Search results

Given the rising need for measuring and controlling of financial risk as proposed in Basel II and Basel III Capital Adequacy Accords, trading risk assessment under illiquid market conditions plays an increasing role in banking and financial sectors, particularly in emerging financial markets. The purpose of this chapter is to investigate asset liquidity risk and to obtain a Liquidity-Adjusted Value at Risk (L-VaR) estimation for various equity portfolios. The assessment of L-VaR is performed by implementing three different asset liquidity models within a multivariate context along with GARCH-M method (to estimate expected returns and conditional volatility) and by applying meaningful financial and operational constraints. Using more than six years of daily return dataset of emerging Gulf Cooperation Council (GCC) stock markets, we find that under certain trading strategies, such as short selling of stocks, the sensitivity of L-VaR statistics are rather critical to the selected internal liquidity model in addition to the degree of correlation factors among trading assets. As such, the effects of extreme correlations (plus or minus unity) are crucial aspects to consider in selecting the most adequate internal liquidity model for economic capital allocation, especially under crisis condition and/or when correlations tend to switch sings. This chapter bridges the gap in risk management literatures by providing real-world asset allocation tactics that can be used for trading portfolios under adverse markets’ conditions. The approach to computing L-VaR has been arrived at through the application of three distinct liquidity models and the obtained results are used to draw conclusions about the relative liquidity of the diverse equity portfolios.

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over a 13-year sample period, we utilize a balanced dynamic panel regression to investigate whether the risk associated with the currencies quoted or trading activity affects the variability of liquidity provision in the FX market and examine whether the crisis periods have any effect. We find that both the level of spread and volatility of spread increases during the crisis periods for the currencies of emerging countries. In addition, we find increases in risks associated with the currencies proxied by realized volatility during the crisis periods. We also show risks associated with the currency are the major determinants of the variability of liquidity and that these relationships strengthen during periods of uncertainty. First, we develop measures to capture the variability of liquidity. Our measures to capture the variability of liquidity are non-parametric and model-free variable. Second, we contribute to the debate of whether variability of liquidity is adverse to market participants by examining what drives the variability of liquidity. Finally, we analyze seven crisis periods, allowing us to document the effect of the crises on determinants of variability of liquidity over time.

This chapter identifies three crisis warning indicators driven from trading in emerging markets’ carry trades, and empirically examines whether these indicators could predict two major financial crises that hit the global financial markets in the last decades — The 1997–1998 Asian crisis and the 2007–2008 global crisis. The probit regression is used to examine the power of the three indicators in forecasting financial crises, using data from eight Asian emerging countries which serve as proxies for emerging markets, independent of the origination of the crisis. I use both fixed effect and random effect estimation to measure crisis impacts. The empirical results show that financial crises could have been predicted. Probit estimation show that carry trade returns can predict a financial crisis, and the estimation results are robust to both panel level and country-level analysis. These three indicators are by no means an exhaustive list of all possible predictors of financial crisis. The literature suggests other fundamental indicators of financial crises such as the current account deficit and foreign debt. However, this chapter cannot fully consider these indicators for lack of data at this point in time. Although financial crisis may be better predicted by the well-known fundamental indicators, the contribution of this chapter is simply that carry trade-related indicators can help in predicting crises.

Intraday volatility characteristics throughout the trading week are examined at the emerging Borsa Istanbul (BIST) stock exchange. Using five-minute (and 15-minute) intervals, accentuated intraday volatility patterns at the microstructure level are examined during the stock market open and close in the morning and in the afternoon sessions. Volatility is highest when markets open in the morning. The second highest is during the afternoon open. The third highest is before the market closes for the day. Volatility before the market close has increased in recent years. These characteristics are seen every trading day. There are also differences: Monday returns are lowest, Friday returns are highest, and Monday morning volatility is highest of the entire trading week. Day-of-the-week and intraday accentuated volatility smile anomalies are jointly investigated using the longest intraday sample period in the emerging country stock exchange literature. Investment companies and professionals can utilize the results for risk management and hedging by avoiding highly volatile opening and closing periods. Arbitrageurs, speculators, and risk takers should trade during these highly volatile periods. Heightened volatility is increased difficulty in price discovery, thus inefficiency. Market participants, exchanges, and public prefer efficient markets. The research presents evidence of trading days, and periods during the trading day, when the exchange becomes more efficient. This is the first research that explores day-of-the-week effect from intraday volatility perspective in an emerging market, and provides useful recommendations in designing risk management strategies at market microstructure level.

In this chapter, a situation analysis was made on the use of technology in gastronomy, an ever-growing and exciting research area. The use of technology is essential in food production processes as well as in all sectors, and accordingly, the number of research on the subject has increased in recent years. Therefore, in the study, information is also given about trend applications today in addition to the use of technology in gastronomy. It is aimed to present the studies conducted by different disciplines together, to reveal the current situation in the light of the studies carried out on a national and international scale and to support possible future studies.

Although stress has become a prominent research theme in consumer behavior and occupational health, to the authors knowledge there is only one review on the relationship between consumer behavior and stress (i.e., when internal and external factors exceed an individual’s resources and endangering the individual’s well-being) and this was published 10 years ago. Further, research on occupational stress has yet to be fully integrated into the consumer stress literature. In this chapter, the authors attempt to advance research on consumer stress by a drawing on a satisfaction mirror framework which outlines that consumers and employees influence each other through a “mirror” where they positively and cyclically influence each other in a service environment. The authors argue that consumers and employees may likewise mirror each other in a negative cycle of stress and well-being depletion. First, the authors describe how stress is viewed in consumer behavior and marketing. Second, the authors review evidence that consumption serves as a form of coping with stress. Third, the authors discuss the role of consumption as a stressor that may drive consumer stress. Finally, the authors introduce the satisfaction mirror model and outline the bi-directional influence on increased stress and well-being depletion at the consumer–employee interface in service encounters. The model introduced in this chapter serves as a framework for organizing findings related to stress and well-being in the fields of consumer behavior and occupational health. In addition, the model serves as a springboard for developing propositions for future research. Ultimately, the authors hope this chapter both updates and builds upon previous findings on stress and consumer behavior, as well as grounds future research on stress and well-being at the intersection of consumers and employees.

The overall goal of science is to build a valid and reliable body of knowledge about the functioning of the world and how applying that knowledge can change it. As personnel and human resources management researchers, we aim to contribute to the respective bodies of knowledge to provide both employers and employees with a workable foundation to help with those problems they are confronted with. However, what research on research has consistently demonstrated is that the scientific endeavor possesses existential issues including a substantial lack of (a) solid theory, (b) replicability, (c) reproducibility, (d) proper and generalizable samples, (e) sufficient quality control (i.e., peer review), (f) robust and trustworthy statistical results, (g) availability of research, and (h) sufficient practical implications. In this chapter, we first sing a song of sorrow regarding the current state of the social sciences in general and personnel and human resources management specifically. Then, we investigate potential grievances that might have led to it (i.e., questionable research practices, misplaced incentives), only to end with a verse of hope by outlining an avenue for betterment (i.e., open science and policy changes at multiple levels).

The recent 2008–2009 financial crisis has led international financial authorities to review the existing regulation; the Basel Committee on Banking Supervision has been thus induced to review the pillars of the Basel Accord (Basel II) in order to strengthen the risk coverage of capital framework (Basel 2.5 and III). These reforms will help to raise capital requirements for the trading book, which represents a major source of losses for internationally financial institutions, especially during crisis periods. In particular, the Committee has introduced a Stressed Value-at-Risk (SVaR) capital requirement, as a new methodology to evaluate market risk.

This chapter aims to shed some lights on the issues major banks have to face when calculating SVaR in the context of emerging markets, pointing out the differences in adopting an estimation model with respect to another one. Our results show a considerable increase in capital requirements especially when new rules are applied to financial markets with high-risk parameters, such as emerging markets are. The increased cost due to higher capital requirements could be a disincentive to investment in markets with higher risk profiles than the developed markets, taking also into account that diversification benefits deriving from investing in emerging economies have shown a decrease over time. The reduction of institutional investors can thus represent a brake on the process of innovation and evolution of emerging markets.

Over the last decade, the Chilean economy has experienced rapid growth, allowing per capita GDP to rise from $10,700 to $19,887. Additionally, the capital markets size increased over 16%. Given this, it is expected that Chile will be considered a developed country by 2020, according to the Organization for Economic Co-operation and Development (OECD). Chile is in the initial stages of joining the OECD; a process that is expected to accelerate positive changes in the economy. However, in recent years, publicly traded Chilean firms began to face financial scandals causing the upheaval of the regulatory market structures and initiating environmental legislation. These scandals have consistently occurred across all economic sectors and typically have included companies with large market capitalizations and strong risk management procedures. Nevertheless, these mechanisms have proven unsuccessful due to misinformation or information manipulation. The changes to the Chilean economy can be considered as operational risk to its member firms. These risks typically result from inadequate or failed internal processes or people systems, and/or from external events. The radical changes in this transitional economy and the impact on the differing companies involved are good examples that should provide a warning for emerging market economies trying to implement risk management control systems. Unfortunately, agencies such as the Internal Revenue Service and the Securities and Exchange Commission (SEC) in the United States cannot be modeled in the traditional sense in countries similar to Chile. Different authors simplified operational risk management, but this framework is not feasible in emerging economies based solely on the criteria of identification, evaluation, monitoring, and management.

How can leaders adopt a mindset that maximizes learning, remains responsive to short-term emergent opportunities, and simultaneously strengthens longer-term dynamic capabilities of the organization? This chapter explores the organizational decisions and practices leaders can initiate to extend, strengthen, or transform “ordinary capabilities” (Winter, 2003) into enhanced improvisational competence and dynamic capabilities. We call this leadership logic the “jazz mindset.” We draw upon seven characteristics of jazz bands as outlined by Barrett (1998) to show that strategic leaders of business organizations can enhance dynamic capabilities by strengthening practices observed in improvising jazz bands.