Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management

In this article we take a recent generalized VAR-GARCH approach to examine the extent of volatility transmission between oil and stock markets in Europe and the United States at the sector-level. The empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities. Insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management, we also analyze the optimal weights and hedge ratios for oil-stock portfolio holdings with respect to the results. Our findings point to the existence of significant volatility spillover between oil and sector stock returns. However, the spillover is usually unidirectional from oil markets to stock markets in Europe, but bidirectional in the United States. Our back-testing procedures, finally, suggest that taking the cross-market volatility spillovers estimated from the VAR-GARCH models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the CCC-GARCH of Bollerslev (1990), the diagonal BEKK-GARCH of Engle and Kroner (1995) and the DCC-GARCH of Engle (2002).     

Does crude oil move stock markets in Europe? A sector investigation

The aim of this article is to investigate the responses of European sector stock markets to oil price changes. We use linear and asymmetric models and study the association of oil and stock prices. Our findings suggest that the strength of this association varies greatly across sectors. Moreover, for some sectors we find strong evidence of asymmetry in the reaction of stock returns to changes in the price of oil.     

Technological and Environmental Differences in the European Banking Industries

This paper analyzes the productive differences of banking among countries. It proposes a Malmquist type index that allows intercountry productivity differences to be broken down into pure technological differences and differences due to environmental effects. The most relevant feature of this index is its symmetry, since it avoids the problem of measurements being sensitive to the choice of the benchmark country. This index is used to explain the productivity gaps of banking industries across four major countries in Europe as well as the productivity gains that banks could obtain using alternative technologies or with different environments. An output distance function is defined and the stochastic frontier approach used to carry out the comparison.     

Detecting periodic patterns of arrival delay

This study identifies the periodic patterns of arrival delay for non-stop domestic flights at the Orlando International Airport during 2002–2003. Cyclic variations in air travel demand and weather at the airport were observed and their consequent effects on flight delay were investigated. This study detected the frequencies of any regularly repeating delay patterns and then identified the factors associated with the detected frequencies of delay. These sequential tasks called the “two-stage approach” were performed using a mathematical frequency analysis and statistical analysis techniques. The results of the frequency analysis showed that arrival delay displayed daily, weekly and seasonal patterns of variation. The results of the statistical analysis showed that time of day, day of week, season, flight distance, precipitation at MCO and scheduled time intervals between successive flights were significantly correlated with arrival delay.     

Spectral risk measures and portfolio selection

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their non-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of efficient portfolios. We show some robustness of optimal portfolios with respect to the choice of risk measure. Unsurprisingly, risk measures that emphasize large losses lead to slightly more diversified portfolios. However, risk measures that account primarily for worst case scenarios overweight funds with smaller tails which mitigates the relevance of diversification.     

Environmental Upgrading of Developing Country Firms in Global Value Chains

While the strategic management literature on corporate social responsibility (CSR) is abundant, it tends to consider the context of developed countries, with a focus on certain specific issues such as the strategic behaviour of firms with regard to sustainable development and the economic benefits of CSR practices. The present study examines the influence of western organizations on responsible corporate behaviour in developing countries, an issue that has been somewhat neglected in the existing academic literature. In particular, it explores the environmental upgrading of developing country firms in global value chains. This research, conducted with the analytic hierarchy process (AHP) method, involves 24 Tunisian olive oil companies. The findings indicate that exporting companies have indeed benefited from environmental upgrading, but, because of the cooperation strategy adopted by leading western firms (imposition of standards) and the absence of financial and technical assistance, the extent of environmental upgrading remains limited. Copyright © 2015 John Wiley & Sons, Ltd and ERP Environment     

Gender differences in Egyptian consumers’ green purchase behaviour: the effects of environmental knowledge,concern and attitude

This study investigates the influence of three cognitive and attitudinal factors on gender differences in green purchase behaviour. Using a large sample size (n = 1093), a survey has been developed and administered across Egypt. The findings from the multivariate analysis of variance (MANOVA) confirm the influence of consumers’ ecological knowledge, concern and attitude on gender differences in green purchase behaviour. Consistent with previous studies, this study found that women appeared to be less aware of environmental issues compared with men. However, contrary to other studies conducted in the West, men showed more environmental concern and more positive outlook towards green purchase compared with women. The study discusses how the present findings may help policy makers and marketers alike to fine‐tune their environmental and marketing programmes.     

Strategy for Implementation of IFAC International Education Guideline No. 9: "Prequalification Education, Tests of Professional Competence and Practical Experience of Professional Accountants": A Task Force Report of the International Association for Accounting Education and Research (IAAER)

This paper provides strategies for implementing the recommendations of the International Education Guideline No. 9 (hereafter referred to as Guideline), issued by the International Federation of Accountants. The three principal implementation issues addressed in this paper are as follows. (1) How to instill the characteristics of lifelong learning in future professional accountants through accounting education. (2) How to design and implement a program of accounting education that achieves the objectives of the Guideline . (3) How to develop awareness and encourage adoption of the recommendations of the Guideline by communicating and disseminating information through a series of projects within IFAC's constraints and policies.