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- Does Indian commodity futures markets exhibit price discovery? An empirical analysisPublication . Pani, Upananda; Gherghina, Ştefan Cristian; Mata, Mário Nuno; Ferrão, Joaquim; Mata, PedroPrice discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. ,e findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.
- A panel data approach towards the effectiveness of energy policies in fostering the implementation of solar photovoltaic technology: empirical evidence for Asia-PacificPublication . Roslan, Farah; Gherghina, Ştefan Cristian; Saputra, Jumadil; Mata, Mário Nuno; Zali, Farah Diana Mohmad; Moleiro Martins, JoséToday, the growing Asia-Pacific population causes a dramatic growth in energy supply to meet energy demand. The rapid rise in energy demand is causing concern in the region. Thus, the present study scrutinizes the effect of energy policy involvement in steering-up renewable energy development by empirically assessing the role of policy instruments in encouraging residential-scale and commercial-scale photovoltaic (PV) systems. The analysis is performed using a fixed effects estimator on a selected range of policy approaches (market-pull policies and tax incentives) and a technology-push policy (capital grants) in selected Asia-Pacific countries between 1998 and 2015. The return on investment is estimated to measure the incentives of feed-in tariff (FIT) tariff policies for both residential-scale and commercial-scale PV systems. This study has shown the importance of a strategic combination between technology-push and market-pull policies as complementary to adopting technology and increasing renewable energy utilization for solar PV systems on a residential scale. Investigations into the effectiveness of regulatory support policies for solar PV systems indicate that energy policies are necessary to facilitate solar PV growth on a residential scale in the Asia-Pacific.
- Towards Financing System of Integrated Enterprise Development in the Time of COVID-19 OutbreakPublication . Бойченко, Катерина; Gherghina, Ştefan Cristian; Abreu, António; Mata, Mário Nuno; Moleiro Martins, JoséThe development of an enterprise under current conditions requires an integrated approach and an appropriate financing system. The purpose of this study is to justify the replication model of financing the integrated enterprise development. The research methodology suggests that each enterprise has its own development “genome”, which makes it possible to apply the replication of its directions based on a justified financing system of such an integration. The proposed replication model is augmented by regression analysis, which made it possible to carry out scenario forecasting of alternative options for the company’s development. The conduction of the study is based on 16 textile enterprises. The formed map of the integrated enterprise development enabled the determination of their points to replicate resources in four directions (environmental and economic, innovative, informational, and organizational). The interaction of companies on the basis of strengths diffusion (exchange of potential) with the application of financial netting is considered an alternative to replication. The research proved that an alternative option can solely be recommended for developed companies and requires the identification and minimization of risks. The strong link between the level of integrated and overall development of companies was acknowledged. Asymmetry of business development in the context of a replication model of its integration enables the achievement of high results while minimizing financial resources. Enterprises implementing the replication model of integration considerably improve their prospects and increase overall development performance. The application of the replication model of financing integration under the crisis and the COVID-19 pandemic fosters efficient use of financial resources and the overall enterprise development.
- A machine learning framework towards bank telemarketing predictionPublication . KOUMETIO TEKOUABOU, Stéphane Cédric; Gherghina, Ştefan Cristian; TOULNI, Hamza; Mata, Pedro; Mata, Mário Nuno; Moleiro Martins, JoséThe use of machine learning (ML) methods has been widely discussed for over a decade. The search for the optimal model is still a challenge that researchers seek to address. Despite advances in current work that surpass the limitations of previous ones, research still faces new challenges in every field. For the automatic targeting of customers in a banking telemarketing campaign, the use of ML-based approaches in previous work has not been able to show transparency in the processing of heterogeneous data, achieve optimal performance or use minimal resources. In this paper, we introduce a class membership-based (CMB) classifier which is a transparent approach well adapted to heterogeneous data that exploits nominal variables in the decision function. These dummy variables are often either suppressed or coded in an arbitrary way in most works without really evaluating their impact on the final performance of the models. In many cases, their coding either favours or disfavours the learning model performance without necessarily reflecting reality, which leads to over-fitting or decreased performance. In this work, we applied the CMB approach to data from a bank telemarketing campaign to build an optimal model for predicting potential customers before launching a campaign. The results obtained suggest that the CMB approach can predict the success of future prospecting more accurately than previous work. Furthermore, in addition to its better performance in terms of accuracy (97.3%), the model also gives a very close score for the AUC (95.9%), showing its stability, which would be very unfavourable to over-fitting.
- Testing stock market efficiency from spillover effect of Panama LeaksPublication . Nasir, Adeel; Gherghina, Ştefan Cristian; Mata, Mário Nuno; Khan, Kanwal Iqbal; Mata, Pedro; Ferrão, JoaquimOn 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak events on five stock exchanges to ensure the market efficiency and investor perception related to the Panama leaks. Event study methodology is used on five occasions associated with Panama papers, i.e., the resignation of the Prime Minister of Iceland on 5 April 2016, Jurgen Mossack’s resignation on 7 April 2016, the resignation of the Spanish Minister of Industry on 15 April 2016, the 450 personalities of Pakistan that were nominated in Panama papers on 15 April 2016, and the formation of an inquiry commission to inquire into the matter. The market efficiency of five stock exchanges was checked, i.e., the KSE 100 of Pakistan, the OMXIPI exchange of Iceland, the IBEX 35 of Spain, the New York stock exchange (NYSE), and S&P 500. The market remains efficient for most events and investor behaviour changes for one or two days around the event day (this event has concise term significant abnormal returns in all stock exchanges or concise term significant abnormal macroeconomic effects are observed in all stock exchanges).