Stock market volatility forecasting: Do we need high-frequency data?

The general consensus in the volatility forecasting literature is that high-frequency volatility models outperform low-frequency volatility models. However, such a conclusion is reached when low-frequency volatility models are estimated from daily returns. Instead, we study this question considering daily, low-frequency volatility estimators based on open, high, low, and close daily prices. Our data sample consists of 18 stock market indices. We find that high-frequency volatility models tend to outperform low-frequency volatility models only for short-term forecasts. As the forecast horizon increases (up to one month), the difference in forecast accuracy becomes statistically indistinguishable for most market indices. To evaluate the practical implications of our results, we study a simple asset allocation problem. The results reveal that asset allocation based on high-frequency volatility model forecasts does not outperform asset allocation based on low-frequency volatility model forecasts.     

Effects of aid for trade on extensive and intensive margins of greenfield FDI

Using a panel dataset of 105 developing countries for the period 2003–15, this paper assesses the effects of Aid for Trade (AfT) on greenfield FDI flows to the aid‐recipient countries. Particularly, this paper classifies the total dollar value of greenfield FDI flows to each recipient country in terms of four different layers: the extensive and intensive margins of projects as well as the extensive and intensive margins of source countries. Applying the system GMM estimator, this paper finds that AfT not only increases the dollar value of FDI flows to the recipient countries but also helps diversify the greenfield projects and source countries. In addition, this paper finds that AfT has a greater effect for greenfield FDI from donor (developed) countries than from non‐donor (developing) countries. Among the three components of AfT, aid for trade‐related infrastructure and aid for trade policy regulations are found to have positive links with greenfield FDI, irrespective of source‐country groups, yet their effects are larger for developed source countries. In contrast, aid for building productive capacity hinders greenfield FDI flows from non‐donor countries, while it promotes greenfield FDI from donor countries. We offer some explanations for this finding.     

Site selection to test an integrated approach to agricultural research for development: combining expert knowledge and participatory Geographic Information System methods

The sub-Saharan Africa challenge programme is designed to address the problems of failures of agricultural markets, inappropriate policies and natural resource degradation, that contribute to the continuing deterioration of livelihoods and food security in the region. It is seeking to do this by redefining the roles of scientists and farmers through collaborative learning processes, addressing questions about the level, timing, type and formof participation, as well as themost effective approaches andmethods to foster them. The research domains of the programme deal with sustainable intensification of smallholder agriculture, the sustainable management of natural resources, the development of efficient markets, and the promotion of enabling policies. One question that was addressed in designing the initiative was deciding where to work so as to maximize the chances of successful testing of this new approach, so that it would lead to significant reductions of rural poverty. A participatory process was put in place to design a framework to accomplish this site selection, and then to apply it in west, east and southern Africa. A mixture of spatial data analysis and expert knowledge on spatial and non-spatial factors was used, and one primary site in each region was identified to form the basis for the next phase of the challenge programme. Several lessons were learnt from the process, including the importance of adapting themethods to actual conditions, the increased utility of targetting when the quantitative and the qualitative are freely combined, and the continued need for baseline spatial and non-spatial data to improve the targeting of research in the future that is designed to alleviate poverty in sub-Saharan Africa.     

Social aspirations in European banks: peer-influenced risk behaviour

We test a sample of 3,586 banks from 33 European countries to determine whether performances above or below a social aspiration level (median performance of peer banks) influence banks’ aggregate risk levels. Our results are consistent with the behavioural theory of the firm and prospect theory in that we find that bank performance below a bank’s social aspiration level is followed by increased aggregate risk, i.e. risk-taking behaviour in the subsequent year. Although under-performing banks tend to be risk-takers, large banks and banks with high aggregate risk levels tend to limit the increase in their aggregate risk levels.     

Human resource involvement in developing intellectual capital

This study examined the extent of a strategic approach to human resource (HR) management in small and medium professional service firms, and if it is used to develop intellectual capital (IC). Data were collected from 165 Australian professional service firms. Path analysis showed that HR involvement and the adoption of a collective set of strategic HR practices contributed positively to IC levels (particularly human, social and organizational capital). IC acts as a mediator between HR practices and firm performance. HR practices alone did not increase the performance of the firms studied. The findings are unique in the context of studies on small- and medium-sized professional service firms in that a holistic approach to assessing both HR practices and all IC components was taken rather than examining the individual construct relationships. In the context studied, HR influence is critical to increasing IC.     

Developing nexus eco-purchasing behaviour index (NEPBI) for Malaysia by using partial least square analysis

Quality & Quantity - The use of non-biodegradable products, along with products that deplete natural global resources, has been detrimental to the sustainability of our environment. The Nexus...     

Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance

We examine whether there is contagion from the US stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the US stock market coupled with negative returns are followed by higher co-exceedance between US and emerging stock markets. Using our approach and controlling for a set of market-related variables, we show that during the period from 1998 to 2014, financial contagion occurred, that is, unexpected negative events in the US market are followed by higher co-exceedance between US and Central and Eastern European stock markets. Even though contagion is stronger during the financial crisis, it also occurs in tranquil times.     

Competitive market equilibrium under asymmetric information

This paper studies the existence of a competitive market equilibrium under asymmetric information. There are two agents involved in the trading of the risky assets: an “informed” trader and an “ordinary” trader. The market is competitive and the ordinary agent can infer the insider information from the price dynamics of the risky assets. The insider information is considered to be the total supply of the risky assets. The definition of market equilibrium is based on the law of supply-demand as described by a rational expectations equilibrium of the Grossman and Stiglitz (Am Econ Rev 70:393–408, 1980) model. We show that equilibrium can be attained by linear dynamics of an admissible price process of the risky assets for a given linear supply dynamics.      

Why public–private cooperation is not prevalent in national parks within centralised countries

ABSTRACT

Shared governance between the public and private sectors can contribute to the efficiency and effectiveness of park management and to the fulfilment of its triple mandate of recreation, conservation, and economic pursuits. Nevertheless, park authorities in centralised countries are reluctant to introduce public–private partnerships on a wide scale. This qualitative study is to explore the reasons why public–private cooperation is not widespread within national parks in Vietnam and China. The findings show that both countries have made some sophisticated management choices in relation to public–private cooperation. The adaptive implications are discussed at the end of the paper.