The roles of news and volatility in stock market correlations during the global financial crisis

The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show that the majority of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis evolves the relative role of news grows in importance.     

Internationalization choices and Italian firm performance during the crisis

We focus on the relationship between internationalization choices and performance of Italian firms during the first period of the financial crisis (2007–2010). Making use of a new firm-level database, we build a six-class taxonomy of firms’ internationalization activities; then we estimate firms’ performance as a function of internationalization forms, also estimating propensity score and Heckman selection models in order to control for endogeneity and sample selection bias. Over the period 2007–2010, Italian firms moved (on average) towards more complex forms of internationalization. Empirical analysis finds that these upward changes are related with positive effects on firms’ (labour) productivity, also in a period characterized by the 2009 trade collapse. These findings put additional emphasis on the issue of the diversification of both products and markets as a goal to be pursued by firms, even in times of crisis, to remain competitive and make profits.     

Financial market crisis and financial market channel

Before a new financial architecture can be established in the wake of the financial crisis, the increasing importance of the global financial market channel must be fully understood. This importance was illustrated by the unexpectedly strong dampening effects of the financial crisis on the real economy and by the worldwide contagion of the crisis, including its spreading to emerging market economies that were macroeconomically stable. This article argues that the financial sphere is gaining in importance over the real sphere and that the impact of global financial determinants on economic activity is growing ever stronger. The keys to dealing with this change are greater transparency, stronger incentive structures and a stronger regulatory and supervisory framework.     

Dynamic return predictability in the Russian stock market

This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases during periods of low information flow. During periods of high information, conditional exposure to the local market risk and changes in oil price influence the expected return on the Russian stock market. The lagged global stock market factor and currency returns have insignificant influence.     

Bank credit,public financial incentives,tax financial incentives and export performance during the global financial crisis

This paper investigates the extent to which access to credit, public financial incentives and tax financial incentives affect export performance using the EU-EFIGE/Bruegel-Unicredit data set, covering firms within Austria, France, Germany, Italy, Spain, Hungary and the UK during the 2008 global financial crisis. The results show that firms receiving credit or benefiting from public financial incentives display higher export intensity and export a greater number of product lines compared to those that did not, especially in countries with better access to credit and/or financial incentives during the crisis. Further, firms benefiting from tax financial incentives show a better export performance compared to those that did not, regardless of the degree of access to credit and/or financial incentives in the country in which they operate. In addition, the effect of access to credit and public finance incentives on export performance is found to be size-dependent, while the effect of tax financial incentives is not. We suggest that governments should promote publicly funded financial incentives along with conventional schemes, such as R&D subsidies, to promote exports, particularly during a period of financial crisis.     

The corporate governance behavior and market value of Russian firms

I examine the relationship between corporate governance behavior and market value for a sample of 21 Russian firms. I use (1) fall 1999 corporate governance rankings for these firms, developed by a Russian investment bank, and (2) the ‘value ratio’ of actual market capitalization to potential Western market capitalization for these firms, determined independently by a second Russian investment bank. The correlation between ln(value ratio) and governance ranking is striking and statistically strong: Pearson r=0.90 (t=8.97). A worst (51 ranking) to best (7 ranking) governance improvement predicts a 700-fold increase in firm value. These results are tentative because of the small sample, but they suggest that corporate governance behavior has a powerful effect on market value in a country where legal and cultural constraints on corporate behavior are weak.     

Export performance of emerging market firms

I investigate the export performance of firms from emerging economies based on resource based view (RBV) of a firm. Based on review of extant literature, I identify firm size, research and development expenditure, advertising expenditure and business group affiliation to be important antecedents of level of exporting activities of a firm. I utilize a two-stage least square estimation (G2SLS) on a sample of 47,140 firm-year observations over a period of sixteen years from 1990–2005. The findings suggest that export sales and domestic sales are interdependent and affect each other. R&D expenditure and business group affiliation positively affect export sales, however advertising expenditure negatively affects export sales.     

Heavy tails and asymmetry of returns in the Russian stock market

The paper presents the robust estimates of tail indices for financial returns and returns asymmetry in the Russian stock market. We also investigate the relation between individual characteristics of companies and the degree of heavy-tailedness and asymmetry of returns. According to our estimates, the degree of heavy-tailedness is strongly related to the liquidity of stocks and the company size. At the same time, no significant effects on estimates of the tail indices of sectoral affiliation, cross-listing, adding into quotation lists, state ownership are revealed. As for the influence of the above-mentioned factors on the asymmetry of returns, the statistical reliability of relevant models is rather low. However, certain indicators of the asymmetry are observed for medium-sized regional companies, the majority showing a heavier right tail compared to the left tail. We also discuss the implications of our findings for managerial decisions and economic modeling. Our results may be useful for risk-managers, financial regulators, investors and policy-makers.     

Military regimes and stock market performance

We examine whether military regimes harm stock market performance by investigating stock returns in ten emerging markets under military and civilian rule. We find no evidence of military regimes having a significantly negative impact on stock returns. In the case of Thailand and Pakistan, we find a significant positive military return premium. These returns cannot be explained by economic cycles, stock market cycles, or returns volatility. Our findings are robust to worldwide stock market movements, tests for spurious regression bias and randomization-bootstrap tests. Our results contradict the common view that military rule has a negative impact on stock market performance.     

Debt as a source of financial stress in Australian households

This paper examines the role of demographic, socio‐economic and debt portfolio characteristics as contributors to financial stress in Australian households. The data are drawn from the most recent Household Expenditure Survey and relate to 3268 probability‐weighted households. Financial stress is defined, among other things, in terms of financial reasons for being unable to have a holiday, to have meals with family and friends, to engage in hobbies and other leisure activities, and general money management. Characteristics examined include family structure and composition, source and level of household income, age, gender and marital status, ethnic background, housing value, debt repayment of various types and credit card usage. Binary logit models are used to identify the source and magnitude of factors associated with financial stress. The evidence provided suggests that financial stress is higher in families with more children and those from ethnic minorities, especially when reliant on government pensions and benefits, and lower in families with higher disposable incomes and housing values. There is weak evidence that Australia's historically high levels of household debt cause financial stress.     

Family firms and financial performance: The cost of growing

This study examines the relationship between financial performance and family involvement for 523 listed and non-listed Colombian firms over 1996–2006. Using a detailed database and performing several panel data regression models, we find that family firms exhibit better financial performance on average than non-family firms when the founder is still involved in operations, although this effect decreases with firm size. With heirs in charge, there is no statistical difference in financial performance. Both direct and indirect ownership (control through pyramidal ownership structures within family business groups) affect firms' financial performance positively. However, this positive effect decreases with firm size. The results suggest that some kinds of family involvement appear to make firm growth expensive.     

Pricing of global and local sources of risk in Russian stock market

This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., Gérard, B., 1998, How big is the premium for currency risk? Journal of Financial Economics 49, 375–412]. We take US investors' point of view and use a sample period from 1995 to 2006. The results show that the world market risk together with the currency and local market risks are priced on the Russian stock market.     

股指期货的推出对我国金融市场的影响及策略研究

股指期货的推出作为完善证券市场运行机制的一部分,是我国金融发展的必然要求.如何利用股指期货的积极作用,同时防范其消极影响,成为我国证券市场面临的又一个挑战.本文通过论述股指期货的积极影响和不利因素,并结合我国的具体情况,提出我国发展股指期货的相应措施,以便对我国顺利发展股指期货有所帮助.     

Dynamic capabilities and firm performance in a financial crisis

In this study, an organization means an active actor that can, at least to some extent, adapt to the environment, mainly within the limits of its resources and capabilities. The article enhances understanding of and explains organizational adaptive behavior in weathering the storm in the business environment resulting from the global financial crisis of 2008. The literature on dynamic capabilities, organizational change, and innovation in the context of organizational performance and survival captures this kind of adaptive behavior. The empirical study builds on a quantitative survey and a qualitative case study covering the food processing, maritime, and media industries. Structural equation modeling, group analysis, and qualitative case comparisons shed light on the connection between the constructs in question. Implications for theory and practice culminate in suggestions for future research.     

The global financial crisis,financial linkages and correlations in returns and volatilities in emerging MENA stock markets

The 2007 United States financial crisis has developed into the most severe worldwide economic crisis since the 1927 Great Depression. In addition to its severe repercussion in North America and the European Union, the crisis has put pressure on emerging markets in general, and the Middle East and North Africa region in particular. For a better understanding of how the crisis affected the MENA region, we focus in this paper on the global and regional financial linkages between MENA stock markets and the more developed financial markets, and on the intra-regional financial linkages between MENA countries' financial markets.     

Multinational firms and the currency crisis

Every currency crisis of recent years has been accompanied by a migration of billions of short-term money. Both experts and laymen have again and again been amazed at the speed at which, at relatively short notice, these enormous sums could be mobilised.     

在金融危机中重视中国二三线广告市场的开发

当前,受全球性金融危机的影响,美、欧、日三大经济体经济遭受重创,复苏缓慢,也使我国的经济发展面临空前严峻的国际经济环境。而媒体市场竞争加剧,也迫切需要根据经济发展的大局调整各自的竞争策略。     

Austerity in the Baltic states during the global financial crisis

The Baltic states were arguably the countries most severely affected by the global financial crisis. This article discusses the boom preceding the crisis, the ensuing austerity policies and the economic effects of these policies. All three countries maintained fixed exchange rates, but the degree of fiscal austerity varied across the countries, with Estonia undertaking the strongest fiscal consolidation in 2009. The downturn was so swift and deep that expansionary policies were unlikely to affect short-term outcomes. Growth returned towards the end of 2009, largely driven by exports. The export performance cannot be directly linked to the austerity policies. The main lesson from the Baltics is that increased macroeconomic stability must be attained by avoiding overheating and unsustainable financial exposure. The challenge for the future is to ensure that austerity policies are implemented during economic booms.