Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises

This article examines the cointegration level, changes in the existence and directions of causality of the foreign exchange (FX) rates in the Asian and emerging markets during the 1990s financial crises. Engle and Granger's simple bivariate and Johansen's multivariate cointegrations are applied to the FX rates for the 1994 Mexican, 1997 Asian, 1998 Russian, and 1999 Brazilian crises. In addition, the article conducts the Granger causality test and impulse response analysis to examine the causality pattern in all the FX rates. The analysis shows most of the pre-Mexican causality disappears and significant numbers of new causality emerge in the 1994 Mexican crisis while the 1997 Asian crisis generates significant spillover effects into the later part of the 1998 Russian and 1999 Brazilian crises.     

Does obligational contracting lead to better performance? A comparison of global carmakers’ supply chain management approaches in Australia

Supply chain management (SCM) has been recognised as key to automobile manufacturers’ (‘buyers’) competitive advantage. However, the performance implication of two different approaches towards SCM, obligational contracting (OCR) vs. arm’s length contracting (ACR), remains inconclusive in the current literature. By focusing on examining how multiple global automobile manufacturers’ SCM practices result in different performance outcomes in the one-country setting of Australia, we are able to ascertain the direct impact of SCM approaches on buyers’ performance. We also provide detailed analysis on the specific influence of each distinguishing feature of the OCR/ACR approaches on different aspects of performance. Through a more nuanced investigation of the links between SCM approaches and automobile manufacturers’ performance at the firm level, this research contributes to a better understanding of the topic with managerially applicable insights.     

A comparative performance of conventional and Islamic unit trusts: Market timing and persistence evidence

It is expected that the returns and resistance of Islamic mutual funds will be different from conventional mutual funds as the former have limited choices for portfolio diversification. This article analyses the performance of conventional and Islamic unit trusts for the period February 1995 to July 2012 in the Malaysian market, one of the most developed Islamic mutual fund markets. The performance analysis is based on four parameters: (i) risk-adjusted returns of unit trusts; (ii) market timing abilities; (iii) selection performance; and (iv) persistence. The results of this study suggest that the returns of both conventional and Islamic unit trusts have outperformed the market throughout the sample period. The results for market timing and selectivity are mostly the same for both categories of funds. However, Islamic unit trusts seem to have better resistance to market downturn than conventional unit trusts. The results of this research can be used by investors to identify funds or create portfolios that are more suitable for a recessionary scenario and for fund managers to better manage their portfolio performance during times when markets are likely to fall. The findings in this article are highly relevant for policymakers, investors and fund managers to determine policy matters, deciding on investment and marketing strategy for Islamic mutual funds.     

Inter-industry gender wage gaps by knowledge intensity: discrimination and technology in Korea

A new gender wage gap decomposition methodology is introduced, which does not suffer from identification problems caused by unobserved nondiscriminatory wage structure. The methodology is used to measure the relative size of Korean gender wage gaps, from 1994 to 2000 across industries, differentiated by industrial knowledge intensity, where knowledge intensity is the extent to which industries produce or employ high-technology products. Korea represents an important case study, since it possesses one of the fastest growing knowledge-intensive economies among industrialized countries. Empirical results indicate that over this period, discrimination (the unexplained portion of the gender wage gaps) in Korea was statistically smaller in knowledge-intensive industries than in industries with low knowledge intensity. Also, discrimination was declining on average over the period. This suggests that continued growth in knowledge-intensive industries in Korea may lead to further declines in the overall gender gap.     

The Sophisticated and the Simple: the Profitability of Contrarian Strategies

A variety of variables have been used to form contrarian portfolios, ranging from relatively simple measures, like book‐to‐market, cash flow‐to‐price, earnings‐to‐price and past returns, to more sophisticated measures based on the Ohlson model and residual income model (RIM). This paper investigates whether: (i) contrarian strategies based on RIM perform better or worse than those based on the Ohlson model; (ii) contrarian strategies based on more sophisticated valuation models (e.g. Ohlson and RIM) perform much better than the relatively simpler ranking variables that have been used so extensively in the finance literature. Given that the RIM and Ohlson models require greater information inputs and technical know‐how, and make different implicit assumptions on future abnormal earnings, it is important to ascertain if they offer significantly greater contrarian profits to outweigh the increased costs that they entail. Indeed, our surprising finding is that simple cash flow‐to‐price measures appear to do almost as well as the more sophisticated alternatives. One would have expected the sophisticated models to significantly outperform the simple cash flow to price model for the reasons given by Penman (2007) .     

Governance and stock market performance

This study uses international asset pricing models to investigate the link between the quality of government institutions and the performance of global stock markets. The results demonstrate a significant positive association between stock market performance measures and the quality of the institutional environment. Performance measures examined for the cross-section of countries were the average monthly stock index excess returns and the Sharpe ratio. All measures of performance were adjusted for global and local risk factors known to explain their international variation. The quality of governance is also found to be negatively associated with stock market total risk and idiosyncratic risk, consistent with the notion that stable institutions are linked to reduced variations in equity returns. These findings suggest countries with better-developed governance systems have stock markets with higher returns on equity and lower levels of risk. The results lend support for the view that a precondition for financial market development is the improvement of the institutions which govern the process of exchange.     

What is Different about Socially Responsible Funds? A Holdings-Based Analysis

Using samples from the U.S. and Puerto Rico, we examine cross-cultural differences in cultural value dimensions, and relate these to act and rule utilitarian orientations, and ethical decision making of business professionals. Although these places share the same legal environment, culturally they are distinct. In addition to tests of between-group differences, a model in which utilitarian orientation mediates the influence of cultural values on ethical decisions was evaluated at the individual level of analysis. Results indicated national culture differences on three cultural values, but no between-group differences on utilitarian orientations and ethical decisions. Significant indirect effects were found; act utilitarian orientation mediated the effects of two values activity orientation and universalism on ethical decision making. Implications for international management practices and business ethics are discussed.     

Comment on “A new simple square root option pricing model”

Câmara A. and Wang Y.‐H. ( 2010 ) introduce a simple square root option pricing model where the square root of the stock price is governed by a normal distribution. They show that their three‐parameter option pricing model can outperform the Black–Scholes option pricing model. We demonstrate that their assumption possesses an internal inconsistency in that the square root of the stock price can take on negative values. We generalize and revise their assumption so that the internal inconsistency can be avoided, and introduce a new square root option pricing model. The difference in option prices calculated from the two models may not be trivial. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

‘Does it Really Affect Me?’ Tourism Destination Narratives,Destination Image,and the Intention to Visit: Examining the Moderating Effect of Narrative Transportation

The extent to which tourism destination marketing narratives with different themes influence readers by imaginatively ‘transporting’ them is quite varied. This study investigates the different degrees of influence such narratives have on destination image and the intention to visit, exploring how the intensity of readers' experiences of being transported by narratives with different themes can influence their intention to visit the places described. Our results reveal the extent to which different narrative themes affect destination image and significantly influence readers' intention to visit. The extent to which narratives with different themes make readers feel transported also has a significant moderating effect on their intention to visit. Copyright © 2015 John Wiley & Sons, Ltd.