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This research paper aims to analyze the stock exchanges of developed, emerging and developing countries to investigate the volatility in stock markets and to evaluate the rate of mean reversion.

The stock exchanges included in the research are NASDAQ, Tokyo stock exchange, Shanghai stock exchange, Bombay stock exchange, Karachi stock exchange and Jakarta stock exchange. Secondary daily data from Bloomberg are used to conduct the research for the period from January 2011 to December 2018. Generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) model was applied to examine volatility and the half-life formula was used to calculate mean reversion in days.

The research concluded that all the stock exchanges included in the research satisfy the assumptions of mean reversion. Developing countries have the lowest volatility while emerging countries have the highest volatility which means that the rate of mean reversion is fastest in developing countries and slowest in emerging countries.

Future studies can determine the reasons for fastest rate of mean reversion in developing countries and slowest rate of mean reversion in emerging countries.

Developing countries show the lowest mean reversion in days while the emerging countries show the highest mean reversion in days indicating that developing countries take less time to revert to their mean position.

The majority of previous studies on univariate volatility models are mostly on applications of the models. Only a few researchers have taken the robustness of the models into account when applying them in emerging countries and not in developed, developing and emerging countries in one place. This makes the current study unique and more rigorous.

Market critics often cited an apparent lack of relationship between corporate performance and stock prices as the main reason for a poor prediction of stock prices. This study attempts to examine whether prices of 15 sample listed property stocks in Singapore reflect their corporate fundamental values over a ten‐year period from June 1989 to June 1999. Proxies for corporate fundamental values used in our study are earnings per share (EPS), dividends per share (DPS) and net asset values (NAV) of the individual property stocks listed in Singapore. From the Johansen’s cointegration test results, there were long‐run convergence relationships of stock prices with their fundamental values for nine of the 15 sample stocks, which implied some forms of mean reversion process of stock prices towards their fundamental values. For the nine sampled cointegrating stocks, NAV and EPS, particularly in the second‐lag orders, were the most significant fundamental values in explaining the short‐run dynamics of the stock price changes. The error correction mechanism (ECM) was also found to be statistically significant in the long‐run convergence relationships with four sample stock prices. DPSs and lagged changes in stock prices, in comparison, were statistically significant, but in only two of the sample vector ECM relationships. The results imply that institutional investors should pay more attention to the underlying performance of stocks, in particularly the EPS and NAV, in their stock selection process.

The purpose of this paper is to report on a sequential three-stage analysis of inflation persistence using monthly data from 11 inflation targeting (IT) countries and, for comparison, the USA, a non-IT country with a history of credible monetary policy.

First, the authors estimate inflation persistence in a rolling-window fractional-integration setting using the semiparametric estimator suggested by Phillips (2007). Second, the authors use tests for unknown structural breaks as a means to identify effects of the regime switch and the global financial crisis on inflation persistence. The authors use the sequences of estimated persistence measures from the first stage as dependent variables in the Bai and Perron (2003) structural break tests. Finally, the authors reapply the Phillips (2007) estimator to the subsamples defined by the breaks.

Four countries (Canada, Iceland, Mexico, and South Korea) experience a structural break in inflation persistence that coincide with the implementation of the IT regime, and three IT countries (Sweden, Switzerland, and the UK), as well as the USA experience a structural break in inflation persistence that coincides with the global financial crisis.

The authors find that in most cases the estimates of inflation persistence switch from mean-reversion nonstationarity to mean-reversion stationarity.

Monetary policy implications differ between pre- and post-global financial crisis.

Global financial crisis affected the persistence of inflation rates.

First paper to consider the effect of the global financial crisis on inflation persistence.

In what seems as an infinitely ongoing debate regarding the purchasing power parity (PPP) theory, this paper seeks to question the strength of the scientific “evidence” put forward by the PPP revisionists

In this paper, the validity of the PPP revisionists' scientific evidence supporting long‐run PPP is questioned based on the replication of an influential review study that is considered by PPP revisionists to exhibit “some of the strongest evidence” in favour of the PPP theory.

By simulation experiments it is demonstrated that the traditional PPP unit root tests are non‐robust to the empirically identified (G)ARCH distortions. Due to (G)ARCH distortions, over‐rejections for the traditional unit root tests are shown to be a problem that potentially misleads researchers to believe that long‐run PPP holds under circumstances when it is in fact not valid. As a potential remedy to this problem, a new unit root test is introduced which is robust to conditional heteroscedasticity disturbances, and in contrast to traditional unit root tests, it exhibits no significant empirical support for the PPP theory.

The study illustrates that the PPP revisionists' unit root tests cannot reliably test the PPP hypothesis in the presence of (G)ARCH distortions, due to bad power and size properties. Perhaps it is time to conclude that, based on the currently existing research, it is virtually impossible to empirically come to a credible conclusion regarding whether long‐run PPP holds or not.

In the 1990s, scientists succeeded in demonstrating the highly positive effects of transformational and charismatic leadership on performance effectiveness, based on a large number of empirical findings. Bass (1985) predicted that this type of leadership would be related to “performance beyond expectations”. This has proved to be true to a very large extent. The so-called “new leadership approach “, however, has not yet succeeded in a close analysis of the interaction and influencing processes between charismatic leaders and their followers. This paper provides such an analysis. After pointing out the main problems with prior theoretical work, we offer an alternative model to help explain the emergence of charisma using social-cognitive and psycho-dynamic theories. Basically, we start from the premise that a focal person may be categorized as a charismatic leader on the basis of evaluative borderline attributes assigned to him or her, which are closely related to characteristics stigmatized by society. These attributes are exhibited consciously or unconsciously by the leader, either by means of social dramatization or by means of social reversion. We then propose a model of charismatic leadership relationships, which deal with both intra-personal and inter-personal feedback processes, based on recent theories of narcissistic behavior. Our overall intent is to help explain and clarify the processes between leadership behavior and the attribution of charisma.

The paper aims to determine the impact of bank-specific, industry-specific and macro-specific determinants on the profitability indicators – return on assets (ROA) and ratio net-interest margin (RNIM).

This research sample includes selected Croatian banks, and the empirical analysis covers the period 2007-2014. Based on the reliable and robust econometric tests, dynamic estimation technique (DOLS) was run to estimate the profitability models, by using of ROA and RNIM as dependent variables, which also include lagged dependent variables to capture the speed of mean reversion in terms of profitability, respectively.

The results proved the crucial positive impact of assets size (economies of scale), loan portfolio and GDP growth on the banks’ profitability. Further, the negative impacts on profitability have risks and administrative costs. This paper shows the positive impact of capital adequacy ratio (CAR) and leverage on ROA and RNIM, as well as the correlation between market concentration and banks’ profitability.

Basically, Croatian banks should improve operative efficiency and risk management practice to increase their profitability. In addition, banks should carefully balance between capital base and risk exposure on the one hand and take advantage of using relative cheaper deposits and borrowed funds instead of using more expensive equity. This conclusion is reasonable, keeping in mind that the Croatian financial market does not punish banks for an extra risk exposure caused by market imperfections. Finally, the regulatory authority in Croatia should impose some additional antitrust measures to increase competition in the banking market.

Although a bunch of existing studies explain the determinants of bank profitability from different perspectives, this paper conducts a specific empirical analysis about the determinants of bank profitability in Croatia. In addition, this paper provides a good synthesis of the relevant empirical and theoretical studies from this domain.

The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors compare and contrast four approaches to stochastic volatility to determine which is most appropriate to each of these various needs.

In this paper, it is argued that previous estimates of the expected cost of equity and the expected arithmetic risk premium in the UK show a degree of upward bias. Given the importance of the risk premium in regulatory cost of capital in the UK, this has important policy implications. There are three reasons why previous estimates could be upward biased. The first two arise from the comparison of estimates of the realised returns on government bond (‘gilt’) with those of the realised and expected returns on equities. These estimates are frequently used to infer a risk premium relative to either the current yield on index‐linked gilts or an ‘adjusted’ current yield measure. This is incorrect on two counts; first, inconsistent estimates of the risk‐free rate are implied on the right hand side of the capital asset pricing model; second, they compare the realised returns from a bond that carried inflation risk with the realised and expected returns from equities that may be expected to have at least some protection from inflation risk. The third, and most important, source of bias arises from uplifts to expected returns. If markets exhibit ‘excess volatility’, or f part of the historical return arises because of revisions to expected future cash flows, then estimates of variance derived from the historical returns or the price growth must be used with great care when uplifting average expected returns to derive simple discount rates. Adjusting expected returns for the effect of such biases leads to lower expected cost of equity and risk premia than those that are typically quoted.

This paper aims to examine the impact of the Australian Securities Exchange Corporate Governance recommendations on the breadth (amount of items covered) of (environmental and social) sustainability reporting by the firms in the Top 100, around the change from G3.1 to G4 disclosure regimes.

This paper undertakes comparisons of means and regression models to investigate the changes between disclosure scores of 98 listed entities from the 2013 G3.1 to the 2015 G4 disclosure regimes.

This paper finds that average disclosure levels did not change. Nonetheless, disclosure practices did vary by entity size and performance. Analysis of 2015 disclosures contingent on 2013 disclosure practice indicates that disclosure changes are consistent with a pattern of mean reversion.

Evidence that low disclosers increased disclosure and high disclosers reduced disclosers is consistent with the idea that sustainability disclosure is not so much driven by any ethical considerations, but rather by a desire to not be a disclosure outlier. Reliance on voluntary disclosure to achieve a socially desired level of disclosure is unlikely to bear fruit.

This paper contributes to the literature on sustainability by examining firm responses to change in disclosure regimes, and concluding that size and peer relativities drive the disclosure process.

The aim is to study jump liquidity risk and its impact on risk measures: value at risk (VaR) and conditional VaR (CVaR).

The liquidity discount factor is modelled with mean revision jump diffusion processes and the liquidity risk is integrated in the framework of VaR and CVaR.

The standard VaR, CVaR, and the liquidity adjusted VaR can seriously underestimate the potential loss over a short holding period for rare jump liquidity events. A better risk measure is the liquidity adjusted CVaR which gives a more realistic loss estimation in the presence of the liquidity risk. An efficient Monte Carlo method is also suggested to find approximate VaR and CVaR of all percentiles with one set of samples from the loss distribution, which applies to portfolios of securities as well as single securities.

The paper offers plausible stochastic processes to model liquidity risk.