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Article
Publication date: 28 August 2009

Claudine Neethling

The wireless revolution of the last decade has fuelled unprecedented demand for access to radio frequency spectrum in South Africa. For the first time, the Independent…

Abstract

Purpose

The wireless revolution of the last decade has fuelled unprecedented demand for access to radio frequency spectrum in South Africa. For the first time, the Independent Communications Authority of South Africa faces the daunting task of pricing radio frequency spectrum in a transparent and quantitative manner, while allocating the asset within the framework of black economic empowerment.

Design/methodology/approach

The purpose of this paper is to illustrate how real options analysis may be applied to achieve the goal of right pricing of radio frequency spectrum. This paper aims to combine theoretical insights with an empirical case study.

Findings

Results suggest that the primary price of a licence will vary according to the profit an entity expects to realize, rather than the licence having one fair value price.

Originality/value

Although such a conclusion may be counter‐intuitive to normal business practice, it is particularly relevant in the South African milieu of empowerment and economic participation by all.

Details

Journal of Advances in Management Research, vol. 6 no. 2
Type: Research Article
ISSN: 0972-7981

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Article
Publication date: 7 August 2017

Kim Hiang Liow and Shao Yue Angela

The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and…

Abstract

Purpose

The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and Singapore (SG), during the pre- and post-global financial crisis (GFC) periods.

Design/methodology/approach

First, univariate spectral analysis is concerned with discovering price cycles for the respective real estate markets. Second, bivariate cross-spectral analysis seeks to uncover whether any two real estate price series share common cycles with regard to their relative magnitudes and lead-lag patterns of the cyclical variations. Finally, to test the contagion effects, the authors estimate the exact percentage change in co-spectral density (cyclical covariance) due to high frequencies (short run) after the GFC.

Findings

The authors find that whilst none of the public real estate markets examined are spared from the crisis, the three Asian markets were less severely affected by the GFC and were accompanied by a reversal in volatility increase three years post-global financial crisis. Additionally, the public real estate markets studied have become more cyclically linked in recent years. This is particularly true at longer frequencies. Finally, these increased cyclical co-movements measure the outcomes of contagion and indicate fairly strong contagious effects between the public real estate markets examined due to the crisis.

Research limitations/implications

The implication of this research is that benefits to investors from international real estate diversification may not be as great during the present time compared to previous periods because national public real estate markets have become more correlated. Nevertheless, the findings do not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the correlation values are still between low and moderate range, indicating that some diversification benefits may still be realized.

Practical implications

Given the significant market share and the highest levels of securitization in Asia-Pacific markets including JP, HK/China, and SG, this cyclical research including major public real estate markets has practical implications for ongoing international real estate investment strategies, particularly for the USA/UK and Asian portfolio managers.

Originality/value

This paper contributes to the limited research on the cyclical return and co-movement dynamics among major public real estate markets during financial/economic crisis in international finance. Moreover, the frequency-domain analysis conducted in this paper adds to better understanding regarding the impact of GFC on the cyclical return volatility and co-movement dynamics of major developed public real estate markets in international investing.

Details

Journal of Property Investment & Finance, vol. 35 no. 5
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 1 January 2003

ALI HIRSA, GEORGES COURTADON and DILIP B. MADAN

The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time…

Abstract

The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time. The authors of this article compare various models for calibrating volatility surfaces in order to price up‐and‐out call options.

Details

The Journal of Risk Finance, vol. 4 no. 2
Type: Research Article
ISSN: 1526-5943

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Book part
Publication date: 30 May 2017

Sanja Korac, Iris Saliterer and Eric Scorsone

The United States (U.S.) has been described as the root of the global financial crisis. The events of the financial, sovereign debt, and Euro crisis and the accompanying…

Abstract

The United States (U.S.) has been described as the root of the global financial crisis. The events of the financial, sovereign debt, and Euro crisis and the accompanying economic turmoil that have spread throughout most of the Western world have been traced back to the excessive consumer borrowing, sub-prime mortgage lending and ultimately the housing bubble in the United States. Its burst in 2008 created a shock that overshadowed prior recession and fiscal stress of governmental entities in the United States. Deriving over 90% of their own tax revenues from property taxes, local governments in Michigan have been hit even more excessively. However, the cases analysed in this chapter not only tell a unique story of deep shock and legacy costs, but also of creative ways of surviving the crisis, exerting different patterns of financial resilience. In general, state regulations restricted buffering the impact, and some cities additionally suffered from their geographical vicinity to and economic dependency on Detroit, a city that stands for the turbulence of the U.S. automobile industry. After first deploying buffering capacities that still existed, two cases saw the crisis as an opportunity to address their vulnerabilities (reactive adapters), an opportunity that was not recognised in the case of a constrained adapter. In contrast, one case showed strong anticipatory and coping capacities that have been built up in the past, equipping the local government to operate in a lean and efficient way, and to proactively adapt to arising shocks.

Details

Governmental Financial Resilience
Type: Book
ISBN: 978-1-78714-262-6

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Article
Publication date: 5 October 2015

Gert Jan Hofstede

The purpose of this paper is to argue that in cross-cultural and strategic management, we must pay attention to the processes creating and maintaining culture. How can…

Abstract

Purpose

The purpose of this paper is to argue that in cross-cultural and strategic management, we must pay attention to the processes creating and maintaining culture. How can everyday interactions give rise to national, “deep” cultures, recognizable across centuries, or organizational cultures, recognizable across decades?

Design/methodology/approach

This is a conceptual paper using the evidence provided by research about cultural patterns, and using sociological status-power theory to explain the causation of these patterns. Emergence, also called self-organization, is introduced as mechanism connecting individual-level causation with resulting system-level patterns. Cases are used to illustrate points.

Findings

Simulation gaming and computational social simulation are introduced. These methods allow “growing” a system, thus allowing to experiment with potential interventions and their unanticipated effects.

Research limitations/implications

This essay could have major implications for research, adding new methods to survey-based and case-based studies, and achieving a new synthesis. Strategic management today almost invariably involves cross-cultural elements. As a result, cross-cultural understanding is now strategically important.

Practical implications

The suggestions in this essay could lead to new collaborations in the study of culture and organizational processes. Examples include team formation, negotiation, mergers and acquisitions, trans-national collaboration, incentive systems and job interviews.

Social implications

The suggestions in this essay could contribute to our ability of proactively steering processes in organizations. In particular, they can provide a check to the notion that a control measure necessarily results in its intended effect.

Originality/value

The synthesis of biological, sociological and cross-cultural psychological viewpoints with design-oriented method, using games or social simulations as research instruments, is original in the field.

Details

Cross Cultural Management, vol. 22 no. 4
Type: Research Article
ISSN: 1352-7606

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Article
Publication date: 17 March 2014

Stoyu I. Ivanov

In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the…

Abstract

Purpose

In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is there a relation between hedging and speculation, if such a relation exists considering the improvement in market trading efficiency after the QQQ move did the relation between speculative demand for options and hedging demand for options strengthen at the time of the QQQ move, if such a relation exists does hedging activity follow speculative activity.

Design/methodology/approach

The author uses the fact that deep-out-of-the-money puts are used for hedging, whereas deep-out-of-the-money calls are used for speculation. The author uses spectral analysis on QQQ options in the attempt to answer the research question. The author uses spectral analysis because the data in the study are non-normally distributed which would make parametric testing meaningless.

Findings

The author finds that indeed the relation between speculative demand and hedging demand for options exists and strengthens after the consolidation of trading on NASDAQ and that hedging follows speculation. The fact that this relation exists is economically meaningful in that this is established for the first time empirically in support of the theoretical models predicting this relation's existence.

Originality/value

Market participants on both the speculation side of the investment spectrum, such as hedge funds, and hedging side of the investment spectrum, such as mutual funds and money managers, would be interested in this topic and the findings of this paper. The main contribution of this study is in examining the relation between differential demand for options by using the non-parametric tools of spectral analysis. This helps extend the understanding of exchange traded funds' (ETF') option behavior and contributes to this strand of the ETF literature.

Details

The Journal of Risk Finance, vol. 15 no. 2
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 9 November 2015

Peter Hofer, Christoph Eisl and Albert Mayr

– The purpose of this paper is a comparison of forecasting behaviour of small and large Austrian firms, analysing their forecast practices in a volatile business environment.

Abstract

Purpose

The purpose of this paper is a comparison of forecasting behaviour of small and large Austrian firms, analysing their forecast practices in a volatile business environment.

Design/methodology/approach

The empirical analysis of the paper, deductive by nature, was conducted by means of a quantitative online-survey (199 data sets). The relationship of perceived volatility and forecast predictability was evaluated by correlation analysis. t-Test and analysis of variances were used to examine significant differences in the forecast characteristics between small and large Austrian companies and different industries.

Findings

The study provides evidence that the surveyed companies have been hit by volatility, showing that Austrian SMEs are significantly more severely affected than large companies. The increasing volatility correlates with a reduced forecast predictability of sales quantities and commodity prices. Large Austrian companies primarily use a broad spectrum of qualitative forecasting methods. In contrast, Austrian SMEs utilize simple quantitative and qualitative forecast techniques, like the forward projection of historical data.

Research limitations/implications

Relevant for the forecasting of small and large companies.

Practical implications

Although management requests a broad spectrum of forecast qualities, the current usage of less sophisticated methods reveals a gap between intention and reality. Companies that supplement their qualitative techniques by sophisticated quantitative ones should expect less forecast bias.

Originality/value

This paper initially compares forecast methods in large and small Austrian firms and additionally provides the impact of volatility on the forecast predictability.

Details

Journal of Applied Accounting Research, vol. 16 no. 3
Type: Research Article
ISSN: 0967-5426

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Article
Publication date: 5 July 2021

Shuzhen Zhu, Xiaofei Wu, Zhen He and Yining He

The purpose of this paper is to construct a frequency-domain framework to study the asymmetric spillover effects of international economic policy uncertainty on China’s…

Abstract

Purpose

The purpose of this paper is to construct a frequency-domain framework to study the asymmetric spillover effects of international economic policy uncertainty on China’s stock market industry indexes.

Design/methodology/approach

This paper follows the time domain spillover model, asymmetric spillover model and frequency domain spillover model, which not only studies the degree of spillover in time domain but also studies the persistence of spillover effect in frequency domain.

Findings

It is found that China’s economic policy uncertainty plays a dominant role in the spillover effect on the stock market, while the global and US economic policy uncertainty is relatively weak. By decomposing realized volatility into quantified asymmetric risks of “good” volatility and “bad” volatility, it is concluded that economic policy uncertainty has a greater impact on stock downside risk than upside risk. For different time periods, the sensitivity of long-term and short-term spillover economic policy impact is different. Among them, asymmetric high-frequency spillover in the stock market is more easily observed, which provides certain reference significance for the stability of the financial market.

Originality/value

The originality aims at extending the traditional research paradigm of “time domain” to the research perspective of “frequency domain.” This study uses the more advanced models to analyze various factors from the static and dynamic levels, with a view to obtain reliable and robust research conclusions.

Details

Kybernetes, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0368-492X

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Article
Publication date: 25 September 2020

Guilherme Cardoso, Karem Ribeiro and Luciano Carvalho

Risk management has been crucial to investors and regulators for pursuing market diversification opportunities and developing strategies to ensure market stability. This…

Abstract

Purpose

Risk management has been crucial to investors and regulators for pursuing market diversification opportunities and developing strategies to ensure market stability. This study examines the dependence structures of volatility, related to co-movements and macroeconomic effects, among Latin American stock markets and the risk–return spectrum benefits in the Latin American market using time-varying returns and volatility forecasts within a multivariate structure.

Design/methodology/approach

The sample comprised the largest stock markets in Latin America during the period from January 2000 to December 2017 and copulas and multivariate models were applied.

Findings

The results indicated that the copula with the best fit for modeling the dependence structure of the markets was symmetric Joe-Clayton with time-varying parameters. The dependence volatility structure was higher in the positive (upper tail) than in the negative (lower tail) returns, which may indicate that the Latin American markets had diversification benefits during downturns. Evidence of market coupling was found during times of the global crisis (subprime crisis) in Latin America. The presence of monetary and temporal effects over the dependence structures suggests that investors may obtain gains in a multivariate structure with copula distributions.

Originality/value

The findings will be of interest to researchers and practitioners for several reasons. First, this study contributes to the growing literature on the relationship between market dependence and volatility. Second, it indicates that the Latin American markets may present diversification advantages during downturns. Third, it informs the influence of macroeconomic effects on Latin American markets. The models that included the nonnormal and asymmetric characteristics of the financial market yielded better results in terms of less information loss and data adherence.

Details

Managerial Finance, vol. 47 no. 4
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 9 February 2021

Ngo Thai Hung

This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India

Abstract

Purpose

This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India

Design/methodology/approach

This paper aims to cast light on the dynamic linkages between Bitcoin prices and other conventional asset classes in India by using the wavelet transform frameworks, which can allow us to analyze components of time series without losing the information. To do that, the techniques used with the data set include wavelet-based covariance, correlation, coherence spectrum, continuous power spectrum and Granger causality test.

Findings

The findings of the study suggest that interrelationships between Bitcoin and the key financial asset returns are statistically significant at low, medium and high frequencies. This study also finds the existence of the unidirectional connectedness between Bitcoin the other assets in India.

Practical implications

The outcome of the analysis calls for substantial policy implications for investors, portfolio management in India. This research on the existence of the interconnectedness between Bitcoin and other conventional asset classes in a specific country context, India can, therefore, make a significant contribution to the contemporary debate about the speculative nature of the cryptocurrencies. It casts light on whether Bitcoin provides any diversification and risk management benefits for Indian, as well as global investors.

Originality/value

To the best of the author’s knowledge, this is the first paper investigating the interrelatedness between Bitcoin and key conventional asset classes in India. This research makes methodological advancements by using the wavelet coherence transform. The findings provide empirical bases from which to deal with issues regarding hedging purposes and optimal portfolio allocation for an increasing number of investors in the Indian context. Therefore, the main contribution of this study to related literature in this field is significant.

Details

Journal of Indian Business Research, vol. 13 no. 2
Type: Research Article
ISSN: 1755-4195

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