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This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed, as Indian financial markets are more prone to shocks caused by regulatory changes, exchange rate fluctuations, financial instability, political uncertainty and inadequate economic reforms. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied.

In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method.

It is observed that both the stocks, stock indices and their residuals exhibit non-normality; therefore, conventional methods of VaR calculation are not accurate in real word situation. It is observed that parametric method of VaR calculation is underestimating VaR and CVaR but, VaR estimated by fitting empirical distribution of return and finding out 1-a percentile is giving better results as non-normality in returns is considered. The distributions fitted by the return series are following Logistic, Weibull and Laplace. It is also observed that VaR violations are increasing with decreasing market capitalization. Therefore, we can say that market capitalization also affects accurate VaR calculation. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. It is observed that the decrease in liquidity increases the value at risk of the firms.

This methodology can further be extended to other assets’ VaR calculation like foreign exchange rates, commodities and bank loan portfolios, etc.

This finding can help risk managers and mutual fund managers (as they have portfolios of different assets size) in estimating VaR of portfolios with non-normal returns and different market capitalization with precision. VaR is used as tool in setting trading limits at trading desks. Therefore, if VaR is calculated which takes into account non-normality of underlying distribution of return then trading limits can be set with precision. Hence, both risk management and risk measurement through VaR can be enhanced if VaR is calculated with accuracy.

This paper is considering the joint issue of non-normality in returns and effect of market capitalization in VaR estimation.

After the COVID-19 outbreak, the Federal Reserve has undertaken several monetary policies to alleviate the pandemic consequences on the markets. This paper aims to evaluate the effects of the Federal Reserve monetary policy on the cryptocurrency dynamics during the COVID19 pandemic.

We examine the response and feedback effects via an event study methodology. For this purpose, abnormal returns (AR) and cumulative abnormal returns (CARs) around the first FOMC (Federal Open Market Committee) announcement related to the COVID-19 pandemic for the top five cryptocurrencies are explored. We, further investigate the effect of the eight FOMC statement announcements during the COVID19 pandemic on these cryptocurrencies (Bitcoin, Ethereum, Tether, Litecoin, and Ripple). In the above-mentioned crypto-currency markets, we investigate the presence of bubbles by using the PSY test. We then examine the concordance of the dates of these bubbles with the dates of the FOMC announcements.

The empirical results show that the first FOMC event has a negative significant effect after 4 days of the announcement date for all studied cryptocurrencies except Tether. The results also indicate that cumulative abnormal returns are significant during the event windows of (−3,8), (−3,9), and (−3,10). Besides, we find that Bitcoin, Ethereum and, Litecoin lived short bubbles lasting for a few days. However, Ripple and Tether markets present no bubbles and no explosive periods.

This paper presents trained proof that FOMC announcements have a positive effect on volatility's predictive capacity. This work therefore promotes the study of the data quality of volatility in future research as well.

The justified effect of the FOMC announcements on cryptocurrency as a speculative asset has practical implications for investors in building their trading strategies in anticipation of the next FOMC announcement. Therefore, this study implies that the FOMC announcements contain very relevant information for investors in the cryptocurrency market. This research may not only encourage a better understanding of the evolution of the expectations of policymakers, but also facilitate a better understanding of how these expectations are developed.

The COVID-19 pandemic has disturbed the stability of financial markets, inciting the Fed to take some monetary regulations. To the best of our knowledge, this study is the first one that analyses the response of five major cryptocurrencies to FOMC announcements during COVID 19 pandemic and associates these dates with bubble occurrences.

This paper investigates whether mean reversion holds for a panel of 16 OECD stock price indices for the period 1970 to 2011.

We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit the power of panel data analysis but also account for cross sectional dependencies as well as identify which panel members are stationary.

In contrast to a literature that offers mixed findings on stationarity, it was found that most of our sample is characterized as mean- or trend-reverting with approximated half-lives in the region of three to five years.

In contrast to other panel unit root tests of stock prices, the authors identify which individual panel members are stationary and non-stationary using a SURADF test. A further novelty of our approach is that we also develop a SUR-based panel KSS test that allows us to explore the possibility that stock prices exhibit non-linear stationarity.

This paper reports the results of a three-year-long research on business relationships, relying on qualitative data gathered through multiple-case study research of four focal companies operating in Australia. The industry settings are as follows: steel construction, vegetable oils trading, aluminum and steel can manufacture, and imaging solutions. The research analyzes two main aspects of relationships: structure and process. This paper deals with structure describing it by the most desired features of intercompany relationships for each focal company. The primary research data have been coded drawing on extant research into business relationships. The main outcome of this part of the research is a five construct model composed by trust, commitment, bonds, distance, and information sharing that accounts for all informants’ utterances about relationship structure.

In further conceptualizing a novel generative knowledge management system (KM/KMS), this paper aims to focus on identifying and mitigating the risks related to its envisaged scaling from a prototype to an application with a rapidly growing user base.

It follows up on prior publications using design science research (DSR) methodologies in compliance with theory effectiveness, a principle expecting system designs to be purposeful in terms of utility and communication. The KMS perspective taken prioritizes a decentralizing agenda benefiting knowledge workers while also aiming to foster a fruitful co-evolution with conventional organizational KM approaches.

The utilization and further extension of the CKDT and a “scalable innovation” heuristic are assisting the detecting of potential scaling risks related to the logics and logistics, generative interoperability, technological capacitating, knowledge dynamics and value chain which further validates the viability of the proposed KM concept and system.

Although the prototype development is still in progress, the paper conforms to the DSR practice to report on early visions of technology impact on users, organizations and society but also reflects on expectations of viability, desirability and commitment, as well as the system’s prospect as a general-purpose-technology or disruptive innovation.

In addition to the novel KM-related perspectives, the paper’s practical emphasis on the scaling of more complex systems is rarely dealt with in the literature due to the respective projects’ often large-scale collaborative nature, broad methodological scope and diverse stakeholders’ interests. In this case, the task is eased as prior DSR outputs can be referred to.

Argues that a TQM programme can reduce the COPQ (cost of poor quality) by between 20% and 40 per cent. Suggests benchmarking is the first step to estimate an organisation′s minimum level of waste by comparing itself with the market leader in its sector, then to examine long‐term performance indicators, bringing in intangibles such as training and skills. Uses graphs to portray the evolution of the window of opportunity for TQM and examines the consequences of non‐optimum strategies. In a series of relatively complex examples, it concludes that waste is waiting to be retrieved by a quality programme.

The information technology (IT) outsourcing (ITO) decision is a key issue in strategic and operational management and is considered a main critical factor influencing successful organizational performance and technology assessment. The purpose of this paper is to propose a framework combining value-focused thinking (VFT) methodology and the FITradeoff method to support decisions regarding ITO.

This study answers the following questions: How to identify, in a structured way, the objectives that should be considered in an ITO decision process in a changing environment? How to identify new IT services to be outsourced from the established objectives? The VFT method is recommended in this case to structure and model the problem. Moreover, the FITradeoff multicriteria method was considered in this study to support the evaluation and prioritization of IT services in an ITO decision

The framework provides promising results for ITO decisions. This study revealed that a lack of strategic and fundamental objectives is a critical issue in making ITO decisions. Although the VFT methodology is subjective in nature, it promotes a better understanding of goals and values, and FITradeoff allows the decision-maker to make comparisons of consequences based on his/her preferences.

The recommendations of the study are restricted to the case study and cannot be generalized. In addition, applying the method requires attention in determining the criteria used for outsourcing IT.

The strategic analysis of ITO provides a holistic view of the current situation since (i) the VFT methodology enables the IT manager to generate new alternatives to assist future decisions and (ii) FITradeoff has been demonstrated as a suitable option to evaluate ITO decisions.

To the best of our knowledge, this is the first paper to utilize a problem structuring method (VFT) to identify criteria and alternatives based on the organizational values and objectives. This is integrated with a multicriteria method that uses partial information and may consequently lead to fewer inconsistencies (FITradeoff) in the context of ITO.

In traditional Bayesian belief networks (BBNs), a large amount of data are required to complete network parameters, which makes it impractical. In addition, no systematic method has been used to create the structure of the BBN. The aims of this study are to: (1) decrease the number of questions and time and effort required for completing the parameters of the BBN and (2) present a simple and apprehensible method for creating the BBN structure based on the expert knowledge.

In this study, by combining the decision-making trial and evaluation laboratory (DEMATEL), interpretive structural modeling (ISM) and BBN, a model is introduced that can form the project risk network and analyze the impact of risk factors on project cost quantitatively based on the expert knowledge. The ranked node method (RNM) is then used to complete the parametric part of the BBN using the same data obtained from the experts to analyze DEMATEL.

Compared to the traditional BBN, the proposed method will significantly reduce the time and effort required to elicit network parameters and makes it easy to create a BBN structure. The results obtained from the implementation of the model on a mass housing project showed that considering the identified risk factors, the cost overruns relating to material, equipment, workforce and overhead cost were 37.6, 39.5, 42 and 40.1%, respectively.

Compared to the traditional BBN, the proposed method will significantly reduce the time and effort required to elicit network parameters and makes it easy to create a BBN structure. The results obtained from the implementation of the model on a mass housing project showed that considering the identified risk factors, the cost overruns relating to material, equipment, workforce and overhead cost were 37.6, 39.5, 42 and 40.1%, respectively. The obtained results are based on a single case study project and may not be readily generalizable.

The presented framework makes the BBN more practical for quantitatively assessing the impact of risk on project costs. This helps to manage financial issues, which is one of the main reasons for project bankruptcy.

An Aid to Decision Making Following on from the earlier article in the previous issue of this Journal, when the systems approach to logistics decision making was introduced, this second and final part describes the development of a set of heuristic rules. Using these as a formalised aid to everyday decision making by manufacturing companies, the total logistics analysis may be simplified. The development and testing of these decision rules were carried out as part of a programme of research work amongst a number of pharmaceutical manufacturing companies.

III.—TYPE FuG 16 Summary THE equipment consists of a communication transmitter and receiver operating on a frequency spectrum from 42.2 Mc/s to MS. 39c/s. Telephony is used. The pilot's intercommunication control box bears the designation “B.Z.B.” which is taken to be the abbreviation for “Bord zu Bord” (“Aircraft to Aircraft”). The transmitter, receiver and motor generator are located inside the fuselage on the starboard wall just aft of the D.F. receiver. The tuning controls are not accessible in flight. There is no provision for the fitting of remote tuning controls. The equipment must, therefore, be used on one channel only, pre‐set on the ground. The tuning dials of both transmitter and receiver are fitted with a “click” stop mechanism for tuning to four pre‐determined frequencies. This indicates that the equipment is also used, or may be used, in an installation which is fully accessible to the operator. The tuning dials of both transmitter and receiver have the frequency of 392 megacycles specially engraved in red. The other calibrations are in black. The pilot controls the operation of the equipment. A control lead is provided at the navigator's position, but is turned back and taped off. The wireless operator's panel carries switches “Heaters on” and “Motor Generator on” only. The installation is carried out in a permanent fashion and is well planned. There is no indication that it was introduced as an afterthought. The construction of the apparatus follows the usual German technique. In this case, however, the transmitter, receiver and associated circuits are in a single unit. Previous German apparatus has been built with transmitter and receiver in separate units. The ganged variable condensers in both transmitter and receiver are much smaller than those used in other German apparatus. The attendant economy in space probably permits the increased compactness of the unit described.