Excess volatility pursuit in autoregressive GARCH model based panel data analysis at country level: BRICS context

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Wajid Shakeel Ahmed ◽  
Muhammad Shoaib Khan ◽  
Muhammad Jibran Sheikh ◽  
Inzamam Khan
Keyword(s):  
Panel Data Analysis ◽  
Discrete Wavelet ◽  
Bond Markets ◽  
Bond Price ◽  
Content Type ◽  
Sovereign Bonds ◽  
Country Level ◽  
Brics Countries ◽  
Excess Volatility ◽  
The Government

PurposeThis particular study examined the government bond price variations in order to determine the presence of excess volatility both at country and panel group level of BRICS countries context.Design/methodology/approachThe study applied the autoregressive GARCH panel model approach proposed by Fakhry and Richter (2015) to evaluate the presence of excess volatility and then examined the diversification benefits. Further, the use of discrete wavelet transformation (DWT) has added the advantage to observe volatility across bonds along with potential diversification benefits by retaining information from the time and frequency domain perspective for both the maturities.FindingsThe main finding indicates that the excess volatility is present in BRICS countries at individual level i.e. in the case of Russia, India and China. However, the 10-year bond showing a less volatility compared to 5-year bond with the possibility of reaping out the benefits of diversification with international portfolio of sovereign bonds.Practical implicationsThe main implication of the research is related to the non-perseverance of EMH as far sovereign bonds of BRICS countries are concerned as the results indicate presence of excess volatility in the 5-year and 10-year bond markets. However, the implicit behavior of 5-year bond could benefit the active fund managers and investors by taking an advantage of a reducing systemic risk through short-medium term investments.Originality/valueThis study contributes not only to the existing studies of similar nature by examining the excess volatility in bond markets but also taking account of co-moment of distinct maturities to confirm possible international diversification benefits for BRICS countries context.

Global liquidity risks a heavy slump in EMs

2015 ◽  
Keyword(s):  
Monetary Policy ◽  
Financial Regulation ◽  
Market Liquidity ◽  
Bond Markets ◽  
Content Type ◽  
Sovereign Bonds ◽  
Advanced Economies ◽  
Boom And Bust ◽  
Global Liquidity ◽  
Boom And Bust Cycle

Subject Global liquidity trends. Significance Concerns over global liquidity have resurfaced since late 2014, both in advanced and emerging markets (EMs). Both central banks and the IMF note that market liquidity has declined, especially in bond markets, due to stricter regulations on derivatives trading in advanced economies, lower sovereign bonds demand in some countries and the end of the credit boom in some EMs. Global liquidity is a loosely defined concept that can be interpreted in different ways and covers a variety of countries and market realities. Impacts Liquidity is highly cyclical and follows a 'boom and bust' cycle. Accomodative monetary policy and financial regulation may partly offset the exposure to global liquidity volatility. US monetary policy tightening could exacerbate an EM crisis, where corporates have heavily issued dollar-denominated debt. The ECB monetary policy will remain accommodative until at least March 2017 partly offsetting risks of a global liquidity shortage.

Sri Lanka will struggle to escape its debt trap

2019 ◽  
Keyword(s):  
Sri Lanka ◽  
Foreign Exchange ◽  
Presidential Election ◽  
Political Instability ◽  
Content Type ◽  
Investor Confidence ◽  
Debt Problem ◽  
Sovereign Bonds ◽  
Outstanding Debt ◽  
The Government

Subject Sri Lanka's debt problem. Significance Sri Lanka late last month said it was planning to issue international sovereign bonds (ISBs) worth some 1.5 billion dollars, helping to repay loans soon to mature. The country’s gross outstanding debt stock rose to nearly 70% of GDP in 2018 from just under 40% in 2008. Impacts Debates around the presidential election due later this year will likely be dominated by security concerns rather than the economy. Political instability caused by rifts within the government will damage investor confidence in the country. Sri Lanka will step up efforts to attract tourists, hoping to sustain a key source of foreign exchange earnings.

Fundamental indexation for bond markets

2014 ◽  
Vol 15 (3) ◽  
pp. 264-274 ◽  
Author(s):  
Marielle de Jong ◽  
Hongwen Wu
Keyword(s):  
Portfolio Management ◽  
Design Methodology ◽  
Bond Markets ◽  
Content Type ◽  
Sovereign Bonds ◽  
The Us ◽  
Price Trends ◽  
Bond Indices ◽  
Empirical Tests ◽  
Fundamental Value

Purpose – The purpose of this paper is to build alternative indices weighing using a measure of fundamental value rather than debt size. The official bond indices built to reflect general price trends are market weighted, meaning that the bonds are weighted by their debt size. The more indebted, the more weight in the index, which mechanically increments the investment risks that are inherent. Those market indices are shown to be return-to-risk inefficient in recent studies compared to indices with alternative weighting schemes. The authors contribute to this growing literature, which mostly focuses on equities, by testing on bonds. Design/methodology/approach – The authors build alternative indices weighing using a measure of fundamental value rather than debt size. The authors have done this for sovereign bonds using gross domestic product (GDP) figures and for corporates taking sales revenues. Findings – The authors find in empirical tests that the fundamental indices build tend to outperform the market-weighted indices. Originality/value – This article builds on two articles by Arnott et al. (2005, 2010), in the Financial Analysts Journal and Journal of Portfolio Management, respectively, and adds value in the sense that – it takes an appreciation-free fundamental measure, – tests on the European as opposed to the US bond markets.

‘Big data’ patentometrics for R&D decision-making

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Charu Verma ◽  
Pradeep Kumar Suri
Keyword(s):  
Decision Making ◽  
Big Data ◽  
Performance Management ◽  
Relevant Information ◽  
Research Strategy ◽  
Global Market ◽  
Content Type ◽  
Country Level ◽  
Free Data ◽  
The Government

Purpose The purpose of this paper is to highlight the use of big data through patentometric insights for R&D decision-making. Design/methodology/approach This study assesses the inventive activity through ‘big data’ patents, registered by inventors worldwide, using WIPO Patentscope database. The objective is to use the insights from patentometrics for R&D decision-making. The data from WIPO PatentScope (https://patentscope.wipo.int/search/en/search.jsf) was searched for current patent scenario in area of ‘big data’. The data was further organized and cleaned using the Google ‘OpenRefine’. Data was pre-processed to remove all null values. Cleaned data was analyzed using programming language ‘R’, MS Excel (charts and Pivot tables) and free data visualization tool called ‘Tableau Public’, to get insights for R&D decision-making. Findings The key insights included trends (patents with years of publication), top technologies trending the current space, top organizations leading in these technologies and the top inventors who are publishing patents in these technologies through leading organizations were drawn. Details in Section 5 in the paper. Research limitations/implications Global patent data is multi-lingual and spreads across a set of multiple databases. Domain experts may be required to assess, identify and extract the relevant information for analysis and visualization of multi-lingual distributed data sets. Government organizations generally have multi-dimensional goals that may be more toward societal benefits. On the other hand, the commercial companies are more focused on profit. Therefore, the performance management process has to be really effective because it is critical for getting value in the government sector. Practical implications Insights from patent analytics serve as the important input to R&D managers as well as policymakers to assess the global needs to plan the national orientation according to the global market. This will help further for R&D projects prioritization, planning, budget allocations, human capital planning and other gamut of R&D management and decision-making. Social implications Facilitation for R&D institutions (government as well as private) to formulate the research strategy for the domains or research areas to delve into. R&D decisions will be completely data-driven making them more accurate, reliable, valid and informed. These insights are very relevant for policymakers as well to facilitate the need assessment to determine the National priorities, make improvements in meeting societal country-level challenges during the resource allocation at top and subsequently at all other levels. Originality/value Data analytics of global patents in “big data” till 2019 to get insights to facilitate R&D decision-making.

Partial privatization, lending relationships and executive compensation

2016 ◽  
Vol 5 (1) ◽  
pp. 125-153 ◽  
Author(s):  
Saibal Ghosh
Keyword(s):  
Executive Compensation ◽  
Proportional Hazard ◽  
Partial Privatization ◽  
Political Factors ◽  
Early Date ◽  
Content Type ◽  
Lending Relationships ◽  
Country Level ◽  
Indian State ◽  
The Government

Purpose – Privatization has been a widely researched topic in the literature, both at the cross-country level as well as at the level of individual countries. However, the issue of partial privatization – where an entity is publicly listed although the government remains the controlling owner – has not been adequately discussed in the literature. The purpose of this paper is to employ data on Indian state-owned banks during 1992-2010 to explore the timing and intensity of privatization. Contextually, the authors also explore several associated hypotheses, such as the behavior of lending relationships by these banks and executive compensation. Design/methodology/approach – Given the hypotheses being discussed, the authors use suitable methodology relevant to the hypothesis. Accordingly, the authors employ proportional hazard models to address the timing issue and the Tobit model to determine the factors impacting the intensity of privatization. As regards lending relationships, the authors employ ordered logit and Poisson regression models. Finally, the issue of executive compensation is addressed using OLS regression. Findings – The evidence appears to suggest that smaller, riskier banks with higher levels of over-staffing are likely to be privatized at an early date. Among the political factors, the findings suggest that both the timing of elections as well as the fragmentation of the coalition impacts the timing of privatization. Regarding lending relationships, the analysis indicates that it is typically the large banks that act as the main bank for both foreign and state-owned firms. Finally, the evidence lends credence to the fact that bigger well-capitalized banks with smaller boards pay higher compensation. Originality/value – How far do economic and political factors play a role in impacting the timing of partial privatization of state-owned banks remains an open empirical question. There is also admittedly limited evidence as to how bank-specific and political factors influence the intensity of privatization. Judged thus, to the best of the knowledge, this is one of the few studies to examine these issues within a coherent empirical framework for a leading emerging economy.

Dynamic interaction between higher education and economic progress: a comparative analysis of BRICS countries

2018 ◽  
Vol 46 (4) ◽  
pp. 225-238 ◽  
Author(s):  
Victor Chang ◽  
Yian Chen ◽  
Chang Xiong
Keyword(s):  
Higher Education ◽  
Time Series ◽  
Economic Development ◽  
Comparative Analysis ◽  
Dynamic Interaction ◽  
Content Type ◽  
Brics Countries ◽  
Economic Progress ◽  
The Government ◽  
The Impact

PurposeThe purpose of this paper is to gain a deeper insight on how education boosts economic progress in key emerging economies. This project is aimed at exploring the interactive dynamics between the tertiary education sector and economic development in BRICS countries. The author also aims to examine how the structure of higher education contributes to economic expansion.Design/methodology/approachThe author uses the time series data of BRICS countries across approximately two decades to determine the statistical causality between the size of tertiary enrollment and economic development. The linear regression model is then used to figure out the different impact levels of academic and vocational training programs at the tertiary level to economic development.FindingsData from all BRICS countries exhibited a unidirectional statistical causality relationship, except the Brazilian data. The national economic expansion Granger Caused increased tertiary enrollment in Russia and India, while in China and South Africa, higher education enrollment Granger Caused economic progress. The impact from tertiary academic training is found to be positive for all BRICS nations, while tertiary vocation training is shown to have impaired the Russian and South African economy.Research limitations/implicationsThis project is based on a rather small sample size, and the stationary feature of the time series could be different should a larger pool of data spanning a longer period of time is used. In addition, the author also neglects other control variables in the regression model. Therefore, the impact level could be distorted due to possible omitted variable bias.Practical implicationsTertiary academic study is found to have a larger impact level to all countries’ economic advancement, except for China, during the time frame studied. There is a statistical correlation between the education and economic progress. This is particularly true for BRICS countries, especially China. But the exception is Brazil.Social implicationsThe government should provide education up to the certain level, as there is a direct correlation to the job creation and economic progress. Furthermore, the government should also work closely with industry to ensure growth of industry and creation of new jobs.Originality/valueThe comparative analysis and evaluation of the dynamic interaction of tertiary enrollment and economic output across all five BRICS nations is unique, and it deepens the understanding of the socioeconomic development in these countries from a holistic management perspective.

Review of factors constraining the development of Indian corporate bond markets

2015 ◽  
Vol 7 (4) ◽  
pp. 429-444 ◽  
Author(s):  
Shagun Thukral ◽  
Sharada Sridhar ◽  
Medha Shriram Joshi
Keyword(s):  
Central Bank ◽  
Sovereign Debt ◽  
Action Plan ◽  
Corporate Bond ◽  
Corporate Debt ◽  
Expert Committee ◽  
Bond Markets ◽  
Content Type ◽  
Debt Market ◽  
The Government

Purpose – The paper aims to understand the factors that have limited the development of this market in India. With a conservative bank-based economy in the backdrop and with the Central Bank pulling the strings, the sovereign debt market occupies the most space in the bonds universe of India. The latter and almost minuscule portion of this market is occupied by the corporate and industrial houses that have forayed into the market to raise finances. This has led to a cycle where lack of participation leads to lack of liquidity and underdeveloped rating mechanisms which further pressurizes the development of this market in India. Design/methodology/approach – The paper is designed as a literature review which has attempted to identify the commonly agreed upon factors that have constrained the development of Corporate Bond markets in India especially and some other emerging economies who are successful or unsuccessful in their attempt to establish a corporate bond markets. These factors have then been categorized into broader heads and commented upon as a part of the analysis. Findings – Corporate bond markets in India, although steadily progressing, is still impeded by the nature of the market itself. While the necessary steps have been taken to implement some of the recommendations by the Expert Committee, the response solicited has not quite been as expected. The poor liquidity, weak rating-mechanisms, absence of standardization and disclosure nomenclatures and illiquidity in the government bond market itself need to be addressed objectively. Research limitations/implications – The research adopted attempts to validate prior research and the attempts by regulators to implement an action plan. However, further progress on the changing scenarios is encouraged to be tested through a quantitative analysis. Originality/value – The government and the Central Bank have constantly emphasized the importance of developing the Corporate debt market. Several studies have attempted to analyze the factors that have crippled the growth and steps taken by the Central Bank and Securities and Exchange Board of India by appointing an Expert Committee. This paper has attempted to visit all these factors and analyze the attempts to overcome by the Expert Committee including the backdrop of other nations who have a vibrant corporate debt market today. It sets the tone for further quantitative or statistical analysis.

El Salvador bitcoin experiment comes with risks

2021 ◽  
Keyword(s):  
Financial Crime ◽  
It Infrastructure ◽  
Content Type ◽  
Sovereign Bonds ◽  
Transition Costs ◽  
State Investment ◽  
Low Levels ◽  
Ict Infrastructure ◽  
The Government ◽  
International Transactions

Significance The government hopes to encourage the cryptocurrency’s use for domestic and international transactions, with the aim of boosting financial inclusion. However, it has been criticised because there are low levels of access to digital finance among the population, and sceptics dismiss it as a gimmick. Further criticism centres on concerns around financial crime. Impacts Businesses accepting bitcoin will need to upgrade their IT infrastructure and security, imposing transition costs. State investment in ICT infrastructure will also be required to enable broad uptake of digital finance options. The government is set to launch new sovereign bonds, which it hopes will supplement IMF funding.

Petrobras undermines Brazil's investment efforts

2015 ◽  
Keyword(s):  
At Risk ◽  
Private Sector ◽  
Investor Sentiment ◽  
Commodity Prices ◽  
Foreign Investors ◽  
Content Type ◽  
Brics Countries ◽  
The Us ◽  
The World ◽  
The Government

Significance A lagging economy, declining global commodity prices and the crippling corruption crisis affecting state-owned oil giant Petrobras (estimated at 17 billion dollars in losses) have compelled the government to travel the world seeking investments. This combination has transformed what Brasilia had expected to be a revenue windfall into a shortfall, persuading the formerly inward-looking government to pursue external investment sources, including the US private sector and other BRICS countries. Impacts Brazil's current woes may represent an opportunity for foreign investors. However, the Petrobras scandal will continue to undermine investor sentiment. Current private forecasts point to recession both this year and next. Corruption claims could yet put the government at risk.

New bonds support Greek exit from bailout in 2018

2017 ◽  
Keyword(s):  
Financial Markets ◽  
Bond Markets ◽  
Open Market ◽  
Content Type ◽  
International Media ◽  
Track Record ◽  
Financing Costs ◽  
The Government ◽  
Greek Banks ◽  
Of Greece

Subject Greece’s return to bond markets. Significance After three years of market exclusion, the Greek state has issued five-year debt totalling 3 billion euros (3.5 billion dollars). The placement was hailed as success by the government and international media as the first step towards rebuilding Greece's track record in the open market. The new debt issue also solidifies hopes of Greece exiting its third bailout programme as planned in August 2018. As open market issuances carry greater financing costs than funding obtained from Eurogroup, the Greek government will largely use them to smooth the debt repayment profile and for publicity purposes. Impacts The return to financial markets represents a political victory for the Tsipras government. The successful new debt placement will improve the government’s negotiating position with international lenders. The government debt placement will establish a benchmark for further issuance from Greek banks and corporates.

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