Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

GEM research: achievements and challenges

This article analyzes the content and evolution of research based on the Global Entrepreneurship Monitor (GEM) project. We conducted a rigorous search of articles published in journals within the Thomson Reuters’ Social Sciences Citation Index^® through an exploratory analysis focused on articles using GEM data. The main findings of this study reveal that the institutional approach is the most commonly used conceptual framework. Also, although there are still few academic publications using GEM data, the number of articles is increasing, as are opportunities for future research.     

Stock Options and Firm Performance: New Evidence from the French Market

This study investigates the effect of stock option‐based compensation on the short‐term and long‐term performance of French companies. To the best of our knowledge, we provide the first empirical evidence describing the market reaction following initiations and renewals of Employee Stock Option (ESO) plans in France. We find that the French market reacts positively to initiations of ESO plans but does not consider their renewal as relevant information. Our results on the long‐term effect of ESO plans suggest that neither the size nor the value of the grants affect the firm's accounting and market performance. Similarly, corporate performance prior to the grant has no explanatory power of the size or value of the grant. This implies that, over our sample period, the relationship between option‐based compensation and corporate performance in France was inexistent, regardless of the direction considered.     

Longitudinal analysis of entrepreneurship and competitiveness dynamics in Latin America

This study analyzes the relationship between entrepreneurial dynamics in Latin-American countries and the level of competitiveness these countries show. Based on the research conducted by Wennekers et al. [Small Business Economics, 24(3):293–309, 2005] that demonstrates a U-shaped relationship between the country’s rate of entrepreneurship and its level of competitiveness and economic development, we hypothesize that Latin-American countries have a descending behaviour under the U-shaped curve approach. The results from three regression models support this hypothesis and suggest that competitiveness and economic growth deter entrepreneurial dynamics on Latin-American countries. We discuss that Latin-American countries need to improve some structural factors to achieve a high level of entrepreneurial dynamics.

Networks,Entrepreneurial Orientation,and Internationalization Scope: Evidence from Chilean Small and Medium Enterprises

During the last 20 years, the literature on internationalized small firms discussed at length the speed of internationalization, illustrating the importance of born globals. The geographic scope of small firm internationalization and its implications for international business and entrepreneurship theories has however been overlooked, especially with regard to firms based in Latin America. This study expands the research agenda on the effects of networks and entrepreneurship orientation for the internationalization strategy of small firms by examining their effects on internationalization scope. It uses survey data from small firms based in Chile. The findings suggest that the greater the number of networks utilized, the more entrepreneurs are likely to target markets based in diverse regions of the world. The study has managerial and policy implications, suggesting that nurturing diverse international networks can help entrepreneurs reach a broader number of markets.     

Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis

This paper is an empirical assessment of various aspects regarding interconnections among the largest world stock markets. The study investigates the dynamic connection structure of ten major stock markets using partial directed coherence (PDC) and graphical models. Recently, PDC has been introduced for a frequency domain analysis of linear Granger-causality based on modeling the underlying dynamics by vector autoregressive processes. It constitutes a powerful tool to explore the causal influence between complex multivariate processes in neuroscience area. The paper proposes using this tool to study the information flow and causal influence between international financial markets. The novel proposed approach offers many advantages and superiorities compared to the conventional methodologies for investigating financial links across stock markets. Applying PDC to ten opening and closing major stock index data allows the discrimination between directed and induced causality connections between financial markets. The graphical model summarizing the PDC results and instantaneous causality analysis shows the US, UK, Germany and Hong Kong have a consistently strong causality impact on price movements in major financial markets. The strong connection between the ten major financial markets supported by the empirical results tends to reduce the gain of international diversification and intensifies the risk of the international financial system instability.     

“Surfeiting,the appetite may sicken”: entrepreneurship and happiness

Do the presence and nature of entrepreneurship impact on national happiness, and are nations with happy citizens better for entrepreneurs to start new businesses? To provide tentative answers we survey the literature on entrepreneurship and subjective well-being and use various data sources to uncover the first evidence of the relationship between entrepreneurship and happiness at the country level. We find that opportunity-motivated entrepreneurship may contribute to a nation’s happiness but only to a certain point, at which the effects of happiness begin to decline. Moreover, our results suggest that a nation’s happiness affects early-stage opportunity-driven entrepreneurial activity.     

Entrepreneurial opportunities in peripheral versus core regions in Chile

Governmental policies tend to support and boost entrepreneurship in peripheral regions in many countries. This research revives the debate about specific regional policies designed to foster local new business creation, and the entrepreneurial framework conditions needed at the regional level for emerging regions such as Latin America. We applied one of the Global Entrepreneurship Monitor’s methodologies, the National Experts Survey, to a sample of 695 key informants in Chile at eight regions of which six are classified as peripheral. Using non-parametric statistics we compared the differences between peripheral and core regions. The main results indicate that peripherally located entrepreneurship experts perceive their regions as in a worse position than centrally located experts in terms of finance access and physical infrastructure. On the other hand, the results indicate that peripheral entrepreneurship experts detect more market dynamism in their regions and surprisingly perceive general policy and government programs as supporting entrepreneurship although the Chilean government had not promoted many regional policies.     

Quantifying the relationship between entrepreneurship and competitiveness development stages in Latin America

This research aims to quantify the importance of a country??s entrepreneurship level in terms of its competitiveness rates. Our hypothesis is that those countries entrepreneurship growth rates increase their competitiveness indicators and that this entrepreneurial improvement could be a key factor in reaching the next stage of development. We establish this relationship using a longitudinal database of Latin American countries that participated in the Global Entrepreneurship Monitor (GEM) and the Global Competitiveness Reports of the World Economic Forum (WEF) from 2001 to 2006. GEM and WEF construct aggregated indexes using several variables to rate each country??s entrepreneurship activity and competitiveness development. We use a discriminant analysis to identify various countries?? competitiveness subgroups and show how each country??s entrepreneurship rates have weight in different stages of competitiveness, placing a special emphasis on Latin America. Our results suggest that Latin American countries need to gain entrepreneurial dynamics and economic (and competitiveness) development by transforming their typical self-employment or low value-added new ventures for local markets into strong, innovative networked firms competing globally. Some management and policy implications are also discussed.