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Volatility Index and Trading Volume in the US Stock Market

Simon M. S. So*
Violet U. T. Lei
Maggie L. J. Zou

Facutly of Business Administration, University of Macau
* Corresponding author. Address: Avenida Padre Tomás Pereira, Taipa, Macau.
Tel: +853 8397 4715
E-mail: fbasms@umac.mo

Keywords: sentiment; trading volume; volatility

ABSTRACT
This paper investigates the effects of both level and variability of trading volume, a proxy of liquidity, on market return. The change in Volatility Index (VIX) significantly explains the percentage change in trading volume, but such effect only exists in high sentiment period. When the level of VIX during successive trading days is higher, the variability of trading volume during the same period is also higher. The noise traders add liquidity to the market and induce the variability of liquidity. As a result, the realized price impact of noise trader may be a combination of different kinds of impact. This consideration may help in explaining different findings among researches and provide an alternative approach to assess the impact of noise traders.

The Impact of Credit Rating on Corporate Trade Credit Policies

Jian-Hsin Chou

Professor of Department of Finance, National Kaohsiung First University of Science and Technology

Min-Sun Horng

Assistant Professor of Department of Risk Management and Insurance, National Kaohsiung First University of Science and Technology

Nguyen Thi Lan Phuong

Institute of Business Management, National Kaohsiung First University of Science and Technology

Keywords: Trade Credit, Bank Lending, Vietnam

ABSTRACT
Trade credit was born as an indispensable part of economic history. It marks a great step forward in production and circulation of currency as well as supports production process smoothly. The ongoing development of researches on trade credit channel is eloquent evidence for its need.
In the studies of Western countries, trade credit has an especially important role and can substitute for bank credit; yet, in developing countries where the financial system is still based on banking system such as Vietnam, China, trade credit cannot completely substitute for bank credit. However, by virtue of the prominently ongoing financial crisis and the tightening fiscal policies in recent years, the role of trade credit is increasingly emphasized. In particular, because Vietnam is a transition economy, and relies heavily on the banking system, the appearance of trade credit is considered one of the effective measures for business. Therefore, in the period of economic crisis, trade credit received special attention from firms. The thesis will concentrate on studying the determinants of trade credit in listed companies in both the Hanoi Stock Exchange and Hochiminh City Stock Exchange in Vietnam.
This study found that firms rely on cash holding and short-term debt and own financial sources to provide trade credit. However, because of high interest rate, therefore firms can not rely on EBIT to extend trade credit for customers and trade credit and short-term debt can be substituted.

An Empirical Study on Customer Satisfaction: Banks in Malang City, Indonesia as an Example

David Ching-Lung Shen

Associate Professor, Department of Business Administration, National Pingtung University of Science and Technology.

Zainur Rafiqi

Master Student Double Degree, Department of Business Administration, Brawijaya University and National Pingtung University of Science and Technology.
TEL: +886-8-8467364
E-Mail: zainur_rafiqi@yahoo.co.id

Eko Ganis Sukoharsono

Professor, Department of Business Administration, Brawijaya University, Indonesia.

Keywords: Customer Relationship Management (CRM), Innovation Capability, Corporate Image, Corporate Social Responsibility (CSR), Ethical Behavior, Customer Satisfaction, Customer Loyalty.

ABSTRACT
The banking sector requires finding the right strategy in providing Customer Satisfaction and increase Customer Loyalty. Based on previous empirical researches, this study emphasizes the importance of Relationship Management (CRM), Innovation Capability, Corporate Image, Corporate Social Responsibility (CSR), and Ethical Behavior as the antecedents of Customer Satisfaction. Data were collected from 400 customers of Bank in Malang City, East Java, Indonesia and analyzed by using Structural Equation Model (SEM). The major findings include first, Customer Relationship Management (CRM) have significant effect on Customer Satisfaction. Second, Innovation Capability has significant effect on Customer Satisfaction. Third, Corporate Image has significant effect on Customer Satisfaction. Fourth, Corporate Social Responsibility (CSR) has significant effect on Customer Satisfaction. Fifth, Ethical Behavior has significant effect on Customer Satisfaction. And sixth, Customer Satisfaction has significant effect on Customer Loyalty.

A Study of Grey VAR on Dynamic Structure between Economic Indicators and Stock Market Indices in the United States

Alex Kung-Hsiung Chang*
Jennifer Chen-Yi Chen
Caroline Wei-Ting Huang
Ti-Hsuan Sung
Yi-Chang Lu
Scott Chin-Ming Huang
Alex Wei-Ming Chen

Professor* and bachelors of Department of Business Administration
National Pingtung University of Science and Technology, Taiwan, R.O.C
TEL: +886-8-7740374
E-Mail: bear419@mail.npust.edu.tw

Keywords: United States, Macro-Economic indicators, The Dow Jones Index, NASDAQ index, S & P 500 Index, PHLX Semiconductor Index, GM(1,1), Grey Vector Autoregression Model (GVAR)

ABSTRACT
This study takes four Indies and the four belonging indices from United States stock market and United States marcro-economic indicators as examples. The monthly closing stock indices and marcro-economic from January 2000 to December 2010 were sampled. We applied GM(1,1) on VAR into a GVAR to realize the dynamic structure between economic indicators and United States stock market indices which consist of the Dow Jones index, NASDAQ index, S & P 500 index, and PHLX Semiconductor index.
According to the empirical results, we found that interest rates, CPI’s, foreign reserves, M1’s, M2’s and M3’s have a Granger causality relationship with stock market indices respectively. Based on the AIC rule, stock market indices are a leading index to economic indicators for eight months. By using Granger causality, decomposition variance and the impact response analysis, we realized the existence of the dynamic structure between economic indicators and stock market indices in United States. And we discovered this dynamic structure is interacted and matched frequently at the state in United States economic.