU requirements in the field of toxic substances emission and environmental protection were presented.

Nominal Price Anomaly: Does It Exist in the Vietnamese Stock Market?

This study documents the nominal price anomaly in the Vietnamese stock market. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange from July 2009 to March 2018, we find that stocks with lower nominal price consistently yield higher abnormal returns. The negative effect persists in the long term (i.e. after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market.

Determinants of Speed of Adjustment (SOA) toward Optimum Capital Structure: Evidence from Listed Firms in Sri Lanka

ABSTRACTThis research article aims at examining the determinants of speed of adjustment (SOA) toward the optimum capital structure (OCS). Particularly, this study focuses the impact of firm-specific factors and corporate governance factors on the capital structure adjustment in the Sri Lankan context. The methodology utilizes the benefits of the partial (stock) adjustment model, namely, two-step panel framework using generalised method of moments (GMM) to determine the SOA to OCS. The results indicate that Sri Lankan firms are found to have an OCS and do rapidly adjust toward their target structures. Further this study reveals that profitability, size, tangibility, nondebt tax shields, and governance factors such as directors’ compensation and CEO duality significantly affect the SOA to OCS. The past studies in the emerging market context hardly go into corporate governance factors, leaving a large space for research in the area of capital structure. This study of the listed firms in Sri Lanka contributes to the literature, by examining the determinants of SOA to OCS decision.

What Do We Know About New Venture Investment Time Patterns?

This paper contributes to the literature on new firms in two ways. First, by addressing new venture investment, it focusses on a largely neglected, but important, issue of new firm business decisions. Secondly, it provides a valuable picture for how investing by new businesses is going to evolve over time. Our results suggest that investments by new firms are prone to an s-shaped time pattern rather than a random, linear, or a gradually growing trajectory or a capital market-driven behavior as is assumed usually in the literature on investment decisions. By constructing a framework for future research on new venture investment, this article suggests specific research opportunities for future contributions to this body of knowledge. Based on the developed theorem, four main strands for future research can be identified, namely, (1) the empirical validation of the theorem per se, including trajectory, duration, and level of investment; (2) the link between investment and funding of the venture; (3) the link between investment and new venture development; and (4) investment as an adjustment of aggregate capital stock.

Information Content of Insider Trading Volume: Evidence from Sri Lanka

This study examines whether high volume directors’ trading is more informative than low volume directors’ trading. It further examines the speed of adjustment of stock prices for the information content of high volume directors’ trading of the listed companies in the Colombo Stock Exchange (CSE). This study analyses a sample of high rupee-volume and percentage-volume directors’ purchases and sales reported to the CSE during September, 2004 to August, 2012 using the standard event study methodology. The findings on the high rupee-volume trading are consistent with the hypotheses that high rupee-volume directors’ purchases (sales) are associated with positive (negative) abnormal returns. Although the abnormal returns of percentage-volume directors’ sales are negative and significant, the high percentage-volume directors’ purchases are not significant. The findings on the speed of adjustment of stock prices on these information are not conclusive. I.e., the abnormal returns of high rupee-volume directors’ purchases are positive and significant on the event day and the abnormal returns of high rupee-volume and percentage-volume director’s sales are negative and significant but have been reflected in the stock prices with a delay suggesting that the adjustment of stock prices for director’s sales may not be quick in the CSE.

Effect of Lead Time on Anchor-and-Adjust Ordering Policy in Continuous Time Stock Control Systems

Anchor-and-adjust is an ordering policy often used in stock control systems. Weight of Supply Line, the relative importance given to the supply line compared to the importance given to the stock, and Stock Adjustment Time, the intended time to close the discrepancy between the desired and current levels of the stock, are the two critical decision parameters of the anchor-and-adjust ordering policy. In this study, we conduct an extensive simulation study using a generic stock management structure and offer suggestions for the selection of these two decision parameters. The decision parameter values are significantly affected from the order and duration of the lead time.

Trend inflation estimates for Thailand from disaggregated data

This paper constructs a new trend inflation measure for Thailand based on the multivariate unobserved components model with stochastic volatility and outlier adjustments (MUCSVO) of Stock and Watson (2016). Similar to core inflation, the MUCSVO produces an estimate of trend inflation utilizing information in disaggregated data, but also allows for time-varying weights that depend on the volatility, persistence and comovement of the underlying sectoral inflation series. Based on the empirical results, the majority of sectoral weights show significant time-variation in contrast to their relatively stable expenditure shares. Volatile food and energy sectors that are typically excluded from core inflation measures also turn out to help explain approximately 10 percent of MUCSVO trend inflation rate movements. Compared against other benchmark trend inflation measures, we show that the MUCSVO delivers trend estimates that are smoother, more precise, and are able to forecast average inflation over the 1–3 year horizon more accurately both in-sample and out-of-sample, especially since the year 2000.

ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI INDEKS HARGA SAHAM DI INDONESIA

Since 1998, Indonesia capital market experiencing rapid development, go public activity in stock exchange and stock trading activity getting crowded. People interest observes monetary factors such as money circulation, deposit interest, foreign currency exchange, and inflation that predicted affecting compound stock index in Jakarta stock exchange from 1998 to 2002. Time series data from 1998-2002 gained from published issues like financial statement Indonesian Bank, Body of Statistic Center, and other sources. This research using adaptive expectation model analysis tools, that is rationalization model proposed by Nerlove, as stock adjustment model or partial adjustment model (PAM). Use of this model bring advantage in short and long term analysis.

ANALISIS PENGARUH KESEMPATAN KERJA, TINGKAT BEBAN/TANGGUNGAN DAN PENDIDIKAN TERHADAP PENGANGGURAN DI PROPINSIDATIIJAWA TENGAH

The objectives of this research are: to analyze influence of employment level, the other population burden level and the education level influences the unemployment in Central Java Province, as well as to find out how big the influence of each variable in short and long term, namely, job opportunity, the other population burden level and the education level i.e. elementary school, secondary school and high school toward unemployment in Central Java. This research was conducted in central Java, with secondary data which supported by the primary data from interviewing result with competent party.This research used Adaptive Expectancy Model as its analysis tools, namely, rationalization model which proposed by Nerlove (as in the Econometrics Gujarati book), namely, called as Stock Adjustment Model or Partial Adjustment Model (PAM)The result of this research acquired is for lower education, labor recruitment still can be done to decrease the unemployment level in the province. While for middle educational level, there is obstacle in recruitment of labors, even though; it still can be overcome because of the little relative. Yet, for the higher education, even though, in this analysis concluded that none of independent variable which used has the significant influence toward the dependent variable of unemployment, this is enabled because the higher education tends to search for the job not only in solely Central Java Province, but also they can search for the job in the other province that has leading sector of effort agreeing with that education. The higher education level is, then the lower the influence of burden level will not influence unemployment level either in short or long term is.

Short- and long-run heterogeneous investment dynamics

In this paper, we model the dynamics of business investment taking into account asset-specific characteristics potentially affecting the reactivity of aggregate and disaggregate capital accumulation over the business cycle. We estimate Information and Communication Technologies (ICTs) and traditional investment (non-ICT) determinants within a Vector Error Correction Model testing the assumptions of the flexible accelerator and neoclassical model as well as the role of financial constraints and uncertainty. We evaluate our model on Italian data over the period 1980–2012, and we check our results also with Spanish and UK data. Our findings support the assumption that capital is heterogeneous since short- and long-run determinants are significantly different across the assets. Traditional assets experience stock adjustment costs while ICT investment incurs flow adjustment cost. In the short run, liquidity is a key determinant of investment independently of the asset type. In the long run, uncertainty significantly affects ICT. Finally, the results of the counterfactual exercises support the idea that ICT is a key policy variable to foster economic growth.

Brexit: Short-term stock price effects and the impact of firm-level internationalization

We perform an event study analysis to determine short-term abnormal stock returns following the Brexit referendum. Moreover, we examine whether firm-level internationalization helps explaining abnormal returns. We find that stocks of firms with higher proportions of domestic sales realized more negative abnormal returns than stocks of firms with more sales abroad, i.e., a higher degree of international diversification. While firm-level internationalization largely explains abnormal returns on the trading day after the referendum, it has no relevant pricing effect in the following days. The quick adjustment of stock prices to reflect firm-level internationalization indicates a high degree of market efficiency.

Recognition on the Food Security Strategy in China from the Perspective of Industrial Chain

Chinese agricultural production is facing with “ceiling” effect of high price and “floor” effect of high cost. The new food security strategy is an important principle to firmly grasp the initiative of food security in “China’s New Normal”. From the industrial chain perspective, the food security in our country is facing with overproduction, inefficient supply, serious consumption and other problems, which is also a concentration of structural contradictions in the supply-side. Therefore, in order to deal with “elements constraint”, “quality constraint”, “benefit constraint”, and “right constraint” faced by China's food security in the current and future periods, China should strive to strengthen the expansion of potential and innovation-driven, optimize the structure and regional distribution, stock adjustment and incremental optimization and take the initiative to participate in food industry international cooperation. With building food security industry chain development model, the grain industry can be effectively promoted and a higher level of national food security system can be established.

Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010

For more than half a century, inventory investment has attracted wide attention as a major cause of short-term macroeconomic fluctuations, and the mechanisms involved have been the focus of many major studies. Yet microeconomists and business people familiar with corporate behavior have frequently expressed misgivings about the enterprise. Using Japanese quarterly GDP inventory investment statistics both by commodity and by category, 1994-2010, I investigate the nature of quarterly inventory statistics and the inventory investment behavior, and draw two conclusions. First, statisticians estimate the quarterly statistics under severe time constraints, and their resulting figures incorporate seasonal variations which dominate the quarterly fluctuations. This fluctuation mostly disappears in annual data. Secondly, when I examine the inventory variation after the Lehman Shock in the autumn of 2008, I find neither a notable increase in inventory stock nor a long-run stock adjustment process. Given the size of this unforeseen exogenous shock, most observers expected a large inventory stock accumulation to follow. That the accumulation did not follow suggests that the focus on inventory variation may be misplaced. For inventory investment data estimation, Japan is an ideal OECD country, with generous statistics availability. The conclusions of this research, drawn from the quarterly GDP inventory statistics, will stimulate the interest both in the study of inventory data in other countries focusing on its estimation process and source statistics, and in the great variety of inventory investment. At the same time, the conclusions pose a grave implication not only for re-evaluation of the literature in inventory investment variations but also for other research topics in macroeconomics like monetary transmission mechanisms including “financial accelerator” theory.