• Macroeconomic News and LOB in Foreign Exchange ECN Market

      Yusi, Tao; Faculty of Business Programs
      We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.
    • MACROECONOMIC NEWS ANNOUNCEMENTS, US PUBLIC COMMUNICATIONS AND EMERGING CURRENCY MARKETS DURING THE POST-GLOBAL FINANCIAL CRISIS

      Das, Deepan Kumar; Faculty of Business Programs
      In this study, we examine the relationship of foreign and domestic macroeconomic news announcements and US public communication from senior officials in the Federal Reserve and the US Department of the Treasury with high-frequency exchange rates in 5 emerging currencies over 2010-2017. To be more specific, we investigate the impact of the announcements and communications on return, volatility and price discontinuity (jump) of the emerging currencies. First, we study the return and volatility reaction to the announcements and communication releases, and then analyze the effects of those announcements and communications on jumps and cojumps. We find that a great majority of the announcements and communications have strong impacts on return and volatility, however, only a few of them can trigger jumps and cojumps. Effects of communications and European announcements specifically are more pronounced and consistent on return and volatility adjustments than on jumps and cojumps. Though less in number, US and domestic macroeconomic news announcements consistently affect jumps and cojumps across most of the emerging currencies. Like in previous studies, we observe in ours that currencies are most sensitive to US announcements. Though previous studies cannot establish any significant relationship with domestic announcements, we evidence that currencies have become very responsive to domestic announcements after the global financial crisis in 2008. Most important US announcements, when it comes to affecting return and volatility, are FOMC rate decisions, FOMC meeting minutes, non-farm payrolls, CPI, GDP, ISM, PPI, retail sales and unemployment rates. Jumps and cojumps, on the other hand, exhibit tendency to respond significantly to FOMC rate decisions, FOMC meeting minutes, non-farm payrolls and CPI out of all the US announcements. With regards to domestic announcements, releases on central bank’s rate decision, CPI, trade balance and bond trading are very important.
    • Macroeconomic News Effects and Foreign Exchange Jumps

      Wang, Jiahui; Faculty of Business Programs
      This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.
    • Managerial Risk-Taking and CEO Excess Compensation

      Jafri, Syed Rahat Ali; Faculty of Business Programs (Brock University, 2013-05-14)
      This paper examines risk taking and CEO excess compensation problems in U.S firms to determine their impact on shareholders wealth. Literature suggests a positive effect of CEO incentive risk and strong corporate governance on CEO risk taking. Furthermore, the strong governance mitigates excess compensation problem. Controlling for governance quality and incentive risk, I provide empirical evidence of a significant association between risk taking and CEO excess compensation. When I also control for pay-performance sensitivity (delta) and feedback effects of incentive compensation on CEO risk taking, I find that higher use of incentive pay encourages risk taking, and due to a high exposure to risk CEOs draws excess compensation. Furthermore, I find that the excess compensation problem is more serious with CEOs taking high risk than with those taking low risk. Finally, I find that CEO risk taking also has structural impacts on CEO compensation
    • Margin requirements and volatility : evidence from Canadian stocks

      Lee, Kwan Yiu; Faculty of Business Programs (Brock University, 2010-03-09)
      Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.
    • Market Reaction to the Passage of the Tax Cuts and Jobs Act of 2017

      Rahman, Mahmud; Faculty of Business Programs
      I investigate the market reaction to the events leading up to the passage of the Tax Cuts and Jobs Act of 2017 (TCJA) using short and long window event studies. Using the sample of S&P 1,500 firms, I find positive market reaction to the enactment of the TCJA only in one short window; market reaction to other windows remains weak. This study documents that firms with high marginal tax rate have positive market reaction only in one long window. Further investigation reveals that for the firms with deferred tax assets the market reaction is positive only in one short window and in another long window market reaction is negative. I also find weak evidence that firms with high deferred tax liabilities have a positive market reaction to the passage of the TCJA. In addition, I document that firms with high executive compensation record negative market reactions in the short windows, but no market reaction in the long windows. I finally find that market reaction to the marginal tax rate varies with firm corporate governance only in one short window. Overall, my study contributes to the existing tax and accounting literature by examining investor reaction to the passage of TCJA based on dominant firm characteristics such as marginal tax rates, corporate governance structures, the nature of deferred taxes, and the level of executive compensation for events leading to and after the passage of the Act.
    • Market reactions to changes in the Nasdaq-100 Index membership

      Xu, Yuanbin; Faculty of Business Programs (Brock University, 2012-05-17)
      We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.
    • The metacognitive cue of fluency on taste perception

      Aysan, Ummugulsum; Faculty of Business Programs (Brock University, 2011-03-08)
      The relative ease tha t a person experiences while performing cognitive operations, namely processing fluency, affects a broad range of judgments such as product evaluations. For example, an increase in fluency through repeated exposure to product packages enhances attitude toward the brand (Janiszewski 1993). This thesis examined the effect of fluency on taste perception and demonstrated where the fluency created an advantage or disfluency created a disadvantage for taste evaluations. Experiment 1 examined the effect of perceptual fluency on taste perception. It was found that perceptual disfluency derived from r eading the labels (i.e., font) lowered taste evaluations only when it was experienced be for the sensory experience. Experiment 2 examined the effect of linguistic fluency (i.e., pronunciation) on taste perception. However there was no evidence for the effect of linguistic fluency on taste perception. Thus, it is concluded that either the effect size of linguistic fluency is lower than perceptual fluency, or participants discounted their linguistic fluency experience because they realized that the brand names used in Experiment 2 were not real brand names. To sum up, it was found that perceptual disfluency created by presenting a difficult to read product-related information created a disadvantage for taste perception compared to when no information was presented. Therefore, this thesis provides the first evidence for the effect of the metacognitive cue of fluency on sensory evaluations.
    • OPEC PRODUCTION DECISIONS, MACROECONOMIC NEWS AND VOLATILITY IN THE CANADIAN AND ENERGY MARKETS

      Yan, Xusheng; Faculty of Business Programs
      This study investigates the determinants of oil and Canadian dollar volatilities. We use the multivariate volatility model to examine the simultaneous impacts of OPEC press releases and production decisions, oil and gasoline inventory surprises, and U.S. and Canadian macroeconomic news announcements on oil and CAD returns and volatilities during, before and after the U.S. financial crisis and European sovereign debt crisis. Besides, we apply the impulse response analysis to decompose the exogenous effects into direct and indirect effects resulting from volatility spillover. We find that the effects of OPEC press releases and decisions are more prominent than those of inventory announcements and macroeconomic news. Furthermore, over 50% of the total accumulated effects of OPEC decisions to maintain, on oil volatility are from the indirect effect via volatility spillover of CAD exchange rate during the U.S. financial crisis. Our findings shed light on the dynamic of volatility spillover channel during financial turmoil, which may facilitate the process of investments and policy decision-making, trading strategies of market participants, and the efficiency of stabilizing market volatility in a multilateral setting.
    • Perception of Competition Among Social Enterprises

      Di Matteo, Michael; Faculty of Business Programs
      This paper examines how social enterprises – organizations that use marketplaces to create both social and economic value – compete with one another and how they perceive of other social enterprises. I conducted a study in which I interviewed key executives of social enterprises in the second-hand textile marketplaces within North America and examined their perceptions of rivalry. My findings suggest that social enterprises categorized and developed mental models for how they perceived rivalry with other social enterprises. Specifically, the categorization of the type of social value that another social enterprise creates, and a subsequent identity comparison and orientation, led to different rivalrous responses: compassionate, marketplace, and ideological. My study builds upon perceptions of rivalry and examines a growing form of organizing: social enterprises.
    • Process Improvement in Phlebotomy

      Huang, Yunqu (Coey); Faculty of Business Programs (Brock University, 2014-09-17)
      This study has two main objectives. First, the phlebotomy process at the St. Catharines Site of the Niagara Health System is investigated, which starts when an order for a blood test is placed, and ends when the specimen arrives at the lab. The performance measurement is the flow time of the process, which reflects concerns and interests of both the hospital and the patients. Three popular operational methodologies are applied to reduce the flow time and improve the process: DMAIC from Six Sigma, lean principles and simulation modeling. Potential suggestions are provided for the St. Catharines Site, which could result in an average of seven minutes reduction in the flow time. The second objective addresses the fact that these three methodologies have not been combined before in a process improvement effort. A structured framework combining them is developed to benefit future study of phlebotomy and other hospital processes.
    • Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

      Luo, Haiming; Faculty of Business Programs (Brock University, 2011-05-17)
      This thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.
    • Public Communications and the Foreign Exchange Risk Around the Global Financial Crisis

      Wang, Jiayu; Faculty of Business Programs
      This study explores the effect of four public communication attributes and macroeconomic news surprises on the conditional mean, volatility, and the jump components of the euro-dollar, pound-dollar, and yen-dollar foreign exchange rates from November 1st, 2004 to February 28th, 2015. We extract key attributes from central bank senior official speeches and examine their impact on currencies. We show that price diffusion components respond differently to such attributes across economic states. In addition, volatility exhibits the highest response to the four attributes during the US crisis compared to return and jump components. We find that even though the central bank chairman position has significant impact in general on the price diffusion components, some chairmen have no effect. Yet, the name and personality of the central bank officials matter for the foreign exchange market. We also find that the market fluctuates significantly to speeches related to Economy, Monetary, Interest rate and Real Estate Market during the US crisis. Additionally, central banks play important roles in influencing the market. ECB has a significant effect on returns across all three currencies during the US crisis and plays an important role by affecting the volatility during all periods. Moreover, the central bank chairman can generate greater market reaction than the other positions as it consistently increases the volatility across our sample.
    • Scheduling Elective Surgeries in Multiple Operating Rooms

      Acarer, Cansin Cagan; Faculty of Business Programs
      This thesis focuses on the problem of designing appointment schedules in a surgery center with multiple operating rooms. The conditions under which overlapping surgeries in the surgeons’ schedule (i.e. parallel surgery processing) at the lowest cost are investigated with respect to three components of the total cost: waiting time, idle time, and overtime. A simulation optimization method is developed to find the near-optimal appointment schedules for elective surgical procedures in the presence of uncertain surgery durations. The analysis is performed in three steps. First, three near-optimal operating room schedules are found for different cost configurations based on the secondary data of surgery durations obtained from the Canadian Institute for Health Information. Second, these near-optimal appointment schedules are used to test a parallel scheduling policy where each surgeon has overlapping surgeries scheduled in two operating rooms for the entire session (480 minutes) and only attends the critical portions of surgeries in the two operating rooms. Lastly, another parallel scheduling policy is tested where each surgeon has overlapping surgeries scheduled for half of the session duration (240 minutes) and only has surgeries scheduled in one operating room for the remaining time. These two policies are tested using simulation with scenarios for parallelizable portions of surgeries varying from 0.1 to 0.9 at 0.1 increments and three cost configurations. In the simulated scenarios, the total cost is calculated as the weighted sum of patient waiting time, surgeon idle time, surgeon overtime, operating room idle time, and operating room overtime. Out of the nine scenarios for each policy and each cost configuration, the parallelizable portion of surgeries that result in the lowest total cost is identified. The results from both policies indicate that implementing parallel scheduling policies for surgery types with higher parallelizable portions results in surgeons remaining idle for longer periods during the session. This idle time cost is justified by a decrease in other cost components for surgeries with parallelizable portions 50% or less; however, the total cost is higher for surgeries with parallelizable portions over 50%. In addition, it has been observed that overlapping surgeries with lower parallelizable portions is more expensive than overlapping those over with 50%. Therefore, it is concluded that the surgery types that allow parallel surgery scheduling policies to be implemented at the lowest cost have 50% of their duration parallelizable.
    • Scheduling Elective Surgeries with Emergency Arrivals in Operating Rooms

      Xiao, Yao; Faculty of Business Programs
      With the growing rate of surgical expenditures, improving operating room efficiency has become one of the most important targets for health care providers. Any delays, cancellations, or no-shows, result in increased costs for a hospital. In addition, it is difficult to predict the length of surgery procedures due to the variability inherent in surgery procedure times and account for emergency cases. Effective appointment schedules, which minimize the costs of patient waiting time and surgeon idle time and overtime, play an important role in terms of improving efficiency in hospital operating rooms. This research is to develop scheduling policies for elective and emergency surgeries with the objective of reducing waiting time, idle time and overtime. Simulation-based modeling is used to formulate and evaluate different scheduling policies under different operating conditions including different distributions for surgery duration, multiple types of surgical procedures, the arrival of emergency cases and different levels of cost coefficients for idle time and overtime. These factors have not been simultaneously studied in prior studies. The modeling framework is able to account for the significant uncertainty and complexity present in this problem setting. Historical surgery procedure data over a two-year period from the Canadian Institute for Health Information (CIHI) database is used to provide empirical support for the input parameters of the model and validate the efficiency of the different scheduling policies.
    • Search engine advertising in web retailing : an efficiency analysis

      Mokaya, Brian O.; Faculty of Business Programs (Brock University, 2010-10-27)
      This study examines the efficiency of search engine advertising strategies employed by firms. The research setting is the online retailing industry, which is characterized by extensive use of Web technologies and high competition for market share and profitability. For Internet retailers, search engines are increasingly serving as an information gateway for many decision-making tasks. In particular, Search engine advertising (SEA) has opened a new marketing channel for retailers to attract new customers and improve their performance. In addition to natural (organic) search marketing strategies, search engine advertisers compete for top advertisement slots provided by search brokers such as Google and Yahoo! through keyword auctions. The rationale being that greater visibility on a search engine during a keyword search will capture customers' interest in a business and its product or service offerings. Search engines account for most online activities today. Compared with the slow growth of traditional marketing channels, online search volumes continue to grow at a steady rate. According to the Search Engine Marketing Professional Organization, spending on search engine marketing by North American firms in 2008 was estimated at $13.5 billion. Despite the significant role SEA plays in Web retailing, scholarly research on the topic is limited. Prior studies in SEA have focused on search engine auction mechanism design. In contrast, research on the business value of SEA has been limited by the lack of empirical data on search advertising practices. Recent advances in search and retail technologies have created datarich environments that enable new research opportunities at the interface of marketing and information technology. This research uses extensive data from Web retailing and Google-based search advertising and evaluates Web retailers' use of resources, search advertising techniques, and other relevant factors that contribute to business performance across different metrics. The methods used include Data Envelopment Analysis (DEA), data mining, and multivariate statistics. This research contributes to empirical research by analyzing several Web retail firms in different industry sectors and product categories. One of the key findings is that the dynamics of sponsored search advertising vary between multi-channel and Web-only retailers. While the key performance metrics for multi-channel retailers include measures such as online sales, conversion rate (CR), c1ick-through-rate (CTR), and impressions, the key performance metrics for Web-only retailers focus on organic and sponsored ad ranks. These results provide a useful contribution to our organizational level understanding of search engine advertising strategies, both for multi-channel and Web-only retailers. These results also contribute to current knowledge in technology-driven marketing strategies and provide managers with a better understanding of sponsored search advertising and its impact on various performance metrics in Web retailing.
    • Self concept, acculturation, and fashion orientation

      Hu, Xiaoyu; Faculty of Business Programs (Brock University, 2010-10-25)
      The research begins with a discussion of the worldwide and the Canadian market. The research profiles the examination of the relationship between a person's self concept (as defined by Malhotra) and fashion orientation (as defined by Gutman and Mills), and to understand how these factors are influenced by acculturation, focusing in-depth on their managerial implications. To study these relationships; a random sample of 196 ChineseCanadian female university students living in Canada was given a survey based on Malhotra's self-concept scale, and the SLASIA acculturation scale. Based on multiple regression analysis, findings suggest that the adoption of language and social interaction dimensions of acculturation constructs have significant effects on the relationship between self concept and fashion orientation. This research contributes significantly to both marketing theory and practice. Theoretically, this research develops new insights on the dimensionality of fashion orientation, identifies various moderating effects of acculturation on the relationship of self concept and fashion orientation dimensions, and provides a framework to examine these effects, where results can be generalized across different culture. Practically, marketers can use available findings to improve their understanding of the fashion needs of Chinese-Canadian consumers, and target them based on these findings. The findings provide valuable implications for companies to formulate their fashion marketing strategies for enhance fashion orientation in terms of different dimensions, based on different levels of acculturation.
    • A stochastic dynamic programming approach for pricing options on stock-index futures

      Kirillov, Tymur; Faculty of Business Programs (Brock University, 2012-03-21)
      The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.
    • Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices

      Li, Boya; Faculty of Business Programs (Brock University, 2010-10-26)
      Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes experience positive (negative) abnormal returns following the announcement. However, researchers disagree on whether these abnormal returns are permanent or temporary and offer competing explanations. I address this controversy by examining market reactions for firms that are added to or deleted from the FTSE Small Cap index (the main testing sample) and the S&P/TSX SmallCap index (the comparison sample). For the main testing sample, all stocks except pure additions, experience a permanent price change that is accompanied by a permanent change in liquidity. However, for the comparison sample, abnormal returns over the announcement period fully reverted within 30 days. In further examination of stock liquidity for the main testing sample, sample stocks experience permanent change in liquidity. Taken together, the observed results support the price pressure and liquidity hypotheses.
    • Supplier Selection and Relationship Management: An Application of Machine Learning Techniques

      Sepehri, Sepehr; Faculty of Business Programs
      Managing supply chains is an extremely challenging task due to globalization, short product life cycle, and recent advancements in information technology. These changes result in the increasing importance of managing the relationship with suppliers. However, the supplier selection literature mainly focuses on selecting suppliers based on previous performance, environmental and social criteria and ignores supplier relationship management. Moreover, although the explosion of data and the capabilities of machine learning techniques in handling dynamic and fast changing environment show promising results in customer relationship management, especially in customer lifetime value, this area has been untouched in the upstream side of supply chains. This research is an attempt to address this gap by proposing a framework to predict supplier future value, by incorporating the contract history data, relationship value, and supply network properties. The proposed model is empirically tested for suppliers of public works and government services Canada. Methodology wise, this thesis demonstrates the application of machine learning techniques for supplier selection and developing effective strategies for managing relationships. Practically, the proposed framework equips supply chain managers with a proactive and forward-looking approach for managing supplier relationship.