Showing papers by "M. Thenmozhi published in 2014"

Forecasting stock index returns using ARIMA-SVM, ARIMA-ANN, and ARIMA-random forest hybrid models

Abstract: The purpose of this paper is to develop and identify the best hybrid model to predict stock index returns. We develop three different hybrid models combining linear ARIMA and non-linear models such as support vector machines (SVM), artificial neural network (ANN) and random forest (RF) models to predict the stock index returns. The performance of ARIMA-SVM, ARIMA-ANN and ARIMA-RF are compared with performance of ARIMA, SVM, ANN and RF models. The various competing models are evaluated in terms of statistical metrics and trading performance criteria via a trading strategy. The analysis shows that the hybrid ARIMA-SVM model is the best forecasting model to achieve high forecast accuracy and better returns.

Do cross-border acquisitions involving emerging market firms create value: Impact of deal characteristics

Abstract: Purpose – The purpose of this paper is to contribute to M&A literature by explicitly investigating whether cross-border acquisitions involving emerging markets, either as acquirers or as targets, create value and how is the performance outcome in such acquisitions impacted by deal-specific characteristics. Design/methodology/approach – This study uses industry-adjusted operating performance to measure acquisition gains, the Wilcoxon signed rank test to examine value creation potential and OLS regression to evaluate the impact of deal characteristics on acquisition gains. Findings – The authors find very pronounced value destruction when emerging market firms acquire targets in developed markets, the adverse outcome being further aggravated when the mode of acquisition is “tender offer” rather than a “negotiated deal”. On the other hand, when developed market firms acquire targets from emerging markets, there is an even chance of value creation, the outcome being favourably influenced by the pre-acquisitio...

Trading and forecasting performance of different hybrid ARIMA – neural network models for stock returns

Abstract: This study examines the performance of different hybrid methodologies that combine ARIMA and artificial neural network (ANN) to forecast stock market returns. Two new hybrid ARIMA-ANN models are developed and compared with Zhang’s (2003) model on real data sets and the model performance is evaluated using trading performance measures. The study shows that hybrid models outperform independent models and the hybrid ARIMABP model achieves greater accuracy and provides evidence of superiority of the other hybrid models.

Information quality and banking success: a theoretical model with empirical validation

Abstract: Technology plays a key role in today’s business environment and is becoming increasingly necessary for all businesses to incorporate information technology solutions to operate successfully. The importance of information quality in the present business scenario has been drawing the attention of practitioners and academicians. This paper aims at broadening the understanding about information quality as a critical factor by which information technology spread its influences on banking success. In the context of Indian banking, this study examines how banking technology has benefited through information quality. A research framework and associated hypotheses are proposed based on process-based IS success model and instruments are developed to measure and validate information quality and banking success in IT investments. An empirical survey was conducted, and questionnaires were distributed to 600 bankers. A total of 499 valid observations was collected and analysed using structural equation modelling (SEM). The results suggest that information quality has a positive and significant effect on banking success from an internal user perspective.

The development and application of information system driven value creation in Indian financial services sector

Abstract: Assessing IS/IT systems value creation is a prerequisite for organisations adopting such systems. While the focal point of connected research is predominantly on instruments, models, and methodologies, only moderate attention has been given to understand and improve the value realisation process of IS. We adopted the DeLone and McLean model of IS success for the design of a value realisation model of IS in the financial services domain. While this model has been originally contrived for the area of information systems, it basically conquers the process of value realisation. In executing so, it is not only well-founded but its practical application can been broadened to other areas too. Hence, this paper presents a re-specification of DeLone and McLean's IS success model as a value creation model, examining it empirically in the context of financial services. A conceptual framework is proposed from a comprehensive review of IS success and value creation literature that evaluates IS success and value. Six variables are employed to measure IS system success and value in financial services industries. This conceptual FS-IS value creation model is tested and validated using data collected from banking and non-banking Indian financial companies. Primary contributions of the study include a new financial services information system success value model and a validated rating scale to measure information system constructs and performance for use by banking and non-banking companies.

Factors Influencing Abnormal Returns Around Bonus and Rights Issue Announcement

Abstract: This paper examines the factors influencing abnormal returns around bonus and rights issue announcements. The results of the study indicate that market condition and type of industry have significant influence on abnormal returns and the bonus ratio does not have any significant effect on abnormal returns. For rights announcement, issue size and market conditions have a significant impact on returns. Firm size, operating leverage, debt-equity ratio and volatility of stock returns are the other firm-related factors that have a significant impact on stock returns around bonus announcement. But for rights issue, only firm size is the significant firm-related factor which has a positive impact on the returns.

Healthcare professionals' perspective of support from public health department: a study in the primary health centers of Tamil Nadu.

Abstract: Background: Perceived organizational support (POS) measures the employee perception of support from the organization and helps to understand the employer-employee relationship better. The aim of the study is to understand the healthcare professionals' perception of support from public health department and to examine thehealthcare professionals' difference in perception of support across various demographics variables. Methods: A survey is conducted among healthcare professionals including medical officers and staff nurses working in primary health centres (PHC) in the state of Tamilnadu. In the study, public health department refers to the Directorate of Public Health and Preventive Medicine. Mann Whitney U test and Kruskal Wallis H test are used to assess the difference in POS across demographic variables. Results: The results of the study indicated that the healthcare professionals perceive a moderate levelof support from public health department. The healthcare professionals' POS is found to differ across their age, role and total work experience but not across gender and work experience in the current PHC. Further, the POS of healthcare professionals is found to differ with respect to PHC location and does not differ with respect to PHC type. Conclusion: The results emphasize the need to enhance POS of healthcare professionals. The health policy makers and mangers have to consider the difference in POS of healthcare professionals and make amendments in the human resource policies related to selection and training.