International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear.multivariate GARCH; volatility spillovers; Russian Financial crisis; contagion; partial integration

Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe

The purpose of this study is threefold. First, we look at the linkages between Eastern European emerging equity markets and Russia. Second, we investigate the relationships between the currency markets of Poland, Hungary, Russia, and the Czech Republic. Finally, we examine the interdependence between Emerging Eastern European and Russian equity and currency markets. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995) using weekly returns. We find evidence of direct linkages between the equity markets in terms of both returns and volatility, as well as in the currency markets. When analyzing the relationships between currency and stock markets we find unidirectional volatility spillovers from currency to stock markets. The results show clear evidence of integration of Eastern European markets within the region and with Russia as well.GARCH-BEKK, volatility spillovers, stock market, currency market, Emerging Eastern Europe, Russia

Inflation Risk, Exchange Rate Risk, And Asset Returns: Evidence From Korea, Malaysia, And Taiwan

In this paper we investigate whether inflationand currency risks are priced in the Korean, Malaysian and Taiwan stock marketusing conditional international asset pricing models. We take the view of a USinvestor. The estimation is conducted using a modified version of themultivariate GARCH framework of De Santis and Gérard (1998). We use a sampleperiod from 1988 to 2009. The results show that the world market risk is pricedon Korean, Malaysian, Taiwan and US stock markets. We find the currency and inflationrisk to be also priced on Korean, Malaysian and Taiwan market

Modeling Long Memory In The Russian Stock Market: Evidence From Major Sectoral Indices

This paper studies the market efficiency of modern Russian stock market. In particular, we look at the long memory in stock market volatility in the Russian financial market. To examine the temporal dependencies in depth we utilize major sectors of the Russian stock market. We take a GARCH modeling approach. Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We find evidence of long memory in all sectors of the Russian equity market, implying that, all the market sectors under investigation are weak form inefficient. Our results show that the volatility has a predictable structure in all the sectors of modern Russian stock market, signifying the need of regulatory and economic reforms within the Russian financial system

Transmission of the subprime crisis: Evidence from industrial and financial sectors of BRIC countries

Although, there is an apparent consensus about the contagion effects of the current US subprime crisis. However, the transmission and repercussions of US subprime crisis, as well as the nature of the transformation suffered by different economic sectors between the US and other markets are such empirical questions that have not been dealt with comprehensively, yet. In this paper, by utilizing the multivariate GARCH analysis of Engle and Kroner (1995) for which a BEKK representation is adopted, we examine the transmission of the US subprime crisis across BRIC financial markets.Moreover, to identify the extent of contagion, we also inspect the diffusion of US subprime crisis to BRIC equity market’s financial and industrial sectors. We found interesting evidence of volatility spillovers from US financial sector to all the BRIC market’s financial sectors both in the full sample and crisis period. Similarly, except Chinese industrial sector, we observe contagion effects from US to Brazilian, Russian and Indian equity market’s industrial sectors. Our results exhibit direct linkage for both returns and volatility between the US equity market and the BRIC markets. Equity markets of Russia and India, however, were found hardly hit during the crisis period among the BRIC countries. Finally, we found no support for the decoupling view while investigating the fastest growing emerging markets, the BRIC countries.© 2013 The author(s). Published by The Clute Institute. This article is an open access article distributed under the terms and conditions of the Creative Commons License CC-BY.fi=vertaisarvioitu|en=peerReviewed

THE ROLE OF LEADERSHIP IN WORK ENGAGEMENT: THE MODERATING ROLE OF A BUREAUCRATIC AND SUPPORTIVE CULTURE

Work engagement has been a critical issue to business leaders,policy makers, human resources managers, supervisors, organizationalconsultants, and organizations at large. Rare research has been doneon how leadership styles impact work engagement levels in privateand public sector banks, especially in the context of developingcountries’ varying organizational cultures. The paper offers anempirical research model on leadership styles: transactional andtransformational leadership and their impacts on work engagementlevels in the presence of the moderating role of bureaucratic andsupportive culture. Approximately 700 self-administeredquestionnaires were circulated among employees of private- andpublic-sector banks using a simple random sampling technique. Theresults reveal that transformational leadership has a stronger positiveinfluence on work engagement levels only in private-sector banks.Also, the supportive culture of private banks strengthen the positiveassociation between transformational leadership and workengagement levels. Conversely, a bureaucratic culture has beenmoderated and has strengthened the relationship betweentransactional and work engagement in public-sector banks

Time-varying global and local sources of risk in Russian stock market

In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by allowing conditional local influence as well. Similar to them we find global risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency risk components

A Unique Case of Inflow Cannula Obstruction by a Tissue Membrane

The use of a left ventricular assist device has increased and is a primary surgical treatment for heart failure. However, one major complication of left ventricular assist device support is an obstruction in the blood flow pathway. Pump thrombosis and outflow graft occlusion are some of the common causes of such obstructions. Here, we describe a unique case of HeartMate II (Abbott Laboratories) inflow cannula obstruction from a membranous structure without evidence of thrombus. The histology showed evidence of fibrous tissue and heart muscle tissue in the membrane. The patient underwent a successful device exchange with a HeartMate 3 (Abbott Laboratories) and is doing well

Role of Family Firms to Uplift the Financial Performance and Investment Opportunities of Listed Manufacturing Firms of Pakistan

This study is conducted to analyse the relationship of Ownership Structure with Firm Performance in non-financial companies listed at Pakistan Stock Exchange during the period 2008 to 2013. The basic focus of this study was related to the performance of family firms as compared to non-family firms. The distinction between both types has been explained in literature with the help of definitions given by different authors and scholars. Keeping in view the research aims and objectives the non-financial sector of Pakistan is taken as population. Simple random sampling technique is used in accordance to research requirements and extracted a sample of 120 firms for the purpose of analysis. All these firms are listed at Pakistan Stock Exchange (PSX). Investment Opportunities (Tobin’s Q), Return on Assets (ROA) and Return on Equity (ROE) have been used as a proxy variable to explore the firm value and firm’s financial performance. Sophisticated data analysis techniques such as descriptive, correlational, panel data regression analysis have been used. Results showed that Family firms are negatively correlated and Non-Family firms give better performance. On the basis of results obtained through data analysis it is concluded that Firm Performance critically depends on Managerial Ownership. Panel data analysis has shown that firm leverage and size has no relationship with proxy variables while remaining independent variables have significant relationship with performance variables. Agency problems arise due to increase in Managerial Shareholdings in Pakistani context, which ultimately affects the performance of the firms