Tripal Publishing House: Journals
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A Study on Regime Type and Globalization in Simultaneous Equation Framework
Get PDFIn this study we build a simultaneous equation model in which the measures of different aspects of globalization (attributable to KOF) and different aspects of democracy (attributable to EIU) are related in seven structural equations. A bi-directional relationship between democracy and globalization is visualized. The model is estimated by the conventional 2-SLS as well as a modified 2-SLS in which Shapley value regression is used at the second stage of 2-SLS. On the basis of our analysis, we document several findings. First, we find that democracy and globalization promote each other and hence there is a bi-directional causality with positive relationships running both ways between democracy and globalization. At a national level, there may be various intermediary conditions that modify the relationship as well as set in motion a complex of positive and/or negative feedbacks to accelerate or retard the pace of globalization and democratization in a country-specific manner. However, when a large number of countries are studied, a clear relationship emerges out. Second, there is a need to estimate the structural coefficients of the model cautiously since the regression equations may be suffering from collinearity among the predictor variables. The Shapley value regression based 2-SLS has performed better than the conventional regression in estimating the structural parameters of the model. Third, the system methods of estimation of the model gives better results than what are obtained by the single equation methods of estimation of structural parameters of the model
Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
Get PDFThis research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements between BRICS markets in response to international shocks that are originated in advanced markets like USA and Europe. Employing data of daily stock market indices of BRICS countries, this research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by applying cointegration, causality and VECM/Gonzalo-Granger statistic and variance decomposition methodology on stock returns as a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist between BRICS stock markets and have drastically changed during turbulent periods compared with tranquil period, pointing towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate that changes in the USA and the Euro Zone indices affect BRICS stock markets in the short-run, acting as a leading indicator for investing in BRICS markets. Also imply an increasing degree of global market integration, bringing major implications for portfolio diversification and policy makers
Nonprofit Organizations in Disaster Response and Management: A Network Analysis
Get PDFThis paper tracks changes in the national disaster management system with regard to the nonprofit sector by looking at the roles ascribed to nonprofit organizations in the Federal Response Plan (FRP), National Response Plan (NRP), and National Response Framework (NRF). Additionally, the data collected from news reports and organizational after action reports about the inter-organizational interactions of emergency management agencies during the September 11th attacks and Hurricane Katrina are analyzed by using network analysis tools. The findings of the study indicate that there has been an increase in the interactions of the National Voluntary Organizations Active in Disasters (NVOAD) network member organizations on par with policy changes in the NRP to involve nonprofit organizations in the national disaster planning process. In addition, those organizations close to the center of the network experienced enhanced communication and resource acquisition allowing them to successfully accomplish their missions, a finding that supports the development of strong network connections
Interest Rate Swaptions: A Review and Derivation of Swaption Pricing Formulae
Get PDFIn this paper we outline the European interest rate swaption pricing formula from first principles using the Martingale Representation Theorem and the annuity measure. This leads to an expression that allows us to apply the generalized Black-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap annuity factor. Firstly, we review the Martingale Representation Theorem for pricing options, which allows us to price options under a numeraire of our choice. We also highlight and consider European call and put option pricing payoffs. Next, we discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to price interest rate swaptions using the martingale representation theorem with the annuity measure to simplify the calculation. Finally, applying the Radon-Nikodym derivative to change measure from the annuity measure to the savings account measure we arrive at the swaption pricing formula expressed in terms of the Black-76 formula. We also provide a full derivation of the generalized Black-Scholes formula for completeness
Differential Investors’ Response to Restatement Announcements: An Empirical Investigation
Get PDFWhen firms announce a restatement of their financial reports, they inform investors that their prior announcements were faulty. Not only do companies lose credibility at times such as this but also their securities are revalued as investors respond to the substance of the announcement. We investigate investor size to understand how large and small investors differ in their responses to restatement announcements. Our results indicate that large investors seemingly anticipate the announcement; their holdings decrease before restatement announcements; consequently large investors trading after announcements is less pronounced than for smaller investors. The response of small investors depends on who has prompted the restatement: the company itself, FASB or the SEC and not on the reason for the restatement such as problems with revenue recognition, restructuring or cost/expense. Large investor trading volume is affected by both the source of the restatement and the reason for it. Large investors seem to anticipate potential problems, and sell securities before restatement announcements
Impact of Health Care Employees’ Job Satisfaction on Organizational Performance Support Vector Machine Approach
Get PDFThis study is undertaken to search for key factors that contribute to job satisfaction among health care workers, and also to determine the impact of these underlying dimensions of employee satisfaction on organizational performance. Exploratory Factor Analysis (EFA) is applied to initially uncover the key factors, and then, in the next stage of analysis, a popular data mining technique, Support Vector Machine (SVM) is employed on a sample of 249 to determine the impact of job satisfaction factors on organizational performance. According to the proposed model, the main factors are revealed to be management’s attitude, pay/reward, job security and colleagues