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Western management development assistance (MDA) is being viewedwith scepticism in Poland – a scepticism fuelled by the rapidproliferation of MDA programmes which sometimes…
Western management development assistance (MDA) is being viewed with scepticism in Poland – a scepticism fuelled by the rapid proliferation of MDA programmes which sometimes compete with one another, frequently lack intellectual clarity, and often are short‐sighted. Discusses some of the barriers, challenges and opportunities associated with developing MDA programmes for post‐communist countries, presents a method for analysing variables in planning MDA programmes, and offers recommendations for those seeking to develop MDA programmes for post‐communist countries.
Management education in Poland is doing much better than the Polisheconomy. Centres of excellence are slowly being formed, and there aresigns of hope that the whole…
Management education in Poland is doing much better than the Polish economy. Centres of excellence are slowly being formed, and there are signs of hope that the whole educational system might act as an important agent of managerial and entrepreneurial change. All existing and stillnewly forming Polish schools of business share some common characteristics: market orientation, use of non‐conventional methods of instruction, reliance on some forms of foreign assistance, a higher level of autonomy than in traditional academic institutions. Indisputable initial success should not be taken, however, as an indication of the maturityof the Polish management education system. The most severe obstacles it encounters are those imposed by a seriously ailing economy. Without a real transformation of the Polish economy a viable system of management education cannot exist, as its efficiency cannot be meaningfully verified.
The purchasing power parity hypothesis is investigated within a highly economically integrated set of nations, namely the European Monetary System. We use the…
The purchasing power parity hypothesis is investigated within a highly economically integrated set of nations, namely the European Monetary System. We use the Phillips‐Hansen Fully Modified Ordinary Least Squares procedure, which for the first time allows for an unrestricted cointegration test of the PPP doctrine. We sequentially test for the weak and strong form of PPP.
The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and…
The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia‐Pacific. The paper also examines excess comovement between the considered national REIT markets on the one hand, and broad equity indices on the other. In particular, the authors are interested in contagion between the considered markets during the 2007‐2009 GFC period in comparison to the entire 2004‐2011 sample period.
Using an international factor pricing framework similar to Bekaert, Harvey and Ng, the paper defines contagion as excess comovement between two financial markets, after removing the effects of the underlying economic fundamentals, i.e. risk factors, and time‐changing volatility. Controlling for economic factors is important for distinguishing between pure contagion and information spillovers, which may transmit through existing economic channels. The authors then analyse excess correlations between the derived standardized residuals, for REITS and equity markets in order to investigate excess comovement between the indices during the whole sample and GFC period.
The paper finds no evidence of excess comovement between the considered REIT and equity indices during non‐crisis sample intervals. However, the paper finds contagion between several national REITs and regional or global equity markets during the GFC period. The paper reports statistically significant excess correlations between national REITs and regional and world real estate markets during the entire sample period, while there is only limited evidence to suggest that the correlation amongst REIT markets has increased during the GFC period. The paper concludes that a similar degree of dependence persisted among national REIT markets over the crisis and non‐crisis sample periods for most markets.
Despite the ongoing debate on contagion in financial markets, there is only a small body of literature investigating contagion specifically for property or real estate markets. This is even more surprising, since the GFC originated from a subprime mortgage crisis and was, therefore, heavily related to real estate. The paper extends the literature by testing for contagion between REITs considering eleven national markets across three geographical regions. In contrast, the existing literature is typically constrained to a significantly smaller number of markets. The paper also explicitly takes into account the impact of the recent GFC, and tests for contagion over this period.
The purpose of this paper is twofold: first, to propose a new robust volatility ratio (RVR) that compares the intraday high–low volatility with that of the intraday…
The purpose of this paper is twofold: first, to propose a new robust volatility ratio (RVR) that compares the intraday high–low volatility with that of the intraday open–close volatility estimator; and second, to empirically test the proposed RVR on the cross-sectional (CS) average of the constituent stocks of India’s BSE Sensex and US’s Dow Jones Industrial Average index to find the evidence of “excess volatility.”
The authors model the proposed RVR by assuming the logarithm of the price process to follow the Brownian motion. The authors have theoretically shown that the RVR is unbiased in the case of zero drift parameter. Moreover, the RVR is found to be an even function of the non-zero drift parameter.
The empirical results show that the analysis based on the RVR supports the existence of “excess volatility” in the CS average of the constituent stocks of India’s BSE Sensex and US’s Dow Jones index. In particular, the authors have observed that the CS average of individual constituent stocks of BSE Sensex is found to be more excessively volatile than the US’s Dow Jones index during the period of the study from January 2008 to September 2016, based on multiple k-day time window analysis.
The study has implications for the policy makers and practitioners who would like to understand the volatility behavior in the asset returns based on the RVR of this study. In general, the proposed model can be used as a specification tool to find whether the stock prices follow the random walk behavior or excessively volatile.
The authors contribute to the existing volatility literature in finance by proposing a new RVR based on extreme values of asset prices and absolute returns. The authors implement the bootstrap technique on RVR to find the estimates of mean and standard error for multiple k-day time windows. The RVR can capture the excess volatility by comparing two independent volatility estimators. This is possibly the first study to find the CS average of all the constituent stocks of BSE Sensex based on the RVR.