Price extremes and asymmetric dependence structures in stock returns: the emerging market evidence

PurposeEquity research in experimental psychology reveals investors' overreactions to bad news events. This study of asymmetric price structures in equity markets investigates whether such behavior predicts stock returns in an emerging market of India.Design/methodology/approachThe research decomposes Bombay Stock Exchange (BSE) Sensex returns into Extremely Positive Returns (EPR) and Extremely Negative Returns (ENR) based on extreme values at first and then tests their lead–lag relations.FindingsThe empirical finding is consistent with the existing evidence of asymmetric news effects on stock returns in India. In precise, ENR robustly predicts one-month-ahead EPR for the sample period from January 1991 to March 2020. This predictive power persists even in the presence of popular valuation ratios and business cycle variables.Practical implicationsThe paper explains the rationale of extreme value modeling in price forecasting. Investors can find additional utility gains from market cycle information while predicting extreme returns in Indian stock market.Originality/valueThe paper is unique to understand business cycle effects in extreme return reversals in emerging markets.

Job insecurity and technology acceptance: an asymmetric dependence

Purpose Existing research suggests that the competitive advantage provided by technological development depends to a large extent on the speed and coordination of the technology’s implementation, and on how adoptable the technological applications are considered. While accepting this argument, the authors consider the explanatory model to be inadequate. This study aims to contribute to the theoretical discussion by analysing institutionalised industrial relations and other organisation-level factors, which are important for workplace restructuring and societal change. Design/methodology/approach The analysis is based on a representative nation-wide work and working conditions survey (N = 4,100) from Finland, which includes a variety of themes, including practices, changes and well-being at work. Changes are understood as organisational changes, focusing on modern technologies such as robotisation and digitalisation. Findings The results indicate that occupational division at workplace (low-skilled vs high-skilled occupations) affects job insecurity and acceptance of technologies at work. The characteristics of workplaces, such as the employees’ participation and involvement in the development of the organisation, play a significant part in both the acceptance and the implementation and outcomes of the technological transformations in the workplace. Practical implications The research provides new and interesting insights into working life practices. Furthermore, it reveals how technology acceptance and employment perspectives relate to working conditions and lessons learned from past reforms. Originality/value The authors consider current theories such as technology acceptance model at the micro level and that way rationalise the need for this study. This study shows the importance of individual, organisational and wider contextual factors in technology acceptance.

The Changing Meanings of āśraya in Vasubandhu’s Abhidharmakośa(bhāṣya)

The term āśraya (“support” or “basis”) is used in manifold ways in the Abhidharmakośa and its bhāṣya (AKBh). This comes from the fact that its basic meaning, indicating anything on which something else depends or rests, is quite generic. Despite the plasticity of its usage, we can find some recurring and distinct technical applications of the term in the AK(Bh), which I explore in my paper. First, I look at its usage of characterising a member of various asymmetric dependence relationships on which the arising and sometimes also the persistence of the other relatum depends. Through examining the nature of various āśraya-āśrita dependence relations the AK(Bh) discusses, I show that āśraya stands for an entity that determines the fundamental nature of the thing it supports. In the second half of the paper, I move on to those occurrences of the term where āśraya has a specific referent. While āśraya can refer to the six sense faculties (indriya) individually, it can also stand for them collectively pointing towards its widespread meaning as ‘psychophysical basis’. In this context, the focus often shifts either to the material or the mental elements that make up a sentient being. I will dedicate special attention to the discussion of the transformation of the basis (āśrayaparāvṛtti), where, on my reading, it is more natural to interpret āśraya as referring primarily to the mind (citta), with its bodily connotations being marginal.

Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach

In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between the insurers’ returns and the stock market returns. Furthermore, the paper implements a ranking framework that expresses to what extent individual insurers are systemically important in the South African economy. We use the daily stock return of five South African insurers listed on the Johannesburg Stock Exchange from November 2007 to June 2020. We find that Sanlam and Discovery contribute the most to systemic risk, and Santam turns out to be the least systemically risky insurance company in the South African insurance sector. Our findings defy common belief whereby only banks are systemically risky financial institutions in South Africa and should undergo stricter regulatory measures. However, our results indicate that stricter regulations such as higher capital and loss absorbency requirements should be required for systemically risky insurers in South Africa.

ON THE FAILURE AND SYSTEMIC RISK OF INNOVATION CLUSTER: COPULA APPROACH

In order to assess and parameterize the risk of innovation activity implemented by innovation clusters, it is necessary to determine the reliable tools of measuring of systemic risk. Purpose – to propose an adequate approach to evaluate the systemic risk with regard to the impact of interlinkages between cluster entities and other external factors. Research methodology – general overview of research papers and documents presenting concepts and methodologies of evaluation of systemic risk and performance of networked structures as approach to evaluate the systemic risk with regard to the impact of interlinkages between cluster entities and other external factors, applied research. Findings – it is suggested to develop the further parameterization of intensity. Modelling of the tail dependence and asymmetric dependence between pairs of networked positions remains an important task. Research limitations – the lack of information concerning the structure and types of interactions and relationship between the members of innovation cluster. There are made some additional assumptions related to reduced-form approach of credit risk modelling. Practical implications – proposed conceptual model of evaluation of systemic risk should be useful for understanding and further treatment of measuring risk in a case of innovation management. Originality/Value – the concept of the measuring the systemic risk in innovation cluster as a joint probability of correlated failure of commercialization of innovative activity results is proposed and analysed in this paper.