How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Abstract:  We propose generalised stochastic volatility models with Markov regime changing state equations (SVMRS) to investigate the important properties of volatility in stock returns, specifically high persistence and smoothness. The model suggests that volatility is far less persistent and smooth than the conventional GARCH or stochastic volatility. Persistent short regimes are more likely to occur when volatility is low, while far less persistence is likely to be observed in high volatility regimes. Comparison with different classes of volatility supports the SVMRS as an appropriate proxy volatility measure. Our results indicate that volatility could be far more difficult to estimate and forecast than is generally believed.     

Export Growth and Economic Development in Colonial British America

This paper analyzes the dynamic relationship between tobacco and the rest of the economy in the colonial Chesapeake to test the staple theory version of the export-led growth hypothesis. The paper adopts a multivariate time-series approach which accommodates the presence of cointegration and contemporaneous correlations among innovations. The empirical evidence strongly supports the staple theory. British demand for tobacco is statistically exogenous and found to induce cyclical fluctuations in the colonial price of tobacco as well as temporary over- or underproduction, as measured by a long-term cointegration relationship between the British demand for tobacco and the colonial price of land.     

Financial Sector Reforms in Developing Countries: The Indian Experience

This study is based on the premise that the success/failure of financial sector reforms depends heavily on country specific factors and makes an attempt to examine these factors in the Indian context. The financial sector reforms analysed in this paper include the deregulation of interest rates, increasing competition and foreign ownership, and the introduction of financial supervision. We argue that an economic rationale for a gradualist approach to financial reform is that it is stability enhancing. Furthermore, we suggest that India’s complex political economy has resulted in a gradual approach to reform, and this approach has been successful along the dimension of banking stability.     

A longitudinal examination of HRM in a human resources offshoring (HRO) organization operating from India

Human resources offshoring (HRO) forms a significant part of the Indian business process offshoring (BPO) market. This paper assesses HRM in the emergent HRO sector. Longitudinal case-study research enables an in-depth examination of the development of HRM practices in an HRO organization where offshored HR services are delivered from two different cities in India. The paper highlights the development of HR activities focused on extrinsic incentives, rewards and penalties to influence employee behaviour. These practices are mediated by indigenous traditions, the nature of the service offering; management style and an aspiration to ‘role model’ systematic HR practices.     

The antecedents and consequences of customer-centric marketing

As we enter the twenty-first century, the marketing function remains concerned with serving customers and consumers effectively. The authors propose that just as the marketing function gradually shifted from mass marketing to segmented marketing in the twentieth century, it will increasingly move toward customer-centric marketing in the next century. In the practice of customer-centric marketing, the marketing function seeks to fulfill the needs and wants of each individual customer. The antecedents of customer-centric marketing are the increasing pressure on firms to improve marketing productivity, increasing market diversity in household and business markets, and technology applicability. On the basis of the shift toward customer-centric marketing, the authors expect increased importance of marketing as a “supply management” function, customer outsourcing, cocreation marketing, fixedcost marketing, and customer-centric organizations. This article highlights the implications of customer-centric marketing as well as the boundary conditions that will affect its adoption. Jagdish N. Sheth is the Kellstadt Professor of Marketing in the Gouizeta Business School at Emory University. He has published 26 books and more than 200 articles in marketing and other business disciplines. His book,The Theory of Buyer Behavior (with John A. Howard), is a classic in the field of consumer behavior and is one of the most cited works in marketing. His other books includeMarketing Theory: Evolution and Evaluation (with David Gardner and Dennis Garrett) andConsumption Values and Market Choices: Theory and Applications (with Bruce Newman and Barbara Gross). Rajendra S. Sisodia is Trustee Professor of Marketing at Bentley College. Previously, he was an associate professor of marketing and director of executive programs at George Mason University and an assistant professor of marketing at Boston University. He has a Ph.D. in marketing from Columbia University. He has published more than 40 articles in journals such asHarvard Business Review, Journal of Business Strategy, Marketing Letters, andMarketing Management. He has also authored about two dozen cases, primarily on strategic and marketing issues in the telecommunications industry, as well as a number of telecommunications industry and company analyses. Arun Sharma is an associate professor of marketing at the University of Miami. He has published more than 30 articles in marketing and his interests are in the area of market and marketing evolution.     

Access to Bottleneck Inputs under Oligopoly: A Prisoners' Dilemma?

We analyze the incentives of vertically integrated oligopolists to concede access to their bottleneck inputs to an entrant in the downstream market. First, two vertically integrated incumbents make access price offers to an entrant that chooses which one to accept, if any. Second, firms compete on Salop's circle. The firms may be asymmetrically located on the circle, to reflect differences in consumer shares. For some levels of asymmetry, the incumbents face a prisoners' dilemma with respect to conceding access to their bottleneck inputs. Entry by a downstream firm may lead to lower retail prices. However, entry may also lead to higher retail prices for the access provider and for the entrant. We also consider the cases where there are several incumbents and where the entrant makes the access price offers.     

Education and financial mistakes: The case of avoidable trading fees in stock markets

Portuguese Economic Journal - We study a quasi-natural experiment that altered the structure of commission fee schedules applied to retail investors in the Portuguese stock market in 2003. Using a...     

Explainable AI: from black box to glass box

Journal of the Academy of Marketing Science -     

The Value of Information: The Impact of European Union Bank Stress Tests on Stock Markets

International Advances in Economic Research - We tested whether the 2010, 2011 and 2014 European Union bank stress tests produced useful and real information to the market. Using an augmented...     

On the Effects of Capital Markets’ Regulation on Price Informativeness: an Assessment of EU Market Abuse Directive

Financial Markets and Portfolio Management - This study assesses the impact on price informativeness of the market abuse directive adopted by European economic area member-states. Price...