Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

This study investigated the volatility linkages between energy and agricultural futures, including possible causes for these co-movements, such as external macroeconomic and financial shocks during low and high volatility regimes. A combination of Markov-switching regressions and quadrivariate VAR-DCC-GARCH and VAR-BEKK-GARCH modelling revealed that external shocks have an asymmetric effect on the relationship of these assets with higher cross-correlations reported during high volatility regimes. This co-movement effect outweighs the substitution effect between energy and agricultural products. Furthermore, the quadrivariate VAR-BEKK-GARCH model provides strong evidence of a bidirectional price volatility spillover between the agricultural and energy markets during periods of high volatility. Overall, the results suggest that energy futures can be effectively used for hedging in a portfolio comprising agricultural futures (and vice versa), while a combination of macroeconomic and financial index futures can serve as an effective hedging tool in investment portfolios comprising both energy and agricultural commodities

Understanding Accounting Students Cultural Diversity And Its Implication Of The Interpretation Of IFRS

In the global business environment, accountants often adopt accountancy practices to suit their unique cultural and business environments. This aspect often makes the cross-border comparison of financial statements difficult. Several completed research projects conducted has revealed that culture often dictates the accounting environment and based thereupon, it is evident that culture is often closely integrated to accounting development, training and standard setting, as well as the application of accounting standards.This article considers the potential impact of diverse cultural backgrounds, as defined by the Hofstede and Gray methodologies on accountancy students in a cross-national inter-cultural context, including both developed and developing economical contexts. Using a sample consisting of final-year accounting students from two different university campuses in South Africa and a third university in the United Kingdom, our results suggest that culture does indeed play an important role on accounting education; and that it can also affect the acceptance, understanding and interpretation of accounting standards by these students

Paraconsistent games and the limits of rational self-interest

It is shown that logical contradictions are derivable from natural translations into first order logic of the description and background assumptions of the Soros Game, and of other games and social contexts that exhibit conflict and reflexivity. The logical structure of these contexts is analysed using proof-theoretic and model-theoretic techniques of first order paraconsistent logic. It is shown that all the contradictions that arise contain the knowledge operator K. Thus, the contradictions do not refer purely to material objects, and do not imply the existence of inconsistent, concrete, physical objects, or the inconsistency of direct sensory experience. However, the decision-making of rational self-interested agents is stymied by the appearance of such intensional contradictions. Replacing the rational self-interest axioms with axioms for an appropriate moral framework removes the inconsistencies. Rational moral choice in conflict-reflexive social contexts then becomes possible

Impact of board independence on the quality of community disclosures in annual reports

This study investigates the link between board independence and the quality of community disclosures in annual reports. Using content analysis and a panel dataset from UK FTSE350 companies the results indicate a statistically significant relationship between board independence, as measured by the proportion of nonexecutive directors, and the quality of community disclosures, while holding constant other corporate governance and firm specific variables. The study indicates that companies with more non-executive directors are likely to disclose higher quality information on their community activities than others. This finding offers important insights to policy makers who are interested in achieving optimal board composition and furthers our understanding of the firm’s interaction with its corporate and extended environment through high-quality disclosures. The originality of this paper lies in the fact that it is the first to specifically examine the relationship between outside directors and community disclosures in annual reports. The paper contributes both to the corporate governance and community disclosure literature

Diversification Benefits of Shari’ah Compliant Equity ETFs in Emerging Markets

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.Previous studies on the performance of Islamic finance and banking have been more comparative than experimental when it comes to the role and effect of Islamic (Shari'ah compliant) assets in a conventional setting. This paper investigates whether Shari'ah compliant exchange-traded funds (ETFs) have potential diversification benefits to a volatile portfolio of conventional investments in emerging markets. The results suggest that such assets not only improve the risk-adjusted returns of portfolios but also receive proportionally higher weight during crisis periods. Hence, institutional investors should consider the ‘religion effect’ when they manage their assets, given the evidence regarding the outperformance of Shari'ah compliant equity relative to their conventional peers

An investigation of the value anomaly in the UK stock market 1987-2000

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