A State‐Price Volatility Index for China's Stock Market

This study derives a volatility index for China's stock market with similar properties to the Chicago Board Options Exchange Volatility Index (the ‘VIX’). A long‐term benchmark of historic volatility expectations is here presented for China from 1996 to 2011, called the ‘China‐ State‐Price Volatility (SPV)’. Construction of this index involves the use of SPV methodology, using implied volatility calculated from options on the Hang Seng China Enterprise Index (HSCEI). Historic open–high–low–close volatility on the Shanghai Composite Index (SHCI) is also used to extend the benchmark prior to the availability of HSCEI options data. The China‐SPV successfully forecasts realised volatility for the Shanghai Stock Exchange. It also serves as a ‘fear gauge’ in that it monitors daily movements of the SHCI in the same way that the VIX monitors the S&P 500 index (Whaley, 2009). The China‐SPV evidences an increasing relation with the US market in terms of the dynamic correlation of levels and changes with the VIX since 2004.     

The Persistence of IPO Mispricing and the Predictive Power of Flipping

This paper examines underwriters' pricing errors and the information content of first-day trading activity in IPOs. We show that first-day winners continue to be winners over the first year, and first-day dogs continue to be relative dogs. Exceptions are "extra-hot" IPOs, which provide the worst future performance. We also demonstrate that large, supposedly informed, traders "flip" IPOs that perform the worst in the future. IPOs with low flipping generate abnormal returns of 1.5 percentage points per month over the first six months beginning on the third day. We show that flipping is predictable and conclude that underwriters' pricing errors are intentional.     

Exploitation or Choice? Exploring the Relative Attractiveness of Employment in the Maquiladoras

This study investigates the relative attractiveness of production level jobs provided by multinational firms in Mexico's maquiladora industry. We take the position that workers themselves are an important and often overlooked source of information relevant to the controversy focusing on the responsibilities of multinational companies to their employees in the developing world. We conducted interviews with 59 maquila production level workers in the Mexican cities of Cd. Juárez and Chihuahua. Using a relative attractiveness framework that compared maquila jobs to other employment available in the local economy, maquila line and technical workers responded to questions addressing why they were working at a maquila, their work history, the attractiveness of maquila jobs compared to both their prior jobs and the jobs held by friends and family, and whether they planned to continue working in the maquilas. While the responses from maquila workers are diverse, they suggest that maquila jobs provide attractive employment for the economically disadvantaged in Northern Mexico.     

Asymmetric corporate exposures to foreign exchange rate changes

Research examining firms' economic exposures to exchange rate movements has not differentiated periods of foreign currency appreciation and depreciation when estimating exposure coefficients. Recent theoretical developments regarding real options and pricing-to-market suggest corporate exposures may be asymmetric (i.e., the financial performance impact of a foreign currency appreciation may not be offset by the currency's depreciation). Our empirical analysis indicates that for the small percentage of U.S. manufacturing firms exposed to currency appreciations or depreciations, their exposures are asymmetric. © 1998 John Wiley & Sons, Ltd.     

Creating value through mutual commitment to business network relationships

A structural model of business relationship development in a business network context is formulated and tested on data from the European International Marketing and Purchasing (IMP) project. The empirical analysis demonstrates a causal chain from business network connection through mutual commitment and mutual dependence to value creation in the relationship. The results show that mutuality in business network relationships is critical in developing interfirm systems of workflow interdependence that promote the creation of value. This also implies that, through their interaction in business network relationships, firms in business markets organize and share an unbounded structure of interdependent activities, enabling them to achieve greater value than would be the case if they did not engage in relationship development. Copyright © 1999 John Wiley & Sons, Ltd.     

Border Bargains and the “New” Sovereignty: Canada-US Border Policies from 2001 to 2005 in Perspective

From 2001 to 2005 Canada and the US dramatically altered the way each country views its border. In response to the attacks on New York City and Washington DC, Canada and the US entered into three important partnerships: the Smart Borders Agreement (SBA), the Container Security Initiative (CSI), and the Security Prosperity Partnership (SPP). These arrangements will be conceptualised here as “tacit bargains” whereby Canada provided the US with security in hope of renewed trust and economic accessibility. These “tacit bargains” required a concession of traditional state sovereignty so that stable and predictable relations between both countries could continue. While this process is ostensibly a violation of state sovereignty, the argument presented here is that these three “tacit bargains” represent a transition of “old” sovereignty to “new” sovereignty.     

Financial integration and the ASEAN-5 equity markets

The existence of long-run relationships among the ASEAN-5 equity markets is empirically investigated. This study utilized weekly data spanning January 1988 to August 1999. The results of Granger noncausality test due to Toda and Yamamoto (Journal of Econometrics,66, 225–50, 1995) reveal that the Singapore equity market was not affected by other markets except by the Philippines in the long run. This result shows that there exist opportunities for beneficial international portfolio diversification within the context of the Asean-5 equity markets.     

The Roles of Credibility and Social Consciousness in the Corporate Philanthropy-Consumer Behavior Relationship

We have empirically examined the relationship between top executives’ turnover and the corporate environmental responsibility by identifying the influence of ten specific turnover reasons resulting in the chairman’s departure and two important types of chairman’s succession. Using a sample of 782 manufacturing listed companies across 3 years in China, we find that the corporate environmental responsibility is negatively associated with the involuntary and negative turnover (i.e., dismissal, health and death, and forced resignation) and positively associated with improving corporate governance, and not associated with the normal turnover (i.e., retirement and contract expiration) and the types of chairman’s succession (i.e., independence, and internal or external promotion). Our study significantly contributes to research in environmental disclosure by revealing the relationship between chairman’s turnover and the corporate environmental responsibility. A feasible way is suggested to regulators and other stakeholders in monitoring or assessing the possible abnormality of environmental responsibility when firms experience involuntary and negative chairman’s turnover in the emerging economies.     

Knowledge of Inter-customer Relations as a Source of Value Creation and Commitment in Financial Service Firm's Intermediation

This paper develops a knowledge perspective on value creation in organisations that employ mediating technology to facilitate inter-customer relations. Mediators, individually and collectively, build networks of customers between whom linking can take place, and they provide services that facilitate inter-customer exchanges. Earlier research has shown the importance of size and standardisation in mediation. A different stream of research has shown that contextual knowledge is important for problem solving and innovation in organisations. Combining theories of mediating technology and situated problem solving, the paper posits that inter-customer relations constitute the fundamental context for value creation of firms using the mediating technology. LISREL is used to test relationship-level, cross-sectional hypotheses that link knowledge of inter-customer relationships, added value, and customer commitment to bank services for small firms. This work extends Thompson's work on mediating technology with implications for organisation action by demonstrating that mediators' knowledge of inter-customer relationships is an important resource in intermediation. Three contributions are made to strategic management and organisation theory. First, the paper provides a deeper understanding of the relationship between knowledge and committed customers. Second, fundamental resources are developed for firms using mediating technology. Finally, the use of the situated knowledge concept is extended to inter-customer relations, thus explaining performance beyond the contexts to which the concept has previously been applied. The findings have implications for segmentation practices, organisation domain decisions and the corresponding organisational structures, and practices that can provide effective service to inter-customer relations rather than to atomistic independent customers.