Clustering in emerging equity markets

We consider pairwise tail behavior of return series for identifying the most important emerging markets clusters. Pairs of markets belonging to the same group present similar type and strength of interdependence during stressful times, represented by a common copula and a statistically equivalent measure of tail dependence. By collapsing data from d markets in to a group we overcome the difficult problem of finding their (higher dimensional) d-variate distribution. Results may help portfolio managers to deal with risk due to co-movements within clusters. We provide examples on how this can be done. Our study contributes to the discussion about the international association among stock markets during turbulent periods, and does not confirm the intuition that the observed association between extremes should be credited to linkages to leading markets. The study also confirms the importance of stock selection, particularly among the non-dominant stocks, instead of holding market-value weighed portfolios of stocks from countries within the same region.     

Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively.     

Efficiency tests in the Spanish futures markets

The Spanish futures markets, the MEFF RENTA FIJA, and the MEFF RENTA VARIABLE, are among the fast-growing futures markets in the world. These markets are known for their cutting-edge technological innovations related to trading, providing information, clearing, and settlement. The growing importance of these markets for both foreign and domestic investors motivated the examination of their efficiency. Test results from serial correlations, unit root tests, and variance ratio tests overwhelmingly show that the random walk hypothesis cannot be rejected, indicating that the MEFF markets are efficient. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 59–77, 1999     

Looking for contagion in currency futures markets

This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak‐form efficient. However, this weak‐form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion‐in‐mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion‐in‐volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957–988, 2003     

Measuring transparency and disclosure at firm-level in emerging markets

Transparency and disclosure are integral to corporate governance. In this paper, we use a new dataset to analyze Transparency & Disclosure scores (T&D score) in 19 emerging markets for 354 firms representing 70% of S&P/IFCI Index market capitalization over the 3 years ending in 2000. We analyze differences across countries, economic sectors and trend over the 3 years. We find that the Asian emerging markets and South Africa have significantly higher transparency and disclosure compared to the Latin American, Eastern European, and Middle Eastern emerging markets. The gap between the Asian emerging markets and South Africa over other emerging markets has increased over the last 3 years. We do not find any significant differences in T&D scores among economic sectors. Changes in the T&D scores over the last 3 years, however, differ by economic sectors for the 6 markets with the largest investable market capitalization and/or number of observations, viz. Brazil, Poland, South Africa, India, Thailand, and Korea. We then study the relationships between T&D scores and cross-holdings for the 6 emerging markets. For the 6 markets except Korea, correlation between cross-holdings and T&D scores is negative. For the 6 markets except South Africa, correlation between price-to-book ratios and T&D scores is positive. We conclude with a discussion on further research.     

Gendered consumer competences in households with one vs. two adults1

Consumption is gendered. Some markets can be described as female‐dominated, while others can be described as male‐dominated consumer areas. The departure of this article is observed gender differences in consumer competences, measured by men and women's self‐reported efforts to stay informed on different markets. Three central gender research hypotheses are applied to investigate the observed gender differences in consumer competences. Nowadays, modern consumer markets are characterized by abundance, complexity and rapid changes, making it hardly possible for any consumer to master all markets he or she operates in. Because very much of the consumption takes place within the households, it should be convenient to live in a household with two adult persons who can share responsibilities and stay informed on the different segments of the markets. However, many households consist of only one adult person. Our main concern has been to investigate whether the observed gender differences in consumer competences could be explained by the specializing hypothesis, i.e. that the gendered pattern relies on a gendered division of consumer competences within couple households; in other words, that gender differences in consumer competences among single‐person households should be absent, or significantly lower, than among couple households. In case we would not find support for the specializing hypothesis, two other probable explanations are also put forward: the traditional gender difference hypothesis and the selection hypothesis. These three hypotheses are tested in a data material based on 2000 telephone interviews from the SIFO survey, collected in 2007.     

Selecting optimal intermediary channels in emerging markets: The case of Vietnamese toiletries

Abstract

Domestic distribution in Vietnam is characteristic of an emerging market in the beginning stages of modernization, with frequent changes in retail format, a fragmented distribution structure, and ambiguous regulations. This study uses field surveys and comparative analyses of individual enterprises in Vietnam’s toiletry products industry to identify suitable channel strategies for emerging markets in the early stages of distribution modernization. The results indicate that partnership channels are more suitable than hierarchy and market governance channels. Moreover, among the various types of intermediaries, distributors provide a key role in emerging markets where transportation functions are undeveloped. Finally, the study investigates the various methods of partner selection, finding that effectiveness-oriented networks are superior to large-scale efficiency-oriented networks because they have greater channel coverage in modernizing emerging markets. The findings demonstrate the optimal channel structures and partner selection criteria for distributors in emerging markets.     

The Changing Role of Financial Stress,Oil Price,and Gold Price in Financial Contagion among US and BRIC Markets

The objective of this paper is to explore the determining factors behind financial contagion between US and BRIC (Brazil, Russia, India, and China) equity markets. To this end, we investigate the effects of global macroeconomic factors on the time‐varying correlations among these markets obtained by asymmetric dynamic conditional correlation method. Utilizing quantile regression analysis, we examine the determinants of financial contagion at different levels of time‐varying correlations. The results of quantile regression analyses reveal that global financial crisis (GFC) (2008) leads to changes in the dependence structure between dynamic conditional correlations among equity markets and global macroeconomic factors, such as global financial stress, oil prices, and gold prices. Following the GFC, monetary, and fiscal policy changes in the BRIC markets and hence changing macroeconomic risks of these markets are conducive to these changes. Our findings also demonstrate the importance of cross‐market rebalancing channel for information transmission across US and BRIC markets.     

Volatilities in emerging MENA stock markets

This article examines the interrelationships among the emerging stock markets of the Middle East and North Africa (MENA) region, as well as the relationship between each MENA stock market and the larger and more developed markets of Europe and the United States. It explores whether MENA stock markets can offer international investors unique risk/return characteristics to diversify international and regional portfolios. This study adds to the existing literature by focusing—for the first time— on the dynamic relationships in the volatilities of the returns in MENA stock markets. The econometric part of the article uses the causality‐in‐variances GARCH model, the TARCH and ARCH‐M models, and VAR analysis to model conditional volatilities in stock market returns and the dynamic responses of volatilities to innovations in conditional variances. © 2006 Wiley Periodicals, Inc.     

Manipulation in Conditional Decision Markets

Conditional decision markets concurrently predict the future and decide on it. These markets price the impact of decisions, conditional on them being executed. After the markets close, a principal decides which decisions are executed based on the prices in the markets. As some decisions are not executed, the respective outcome cannot be observed, and the markets predicting the impact of non-executed decisions are void. This allows ex-post costless manipulation of such markets. We conduct two versions of an online experiment to explore scenarios in which a principal runs conditional decision markets to inform her choice among a set of a risky alternatives. We find that the level of manipulation depends on the simplicity of the market setting. When a trader is alone, has the power to move prices far enough, and the decision is deterministically tied to market prices or a very high correlation between prices and decision is implied, only then manipulation occurs. As soon as another trader is present to add risk to manipulation, manipulation is eliminated. Our results contrast theoretical work on conditional decision markets in two ways: First, our results suggest that manipulation may not be as meaningful an issue. Second, probabilistic decision rules are used to add risk to manipulation; when manipulation is not a meaningful issue, deterministic decisions provide the better decision with less noise. To the best of our knowledge, this is the first experimental analysis isolating the effects of the conditional nature of decision markets.     

Price discovery in the hang seng index markets: Index,futures, and the tracker fund

In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) model. Minute‐by‐minute data from the Hang Seng Index, Hang Seng Index futures, and the tracker fund show that the movements of the three markets are interrelated. The futures markets contain the most information, followed by the spot market. The tracker fund does not contribute to the price discovery process. The three markets exhibit spillover effects, indicating that their second moments are linked, even though the flow of information from the tracker fund to the other markets is minimal. Overall results suggest that the three markets have different degrees of information processing abilities, although they are governed by the same set of macroeconomic fundamentals. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:887–907, 2004     

Price transmission and volatility spillovers in Asian rice markets: Evidence from MGARCH and panel GARCH models

ABSTRACT

This article examines world rice price transmission and volatility spillovers across six major Asian rice markets over the period 2005-13. In addition to the conventional GARCH models, we use a panel GARCH framework to estimate the spillover effects along with the consideration of heterogeneity and interdependence among countries. Empirical results suggest that changes in the world rice price affected not only the price levels of domestic rice markets but also their conditional variances. Moreover, interdependence across rice markets contributed to a strong spillover of a price shock in one country to another within the region.     

Return and volatility transmission between China's and international crude oil futures markets: A first look

We examine return and volatility transmission between the newly established crude oil futures in China and international major crude oil futures markets using intraday data. For the first time, we document evidence for cointegration relationships among these oil futures markets. Both China's and Oman's oil futures markets react to deviations from their long-run equilibrium with West Texas Intermediate and Brent oil futures. There is also new evidence for asymmetric volatilities and correlations across these oil futures markets. Furthermore, the Chinese oil futures have stronger linkages with the international major futures markets than Oman futures.     

中国证券市场A、B、H股的动态相关关系研究

文章将沪市(深市)A股、沪市(深市)B股和H股纳入一个研究框架,采用1995-2008年样本数据,运用GJR-GARCH-ADCC模型对三个市场的收益率条件相关性进行了实证分析.结果表明,A股和B股,B股和H股相关性受非对称信息影响,而A股与H股间不受非对称影响.本文还检测了三个主要的市场开放政策对市场间相关关系影响,发现B股市场开放后,A、B市场相关关系有明显的结构变动,联动性增强;QDII政策的实施加深了深市A股和H股,深市B股和H股的联系;但QFII政策对各市相关性影响不明显.整体说明国内证券市场,特别是A股和B股,A股和H股,融合度加深,联动性增强.     

Contractual Completeness: A Comparison of Two Heterogeneous Emerging Markets

ABSTRACT

Interfirm contractual relations form an essential part of firms' survival. Such relations will likely differ across markets due to country-specific factors. Despite this understanding, there are few studies that examine interfirm contractual relations across markets. This article examines determinants of contractual completeness in two heterogeneous emerging markets (Tanzania and Poland). The terms “advanced” (Poland) and “less advanced” (Tanzania) are used to distinguish these two emerging markets and in the development of the hypotheses. The findings indicate that the dimensions involving weaker relational ties among firms have a stronger positive effect on contractual completeness in the relatively advanced emerging market than in the less advanced one, while stronger relational dimensions had a stronger positive effect in the less advanced emerging market.     

Dependence dynamics of stock markets during COVID-19

Stock markets have exhibited increased returns connectedness during the COVID-19 period. We examine the returns dependence among 42 stock markets classified under various emerging and developed groupings. We apply several dependence measures to examine the returns connectedness among the markets. Our results show that stock markets from the G-7 and Emerging Frontier and Asian (EFA) region exhibit high connectedness with other international markets, while Middle East and North African (MENA) and Latin American (LA) stock markets offer high diversification opportunities through low returns connectedness. The returns coherence of Central and East European (CEE) and G-7 markets increase significantly during the COVID-19 period which supports the hypothesis of contagion. However, during the pandemic MENA stock markets (excluding Greece) and most EFA markets (excluding China, Singapore and Korea) remain less cointegrated with other international equity markets. Our results have implications for individual and institutional investors, fund managers and other financial market stakeholders.     

Manufacturing for overseas private labels: A win–win strategy for retailers and producers

Abstract

The study discusses the use of private labels, both for retailers and manufacturers, within the context of international markets. It is proposed that agreements between manufacturers and retailers from different markets may solve or mitigate some abiding frictions and serve the interest of both parties. Using data collected through 101 in-depth interviews among marketing managers, qualitative and quantitative procedures were used to explore producers' attitudes and behaviour in regard to agreements to manufacturing for overseas retailers' private labels. The study revealed that lower transaction costs, quicker penetration into new markets and retailers' reputations among customers are the dominant motivators while short-term strategy, appropriate mainly for grocery items, increases dependency on retailers and deters manufactures from contracting with overseas retailers' private labels. The study also found that gaps exist between manufacturers' perceptions and actual behaviour, mediated particularly by firm size and product categories. The findings, which reflect observed practice, are interpreted through theoretical propositions related to earlier studies. Managerial implications are provided.     

A framework for comparing socially responsible investment markets: an analysis of the Dutch and Belgian retail markets

The increasing popularity of socially responsible investment among individual investors throughout Europe reveals the need for a framework that allows the comparison of socially responsible retail markets in different European countries. This article proposes such a framework, containing 16 different characteristics of socially responsible retail markets describing the size, institutionalization and nature of this market and correcting for differences in the size of countries and financial markets. When this framework was applied to the Dutch and Belgian socially responsible retail markets, differences were found with respect to the nature of both markets (specifically the use of non‐financial criteria, the asset allocation, the number of solidarity funds and investors' preferences for socially responsible savings products). Similarities were found with respect to the (absolute and relative) size and the degree of institutionalization of the socially responsible retail markets.     

Competitive product lines with quality constraints

Competing firms often use product lines to screen different types of customers. Examples include, in general markets, product lines that screen the purchasing ability or preference for quality; in credit markets, product lines that screen the risk of the projects with different collateral; in insurance markets, product lines that screen the risk of accident with different coverage; and in labor markets, wage schedules that screen the employees’ abilities with different education levels. In some of these markets there can be some natural quality constraints: a maximum available quality in general markets, no negative collateral in credit markets; coverage not above 100% in insurance markets; minimum education level in labor markets. We present sufficient conditions for the existence of a pure strategies equilibrium (in such markets) under differentiation and a continuous distribution of customer types. We show that the equilibrium exists if there is a sufficiently high degree of differentiation among firms. Furthermore, we show that this equilibrium involves, under certain general conditions, pooling of customer types at the top and at the bottom of the distribution of customer types. The middle types may still be screened by the firms.