Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach

We use regular vine (r-vine), canonical vine (c-vine) and drawable vine (d-vine) copulas to examine the dependence risk characteristics of three 20-stock portfolios from the retail, manufacturing and gold-mining equity sectors of the Australian market in periods before, during and after the 2008–2009 global financial crisis (GFC). Our results indicate that the retail portfolio is less risky than the manufacturing counterpart in the crisis period, while the gold-mining portfolio is less risky than both the retail and manufacturing sector portfolios. Both the retail and gold stocks display a higher propensity to yield positively skewed returns in the crisis periods, contrary to the manufacturing stocks. The r-vine is found to best capture the multivariate dependence structure of the stocks in the retail and gold-mining portfolios, while the d-vine does it for the manufacturing stock portfolio. These findings could be used to develop dependence risk- and investment risk-adjusted strategies for investment, rebalancing and hedging which more adequately account for the downside risk in various market conditions.     

Evaluating the efficiency of municipalities in the presence of unobserved heterogeneity

Journal of Productivity Analysis - The paper applies some of the latest advances of probabilistic approach to account directly for unobserved heterogeneity in the estimation of efficiency measures...     

New R&D management paradigms: rethinking research and technology organizations strategies in regions

The R&D management paradigms of research and technology organizations (RTOs) have been discussed in the past. Academics have analysed their strategic challenges in view of the new demands posed by new competitive environments for their SME clients. New innovation models proposed recently have captured the attention of policy makers. The objectives of this paper are to analyse these models in the case of a particular model of RTO: the R&D units in the Basque Country in Spain, launched with the aim of improving R&D and technology transfer efficiency. This paper is based on an empirical study of a group of specialized RTOs (R&D units) and its objective is to analyse a new paradigm of RTO and propose a model to identify the critical elements that influence performance and strategic alignment between R&D performers (RTOs) and their partners (in most cases SMEs).     

Bank lending channel of monetary policy： Evidence for Colombia,using a firms＇ panel data

In this paper we find empirical evidence of bank lending channel for Colombia, using a balanced panel data of about four thousand non-financial firms. We find that increases in the interest rate, proxiing for the monetary policy instrument, lead to a reduction in the proportion of bank loans, out of total debt, of the firms. This bank lending channel amplifies the effect of the traditional interest rate channel, which leads to a reduction in total debt and spending when monetary policy tightens. Our evidence suggests that firm size matters in the transmission of monetary policy through the bank lending channel： Smaller firms have a higher probability of being credit rationed after a tightening of monetary policy than （otherwise identical） larger firms.     

The ASEAN–Korea Trade In Services (AKTIS) Agreement: Its Impact on Indonesia and Other ASEAN Countries

To strengthen trade in services between ASEAN and Korea, in 2009 both sides signed and implemented the ASEAN–Korea Trade in Services (AKTIS) agreement. This article is the first to assess the trade implications of this agreement for Indonesia and other ASEAN countries. Despite the increasing volume of ASEAN–Korea trade in services since 2009, it is hard to say whether AKTIS was the only factor behind this encouraging growth. The agreement’s potential trade impact is, however, quite substantial. Given the importance of enhancing further trade in services between the ASEAN countries and Korea, we propose a number of specific liberalisation measures that Indonesia and other ASEAN countries could take to further strengthen such trade with their Asian neighbour.     

Do Investment Newsletters Move Markets?

We analyze the market impact of stock recommendations made by a single investment newsletter that focuses on instances of heavy insider trading. The market reacts positively to the actual insider trades and the associated Form 4 Securities and Exchange Commission (SEC) filings that attracted the newsletter's interest. The subsequent recommendations, which occur within a delay of several days, are associated with an even larger announcement period return and higher trade volume. Thus, despite the fact that recommendations are largely based on publicly available information on insider trades and the reach of the newsletter is limited, the newsletter has a significant impact on the market.     

Assessing the impact of educational differences in HCI design practice

Human–computer interaction (HCI) design generally involves collaboration from professionals in different disciplines. Trained in different design education systems, these professionals can have different conceptual understandings about design. Recognizing and identifying these differences are key issues for establishing shared design practices within the educational community. Contributing to this understanding, we examined whether and how two different populations of students have different knowledge structures with respect to HCI design. We adopted the romantic, conservative and pragmatic dimensions, previously investigated in the related research, to elucidate those differences. This paper compares one specific type of design artefact—conceptual frameworks—created by groups of students with different educational backgrounds: Arts and Engineering. It was based on a set of 22 criteria divided by two main domains: scheme (addressing form) and realm (focusing on contents). The obtained results show that students with background in Engineering (1) focus more on the product of design; (2) rely less on conceptual frameworks to guide the design process; and (3) produce artefacts that are more constrained in terms of signal-to-noise ratio, definition of a symbolic system, and information organization and shaping. We suggest that conceptual frameworks serve to communicate and understand design practice. We note that Engineering students seem to be more susceptible to fixation than Arts students and suggest that an emphasis of reflection-in-action could help compensating this problem.