行銷硏究 : Marketing research

This paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous research, by using ordinary difference VARs, ignored an important component of linkages displayed purely over the long run. This untapped evidence essentially provides robust and very useful information to international financial analysts and investors. At a substantive level, results of this study tend to support the contention offered by several studies in the literature of significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run. The levels VAR, however, illustrate the Japanese market's influence as an additional long run leader. Findings seem to be plausible given that these three markets (US, UK and Japan) have consistently contributed over 75% of global stock market capitalization over the major part of the sample under consideration. At a methodological level, this analysis also provides a primer for the wealth of applied financial econometric research focusing on dynamic causal inference which involve systems containing possibly integrated and cointegrated processes.

Long and short term dynamic causal transmission amongst international stock markets

Purpose – The paper aims to test the stability of dividend policy, test the effect of cash flow on the company's dividend policy, identify the factors that determine a firm's cash dividend payments, and examine the characteristics of dividend‐paying and non‐paying firms.Design/methodology/approach – The hypotheses are tested using unbalance panel data for a sample of 54 Saudi‐listed firms during 1990‐2006.Findings – Saudi firms pay out a lower proportion of their cash flows compared to the proportion of dividends of reported earnings. Firms have more flexible dividend policies since they are willing to cut or skip dividends when profit declines and pay no dividends when losses are reported. Lagged dividend payments, profitability, cash flows, and life cycle are determinants of dividend payments. Agency costs are not a critical driver of dividend policy of Saudi firms. Zakat is found to play a role in explaining firm's dividend decisions.Originality/value – This paper is the first to study the determinants...

Corporate dividends decisions: evidence from Saudi Arabia

The positioning and pricing of a new brand requires knowledge about the relationship of both demand and cost with potential attribute locations and prices. This paper addresses this problem and illustrates it in the context of the automobile market. Multi-attribute expected utility theory which allows for consumer uncertainty about the brands is used to model individuals' behavior. Attribute weights are estimated from market survey data on brands' attributes and preferences using LINMAP as an estimation procedure. Expected utility is then updated using the multinomial logit model and choice data to account for the observation that stated preferences do not perfectly reflect the eventual choice. It is hypothesized that when faced with an actual choice price may become more important to the consumer, while other attributes may become more or less important than is reflected in stated preferences. The resulting estimated choice probabilities are aggregated to form demand functions facing each brand which depend on all brands' prices and attribute space locations. Assuming there is a price equilibrium in the existing market and that firms have the same variable cost function, variable costs as a function of a brand's attribute levels are estimated. Given the demand and cost functions facing each firm including the potential new entrant, the profit maximizing positioning and pricing of a new brand is analyzed using a game theoretic approach. A solution is sought under the assumption that incumbents react to entry by changing their prices. Possible approaches to the translation of the perceptual attribute positioning of the new brand to physical and engineering attributes are reviewed. Improvements and future extensions of the study are discussed.

New Brand Positioning And Pricing In An Oligopolistic Market

Investor protection and dividend policy: The case of Islamic and conventional banks

The present supervisory system in banking sector is a substantial improvement over the earlier system in terms of frequency, coverage and focus as also the tools employed. Nearly one-half of the Basle Core Principles for Effective Banking Supervision has already been adhered to and the remaining is at a stage of implementation. Two Supervisory Rating Models, based on CAMELS and CACS factors for rating of the Indian Commercial Banks and Foreign Banks operating in India respectively, have been worked out on the lines recommended by the Padmanabhan Working Group (1995). These ratings would enable the Reserve Bank to identify the banks whose condition warrants special supervisory attention. This paper studies the performance of SBI and ICICI through CAMEL Model for the period 2000-01 to 2004-05. It is found that SBI has an edge over its counterpart ICICI in terms of Capital Adequacy. However, the vice versa is true regarding assets quality, earning quality and management quality. The liquidity position of both the banks is sound and does not differ significantly.

Evaluating Performance Of Banks Through Camel Model: A Case Study Of Sbi And Icici

Credit risk emanates from a bank’s dealings with an individual, corporate, bank, financial institution or a sovereign. The present paper is designed to study the implementation of the Credit Risk Management Framework by Commercial Banks in India. To achieve the above mentioned objective a primary survey was conducted. The results show that the authority for approval of Credit Risk vests with ‘Board of Directors’ in case of 94.4% and 62.5% of the public sector and private sector banks, respectively. This authority in the remaining banks, however, is with the ‘Credit Policy Committee’. For Credit Risk Management, most of the banks (if not all) are found performing several activities like industry study, periodic credit calls, periodic plant visits, developing MIS, risk scoring and annual review of accounts. However, the banks in India are abstaining from the use of derivatives products as risk hedging tool. The survey has brought out that irrespective of sector and size of bank, Credit Risk Management framework in India is on the right track and it is fully based on the RBI’s guidelines issued in this regard.

Credit Risk Management Framework at Banks in India

The present paper is an attempt to re-examine the applicability of Lintners (1956) dividend policy in banking sector in India. The banks, listed on any of the Stock Exchange in India, constitute the sample for the present study. Here, a cross-sectional analysis have been carried out from the year 1996 to 2006 across ownership pattern of banks in India. The results are found in line with the Lintner model. The findings offer evidence that the dividend policy of Public Sector Banks (PSBs) is more stable than that of Private Banks (PBs). The results indicate that the major determinants of current dividend are lagged dividend and the current earnings in case of both PSBs and PBs. The above evidence is almost similar to those markets in developed countries such as the US. The study is also found giving support to the argument of information content of dividend in the context of dividend proceeds. Hence, dividend policy can be used as a signaling device by the managements of banks.

Examining Application of Lintners Dividend Model in Indian Banking Industry

Purpose – Internationalization of capital markets gives opportunities to investors to invest their money in the country of their choice, not just in their own country. The relationships between international stock markets have become increasingly important in recent times. The purpose of this paper is to study the inter‐linkages between stock markets of India, Pakistan and Sri Lanka.Design/methodology/approach – This paper studies the inter‐linkages between stock markets of India, Pakistan and Sri Lanka. Daily closing levels of the benchmark indices in the three countries are taken for a period of January 2003‐June 2010. While line charts, correlogram and unit‐root test are applied to check the stationary nature of the series; Granger's causality model, vector auto regression (VAR) model and variance decomposition analysis are performed to find out the linkages between the markets under study.Findings – The paper concludes that while the National Stock Exchange (India) Granger causes Karachi Stock Exchang...

Inter‐linkages among stock markets of South Asia

Purpose – Internationalization of capital markets gives opportunities to investors to invest their money in the country of their choice, not just in their own country. The relationships between international stock markets have become increasingly important in recent times. The purpose of this paper is to study the inter-linkages between stock markets of India, Pakistan and Sri Lanka.Design/methodology/approach – This paper studies the inter-linkages between stock markets of India, Pakistan and Sri Lanka. Daily closing levels of the benchmark indices in the three countries are taken for a period of January 2003-June 2010. While line charts, correlogram and unit-root test are applied to check the stationary nature of the series; Granger’s causality model, vector auto regression (VAR) model and variance decomposition analysis are performed to find out the linkages between the markets under study.Findings – The paper concludes that while the National Stock Exchange (India) Granger causes Karachi Stock Exchange (Pakistan) and Colombo Stock Exchange (Sri Lanka), the vice versa is not true. These results of Granger’s causality model are also confirmed by the VAR models.Originality/value – Studies have been conducted in large numbers to test the linkages and integration between stock exchanges of the developed nations, namely the USA, Canada, Europe and Japan. Even the studies that have focused on the developing and under-developed nations have studied the linkages of those with the developed nations. Little research has been conducted about the inter-linkages between the nations from Asia. Even fewer studies have focused on stock exchanges in the South-Asian region. This research paper focuses on the return from the benchmark stock exchanges from these three countries and also on the linkages between India, Pakistan and Sri Lanka.

Inter-Linkages Among Stock Markets of South Asia

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