Template-Type: ReDIF-Article 1.0 Author-Name: Ling T. He Author-X-Name-First: Ling T. Author-X-Name-Last: He Author-Name: K. Michael Casey Author-X-Name-First: K. Michael Author-X-Name-Last: Casey Title: Improvements in forecasting of bank stock excess returns using the investor sentiment endurance index: a comparison with CAPM and Fama-French models Abstract: In order to raise the forecasting quality for banking equity costs, this study uses the sentiment endurance (SE) index developed by He (2012) and applies this model to the banking industry. The SE index is used as the risk factor to replace commonly used risk factors, the overall market risk premium, and the Fama-French factors 'small minus big' (SMB), and 'high minus low' (HML). The sentiment endurance index in this study measures changes in the lasting momentum of bank stock prices and can therefore be used to predict future changes in bank stock prices. The results of this study indicate that the monthly rolling out-of-sample forecasts generated by the sentiment endurance model, in general, are significantly more accurate than the CAPM and Fama-French models. When the overall market risk premium or SMB and HML are added into the sentiment endurance index model, respectively, the quality of forecasting based on short rolling periods actually deteriorates and improvements in forecasting quality based on longer rolling periods are trivial. The empirical results indicate that information contained in the three risk factors is already reflected in the sentiment endurance index. Journal: Int. J. of Financial Markets and Derivatives Pages: 210-224 Issue: 3 Volume: 6 Year: 2018 Keywords: investor sentiment endurance index; rolling forecasting. File-URL: http://www.inderscience.com/link.php?id=91679 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:6:y:2018:i:3:p:210-224 Template-Type: ReDIF-Article 1.0 Author-Name: Aparna Bhat Author-X-Name-First: Aparna Author-X-Name-Last: Bhat Title: Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India Abstract: The moneyness and maturity biases empirically observed in the case of the Black-Scholes-Merton (BSM) model have led to the evolution of alternative option-pricing models that attempt to address the shortcomings of the BSM model. One such alternative model is the GARCH model of Duan (1995) which takes into account the heteroscedastic nature of volatility. This paper examines the pricing performance of Duan's GARCH model in the context of exchange-traded currency options traded in India. The comparison is made with the 'sticky-strike' and 'sticky-delta' models used by practitioners. These models recognise implied volatility as a function of the option's strike price and time to maturity and are easier to implement than the GARCH model which is computationally intensive. The study finds that the practitioners' models fare better than the more sophisticated GARCH model in pricing currency options in an emerging market like India. The contribution of this paper lies in the fact that it is one of the few studies that focuses on the empirical performance of the GARCH model in pricing currency options and the only study in the context of currency options in India. Journal: Int. J. of Financial Markets and Derivatives Pages: 183-209 Issue: 3 Volume: 6 Year: 2018 Keywords: currency options; GARCH option-pricing model; sticky-strike; sticky-delta; dollar-rupee options; India. File-URL: http://www.inderscience.com/link.php?id=91680 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:6:y:2018:i:3:p:183-209 Template-Type: ReDIF-Article 1.0 Author-Name: Yi-Hui Chiang Author-X-Name-First: Yi-Hui Author-X-Name-Last: Chiang Title: MCDM modelling of purchase determinants for portfolio products recommended by financial advisors Abstract: Financial advising is a large industry and the portfolio decision behind the interaction and the trust between investors and advisors depends on many determinants. What are the purchase determinants on portfolio products recommended by a financial advisor (FA) when an investor makes a financial decision? Among these determinants, what matters most in their decisions? The purpose of this paper is to propose a multiple-criteria-decision-making (MCDM) model for determinants regarding portfolio products recommended by FAs from perspectives of investors in Taiwan. According to the results, respondents rank product value, client specific and FA expertise as the top three important dimensions. Among the 25 criteria studied, good performance and characteristics of products, available capital and willingness of the clients and the FA's professional judgement and recommendation are the five key factors when it comes to purchase decision for portfolio products. The results provide reference for investors, advisors and the wealth management related institutions. Journal: Int. J. of Financial Markets and Derivatives Pages: 225-239 Issue: 3 Volume: 6 Year: 2018 Keywords: purchase; multiple-criteria-decision-making; MCDM; financial advisor; FA; determinants; analytic hierarchy process; AHP. File-URL: http://www.inderscience.com/link.php?id=91685 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:6:y:2018:i:3:p:225-239 Template-Type: ReDIF-Article 1.0 Author-Name: Rattaphon Wuthisatian Author-X-Name-First: Rattaphon Author-X-Name-Last: Wuthisatian Author-Name: Namporn Thanetsunthorn Author-X-Name-First: Namporn Author-X-Name-Last: Thanetsunthorn Title: The Asian financial crisis: market inefficiency and speculative bubbles Abstract: A significant body of economic literature considers the collapse of Thailand's financial market as one of the causes of the Asian financial crisis during the years 1997-1998. The phenomenon subsequently raises the question of whether the stock market of Thailand at the time was working efficiently or characterised substantially by speculative bubbles. Empirical tests are, however, rare. The present study revisits the 1997 Asian financial crisis and empirically investigates the presence of market inefficiency and speculative bubbles in the Thai stock market using monthly data spanning January 1985 to December 1998. A variety of contemporary econometric tests provide substantial evidence for the existence of market inefficiency, speculative bubbles and overvalued stocks in the Thai stock market during the Asian remarkable economic growth in the late 1980s and early 1990s. The findings also contribute to the scholarly research on this topic by offering additional insights into the anatomy and dynamic behaviour of Thai stock prices during the crisis episode. Journal: Int. J. of Financial Markets and Derivatives Pages: 240-267 Issue: 3 Volume: 6 Year: 2018 Keywords: Stock Exchange of Thailand; SET; speculative bubbles; efficient market hypothesis; EMH; Asian financial crisis. File-URL: http://www.inderscience.com/link.php?id=91686 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:6:y:2018:i:3:p:240-267