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J. of Manufacturing Technology Management     Hybrid Journal   (Followers: 4, SJR: 0.691, h-index: 30)
J. of Mental Health Training, Education and Practice, The     Hybrid Journal   (Followers: 6, SJR: 0.124, h-index: 1)
J. of Modelling in Management     Hybrid Journal   (Followers: 1)
J. of Money Laundering Control     Hybrid Journal   (Followers: 3)
J. of Organizational Change Management     Hybrid Journal   (Followers: 19, SJR: 0.426, h-index: 32)
J. of Organizational Effectiveness : People and Performance     Hybrid Journal   (Followers: 2)
J. of Organizational Ethnography     Hybrid Journal   (Followers: 6)
J. of Place Management and Development     Hybrid Journal   (Followers: 2)
J. of Product & Brand Management     Hybrid Journal   (Followers: 6, SJR: 0.443, h-index: 18)
J. of Property Investment & Finance     Hybrid Journal   (Followers: 3, SJR: 0.245, h-index: 11)
J. of Public Mental Health     Hybrid Journal   (Followers: 18, SJR: 0.469, h-index: 2)
J. of Quality in Maintenance Engineering     Hybrid Journal   (Followers: 4, SJR: 0.443, h-index: 27)
J. of Research in Interactive Marketing     Hybrid Journal   (Followers: 6)
J. of Research in Marketing and Entrepreneurship     Hybrid Journal   (Followers: 11)
J. of Risk Finance, The     Hybrid Journal   (Followers: 9)
J. of Science and Technology Policy Management     Hybrid Journal   (Followers: 2)
J. of Service Management     Hybrid Journal   (Followers: 7, SJR: 0.971, h-index: 10)
J. of Services Marketing     Hybrid Journal   (Followers: 11, SJR: 0.613, h-index: 26)
J. of Small Business and Enterprise Development     Hybrid Journal   (Followers: 11, SJR: 0.331, h-index: 17)
J. of Social Marketing     Hybrid Journal   (Followers: 8)
J. of Strategy and Management     Hybrid Journal   (Followers: 4)
J. of Systems and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0, h-index: 1)
J. of Technology Management in China     Hybrid Journal   (Followers: 1)
J. of Workplace Learning     Hybrid Journal   (Followers: 6, SJR: 0.419, h-index: 16)
Kybernetes     Hybrid Journal   (Followers: 1, SJR: 0.286, h-index: 20)
Leadership & Organization Development J.     Hybrid Journal   (Followers: 17, SJR: 0.392, h-index: 16)
Leadership in Health Services     Hybrid Journal   (Followers: 20, SJR: 0.313, h-index: 8)
Library Hi Tech     Hybrid Journal   (Followers: 1068, SJR: 0.996, h-index: 15)
Library Hi Tech News     Hybrid Journal   (Followers: 726, SJR: 0.437, h-index: 7)
Library Management     Hybrid Journal   (Followers: 807, SJR: 0.646, h-index: 10)
Library Review     Hybrid Journal   (Followers: 729, SJR: 0.369, h-index: 10)
Management Decision     Hybrid Journal   (Followers: 6, SJR: 0.829, h-index: 26)
Management of Environmental Quality: An Intl. J.     Hybrid Journal   (Followers: 4, SJR: 0.189, h-index: 12)
Management Research : The J. of the Iberoamerican Academy of Management     Hybrid Journal   (Followers: 3)
Management Research News     Hybrid Journal   (Followers: 3)
Management Research Review     Hybrid Journal   (Followers: 5, SJR: 0.288, h-index: 10)
Managerial Auditing J.     Hybrid Journal   (Followers: 1, SJR: 0.223, h-index: 15)
Managerial Finance     Hybrid Journal   (Followers: 3)
Managing Service Quality     Hybrid Journal   (Followers: 7, SJR: 0.529, h-index: 23)
Marketing Intelligence & Planning     Hybrid Journal   (Followers: 12, SJR: 0.337, h-index: 20)
Measuring Business Excellence     Hybrid Journal   (Followers: 1, SJR: 0.254, h-index: 11)
Meditari Accountancy Research     Hybrid Journal   (Followers: 1)
Mental Health and Social Inclusion     Hybrid Journal   (Followers: 18, SJR: 0.19, h-index: 3)
Mental Health Review J.     Hybrid Journal   (Followers: 14, SJR: 0.126, h-index: 1)
Microelectronics Intl.     Hybrid Journal   (SJR: 0.286, h-index: 13)
Multicultural Education & Technology J.     Hybrid Journal   (Followers: 3, SJR: 0, h-index: 2)
Multidiscipline Modeling in Materials and Structures     Hybrid Journal   (Followers: 1, SJR: 0.208, h-index: 5)
Multinational Business Review     Hybrid Journal   (Followers: 1)
Nankai Business Review Intl.     Hybrid Journal  
New Library World     Hybrid Journal   (Followers: 642, SJR: 0.845, h-index: 11)
Nutrition & Food Science     Hybrid Journal   (Followers: 8, SJR: 0.198, h-index: 8)
OCLC Systems & Services     Hybrid Journal   (Followers: 234, SJR: 0.246, h-index: 10)
On the Horizon     Hybrid Journal   (SJR: 0.394, h-index: 10)
Online Information Review     Hybrid Journal   (Followers: 286, SJR: 0.589, h-index: 25)
Pacific Accounting Review     Hybrid Journal  
Performance Measurement and Metrics     Hybrid Journal   (Followers: 5, SJR: 0.492, h-index: 10)
Personnel Review     Hybrid Journal   (Followers: 8, SJR: 0.574, h-index: 31)
Pigment & Resin Technology     Hybrid Journal   (Followers: 1, SJR: 0.318, h-index: 20)
Policing: An Intl. J. of Police Strategies & Management     Hybrid Journal   (Followers: 8, SJR: 0.524, h-index: 19)
Program: Electronic Library and Information Systems     Hybrid Journal   (Followers: 355, SJR: 0.657, h-index: 13)
Property Management     Hybrid Journal   (Followers: 1, SJR: 0.25, h-index: 7)
Qualitative Market Research: An Intl. J.     Hybrid Journal   (Followers: 3, SJR: 0.455, h-index: 14)
Qualitative Research in Accounting & Management     Hybrid Journal   (Followers: 7, SJR: 0.126, h-index: 1)
Qualitative Research in Financial Markets     Hybrid Journal   (Followers: 4)
Qualitative Research in Organizations and Management: An Intl. J.     Hybrid Journal   (Followers: 6)
Quality Assurance in Education     Hybrid Journal   (Followers: 4, SJR: 0.374, h-index: 16)
Quality in Ageing and Older Adults     Hybrid Journal   (Followers: 28)
Rapid Prototyping J.     Hybrid Journal   (Followers: 2, SJR: 0.573, h-index: 36)
Records Management J.     Hybrid Journal   (Followers: 13, SJR: 0.281, h-index: 7)
Reference Reviews     Hybrid Journal   (Followers: 8)
Reference Services Review     Hybrid Journal   (Followers: 27, SJR: 1.546, h-index: 15)
Research on Economic Inequality     Hybrid Journal   (Followers: 4)
Research on Emotion in Organizations     Hybrid Journal   (Followers: 7)
Review of Accounting and Finance     Hybrid Journal   (Followers: 2, SJR: 0.119, h-index: 1)
Review of Marketing Research     Hybrid Journal   (Followers: 12)
Safer Communities     Hybrid Journal   (Followers: 1, SJR: 0.2, h-index: 2)
Sensor Review     Hybrid Journal   (Followers: 1, SJR: 0.314, h-index: 20)
Smart and Sustainable Built Environment     Hybrid Journal   (Followers: 6)
Social Care and Neurodisability     Hybrid Journal   (Followers: 4)
Social Enterprise J.     Hybrid Journal   (Followers: 7)
Social Responsibility J.     Hybrid Journal   (Followers: 1, SJR: 0.136, h-index: 2)
Society and Business Review     Hybrid Journal   (Followers: 2)
Soldering & Surface Mount Technology     Hybrid Journal   (Followers: 2, SJR: 0.454, 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   (SJR: 0.102, h-index: 3)
Strategic HR Review     Hybrid Journal   (Followers: 3)
Strategic Outsourcing : An Intl. J.     Hybrid Journal   (Followers: 2)
Strategy & Leadership     Hybrid Journal   (Followers: 15, SJR: 0.256, h-index: 12)
Structural Survey     Hybrid Journal   (SJR: 0.272, h-index: 8)
Studies in Economics and Finance     Hybrid Journal   (Followers: 3, SJR: 0.251, h-index: 3)
Supply Chain Management: An Intl. J.     Hybrid Journal   (Followers: 7, SJR: 1.265, h-index: 50)
Sustainability Accounting, Management and Policy J.     Hybrid Journal   (Followers: 7, SJR: 0.206, h-index: 2)
Team Performance Management     Hybrid Journal   (Followers: 7, SJR: 0.319, h-index: 9)
The Bottom Line: Managing Library Finances     Hybrid Journal   (Followers: 199, SJR: 0.343, h-index: 5)
The Electronic Library     Hybrid Journal   (Followers: 864, SJR: 0.874, h-index: 18)
The Learning Organization     Hybrid Journal   (Followers: 6, SJR: 0.494, h-index: 18)
The TQM J.     Hybrid Journal   (Followers: 2, SJR: 0.634, h-index: 31)
Therapeutic Communities : The Intl. J. of Therapeutic Communities     Hybrid Journal   (SJR: 0.111, h-index: 9)
Tizard Learning Disability Review     Hybrid Journal   (Followers: 22, SJR: 0.229, h-index: 3)

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Journal Cover Studies in Economics and Finance     [SJR: 0.251]   [H-I: 3]
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   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1086-7376
   Published by Emerald Homepage  [308 journals]
  • A structural VAR analysis of Islamic financing in Malaysia
    • Authors: Mansor H Ibrahim et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The present paper evaluates the interrelations between Islamic financing and key economic and financial variables including real output, price level, interest rate and stock prices for the case of Malaysia. Design/methodology/approach The paper makes use of a structural vector autoregressive (SVAR) model to discern the influences of key economic and financial variables on the behavior of Islamic financing. Findings The basic results indicate that Islamic financing responds positively to innovations in real output. In addition, the price level shocks also tend to have significant but lagged effects on the financing provision of Islamic banks. Most interestingly, Islamic financing is impacted negatively and immediately by positive interest rate shocks, contradicting the argument that Islamic bank operations are shielded from interest rate fluctuations. Indeed, the excess sensitivity of Islamic banks to interest rate fluctuations and their lagged responses to price level shocks are found to be robust across alternative SVAR specifications. Practical implications Operating under a dual banking system, Islamic banks are not immune from monetary conditions of the country. Indeed, it seems to be exposed to interest rate risk, an aspect that needs to be accounted for by Islamic banks in their risk management. Originality/value With the emergence of Islamic finance industry, understanding the implications of various macroeconomic factors on Islamic financing is essential. This study adds to this understanding, which has received limited attention.
      PubDate: Tue, 16 Sep 2014 09:44:19 GMT
  • Stock Market Predictability: Non-Synchronous Trading or Inefficient
           Markets' Evidence from the National Stock Exchange of India
    • Authors: Silvio John Camilleri et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach We test for lead-lag effects between the Indian Nifty and Nifty Junior indices using Pesaran-Timmermann tests and Granger-Causality. We then propose a simple test on overnight returns, in order to infer whether the observed predictability is mainly attributable to non-synchronous trading or some form of inefficiency. Findings The evidence suggests that non-synchronous trading is a better explanation for the observed predictability in the Indian stock market. Research limitations/implications The indication that non-synchronous trading effects become more pronounced in high-frequency data, suggests that prior studies using daily data may underestimate the impacts of non-synchronicity. Originality/value The originality of the paper rests on various important contributions: (a) we look at overnight returns to infer whether predictability is more attributable to non-synchronous trading or to some form of inefficiency, (b) we investigate the impacts of non-synchronicity in terms of lead-lag effects rather than serial correlation, and (c) we use high-frequency data which gauges the impacts of non-synchronicity during less active parts of the trading day.
      PubDate: Tue, 16 Sep 2014 09:44:19 GMT
  • Trading Volume and Return Relationship in the Crude Oil Futures Markets
    • Authors: SAADA ABBA ABDULLAHI et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The purpose of this paper is to examine the relationship between trading volume and returns in the WTI and Brent crude oil futures markets. The paper addresses two important issues. First, whether there is a positive relationship between returns and trading volume in the crude oil futures markets. Second, whether information regarding trading volume contributes to forecasting the magnitude of returns in the markets, an important issue because the ability of trading volume to predict returns imply market inefficiency. Design/methodology/approach The paper used daily closing futures price and their corresponding trading volumes for West Texas Intermediate and Brent crude oil markets during the sample period January 2008 to May 2011. Both the log volume and the unexpected component of the detrended volume are used in the analysis in other to have robust alternative conclusion. The generalized method of moments approach (GMM) is employed to examine the contemporaneous relationship between returns and trading volume while the Granger causality approach, impulse response and variance decomposition analysis are employed to investigate the ability of trading volume to predict returns in the oil futures markets. Findings The results reject the postulation of a positive relationship between trading volume and returns, suggesting that trading volume and returns are not driven by the same information flow which contradicts the mixture of distribution hypothesis in all markets. The results also show that neither trading volume nor returns have the power to predict the other and therefore contradicting the sequential arrival hypothesis and noise trader model in all markets. Finally, the findings support the efficient market hypothesis in the crude oil futures markets. Originality/value The findings has important implications to market regulators because it shows that daily price movement and trading volume do not respond to the same information flow and therefore the measures that control price volatility and volume of trade should be independent; otherwise they may not provide fruitful outcomes. Also, traders and investors who participate in oil futures should not base their decisions on past trading volume because it will lead to profit loss. The results also have implications for market efficiency as past information cannot assist speculators to forecast returns in all the markets. Finally, investors can benefit from portfolio diversification across the two oil markets.
      PubDate: Tue, 16 Sep 2014 09:44:16 GMT
  • Are stock prices stationary' Some new evidence from a panel data
    • Authors: Xin Shen et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose This paper investigates whether mean reversion holds for a panel of 16 OECD stock markets for the period 1970 to 2011. Design/methodology/approach We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit the power of panel data analysis but also account for cross sectional dependencies as well as indentify which panel members are stationary. Findings In contrast to a literature that offers mixed findings on stationarity, we find that most of our sample are characterised as mean- or trend-reverting with approximated half-lives in the region of three to five years. Originality/value In contrast to other panel unit root tests of stock prices, we identify which individual panel members are stationary and non-stationary using a SURADF test. A further novelty of our approach is that we also develop a SUR-based panel KSS test that allows us to explore the possibility that stock prices exhibit non-linear stationarity.
      PubDate: Tue, 16 Sep 2014 09:44:16 GMT
  • “Regional Volatility: Common or Country Specific' Exploration of
           International Stock Market”
    • Authors: Asma Mobarek et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 4, September 2014. Purpose The primary objective of this paper is to test whether the volatility of regional stock markets’ is common or country specific for 46 international markets of the Asian, European, African and Latin American regions using the MSCI daily prices in the period from Jan 1998 to Dec 2009. Further, the study has been divided into two sub periods to distinguish the effects of the current subprime financial crisis and to determine whether the crisis has an impact on the fluctuations of common component of stock market volatility. Design/methodology/approach The paper applies the time-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country specific or common across the countries. Findings The results evidence that the volatility of stock returns is due to common factors;, rather than country specific ones, but this is not always the case . However, this common component is more stable in European and Latin American countries than in the Asian Pacific and African regions. Furthermore, the results suggest that the influence of a common component has been enhanced significantly during the current subprime financial crisis Practical implications The study has implication for domestic and international investors, portfolio managers as well as policy makers to implement economic and financial policy that promote stability, reduce vulnerability to crises and encourage sustained growth and living standards. Originality/value To the best of the authors’ knowledge, this is the first study to include 4 regional samples and test the common component of fluctuations of regional stock markets volatility.
      PubDate: Tue, 16 Sep 2014 09:44:16 GMT
  • Factors influencing on-market share repurchase decisions in Australia
    • Authors: Subba Reddy Yarram
      Abstract: Studies in Economics and Finance, Volume 31, Issue 3, Page 255-271, July 2014. Purpose – The purpose of this study is to examine factors influencing decisions to repurchase shares on-market in Australia. The present study also examines the role of board size, board independence and chief executive officer duality on the decision to repurchase shares on-market by Australian firms. Design/methodology/approach – This study blends the traditional motivations of share repurchases with the influences of governance. The sample consists of all non-financial firms included in the Australian All Ordinaries Index (AOI) for the period 2004-2010. The repurchase sample consists of 104 repurchases undertaken by 62 firms. A probit panel model is used to analyse the decision to repurchase shares on the market. To account for unobserved heterogeneity, random effects panel models are also used. Findings – Analyses of a sample of non-financial firms included in the AOI for the period 2004-2010 show that size is significantly positively correlated with the decision to repurchase shares, thus supporting the agency cost. Findings also support the undervaluation and signalling hypotheses. Similarly, there is evidence in support of the view that firms repurchase shares to reach their target optimal capital structure. The present study also finds a significant positive association between board independence and the decision to repurchase shares in Australia. Research limitations/implications – On-market share repurchases help firms to signal their future growth opportunities and resolve agency conflicts. Signals from repurchases also help markets discover the true fundamental values of firms. Governance plays an important role in improving the effectiveness of on-market share repurchases, as independent directors provide both monitoring and discipline which helps to ensure that firms have valid motivations in undertaking share repurchases. Practical implications – These findings have implications for capital restructuring and governance policies. Principle-based governance frameworks that prevail in countries like Australia work as well as rule-based governance. Originality/value – This study highlights the complementary roles that financial policies and corporate boards play in corporate governance. Independent boards ensure that firms pursue appropriate financial policies that help resolve agency conflicts and information asymmetry problems.
      PubDate: Mon, 11 Aug 2014 09:26:12 GMT
  • Information content of dividends: a case of an emerging financial market
    • Authors: Reza H. Chowdhury et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 3, Page 272-290, July 2014. Purpose – The purpose of this paper is to examine the signaling and free cash flow hypotheses of dividends in the context of an emerging financial market. Design/methodology/approach – The authors use fundamental financial information of Chinese companies listed in the Shenzhen and Shanghai stock exchanges. They examine the impact of cash dividend payments on future profitability of individual firms with and without controlling for non-linearity in their earnings to test the signaling hypothesis. They also determine the characteristics of dividend paying firms to examine the free cash flow hypothesis. Findings – It was found that while dividend increases by publicly listed Chinese firms are followed by increases in earnings in two subsequent years, such relationship does not exist in the case of dividend decreases. However, under the assumption of non-linearity of earnings, it was found that neither dividend increases nor dividend decreases convey any valuable information about future changes in earnings of Chinese firms. Further, it was found that firms with high cash holdings, large profitability and high managerial efficiency are likely to pay dividends. The authors therefore conclude that announcements of cash dividend payments do not signal future performance but indicate good governance practices of publicly traded firms in China. Originality/value – This evidence is critical for potential foreign investors in their portfolio investment decisions and for regulators in determining an efficient measure of corporate disclosure in China.
      PubDate: Mon, 11 Aug 2014 09:26:10 GMT
  • Contagion effects on stock and FX markets
    • Authors: Dimitrios I. Dimitriou et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 3, Page 246-254, July 2014. Purpose – This paper aims to investigate the contagion effects of stock and FX markets for the USA and european monetary union (EMU) during the US subprime crisis of 2007-2009. Design/methodology/approach – The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US and EMU equity markets, as well as EUR/USD exchange rate and 3-month US and EMU interest rate indices. The authors model, simultaneously, the dynamic conditional correlations (DCC) for the triplet: US, EMU equity markets and euro – USD uncovered interest rate parity (UIP) via a multivariate GARCH(1,1)-DCC model. The authors also test for a level shift increase of DCCs during the crisis period by incorporating a dummy variable in a GARCH(1,1) model. Findings – Our results suggest the presence of contagion for the US stock market and UIP. These results indicate that possibilities for portfolio diversification exist even in periods of severe financial turmoil. This can be explained by the different monetary policies that followed during the crisis. While USA increased liquidity through stimulus packages in early 2009, EMU preferred a strict monetary policy and fiscal austerity measures. Consequently, the EUR/USD exchange rate was less volatile than the EMU equities, resulting in their weak co-movement. Originality/value – These findings confirm a specific pattern of contagion that provide important implications for international investors and policy-makers.
      PubDate: Mon, 11 Aug 2014 09:26:08 GMT
  • Acquisition returns: does industry matter'
    • Authors: Reza Yaghoubi et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 3, Page 309-324, July 2014. Purpose – This paper aims to illuminate the issue of whether there is a significant difference between long-term abnormal return of acquirers across industries, and which industries achieve better returns. Design/methodology/approach – This paper investigates whether there is a significant difference between abnormal return of acquirers across industries. The impact of timing of the deal on the acquirer returns is also studied in this paper. In the regression analysis, we control for acquirer’s size along with a number of deal characteristics, such as method of payment, the mode of the acquisition, the diversifying nature of the deal and value of the deal, to examine whether the differences in acquirer returns across industries persist when these factors are taken into account. Findings – The results of the study propose discrepancy in acquirers’ long-term abnormal returns across industries. While a number of industries, such as petroleum and natural gas, insurance and machinery, experienced significantly positive abnormal performance, others like business services and medical equipment have demonstrated significantly negative long-term returns. Originality/value – This paper investigates the industry impact on performance of acquirers. The results of this research provide more comprehensive evidence from all of the industries that have been involved in mergers and acquisition deals during the period 1981-2007 so that the returns of different industries can be compared. Most importantly, the evidence rejects the equality of mean abnormal returns across industries at significant levels.
      PubDate: Mon, 11 Aug 2014 09:26:05 GMT
  • Does hedging in futures market benefit Indian farmers'
    • Authors: Thiagu Ranganathan et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 3, Page 291-308, July 2014. Purpose – The purpose of this paper is to perform an analysis of potential benefits from usage of the futures markets for the farmers. The national commodity exchanges were established in India in the year 2003-2004. Though there has been a spectacular growth in trading volumes in these exchanges, participation of farmers in these markets has been very low. Efforts are being made to increase the awareness and participation of farmers in these markets. As such efforts are being made, it is critical to analyse the potential benefits from usage of the futures markets for the farmers. Our study performs such an analysis for soybean farmers in the Dewas district of Madhya Pradesh state in India. Design/methodology/approach – The authors estimate the optimal hedge ratios in futures markets for farmers in different scenarios characterised by varying levels of different parameters relevant to the farmer. For these optimal hedge ratios, we then estimate the benefits from hedging defined as the change in certainty equivalent income (CEI) due to hedging. Findings – Results indicate that the CEI gain due to hedging is positively related to the farmer’s risk aversion and inversely related to farmer’s price expectations and transaction costs. Also, only when the risk aversion is high, the CEI gain is positively related to the natural hedge. Thus, for a farmer with high risk aversion, hedging acts as a substitute to the natural hedge. Originality/value – This is the first study that analyses the hedging for farmer in the Indian context by considering yield risk while doing so. Also, their study establishes a relationship between risk aversion, the natural hedge and benefits from hedging in futures markets for the farmer.
      PubDate: Mon, 11 Aug 2014 09:26:02 GMT
  • The Eurozone crisis and its contagion effects on the European stock
    • Authors: Wasim Ahmad et al
      Abstract: Studies in Economics and Finance, Volume 31, Issue 3, Page 325-352, July 2014. Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach – In this paper, a dynamic conditional correlation (DCC) model popularly known as DCC-GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model given by Engle (2002) is applied to estimate the DCCs across sample markets. Findings – Analyzing the Eurozone crisis period, the empirical results suggest that among GIPSI stock markets, Spain, Italy, Portugal and Ireland appear to be most contagious for Eurozone and non-Eurozone markets. The study finds that France, Belgium, Austria and Germany in Eurozone and UK, Sweden and Denmark in non-Eurozone are strongly hit by the contagion shock. Practical implications – The findings of the study have significant implications for the concerned regulatory authorities, as it may provide an important direction for further policy research with regard to financial integration in the European Union (EU). From global investors’ perspective, the EU-based diversification strategies seem to be inefficient especially during Eurozone crisis. Originality/value – To the best of the authors’ knowledge, this is the first study that examines the issue of financial contagion of Eurozone crisis for a large basket of stock markets of European countries comprising seven Eurozone and six non-Eurozone markets for the period 2009-2012. The study uses the Markov regime switching model to identify crisis period and utilizes the DCC estimates of DCC-GARCH to examine the patterns of financial contagion. The finding of this study is quite interesting and is different in several ways than existing studies in the literature.
      PubDate: Mon, 11 Aug 2014 09:25:59 GMT
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