Betas in the time of corona: a conditional CAPM approach using multivariate GARCH model for India

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sonali Jain
Keyword(s):  
Design Methodology ◽  
Oil And Gas ◽  
Garch Model ◽  
Multivariate Garch ◽  
Capital Asset Pricing ◽  
Content Type ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Multivariate Garch Model ◽  
Do So

PurposeThis paper empirically investigates the effect of the coronavirus pandemic (COVID-19) on the Indian financial market and firm betas, perhaps the first paper to do so. The results will be helpful for investors tracking betas during future the coronavirus waves.Design/methodology/approachA conditional capital asset pricing model (CAPM) and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model is used to estimate time-varying daily betas of the 50 largest Indian stocks spread across 16 industries over five years (Nov 2017 to May 2021), including the two waves of COVID-19 in India.FindingsThe results show that the betas increased during the COVID wave-1 (2020) but not during COVID wave-2 (2021). Moreover, the increase is more pronounced for consumer goods, infrastructure, insurance and information technology, unlike energy (oil and gas, power and mining) industries. Further, there are positive abnormal residual returns during the COVID waves. The results will be helpful for investors tracking betas during future COVID-19 waves.Originality/valueThis is perhaps the first paper to study the firm betas in light of the COVID-19 pandemic.

scholarly journals Did Brexit change asset co-movements?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shrabani Saha ◽  
Anindya Sen ◽  
Christine Smith-Han ◽  
Dennis Wesselbaum
Keyword(s):  
Correlation Matrix ◽  
Garch Model ◽  
Asset Returns ◽  
Multivariate Garch ◽  
Financial Assets ◽  
Conditional Correlation ◽  
Content Type ◽  
Hedging Strategies ◽  
Multivariate Garch Model ◽  
Financial Portfolios

Purpose This paper aims to examine the impact of the Brexit referendum on the risk structure of financial asset prices. Co-movements are analysed using daily price returns of major stock and bond indices as well as commodities and exchange rates from June 2014 to June 2018. The authors used a multivariate GARCH model to study the dynamics of the conditional correlation matrix of asset returns. It was found that the conditional variances and correlations of assets spike on and after the Brexit referendum and then quickly revert to normal levels, suggesting that the effect of the referendum was transient rather than structural. The findings are of interest to investors as co-movements of financial assets can significantly impact financial portfolios and hedging strategies. Design/methodology/approach The authors used a multivariate GARCH model to study the dynamics of the conditional correlation matrix of asset returns. Findings It was found that the conditional variances and correlations of assets spike on and after the Brexit referendum and then quickly revert to normal levels, suggesting that the effect of the referendum was transient rather than structural. Research limitations/implications The findings are of interest to investors as co-movements of financial assets can significantly impact financial portfolios and hedging strategies. Originality/value To the best of the authors’ knowledge, research studying the underlying asset co-movements around Brexit does not exist.

scholarly journals Making sustainability meaningful: aspirations, discourses and reporting practices

2018 ◽  
Vol 31 (8) ◽  
pp. 2218-2246 ◽  
Author(s):  
Cristiano Busco ◽  
Elena Giovannoni ◽  
Fabrizio Granà ◽  
Maria Federica Izzo
Keyword(s):  
Design Methodology ◽  
Oil And Gas ◽  
Management Team ◽  
Integrated Reporting ◽  
Discursive Space ◽  
Content Type ◽  
Reporting Practices ◽  
Meaningful Connections ◽  
Do So

Purpose The purpose of this paper is to explore the enabling role of accounting and reporting practices as discourses about sustainability unfold inside organizations. In particular, the authors investigate how managers attempt to connect the concept of “sustainability” to their specific experience, as they seek to make sustainability meaningful (i.e. filling it with unfolding meaning) through accounting and within particular discursive spaces. Design/methodology/approach The authors rely upon the case of LOGIC, a large international oil and gas company operating in more than 70 countries worldwide. The authors analyze the evolution of discourses concerning sustainability inside the company, as well as the changing accounting and reporting practices, with a particular focus on integrated reporting. Findings The authors show that accounting and reporting practices (such as integrated reporting within LOGIC) provide the conditions for “sustainability”—as a discursive concept—to become meaningful, while evolving themselves as they are attached to this concept. They do so by enabling individuals (the management team within LOGIC) to connect their diverse experiences and aspirations to the concept of sustainability. Rather than filling sustainability with stable meaning, the authors observed that individuals are attracted by the gaps left by accounting representations, leading to the development of new practices and unfolding meanings within specific discursive spaces. Originality/value Most of the literature on sustainability accounting and reporting practices concentrate on the need for these practices to mirror what companies do about sustainability. Differently, the authors add to the very few studies on “aspirational” reporting that have emphasized the enabling effects of the gap between what companies say and do about sustainability. The authors do so by demonstrating that accounting is “aspirational” not only because it stimulates corporate efforts toward an imaginary better future, but also because it attracts managers’ particular aspirations through its representational gap. The authors show that this gap enables meaningful connections between individuals (their particular experience and aspirations) and “sustainability,” bringing this concept into their specific discursive space and, thereby, leading to the emergence of new practices.

scholarly journals Monopoly behavior of China’s manufacturing enterprises

2019 ◽  
Vol 2 (1) ◽  
pp. 157-179
Author(s):  
Guidong Wang
Keyword(s):  
Design Methodology ◽  
Manufacturing Industry ◽  
Rent Seeking ◽  
Content Type ◽  
Manufacturing Enterprises ◽  
Slow Decline ◽  
State Capital ◽  
The Government ◽  
Do So ◽  
Initial Jump

Purpose With the increase of state capital, corporate total factor productivity (TFP) has a tendency to jump up at first and then slowly decrease. Generally, no significant “productivity paradox” can be observed in China’s manufacturing industry. With the increase of export density, corporate TFP also shows a trend of initial jump growth and subsequent slow decline. This paper aims to discuss these issues. Design/methodology/approach Using the 1996–2013 China Industrial Enterprise Database, this paper studies the monopolistic behavior of Chinese manufacturing enterprises through the measurement of TFP and corporate monopoly power. Findings Results show that China’s manufacturing monopoly enterprises are generally innovation-oriented rather than rent-seeking. However, there are certain differences between diversified types of monopoly enterprises: the ones with state capital are more inclined to innovate than those without, whereas the ones with export delivery value are more inclined to seek rent than those without. Originality/value Therefore, the government should implement differentiated policies for diversified types of monopoly enterprises, and do so in a targeted manner fully reflecting the containment of rent-seeking and the encouragement of innovation.

SFC reminding sponsors of the need to adopt an attitude of “professional scepticism”

2017 ◽  
Vol 18 (3) ◽  
pp. 82-84
Author(s):  
Gareth Hughes ◽  
James Comber
Keyword(s):  
Hong Kong ◽  
Design Methodology ◽  
Regulatory Regime ◽  
Group Company ◽  
Content Type ◽  
Professional Skepticism ◽  
Company Limited ◽  
A Company ◽  
Practical Implications ◽  
Do So

Purpose To remind sponsors to adopt an attitude of “professional skepticism” in Hong Kong IPOs. Design/methodology/approach Explains the Securities and Futures Commission (“SFC”)'s sanction on BOCOM International (Asia) Limited (“BIAL”) as a sign of determination to hold sponsors to account as gatekeepers to the Hong Kong capital markets. Findings The SFC has reprimanded and fined BIAL HK$15 million for failing to discharge its duties as a sole sponsor in a listing application for China Huinong Capital Group Company Limited (“China Huinong”), a company established in the PRC. This substantial fine reinforces the need for sponsors to ensure that they fully and properly discharge all of their duties, and that they will be held responsible for any failure to do so, even if the listing is not ultimately approved. Practical implications If sponsors fail to fulfil the requirements required under the sponsors’ regulatory regime, the SFC will be proactive and impose tough sanctions, even if the listing application is eventually withdrawn or returned by the SEHK. Originality/value Practical guidance from experienced regulatory, financial and commercial dispute resolution lawyers.

Alternative tourism and civil society in Athens

2019 ◽  
Vol 5 (1) ◽  
pp. 51-62
Author(s):  
Hecate Vergopoulos
Keyword(s):  
Civil Society ◽  
Economic Crisis ◽  
Design Methodology ◽  
Ethical Issues ◽  
Content Type ◽  
Alternative Tourism ◽  
Political Perspective ◽  
Web Forum ◽  
Guided Tours ◽  
Do So

Purpose The purpose of this paper is to tackle the issue of the meaning of tourism as it is being crippled by the economic crisis in Greece. Design/methodology/approach To do so, it brings together the findings of three different fieldworks related to tourism in Athens in times of crisis. Each one of these focuses on a specific player of tourism: a linguistic and semiological analysis led mainly on travel guides and ad campaigns deals with the industry of tourism; a linguistic analysis of tourists’ posts on a French web forum deals with the tourists themselves; and an ethnographical approach of alternative guided tours of Athens focuses on local players (associations and cooperatives offering out of the beaten tracks tours). Findings The whole study reveals that there is a misunderstanding between the industry and the consumers toward what the tourist practice should mean: whereas the tourists are in search of an ethical meaning, the industry claims there is no room for such issues. The alternative players, however, offer a political perspective that embraces the ethical issues raised by tourists. Originality/value They thus might, in the end, show us the way a so-called “civil society” could also have its own role to perform in tourism.

scholarly journals An analysis of CEE equity market integration and their volatility spillover effects

2019 ◽  
Vol 29 (1) ◽  
pp. 23-40 ◽  
Author(s):  
Ngo Thai Hung
Keyword(s):  
Market Integration ◽  
Design Methodology ◽  
Spillover Effects ◽  
Equity Market ◽  
Multivariate Garch ◽  
The Czech Republic ◽  
Content Type ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Practical Implications

Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

scholarly journals A comparison of the suitability of FIDIC and NEC conditions of contract in Palestine

2018 ◽  
Vol 25 (2) ◽  
pp. 241-256 ◽  
Author(s):  
Haytham Besaiso ◽  
Peter Fenn ◽  
Margaret Emsley ◽  
David Wright
Keyword(s):  
Qualitative Methods ◽  
Construction Industry ◽  
Design Methodology ◽  
Project Success ◽  
Structured Interviews ◽  
Content Type ◽  
Extant Literature ◽  
Do So

Purpose The standard forms of construction contract are receiving greater attention in the management of projects scholarship as they probably influence the project success and project disputes. The extant literature suggests that the standard forms of construction contract are one of the top sources of disputes. The purpose of this paper is to examine the effectiveness of the standard forms of construction contract, FIDIC and NEC, in reducing disputes in the Palestinian construction industry. Design/methodology/approach The researchers have used qualitative methods to collect data and more specifically have undertaken 12 semi-structured interviews. Findings The study reveals that the standard forms of construction contract can be a tool to minimise disputes, but certainly not to eradicate them, and NEC appears to be more capable than FIDIC to do so. Originality/value This study contributes to knowledge by bringing an industrial perspective into the role of standard forms of contract in disputes creation and avoidance. The interviewees, recurrent users of FIDIC contract, criticised certain features and expressions and proposed some solutions.

The effects of network neutrality on the incentive to discriminate, invest, and innovate: a literature review

Info ◽  
2016 ◽  
Vol 18 (3) ◽  
pp. 42-57 ◽  
Author(s):  
Daeho Lee ◽  
Dong-Hee Shin
Keyword(s):  
Design Methodology ◽  
Relevant Literature ◽  
Future Research ◽  
The Internet ◽  
Network Neutrality ◽  
Research Directions ◽  
Content Type ◽  
Economic Background ◽  
Future Research Directions ◽  
Do So

Purpose The purpose of this study is to categorize network neutrality according to its issues under debate and assess the state of the debate based on such organization. In addition, the study discusses the reasons that network neutrality is so difficult to solve and the future research directions that would do so. Design/methodology/approach This study presents a critical review of the current network neutrality issues and summarizes the economic background of each position in the debate. The relevant literature is organized by issue to examine the reasons that the network neutrality debate is so difficult to solve and determine the further study required to solve it. Findings An analysis of the relevant literature suggests that the proponents and opponents of network neutrality disagree on the best methods of developing the Internet. Therefore, future research and regulatory and practitioners’ applications would greatly benefit from a comprehensive review of that literature. Originality/value Network neutrality regulation is receiving increased attention because the development and significant influences of the Internet are becoming more apparent.

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