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Publisher: Emerald   (Total: 312 journals)

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J. of Learning Disabilities and Offending Behaviour     Hybrid Journal   (Followers: 24)
J. of Management Development     Hybrid Journal   (Followers: 4, SJR: 0.318, h-index: 23)
J. of Management History     Hybrid Journal   (Followers: 1)
J. of Managerial Psychology     Hybrid Journal   (Followers: 12, SJR: 0.759, h-index: 34)
J. of Manufacturing Technology Management     Hybrid Journal   (Followers: 4, SJR: 0.656, h-index: 35)
J. of Mental Health Training, Education and Practice, The     Hybrid Journal   (Followers: 8, SJR: 0.221, h-index: 2)
J. of Modelling in Management     Hybrid Journal   (Followers: 1)
J. of Money Laundering Control     Hybrid Journal   (Followers: 375)
J. of Organizational Change Management     Hybrid Journal   (Followers: 20, SJR: 0.403, h-index: 37)
J. of Organizational Effectiveness : People and Performance     Hybrid Journal   (Followers: 1)
J. of Organizational Ethnography     Hybrid Journal   (Followers: 5)
J. of Place Management and Development     Hybrid Journal   (Followers: 2, SJR: 0.419, h-index: 1)
J. of Product & Brand Management     Hybrid Journal   (Followers: 8, SJR: 0.383, h-index: 22)
J. of Property Investment & Finance     Hybrid Journal   (Followers: 5, SJR: 0.474, h-index: 12)
J. of Public Mental Health     Hybrid Journal   (Followers: 20, SJR: 0.151, h-index: 3)
J. of Quality in Maintenance Engineering     Hybrid Journal   (Followers: 4, SJR: 0.851, h-index: 29)
J. of Research in Interactive Marketing     Hybrid Journal   (Followers: 6, SJR: 0.544, h-index: 8)
J. of Research in Marketing and Entrepreneurship     Hybrid Journal   (Followers: 12)
J. of Risk Finance, The     Hybrid Journal   (Followers: 8)
J. of Science and Technology Policy Management     Hybrid Journal   (Followers: 3, SJR: 0.249, h-index: 3)
J. of Service Management     Hybrid Journal   (Followers: 8, SJR: 1.162, h-index: 14)
J. of Services Marketing     Hybrid Journal   (Followers: 13, SJR: 1.069, h-index: 31)
J. of Small Business and Enterprise Development     Hybrid Journal   (Followers: 12, SJR: 0.289, h-index: 20)
J. of Social Marketing     Hybrid Journal   (Followers: 9, SJR: 0.662, h-index: 7)
J. of Strategy and Management     Hybrid Journal   (Followers: 4)
J. of Systems and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0.221, h-index: 3)
J. of Technology Management in China     Hybrid Journal   (Followers: 1)
J. of Workplace Learning     Hybrid Journal   (Followers: 9, SJR: 0.547, h-index: 18)
Kybernetes     Hybrid Journal   (Followers: 1, SJR: 0.298, h-index: 22)
Leadership & Organization Development J.     Hybrid Journal   (Followers: 21, SJR: 0.521, h-index: 20)
Leadership in Health Services     Hybrid Journal   (Followers: 27, SJR: 0.319, h-index: 10)
Library Hi Tech     Hybrid Journal   (Followers: 1033, SJR: 0.926, h-index: 19)
Library Hi Tech News     Hybrid Journal   (Followers: 651, SJR: 0.442, h-index: 8)
Library Management     Hybrid Journal   (Followers: 750, SJR: 0.948, h-index: 12)
Library Review     Hybrid Journal   (Followers: 685, SJR: 0.573, h-index: 11)
Management Decision     Hybrid Journal   (Followers: 5, SJR: 1.423, h-index: 34)
Management of Environmental Quality: An Intl. J.     Hybrid Journal   (Followers: 6, SJR: 0.265, h-index: 14)
Management Research : The J. of the Iberoamerican Academy of Management     Hybrid Journal   (Followers: 2)
Management Research News     Hybrid Journal   (Followers: 3)
Management Research Review     Hybrid Journal   (Followers: 6, SJR: 0.318, h-index: 13)
Managerial Auditing J.     Hybrid Journal   (Followers: 1, SJR: 0.29, h-index: 19)
Managerial Finance     Hybrid Journal   (Followers: 3)
Managing Service Quality     Hybrid Journal   (Followers: 8, SJR: 0.72, h-index: 28)
Marketing Intelligence & Planning     Hybrid Journal   (Followers: 9, SJR: 0.354, h-index: 24)
Measuring Business Excellence     Hybrid Journal   (Followers: 1, SJR: 0.438, h-index: 13)
Meditari Accountancy Research     Hybrid Journal   (Followers: 2)
Mental Health and Social Inclusion     Hybrid Journal   (Followers: 22, SJR: 0.211, h-index: 4)
Mental Health Review J.     Hybrid Journal   (Followers: 17, SJR: 0.191, h-index: 2)
Microelectronics Intl.     Hybrid Journal   (SJR: 0.331, h-index: 14)
Multicultural Education & Technology J.     Hybrid Journal   (Followers: 3, SJR: 0.236, h-index: 5)
Multidiscipline Modeling in Materials and Structures     Hybrid Journal   (Followers: 1, SJR: 0.245, h-index: 7)
Multinational Business Review     Hybrid Journal   (Followers: 2)
Nankai Business Review Intl.     Hybrid Journal  
New Library World     Hybrid Journal   (Followers: 535, SJR: 0.746, h-index: 13)
Nutrition & Food Science     Hybrid Journal   (Followers: 10, SJR: 0.183, h-index: 10)
OCLC Systems & Services     Hybrid Journal   (Followers: 75, SJR: 0.378, h-index: 12)
On the Horizon     Hybrid Journal   (SJR: 0.398, h-index: 12)
Online Information Review     Hybrid Journal   (Followers: 123, SJR: 0.712, h-index: 30)
Pacific Accounting Review     Hybrid Journal  
Performance Measurement and Metrics     Hybrid Journal   (Followers: 7, SJR: 0.387, h-index: 10)
Personnel Review     Hybrid Journal   (Followers: 12, SJR: 0.876, h-index: 36)
Pigment & Resin Technology     Hybrid Journal   (Followers: 1, SJR: 0.322, h-index: 21)
Policing: An Intl. J. of Police Strategies & Management     Hybrid Journal   (Followers: 454, SJR: 0.486, h-index: 22)
Program: Electronic Library and Information Systems     Hybrid Journal   (Followers: 259, SJR: 0.554, h-index: 14)
Property Management     Hybrid Journal   (Followers: 2, SJR: 0.304, h-index: 9)
Qualitative Market Research: An Intl. J.     Hybrid Journal   (Followers: 3, SJR: 0.365, h-index: 18)
Qualitative Research in Accounting & Management     Hybrid Journal   (Followers: 6, SJR: 0.254, h-index: 3)
Qualitative Research in Financial Markets     Hybrid Journal   (Followers: 3)
Qualitative Research in Organizations and Management: An Intl. J.     Hybrid Journal   (Followers: 5)
Quality Assurance in Education     Hybrid Journal   (Followers: 3, SJR: 0.665, h-index: 19)
Quality in Ageing and Older Adults     Hybrid Journal   (Followers: 38, SJR: 0.239, h-index: 11)
Rapid Prototyping J.     Hybrid Journal   (Followers: 4, SJR: 0.928, h-index: 41)
Records Management J.     Hybrid Journal   (Followers: 17, SJR: 0.275, h-index: 9)
Reference Reviews     Hybrid Journal   (Followers: 11)
Reference Services Review     Hybrid Journal   (Followers: 31, SJR: 1.599, h-index: 16)
Research on Economic Inequality     Hybrid Journal   (Followers: 5, SJR: 0.232, h-index: 8)
Research on Emotion in Organizations     Hybrid Journal   (Followers: 7, SJR: 0.186, h-index: 6)
Review of Accounting and Finance     Hybrid Journal   (Followers: 2, SJR: 0.125, h-index: 2)
Review of Marketing Research     Hybrid Journal   (Followers: 14, SJR: 0.518, h-index: 3)
Safer Communities     Hybrid Journal   (Followers: 42, SJR: 0.338, h-index: 4)
Sensor Review     Hybrid Journal   (Followers: 1, SJR: 0.257, h-index: 21)
Smart and Sustainable Built Environment     Hybrid Journal   (Followers: 8)
Social Care and Neurodisability     Hybrid Journal   (Followers: 3)
Social Enterprise J.     Hybrid Journal   (Followers: 7)
Social Responsibility J.     Hybrid Journal   (Followers: 2, SJR: 0.228, h-index: 4)
Society and Business Review     Hybrid Journal   (Followers: 2)
Soldering & Surface Mount Technology     Hybrid Journal   (Followers: 2, SJR: 0.303, h-index: 21)
South Asian J. of Global Business Research     Hybrid Journal  
Sport, Business and Management : An Intl. J.     Hybrid Journal   (Followers: 4)
Strategic Direction     Hybrid Journal   (Followers: 1, SJR: 0.112, h-index: 4)
Strategic HR Review     Hybrid Journal   (Followers: 3)
Strategic Outsourcing : An Intl. J.     Hybrid Journal   (Followers: 2)
Strategy & Leadership     Hybrid Journal   (Followers: 21, SJR: 0.209, h-index: 15)
Structural Survey     Hybrid Journal   (SJR: 0.285, h-index: 9)
Studies in Economics and Finance     Hybrid Journal   (Followers: 1, SJR: 0.222, h-index: 5)
Supply Chain Management: An Intl. J.     Hybrid Journal   (Followers: 13, SJR: 1.628, h-index: 56)
Sustainability Accounting, Management and Policy J.     Hybrid Journal   (Followers: 7, SJR: 0.355, h-index: 4)
Team Performance Management     Hybrid Journal   (Followers: 9, SJR: 0.283, h-index: 11)
The Bottom Line: Managing Library Finances     Hybrid Journal   (Followers: 79, SJR: 0.349, h-index: 6)
The Electronic Library     Hybrid Journal   (Followers: 840, SJR: 0.799, h-index: 23)

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Journal Cover Studies in Economics and Finance
  [SJR: 0.222]   [H-I: 5]   [1 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1086-7376
   Published by Emerald Homepage  [312 journals]
  • Mergers and Acquisitions: A Review. Part 1.
    • Authors: Reza Yaghoubi, Mona Yaghoubi, Stuart Locke, Jenny Gibb
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose This paper reviews the relevant literature on mergers and acquisitions in an attempt to provide a comprehensive account of what we know about mergers and which parts of the puzzle are still incomplete. Design/methodology/approach This literature review consists of three key sections. The first part of this paper summarises the literature on the cyclical nature of mergers referred to in the literature as merger waves. The second section reviews the causes and consequences of takeovers; it first reviews the causes, or drivers, of acquisitions, while focusing on the fact that acquisitions happen in waves and then reviews the consequences of takeovers, with a predominant focus on the impacts of mergers on the economic performance of acquirers. The third part of the review summarises the theories as well as previous empirical studies on determinants of announcement returns and post-acquisition performance of combined firms. Findings Merger activity demonstrates a wavy pattern, i.e. mergers are clustered in industries through time.  The causes suggested for this fluctuating pattern include industry and economy-level shocks, mis-valuation, and managerial herding.  Market reaction to announcement of acquisitions is, on average, slightly negative for acquirer stocks and significantly positive for target stocks. The combined abnormal return is positive. These findings have been consistent over several decades of investigation.  The prior research also identifies a number of factors that are related to performance of acquisitions. These factors are categorised and reviewed in five different groups: (1) Acquirer characteristics, (2) Target characteristics, (3) Bid characteristics, (4) Industry characteristics, and (5) Macro-environment characteristics Originality/value This review illustrates a number of issues. Prior research is heavily biased towards gains to acquirers and factors that affect these gains. It is also biased towards finding sources of value creation through mergers despite the fact that several theories suggest that mergers can be value-destroying. In fact, value destruction is often attributed to managers’ self-interest (agency problem) and mistakes (hubris). However, the mechanisms through which mergers destroy value are rarely addressed. Aside from that, the possibility of simultaneous creation and destruction of value in acquisitions is not often considered. Finally, after several decades of investigation a key question is not completely answered yet: “what are the sources of value in mergers and acquisitions?”
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:51Z
      DOI: 10.1108/SEF-03-2015-0078
       
  • Option replication and the performance of a market timer
    • Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose The Treynor and Mazuy framework is a widely used return-based model of market timing. However, existing corrections to the regression intercept can be manipulated through derivatives trading. Because they are conceptually flawed, these corrections produce biased performance measures. We get back to Henriksson and Merton's initial idea of option replication in order to overcome this issue and adapt the market timing model to various kinds of trading strategies and return generating processes. Design/methodology/approach We propose an theoretical adjustment based on Merton's option replication approach adapted to the Treynor and Mazuy specification. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Findings The proposed framework induces a potential rebalancing risk and involves the delicate issue of choosing the cheapest option. We show that these issues can be overcome for reasonable tolerance levels. The option replication approach is a workable approach for practical applications. Originality/value The adaptation of Merton's reasoning to the Treynor and Mazuy model has surprisingly never been proposed so far. This paper has the potential to correct for a pervasive bias in the estimation of the performance of a market timer in the context of this very popular quadratic regression setup. Because of the power of the option replication approach, the reasoning is shown to be applicble to multi-factor models, negative timing, and market neutral strategies. This paper could fuel empirical studies that would shed new light on the genuine market timing skills of active portfolio managers.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:50Z
      DOI: 10.1108/SEF-01-2015-0012
       
  • The inverse of a terror event? Stock market response to pro-active
           action
    • Authors: Zvika Afik, Yaron Lahav, Lior Mandelzweig
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose This paper studies and documents the effect of counter-terrorism on stock returns. We select a sample of pro-active defense operations, performed by the Israeli military and government agencies, with significant media coverage, including leading international channels. Design/methodology/approach We use the event study methodology to assess the effect of each operation on the Israeli equity market. The theoretical background of this work is the recent behavioral literature on anomalies in the formation of asset pricing and in investors’ decision-making. Findings We find generally a statistically significant positive equity market reaction, on average, to prominent successful operations. The initial market response is usually negative and then changes according to the type of event, its specific circumstances, and expected ramifications. Originality/value Unlike the vast prior literature on terror effects, we believe that this is the first paper to study the market reaction to prominent counter-terrorism operations.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:49Z
      DOI: 10.1108/SEF-04-2014-0081
       
  • Dependence and extreme correlation among US industry sectors
    • Authors: Kunlapath Sukcharoen, David J. Leatham
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e., tail dependence) among US industry sectors. Design/methodology/approach This paper makes use of both conventional measures of dependence (the Pearson’s correlation coefficient, Spearman’s rho, and Kendall’s tau) and copula measures of extreme correlations (including the same-direction and cross tail dependence coefficients) to explore sector diversification opportunities. The paper splits the full sample in three periods: 1995 to 2000, 2001 to 2006, and 2007 to 2012, to access the extent to which the dependence results change through time. Findings Our research provides three important findings. First, the degree of dependence and same-direction extreme correlations are high, whereas the cross extreme correlations are considerably low. Second, the sector pairs offering the best and worst tail diversification change across sample periods. Third, the traditional dependence measures suggest that benefits for sector diversification have decreased over all sample periods, while the potential for sector diversification during extreme events has just started to disappear in the most recent period. Practical implications An investor should consider both the normal comovements and extreme comovements among sector indices to maximize diversification benefits. Originality/value Given the limited empirical investigations of the degree of dependence and extreme correlation at a sector level, the results from this research should provide additional and valuable information for both investors and empirical researchers about portfolio diversification and risk management.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:48Z
      DOI: 10.1108/SEF-01-2015-0021
       
  • The manipulation of LIBOR and related interest rates
    • Authors: Harald Braml
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose The ‘London InterBank Offered Rate’ (LIBOR) is one of the most important short term interest rates with trillions of US dollar in financial products tied to it. Due to recent allegations of manipulation of the LIBOR this paper investigates the integrity of this rate. Design/methodology/approach The paper analyzes the LIBOR and its rate fixing process using different screens to detect potential manipulative behavior on the macro and micro level. As main frameworks an interest rate parity approach and the construction of a theoretical LIBOR using CDSs are applied. A simulation on the potential impact from one through four banks manipulating the LIBOR is performed as well. Findings The results on the macro level show that the LIBOR deviates heavily from other short term interest rates from mid-2007 onwards, reaching its peak in September 2008 with the collapse of Lehman Brother. On the micro level, the individual submissions of the panel banks are investigated, finding inconsistencies for Barclays and HSBC. Furthermore, a simulation on the influence from potential manipulation under the current calculation method reveals substantial effects on the LIBOR fixing. Even one bank trying to manipulate the fixing has a strong influence on the rate setting. Originality/value This paper contributes to the academic landscape in that it investigates the LIBOR rate setting process and if irregular behavior can be detected given the screens used. Due to the findings of conspicuous behavior in the fixing during certain periods the integrity of the rate setting process is more than questionable.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:47Z
      DOI: 10.1108/SEF-10-2014-0203
       
  • A hybrid approach to exchange rates: how do macro news and order flow
           affect exchange rate volatility?
    • Authors: Guangfeng Zhang, Ian Marsh, Ronald MacDonald
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach We apply real-time data of macro announcements and high frequency trading data (German Deutsche Mark to US Dollar, DEM/USD, from May 1 to August 31, 1996) to GARCH models and we examine various model specifications. Findings Our data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely order flow, to capture private information in an exchange rate volatility study.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:46Z
      DOI: 10.1108/SEF-10-2014-0185
       
  • Does idiosyncratic volatility predict future growth of the Australian
           economy?
    • Authors: Bin Liu, Amalia Di Iorio
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose We examine whether idiosyncratic volatility and other asset pricing factors predict growth rates of the ten Australian economic indicators. Design/methodology/approach We use the Liew and Vassalou (2000) model augmented with an idiosyncratic volatility factor to investigate the issue. Findings Using regression analysis, we find that the asset pricing factors can be used to predict the growth rates for eight out of the ten economic indicators. Moreover, using portfolio performance analysis, we find that high returns of SMB and HML portfolios precede periods of good macroeconomic states, whereas high returns of HIMLI portfolios precede periods of bad macroeconomic states. Originality/value To our knowledge, the relationship between idiosyncratic volatility and Australian economic growth has not been investigated explicitly in the literature.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:43Z
      DOI: 10.1108/SEF-08-2014-0160
       
  • The impact of capital shocks on M & A transactions
    • Authors: Hongchao Zeng, Ying Huang
      Abstract: Studies in Economics and Finance, Volume 33, Issue 1, March 2016.
      Purpose We examine whether an exogenous shock to the supply of financial capital mitigates agency conflict between managers and shareholders and incentivizes managers to channel available financial resources into value-increasing acquisitions. Design/methodology/approach We employ a difference-in-differences approach to mitigate endogeneity concerns. To address the concern that substantial differences between the treatment and control groups may violate the parallel-trend assumption of the D-in-D approach, we use a propensity score matching procedure and construct a matched sample for our empirical analysis. Findings We find that below-investment-grade firms are significantly less likely to make acquisitions relative to unrated firms following the collapse of the junk bond market in 1989. Conditional on initiating a successful acquisition, below-investment-grade acquirers are less likely to acquire diversifying targets and public targets, but more likely to acquire subsidiary targets. In addition, below-investment-grade acquirers experience higher post-merger operating and stock performance for acquisitions initiated in the post-shock period. Originality/value We demonstrate that capital shocks negatively impact managers' propensity to make acquisitions, which are considered a well-established outlet for agency conflict between managers and shareholders. In addition, managers who are subject to capital shocks tend to manage available financial resources more efficiently and make better acquisition decisions that lead to greater value creation.
      Citation: Studies in Economics and Finance
      PubDate: 2016-01-25T04:09:42Z
      DOI: 10.1108/SEF-11-2014-0224
       
  • Governance and Long-term operating performance of family and non-family
           firms in Australia
    • Authors: Enver Halili, Ali Salman Saleh, Rami Zeitun
      First page: 398
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The purpose of this study is to conduct a comparative analysis of the long-term operating performance of family and non-family firms from the Agency Theoretic perspective. The analysis is focused on investigating the impact of family ownership on principal-agent conflicts of interest. Design/methodology/approach This paper examines the relationship between firm operating performance and family ownership for a large sample of 677 Australian-listed companies. The study uses the Generalized Method of Moments (GMM) estimator model developed by Arellano and Bond (1991) and used by other studies in finance (Baltagi, 2012; Bond, 2002; Mohamed et al., 2008). Findings The empirical results show that firms with ownership concentration has a better operating performance due to the alignment of owner-management interests. This study also finds that family listed companies have higher survival rates and perform better than non-family companies. Our findings support the hypothesis that agency costs arise as the result of privileged access of information and self-interest behaviour of managers (outsiders) in firms with dispersed ownership structures. Originality/value Earlier studies have only focused on short-term perspectives, particularly investigating small and medium types of Australian family businesses from narrow aspects such as productivity, business behaviour, capital structure and leverage. Therefore, this study has conducted a comparative examination of family and non-family firms listed on the Australian Stock Exchange (ASX) in order to identify the impact of agency costs on their financial performance.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:18Z
      DOI: 10.1108/SEF-02-2014-0034
       
  • The cross-section of Johannesburg Securities Exchange listed equity
           returns (1994 - 2011)
    • Authors: Jakobus Daniel Van Heerden, Paul Van Rensburg
      First page: 422
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange. Design/methodology/approach To reach the objective the study follows an empirical research approach. Cross-sectional regression analyses, factor-portfolio analyses and multifactor analyses are performed using fifty firm-specific factors for listed shares over three sample periods during 1994 to 2011. Findings The results suggest that a strong value and momentum effect is present and robust on the JSE, while a size effect is present but varies over time. Multifactor analyses show that value and momentum factors are collectively significant in explaining the cross-section of returns. The results imply that the JSE is either not an efficient market or that current market risk models are incorrectly specified. Practical implications The findings of the study offers practical application possibilities to investment analysts and portfolio managers. Originality/value To the authors' knowledge, this is the first study to use such a comprehensive dataset for the specific analyses on the JSE over such a long period. All previously identified statistical biases are addressed in this study. Different approaches are applied to compare results and test for robustness for the first time.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:15Z
      DOI: 10.1108/SEF-09-2014-0181
       
  • Forecasting stock index volatility with GARCH models: International
           evidence
    • Authors: Prateek Sharma, Vipul _
      First page: 445
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models. We investigate whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance of stock indices. Design/methodology/approach Using the daily price observations of twenty-one stock indices of the world, we forecast one-step-ahead conditional variance with each forecasting model, for the period 1 January 2000 to 30 November 2013.The forecasts are then compared using multiple statistical tests. Findings We find that the standard GARCH model outperforms the more advanced GARCH models, and provides the best one-step-ahead forecasts of the daily conditional variance. Our results are robust to the choice of performance evaluation criteria, different market conditions and the data-snooping bias. Originality/value This study addresses the data snooping problem by using an extensive cross-sectional data set and the superior predictive ability test (Hansen, 2005). Moreover, it covers a sample period of 13 years, which is relatively long for the volatility forecasting studies. It is one of the earliest attempts to examine the impact of market conditions on the forecasting performance of GARCH models. We allow for a rich choice of parameterization in the GARCH models, and employ a wide range of performance evaluation criteria, including statistical loss functions and the Mincer-Zarnowitz regressions (Mincer and Zarnowitz, 1969). Therefore, our results are more robust and widely applicable as compared to the earlier studies.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:16Z
      DOI: 10.1108/SEF-11-2014-0212
       
  • Asymmetric cointegration and causality effects between financial
           development and economic growth in South Africa.
    • Authors: Andrew Phiri
      First page: 464
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose This paper investigates asymmetric cointegration and causality effects between financial development and economic growth for South African data spanning over the period of 1992 to 2013. Design/methodology/approach Our study make use of the momentum threshold autoregressive (MTAR) approach which allows for threshold error correction (TEC) modelling and granger causality analysis between the variables. In carrying out our empirical analysis, we employ six measures of the financial development variables against gross domestic per capita, that is, three measures which proxy banking activity and another three proxies for stock market development. Findings The empirical results generally indicate an abrupt asymmetric cointegration relationship between banking activity and economic growth, on one hand, and a smooth cointegration relationship between stock market activity and economic growth, on the other hand. Moreover, causality analysis generally reveals that while banking activity tends to granger cause economic growth, stock market activity is, however, caused by economic growth increase. Originality/value Our study contributes to the literature by examining asymmetries in the cointegration and causality relations by using both banking and stock market proxies against economic growth for the South African economy.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:15Z
      DOI: 10.1108/SEF-01-2014-0009
       
  • The impact of economic and financial development on environmental
           degradation: an empirical assessment of EKC hypothesis
    • Authors: Samia Nasreen, Sofia Anwar
      First page: 485
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose The purpose of present study is to validate the impact of economic and financial development along with energy consumption on environmental degradation using dynamic panel data models for the period 1980-2010. The study uses three sub-panels constructed on the basis of income level to make panel data analysis more meaningful. Design/methodology/approach Larsson et al. panel cointegration technique, fully modified OLS and vector error correction model (VECM) causality analysis are applied for empirical estimation. Findings Main empirical findings demonstrate that financial development reduces environmental degradation in high income panel and increases environmental degradation in middle and low income panel. Hypothesis of the environmental Kuznets curve is accepted in all income panels. Granger causality results show the evidence of bidirectional causality between financial development and CO2 emission in high income panel, unidirectional causality from financial development to CO2 emission in the middle and low income panels. Originality/value In empirical literature only a few studies explain the effect of financial development on environment. The present study is an effort to fill this gap by exploring the effect of economic and financial development on environmental degradation.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:18Z
      DOI: 10.1108/SEF-07-2013-0105
       
  • Financial constraints, bank concentration and SMEs: evidence from Pakistan
    • Authors: Abubakr Saeed, Muhammad Sameer
      First page: 503
      Abstract: Studies in Economics and Finance, Volume 32, Issue 4, October 2015.
      Purpose This paper empirically investigates the impact of bank market concentration on financial constraints on firm investment. Design/methodology/approach Our analysis is based on cross-industries panel of 368 listed Pakistani non-financial firms over the period 2001-2009. Further, Generalized Method of Moments (GMM) estimation technique has been used to estimate the the dynamic panel data model. Findings By applying a dynamic panel analysis, we find that SMEs are financially constrained in the credit market. Our main finding indicates that reduction in bank concentration eases financing constraints and this effect is more pronounced for SMEs. In addition, while testing the firm opacity in this context results reveal that opaque firms are more financially constrained, and bank market competition is less favourable to the firms with greater opacity. Originality/value Our results firstly assess the efficacy of ongoing financial reforms in Pakistan and secondly offer implications for other economies that exhibit financial development similar to that of Pakistan.
      Citation: Studies in Economics and Finance
      PubDate: 2015-08-20T11:22:14Z
      DOI: 10.1108/SEF-02-2014-0046
       
 
 
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