Stock market return and volatility: day-of-the-week effect

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.     

Spread determinants and the day-of-the-week effect

In this paper, we examine the determinants of the dollar bid–ask spread for each day of the week over the period 1998–2008. Using a panel cointegration approach, we estimate the determinants of the spread in both the short-run and long-run. Our main findings suggest that: (1) there are day-of-the-week effects for certain groups of firms; (2) the panel error correction model also reveals day-of-the-week effects, and the speed of adjustment to equilibrium following a shock is faster on Fridays; and (3) the effects of volume and volatility on the spread are mixed, with only some sectors experiencing the day-of-the-week effect.     

The day-of-the-week effect is weak: Evidence from the European real estate sector

The day-of-the-week effect for the securitized real estate indices is investigated by employing daily data at the global, European and country level for the period 1990 to 2010. We test for daily seasonality in 12 countries using both full sample and rolling-regression techniques. While the evidence for the former is in line with the literature, the results for the latter cast severe doubts concerning the existence of any persistent day-of-the-week effects. Once we allow our sample to vary over time, the average proportion of significant coefficients per day ranges between 15 % and 24 %. We show that higher average Friday returns evident in previous literature, remain significant in 21 % of the rolling samples. We conclude that daily seasonality in the European Real Estate sector is subject to the data mining and sample selection bias criticism.     

Forecast on silver futures linked with structural breaks and day-of-the-week effect

Silver future is crucial to global financial markets. However, the existing literature rarely considers the impacts of structural breaks and day-of-the-week effect simultaneously on the volatility of silver future price. Based on heterogeneous autoregressive (HAR) theory, we establish six new type heterogeneous autoregressive (HAR) models by incorporating structural breaks and day-of-the-week effect to forecast the volatility. The empirical results indicate that new models’ accuracy is better than the original HAR model. We find that structural breaks and the day-of-the-week effect contain much forecasting information on silver forecasting. In addition, structural breaks have a positive effect on the silver futures’ volatility. Day-of-the-week effect has a significantly negative influence on silver futures’ price volatility, especially in the mid-term and the long-term. Our works is the first to combine the structural breaks and day-of-the-week effect to identify more market information. This paper provides a better forecasting method to predict silver future volatility.     

The stochastic volatility in mean model: empirical evidence from international stock markets

In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is developed elsewhere for Autoregressive Conditional Heteroscedastic (ARCH) models, known as the ARCH in Mean (ARCH‐M) model. The estimation of ARCH models is relatively easy compared with that of the Stochastic Volatility (SV) model. However, efficient Monte Carlo simulation methods for SV models have been developed to overcome some of these problems. The details of modifications required for estimating the volatility‐in‐mean effect are presented in this paper together with a Monte Carlo study to investigate the finite sample properties of the SVM estimators. Taking these developments of estimation methods into account, we regard SV and SVM models as practical alternatives to their ARCH counterparts and therefore it is of interest to study and compare the two classes of volatility models. We present an empirical study of the intertemporal relationship between stock index returns and their volatility for the United Kingdom, the United States and Japan. This phenomenon has been discussed in the financial economic literature but has proved hard to find empirically. We provide evidence of a negative but weak relationship between returns and contemporaneous volatility which is indirect evidence of a positive relation between the expected components of the return and the volatility process. Copyright © 2002 John Wiley & Sons, Ltd.     

Senior female international managers: empirical evidence from Western Europe

Abstract This paper is an assessment of the international career transitions made by senior female managers in Western Europe. The perspective explored is that of currently employed senior female managers in a wide range of companies, who have made at least one international career move. The article is based on data collected from interviews with fifty senior female international managers. The voices of the female managers illustrate difficulties they encounter in a 'man's world', and confirm that there is still much improvement to be made in order to accommodate and entice more women to senior management assignments. The study, for the first time, assesses an exclusively senior sample of female international managers in Western Europe. Previous studies have established that, throughout Europe, women's promotion into senior domestic management positions has been very slow, despite legislative changes, including the European Union's social protocol, to enforce issues related to equal opportunity such as equal pay and measures against sex discrimination (Davidson and Cooper, 1993). This article examines a number of explanations from the relevant literature and analyses the empirical data collected from the fifty interviewees in order to develop an understanding of senior female international career progressions in Europe. From the data, a model of the typical senior female international path was developed (Linehan, 2000). This research is particularly relevant, as existing European studies have not specifically addressed issues pertaining to senior female international managers.     

Public capital formation and productivity growth: Some international evidence

This paper examines the proposition that public capital spending fosters productivity growth in the private sector using a pooled sample of seven OECD countries over the 1963–1988 period. The results indicate that there is a statistically significant positive relationship between public capital formation and the growth rate of labor productivity. This result is not sensitive to whether there is constant returns to scale to some or all inputs, whether the stochastic formulation of the pooled model is a fixed- or a random-effect specification, whether the model includes an energy variable, or whether the data are expressed in the log-differenced or logarithmic form.     

Movie release strategy: Theory and evidence from international distribution

Choosing the right time to release a new movie may be the difference between success and failure. Prior research states that the “bigger” a blockbuster is, the more likely it is (and should be) released during a high‐demand week. We present a theoretical framework which is consistent with this observation but adds a rather surprising theoretical prediction: among non‐blockbuster (i.e., niche) movies, everything else constant, the greater a movie's appeal, the more likely it is released during a low‐demand week. In other words, the relation between movie appeal and high‐demand‐week release is U‐shaped: it decreases at low levels of overall appeal (niche movies) and increases at high levels of overall appeal (blockbusters). We provide intuition for this novel result and argue that it is robust to a number of changes in functional form assumptions. We then show that the theoretical results are consistent with the evidence from an extensive data set on international releases. Specifically, we run a series of movie‐country‐pair regressions with high‐demand‐week‐release as a dependent variable and exogenous shocks to the movie's appeal as an explanatory variable. As predicted by theory, the regression coefficients have opposite signs for the blockbuster and non‐blockbuster cases.     

Modeling hard and soft facts for SMEs: Some international evidence

This paper asks how well the use of quantitative and qualitative variables can improve the assessment of companies' creditworthiness and how this result can be influenced by the economic and financial peculiarities of countries. We harden qualitative variable measures to model soft information aimed at scoring microfirms, small, and medium‐sized firms. The structural survey covers Germany, Italy, and the UK in a sample of about 17 thousand companies observed during the financial crisis. Soft facts are determined within the balanced scorecard framework in order to find out the impact of customers, business processes, learning and growth, and financial perspectives. Our findings show that credit models integrating soft variables optimize the risk estimation, but estimates are country‐specific and should be tailored to the characteristics of each economic system.     

Long-run monetary neutrality and the unit-root hypothesis: further international evidence

This paper re-examines recent international evidence on monetary neutrality based on long, low-frequency data and the reduced-form tests of Fisher and Seater [Am. Econ. Rev. 83 (3) (1993) 402]. Using three popular tests, we show that it is generally difficult to determine the order of integration of money in a robust and satisfactory way. We, therefore, base monetary-neutrality conclusions on tests for unit roots, constructed to have good size and power. Long-run neutrality holds for Brazil, Canada, Sweden and Mexico’s M2. For Argentina, Australia, Italy, Mexico’s M1, and the U.K., LRN does not hold. For the U.S. and Denmark monetary neutrality is not addressable.     

The benefits of international diversification: Re-examining the effect of market allocation constraints

This paper makes adjustments to the data, methods and perspective as presented in Chiou (2008) to report lower potential benefits from international diversification for U.S. investors during the previously reported 1988–2004 investment period. The extended results for 1988–2014 are also presented. Naive international diversification is not found to provide positive return-to-risk (RR) gains or volatility reducing benefits versus the U.S. market. Portfolios optimized with no short sales and weakened weight constraints on positive market allocations can provide RR gains and volatility reducing benefits. The positive RR benefits from diversification out of the U.S. market portfolio are not found to be statistically significant for both periods measured.     

Housing supply price elasticities revisited: Evidence from international, national, local and company data

This paper re-examines one of the key parameters in housing economics – the price elasticity of housing supply. In the international literature, there is little agreement on its value or even on the appropriate methodology for its measurement. The paper argues that different spatial scales capture different aspects of the problem and, therefore, there is merit from comparing results at international, national, local and firm level. Using standardised models, there is evidence that the responsiveness of housing supply to market conditions is lower in Britain than in the US or Australia. However, supply is more responsive to the change in house prices than their level. With exceptions, most past research on supply in Britain concentrates on the national or regional dimensions. The paper finds that there are also insights to be obtained from examining local and firm level data. Local estimation across the Thames Gateway shows the importance of planning constraints on supply elasticities, but historical patterns of land use and geography are also important. Firm level data indicate that supply elasticities are greater for large firms than for small firms.     

The effect of international firm mobility on wages and unemployment

Although the increase in international firm mobility is well documented, its effects on macroeconomic aggregates and the labour market remain controversial. Multinational enterprises (MNEs) benefit from an international outside option during wage bargaining, leading to a decrease in average wages. However, a strategic incentive to hire extra workers in a foreign (home) plant in order to reduce wages in the home (foreign) plant has an indirect positive effect on wages due to spillovers resulting from an increased demand for labour. In a framework of frictional unemployment, permitting MNEs leads to a decrease in unemployment. Abstracting from transport and plant fixed costs, MNEs lead to higher wages. Including transport and plant costs generally leads to lower wages, though the effects are small. The strategic hiring effect is important in mitigating the fall in wages.     

Female expatriates in international business: empirical evidence from the German clothing industry

The article empirically analyses the situation of male and female expatriates in the German clothing industry in terms of selection, preparation, support during assignment, job satisfaction, goal attainment and future perspectives. In general, female expatriate managers face more difficulties than male expatriates at each stage of the international transfer cycle. The results of this single sector study demonstrate the importance of the cultural, national and sectoral context for the interpretation of results.     

New international evidence on the cyclical behaviour of output: Kuznets swings reconsidered

Spectral analysis is a particularly valuable method for seeking dependences expressed as lags between different magnitudes. Its use in this article was first determined by the search for maximum objectivity in the observation of time series. The possibility of applying it to a large number of series was then examined. This twin requirement resulted from a desire to avoid the criticism generally levelled at statistical studies concerning cyclical movements of the economy. Spectral analysis is based on the theory of stochastic processes. It starts with the core hypothesis that a given time series consists of a large number of sinusoidal components with different frequencies (univariate spectral analysis). It makes it possible to divide a particular category of records into a set of oscillations of different frequencies and then to show the links between the components with the same frequency in the various series examined (cross-spectral or bivariate spectral analysis). It has had limited applications in cliometrics to date. It is used here to determine the frequency of GDP series of several OECD countries. A reminder of the method Sect. 2 is followed by successive examination of the various series chosen, the treatment of these series and the results of spectral analysis Sect. 3. It is then possible as a conclusion to show the prospects of this type of approach and to synthesise a completely new major result for understanding economic dynamics in nineteenth and twentieth centuries, that is to say the existence of a single intermediate cycle with 15–20-year frequency that calls into question or even partially contradicts previous work on economic cycles.      

Further evidence on causality and feedback across international stocks

This study extends the previous research on interdependence of international stock markets by using Geweke's (1982) causality test on seventeen stock market indices. The impact of the stock market crash of October 1987 on other national stock markets is investigated by disaggregating the data into pre- and post-crash periods. Direction of causality and feedback is studied using standard causality tests. The results indicate very few stock markets (namely, the U.K. and the U.S.A.) influence other markets significantly. Almost all markets react to other markets' past and present movements. Traditional major markets (Japan, France, and Canada) do not seem to be influential at all.     

The advertising effect of university athletic success: A reappraisal of the evidence

In a 1987 article appearing in the Journal of Political Economy, R.E. McCormick and M. Tinsley argued that curtailment of university athletic programs could harm academic programs by reducing average freshman SAT scores. This study uses recent data and an improved specification to provide evidence that successful athletic participation does not provide measurable academic benefits to the university. In fact, evidence is provided that a university's policy regarding admissions standards primarily determines the average level of freshman SAT scores.     

The effect of human resource practices on organizational performance: evidence from Greece

The present study addresses a central research question: how do human resource management practices contribute to organizational performance? We examined the following HR practices: (1) job security; (2) selective hiring; (3) self-managed teams and decentralization of decision making; (4) compensation policy; (5) extensive training; and (6) information sharing. We surveyed food managers in Greece and recorded their perceptions on HR practices and their relation to firm performance.

Results provide overall support for all HR practices except of job security. Selective hiring was found to be a key practice that improved organizational performance. Compensation policy, information sharing, decentralization of decision making and extensive training were significant predictors for all performance variables. Directions for further research are provided.