Journal of Economics, Finance and Administrative Science

Determinantes y pronóstico de la actividad bursátil del mercado accionario colombiano

Propósito - Se estudian los determinantes y la evolución de la actividad bursátil mensual en el mercado accionario colombiano de 2007 a 2016. Diseño/metodología/enfoque - Para ello se emplean modelos de series de tiempo tipo ARIMAX y GARCH, incluyendo variables exógenas, recomendadas por la literatura previa. Hallazgos - Encontramos que la actividad bursátil puede ser pronosticada en buena parte por el valor rezagado a un mes y las innovaciones de cinco y 12 meses. También contribuyen a predecirla, como variables exógenas, una dummy de rendimientos positivos en los últimos tres meses, la presencia de emisiones primarias y el índice VIX de volatilidad del SP500. Estos resultados se mantienen en un alto grado al emplear medidas alternativas de actividad bursátil, el número total de operaciones y la rotación. Implicaciones prácticas - Se propone un modelo de predicción de la actividad bursátil que puede servir de modelo para otros mercados accionarios de Latinoamérica. El modelo obtenido es altamente predictivo del valor transado total del mercado al siguiente mes. La estimación de la actividad bursátil es de utilidad para instituciones como la Bolsa de Valores de Colombia, reguladores de los mercados financieros, así como para grandes inversionistas institucionales. Implicaciones sociales - El propósito central de los mercados financieros secundarios consiste en facilitar la transacción de activos financieros, lo que debe reflejarse en alta actividad bursátil, tanto en número de operaciones como en valor transado total. La posibilidad de transar altos montos es una medida importante del desarrollo de un mercado financiero. De esta manera, el modelo aquí propuesto puede usarse para monitorizar y explicar el desarrollo del mercado. En particular, se evidencia el nocivo efecto de la debacle de Interbolsa a finales de 2012 y el positivo efecto de las emisiones primarias. Originalidad/valor - Este es el primer paper en estudiar la actividad bursátil del mercado accionario colombiano en años recientes. Sirve como modelo para el estudio y seguimiento de esta variable en otros mercados accionarios latinoamericanos.

Purpose - To study the determinants and evolution of the trading activity in the Colombian Stock Market from 2007 to 2016. Design/methodology/approach - ARMA time series models were used, including several explanatory variables recommended by previous literature. Findings - We find that stock market activity can be predicted to a large extent by its lags, and that positive returns in the last three months, emissions and the VIX index are also explicative variables, as suggested by empirical studies in other countries and theoretical models of market microstructure. These results are robust by using alternative measures of trading activity, total number of trades and turnover. Originality/value - The main contribution of this study is the analysis of the trading activity of the Colombian Stock Market, a critical variable for monitoring the development of any financial market.

Estrategias competitivas y gestión deportiva: Una perspectiva de la Teoría Basada en Recursos aplicada al sector del fútbol

Propósito - Esta investigación utiliza la Teoría Basada en Recursos como base para un modelo que permite integrar las acciones organizacionales con las variables que pueden moderar, directa o indirectamente, su impacto en el alto desempeño de los clubes de fútbol. Diseño/metodología/enfoque - Se desarrolla una contrastación empírica en tres fases. La primera fue la técnica de regresión lineal. En segundo lugar, un análisis multivariado de covarianza (MANCOVA) y el tercer procedimiento, una regresión por mínimos cuadrados en dos fases. El objetivo de usar estos dos últimos procedimientos fue evaluar el efecto conjunto de las variables independientes sobre las variables dependientes, así como los efectos de interacción entre las mismas. Hallazgos - Se validan las relaciones, directas e indirectas, entre las variables organizacionales y decisionales previstas en el modelo. También se valida la importancia de las acciones promocionales del club, para lograr competitividad basada en su desempeño o resultados. Limitaciones de la investigación/implicaciones - Investigaciones futuras se podrían replicar en otros países, usando muestras más grandes con técnicas estadísticas más complejas. También, se podría contrastar si las relaciones encontradas pueden variar según las culturas, o pueden usarse otras variables no contempladas en este estudio. Implicaciones prácticas - El cuestionario usado es una fuente de información fiable para los directivos de marketing de los clubes de fútbol, puesto que las escalas pueden ser usadas como guías para evaluar y diagnosticar su potencial de competitividad basada en el desempeño. Implicaciones sociales - Los clubes de fútbol tienen un desarrollo e impacto directo en la sociedad. Por ello, las implicancias en el club recaerán en el entorno cercano (aficionados y sociedad) a este. Originalidad/valor - Esta investigación aporta varias contribuciones fundamentales a la literatura sobre la competitividad organizacional en el sector deportivo, con aplicación específica a los clubes de fútbol. Este es uno de los escasos estudios que muestran que la competitividad es el resultado de una dinámica motivacional y organizativa, y que el éxito de los clubes se basa en un fen omeno más complejo que solo la asistencia a los eventos. También, es una investigación en un país emergente, lo cual extiende la aplicabilidad te orica y práctica del fenómeno estudiado.

Is gold a hedge or a safe haven? An application of ARDL approach

Purpose - The argument whether gold is a hedge or haven is a debatable issue. Mainly, hedge is a class of asset that is negatively correlated with another asset or portfolio on average. On the other hand, a safe haven is an asset or portfolio which is negatively correlated with another asset or portfolio at the time of market turmoil. Therefore, the purpose of this research is to take Saudi Arabia as an example to examine the relationship of gold price in Saudi Arabia with key determinants such as the stock market index, oil prices, exchange rate, interest rate and consumer price index (CPI) by application of the autoregressive distributed lag model (ARDL). Design/methodology/approach - The ARDL analysis was employed by using six variables based on the application of monthly time series data that were collected from 2011 to 2015. Findings - From the present analysis, it has been discovered that gold is useful as a portfolio hedge and as a hedge against inflation because it is not affected by the CPI. External factors, for example, financial crisis, may be harmful to the CPI, thus adding a certain percentage of gold in the investment portfolio may assist in decreasing the level of risk at the time of financial turmoil. Originality/value - Because gold seems to be a useful portfolio hedge, as well as an inflation hedge, government policies to curb the import of gold may be futile. The present research suggests that policies that directly address the causes of inflation and provide alternative investment opportunities for retail investors may better serve the objective of decreasing gold imports.

Is the health care price inflation in US urban areas stationary?: Evidence from panel unit root tests

Purpose - This study aims to investigate, for the first time in the literature, the stochastic properties of the US aggregate health-care price inflation rate series, using the data on health-care inflation rates for a panel of 17 major US urban areas for the period 1966-2006. Design/methodology/approach - This goal is undertaken by applying the first- and second-generation panel unit root tests and the panel stationary test developed recently by Carrion-i-Silvestre et al. (2005) that allows for endogenously determined multiple structural breaks and is flexible enough to control for the presence of cross-sectional dependence. Findings - The empirical findings indicate that after controlling for the presence of cross-sectional dependence, finite sample bias, and asymptotic normality, the US aggregate health-care price inflation rate series can be characterized as a non-stationary process and not as a regime-wise stationary innovation process. Research limitations/implications - The research findings apply to understanding of health-care sector price escalation in US urban areas. These findings have timely implications for the understanding of the data structure and, therefore, constructs of economic models of urban health-care price inflation rates. The results confirming the presence of a unit root indicating a high degree of inflationary persistence in the health sector suggests need for further studies on health-care inflation rate persistence using the alternative measures of persistence. This study’s conclusions do not apply to non-urban areas. Practical implications - The mean and variance of US urban health-care inflation rate are not constant. Therefore, insurers and policy rate setters need good understanding of the interplay of the various factors driving the explosive health-care insurance rates over the large US metropolitan landscape. The study findings have implications for health-care insurance premium rate setting, health-care inflation econometric modeling and forecasting. Social implications - Payers (private and public employers) of health-care insurance rates in US urban areas should evaluate the value of benefits received in relation to the skyrocketing rise of health-care insurance premiums. Originality/value - This is the first empirical research focusing on the shape of urban health-care inflation rates in the USA.

Modeling and forecasting abnormal stock returns using the nonlinear Grey Bernoulli model

Purpose - This study aims to use gray models to predict abnormal stock returns. Design/methodology/approach - Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model. Findings - Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models. Originality/value - The stock market is one of the most important markets, which is influenced by several factors. Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market.

Effects of institutional quality and the development of the banking system on corporate debt

Purpose - This study aims to determine if the quality of national institutions and banking development condition the maturity of debt depending on the horizon of short or long term. Design/methodology/approach - Analysis is performed on a sample of 116 nonfinancial companies from Peru and Brazil. The measures of quality of national institutions and banking development were obtained from World Bank data and included factorial analysis for dynamic considerations. Findings - The findings, through the treatment of pointed indicators, the factor analysis and the subsequent estimation of a dynamic econometric model, called GMM-SYS, show that institutional quality fosters the maturity of long-term debt and banking development boots short-termfinancial relations. Research limitations/implications - Evaluating different measures of the quality of national institutions and banking development is necessary to demonstrate the robustness of the results beyond the sample evaluated in LatinAmerica. Practical implications - The research allows to understand the interaction between national institutions and system banking through debt maturity, and this is useful for establishing common target between both groups. Social implications - It is important for corporate finance to understand the mechanisms of the interaction between national institutions and system banking, because this affects internal decisions offirms regardingfinancial implications. Originality/value - The treatment of measures of national institutions and banking development include dynamic considerations, and the application of this study in Latin America provides newfindings regarding these kind of indexes and their interaction with firms¨ features such as debt maturity.