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Contains fulltext : 291494.pdf (Publisher’s version ) (Open Access) 28 maart 2023 17 p.

The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity indices. Thus, the purpose of this paper is to investigate the volatility and time frequency domain of BTC with stock markets.

Purpose This paper aims to attempt to investigate and test the factors related to social media advertisement that could forecast the intention to subscribe to Islamic banking products in Malaysia. Design/methodology/approach The research framework used in this study is guided by the Unified Theory of Acceptance and Use of Technology (UTAUT). The questionnaire method was used to collect data from 360 social media users and partial least square (PLS) analysis was carried out for the model’s validation. Findings The analytical results showed that perceived relevance, informativeness and perceived expectancy were found to have a statistical relationship with the purchase intention of Islamic banking products via a social media platform. Practical implications The study offers a practical implication in which the findings prove as helpful means for Islamic financial institutions to discover paramount techniques to retain existing customers and at the same time encourage potential new customers to subscribe to their products. Originality/value Deficiency of research focusing on social media marketing, especially the incorporation of the UTAUT model was observed in the literature. Thus, this paper offers additional literature on social media marketing and elucidates their role in Islamic banking industry, particularly from the Malaysian context. This research is considered to be among the primary attempts to examine the drivers of social media marketing and customers’ intention to subscribe to Islamic banking products in Malaysia.

Purpose The purpose of this paper is to investigate whether market conditions have an effect on investors’ propensity to herd in an emerging economy’s stock market. Additionally, given the lack of research on Islamic behavioral finance, the authors further investigate if the herding phenomenon is distinct in Islamic versus conventional stocks. Design/methodology/approach The authors used daily data for the period of 1995–2016 according to the herding behavior model of Chang et al. (2000), which relies on cross-sectional absolute deviation of returns. Findings Findings reveal the herding behavior of investors among Shariah-compliant during up and down market exits with non-linear relationship to the market return, while for conventional stocks herding behavior does not exist with linear nor nonlinear relationships during the up and down market. Furthermore, for the whole market, herding behavior only exists during upmarket with a nonlinear relationship to the market return. However, this relationship is not significant. Moreover, the results of this study are robust with respect to the effect of the Asian and global financial crisis. Practical implications The findings are useful for investors to identify which market conditions are associated with rational and irrational behavior of investors. Originality/value Most of the theoretical and empirical studies on herding behavior have focused on developed countries. Only a few studies have paid attention to the herding behavior in Islamic financial markets, particularly in the context of an emerging market such as Malaysia. This study fills this void.

We investigate how uncertainty surrounding cryptocurrencies impacts returns in cryptocurrencies using wavelet techniques. Relying on a newly released UCRY index representing cryptocurrency uncertainty, we find UCRY to significantly predict cryptocurrency returns (CR) in all frequencies. Moreover, the UCRY-CR nexus is not influenced by other global uncertainty indexes. The significant co-movement of UCRY-CR remains unchanged for short-, medium- and long-term investment horizons when the effects of economic policy uncertainty and volatility index are removed. Thus, the UCRY-CR relationship is persistent and pervasive.

We examine the volatility dynamics and predictive potency of Twitter-based uncertainty metrics by [1] against major financial assets. Employing a latent factor structure model driven by stochastic volatility in high dimensions, we document a lack of co-movement between uncertainty sentiment on Twitter and market volatility. We also record diminutive predictive power of the same indices, especially in comparison with the more established fear index VIX.

Background: Cryptocurrencies, especially Bitcoin, has become popular for investors in recent years. The volatility of bitcoin and time horizon are the center point for investment decisions. However, attention is not often drawn to the relationship between bitcoin and equity indices. This study investigates the volatility and time frequency domain of bitcoin among five Asean countries through a rich database which covers daily data from July 2010 until April 2019.Methods: Advanced econometrics and Wavelets Cross-Coherence Spectrograms, this study investigates the existence of long run association between bitcoin and the studied market indices. M-GARCH analysis is been employed to investigate the unconditional volatility of market indices and Bitcoin.Results: The findings present the long run association with positive (Philippines) and negative (Japan, Korea, Singapore, Hong Kong) relations. Moreover, only one market (KOREA) shows a short run association with bitcoin. The M-GARCH analysis reveals, most of the selected Asean countries have a low unconditional volatility with bitcoin. Except for Philippines in which the co-movement is average, Wavelet analysis reveals the presence of a strong and long co-movements for most of the selected Asean countries with bitcoin.Conclusions: Most of our results are consistent and illustrate different dimensions of long and short run relationship, volatilities, correlations, and time-frequency analysis. This study utilized Asean emerging economies which are rarely available in the literature as existing studies are more skewed towards the West. We believe the outcomes of this study will be a significant for industry practitioners (i.e., retail and institutional investors) on designing better strategies to diversify the stock portfolio with different holding period horizons and dimensions.

We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments.

We contribute to behavioral finance literature by demonstrating the relative superiority of a dynamic regime-sensitive approach in unraveling herding phenomenon. Employing daily data in Bursa Malaysia from 1995 to 2016, we first apply two orthodox techniques: cross-sectional standard deviation of returns (CSSD) model of Christie and Huang (2005) and the cross-sectional absolute dispersion (CSAD) model of Chang et al. (2000). The ensuing results appear inconsistent, with only one model capturing herding. In contrast, the dynamic approach with a two-state Markov Switching model reveals that herding is a heavily regime-dependent and non-linear phenomenon. A deeper dive via sectoral decompositions shows that the financial sector and large- and mid-capitalization segments are more herding-prone.

We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004–2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004–2006), second (2007–2009), and third (2010–2020) period. We find that liquidity improvement is short-lived in the first and second periods, while it is a long-lived phenomenon in the third period. Firms in the first and second period experienced liquidity improvement only on the split announcement day, while it lasts up to a year after the Ex-date for firms in the third period. Our findings also show a liquidity improvement after the Ex-date only in the third period for the groups of firms categorized based on the liquidity, split factor, and other simultaneous announcements. The findings suggest a positive effect of stock split rule changes implemented by the Securities Commission.

We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments.

Necessity of improving employees’ performance in ministry of education in Iran was the reason of conducting this research. Authors are focused on the impact of High Performance Work System (HPWS) and the culture of organization on employees’ performance in Iran ministry of education. By conducting specified study based on distributed survey questionnaire to 162 members of ministry of education in Iran, this study aims to provide answer to the given research questions of study. The outcome of hypotheses testing illustrate HPWS significantly effects ministry members’ performance and shows strong relation between variables. Likewise, organizational culture demonstrates significant affirmative impact on Iran ministry of education members and employees’ performance. Findings of current research indicate that the ministry of education in Iran requires immediate action toward improving performance of members to obtain desired outcome. Accordingly, to the result of present study, current research attempts to provide practical concepts and illustrate limitations, suggestions for improvement of ministry and future study in this field.