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1 – 10 of 16There is growing demand for research approaches that consider the functioning of financial markets in the emerging economy. The current paper aims to examine cointegration and…
Abstract
Purpose
There is growing demand for research approaches that consider the functioning of financial markets in the emerging economy. The current paper aims to examine cointegration and volatility persistence of six Middle East emerging Arabian Gulf Cooperation council (AGCC) equity markets with developed markets.
Design/methodology/approach
The study uses the MGARCH and VAR methodology to analyze the cointegration and volatility spillover across emerging AGCC markets and developed markets. Time series stock return data for six AGCC countries from February 2003 to January 2006 are used from Shuaa Capital Market together with MSCI world developed market index.
Findings
The study shows that AGCC markets exhibit significant own and cross spillover of innovations and volatility spillover and persistence in these markets. Emerging markets in AGCC derive relatively more of their innovations and volatility persistence from within the domestic market.
Practical implications
The results imply that, emerging AGCC markets are susceptible to conditions within the AGCC region. This increases potential benefits of international diversification for international investors. The study findings have implications for security pricing within AGCC markets, for hedging and other trading strategies, and for regulatory polices conducted within financial markets.
Originality/value
The paper provides empirical evidence and justification for investors, both individual and foreign institutional, to adjust their portfolios through diversification.
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Jimoh Olajide Raji, Rihanat Idowu Abdulkadir and Bazeet Olayemi Badru
The purpose of this paper is to investigate the dynamic relationship between Nigeria-US exchange rate (XR) and crude oil price (OILP) using daily data from 1 January 2001 to 31…
Abstract
Purpose
The purpose of this paper is to investigate the dynamic relationship between Nigeria-US exchange rate (XR) and crude oil price (OILP) using daily data from 1 January 2001 to 31 December 2015.
Design/methodology/approach
The study uses alternative methods, including vector autoregressive-generalised autoregressive conditional heteroskedasticity (VAR-GARCH) within the framework of Baba-Engle-Kraft-Kroner model, constant conditional correlation (CCC)-GARCH and dynamic conditional correlation (DCC)-GARCH models.
Findings
The results from the VAR-GARCH model indicate unidirectional cross-market mean spillovers from oil market (OILM) to foreign exchange market (FXM). In addition, the results show a positive effect of OILP on XR, suggesting that an increase in OILP appreciates Nigerian currency relative to US dollar and a fall in OILP depreciates it. The authors find that the effects of cross-volatility spillovers between the OILM and FXM are bidirectional. The CCC results indicate positive correlations of returns of 16 per cent between the FXM and OILM. Finally, the DCCs results indicate positive correlations between the two markets since the fourth quarter of 2008 (the world financial crisis period) until the recent period of world oil glut and slow demand for crude oil.
Research limitations/implications
Following the depreciation of the Nigerian currency vis-á-vis US dollar since the onset of the recent world oil glut and lower oil prices, Nigerian authorities should embark on subsidy reform, such as reduction in fuel subsidies. This may enable the release of fiscal resources that may be used to either rebuild fiscal space lost or finance investment in non-oil sectors in order to reduce overdependence on oil income. Lower fiscal revenues, coupled with the risk that crude oil maintains its low price for some time, imply that government should reduce its expenditure, and continue to draw on available accumulated funds from the excess crude account for some time until the real depreciation required for adjustment is achieved.
Originality/value
Studies on volatility spillovers between OILM and FXM are limited in the literature, particularly in Nigerian case. Moreover, the study employs different approaches for broader analysis. These alternative methods, a clear departure from the previous studies, provide comprehensive dynamic nature of the relationship between the FXM and OILM.
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Elie I. Bouri and Georges Yahchouchi
This paper aims to examine the dynamic relationship across stock market returns in Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE)…
Abstract
Purpose
This paper aims to examine the dynamic relationship across stock market returns in Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE), Saudi Arabia, and Oman from June 2005 to January 2012.
Design/methodology/approach
The paper uses a multivariate model with leptokurtic distribution which allows for both return asymmetry and fat tails. The paper also derives from the model the conditional correlation between stock markets and examines the impact of the global financial crisis of 2008 on the conditional variance and correlation.
Findings
The empirical results show that the Middle East and North African (MENA) markets are interconnected by their volatilities and not by their returns. Volatility persists in each market and significant volatility spillovers from small to relatively larger markets. During the crisis, the paper finds that conditional volatilities across markets increase but then during the post-crisis period return to their pre-crisis levels. More importantly, the conditional correlation behaves differently, with a significant evidence of downwards trend in some correlations across the MENA stock markets.
Research limitations/implications
One limitation of the study relates to the relatively short-sample period which drives the empirical results.
Practical implications
The key results imply that there is still a possibility of benefits from portfolio diversification across specific MENA countries during periods of high volatility.
Originality/value
No previous study investigates the transmission of both the first and second moments of the return series across the MENA stock markets allowing for time-varying volatility and correlation and accounts for the 2008 global financial crisis to examine whether the conditional volatilities and correlations have strengthened or weakened during the crisis and afterwards.
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Jens Ola Eklinder-Frick, Andrea Perna and Alexandra Waluszewski
Previous IMP research has shown that innovation benefits tend to gravitate across organisational, company and legal borders. However, OECD and EU policy assume that innovation…
Abstract
Purpose
Previous IMP research has shown that innovation benefits tend to gravitate across organisational, company and legal borders. However, OECD and EU policy assume that innovation investments will create benefits in close spatial relation to where these were made. The overall purpose of this paper is to consider how opportunities and obstacles of innovation appear from the perspective of: a national policy actor, its regional mediators and a policy supported and research-based firm engaged in innovation. A specific interest is directed to what interactive aspects that are considered by these actors; in the using, producing and developing settings.
Design/methodology/approach
Influenced by the research question and theoretical point of departure the authors investigate what type of interfaces our focal actors recognise in the using, producing and developing settings. A total of 41 face-to-face and phone interviews focusing on each actor’s approach were conducted; 23 interviews in order to investigate the “policy side” of innovation attempts, while 18 interviews have been performed in order to understand a single business actor’s innovation approach.
Findings
The study shows that both the national policy agency and the regional policy mediators primarily operate within a developing setting, and furthermore, applies a rather peculiar interpretation of proximity. As long as the developing setting of the innovation journey is in focus, with the task to transfer academic knowledge advances to commercial actors, the proximity aspect is rather easy to fulfil. However, as soon as the producing and using settings of the innovation is taken into consideration, the innovation, if it survives, will gravitate to a producing setting where it can contribute to investments in place.
Originality/value
The study investigates the opportunities and obstacles of innovation; the spatial aspects included, and how these are considered by: a national policy agency, a regional mediator and a policy-supported innovating firm, in order to juxtapose the policy doctrine with the experience of the business actors such policy wishes to support.
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Md Hasib Noor and Anupam Dutta
The purpose of this paper is to investigate the volatility linkage between global oil market and major South Asian equity markets.
Abstract
Purpose
The purpose of this paper is to investigate the volatility linkage between global oil market and major South Asian equity markets.
Design/methodology/approach
In order to serve the purpose, the authors employ a recently developed vector autoregressive-generalized autoregressive conditional heteroskedastic model to examine whether shocks and volatility spill over from the oil market to various equity markets under consideration.
Findings
The findings of the empirical analysis suggest that all the markets studied do receive volatility from the oil market. Not surprisingly, the authors do not find any significant evidence of volatility transmission from the equity markets to the global oil market. Additionally, while computing the optimal portfolio weights and hedge ratios, the authors document that inclusion of oil in the portfolio of stocks tends to reduce the risk of the resultant portfolio.
Originality/value
Fully original.
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Armando Papa, Alice Mazzucchelli, Luca Vincenzo Ballestra and Antonio Usai
Previous research focused on open innovation (OI) suggests that enterprises benefit from adopting the journey; however, the relationship among OI, marketing journey and…
Abstract
Purpose
Previous research focused on open innovation (OI) suggests that enterprises benefit from adopting the journey; however, the relationship among OI, marketing journey and knowledge-intensive innovation marketing activities (KIIMA) remains unclear. The present study proposes a conceptual model of the marketing journey linking heterogeneous modes of marketing collaboration to knowledge-intensive activities.
Design/methodology/approach
The conceptual model was tested via ordinary least squares (OLS) linear regression based on a sample of data drawn from the Eurostat database.
Findings
The results indicate that strategies are a robust proxy for evaluating KIIMA, and partnerships, heterogeneous sources of knowledge and different marketing modes for collaboration among European knowledge-intensive firms are core antecedents of KIIMA, such as new-product development and marketing innovation, as well as firms' sustainable competitive advantage.
Originality/value
This study fills the gap by tracking the role of the journey within marketing collaborations on KIIMA, and it intervenes in the debate about interactive marketing innovation mechanisms. The study contributes to OI, knowledge management and the marketing literature by identifying the heterogeneous modes for marketing collaborations under which the marketing journey enhances knowledge-intensive activities such as those for marketing innovation.
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Antonello Cammarano, Mauro Caputo, Emilia Lamberti and Francesca Michelino
The purpose of this paper is to provide a patent-based framework for investigating the effect of previous and current open innovation (OI) adoption on firms’ knowledge management…
Abstract
Purpose
The purpose of this paper is to provide a patent-based framework for investigating the effect of previous and current open innovation (OI) adoption on firms’ knowledge management strategies and type of innovation output.
Design/methodology/approach
Patent data are employed for gauging innovation practices, exploitation vs exploration strategies, specialization vs diversification choices and type of innovation. The study is performed on a sample of 1,280 patents granted to 66 top R&D spending bio-pharmaceutical companies. The year of analysis is 2010.
Findings
The previous recourse to specific innovation practices influences the current practice selection. R&D collaboration, outsourcing and mergers and acquisitions are employed to pursue exploration. Past purchase of patents increases the likelihood to achieve architectural and radical innovation in current activities.
Research limitations/implications
The work recommends the use of patent data to gauge many key elements for knowledge and innovation management. Results exhort scholars to investigate innovation practices at the knowledge domain level in order to detect specific behaviors.
Practical implications
The study provides a methodology for supporting decision-makers in assessing firms’ OI adoption, also performing the benchmark with competitors and R&D partners. Given the high computational effort required for applying the methodology, the authors are planning to give access to the software specifically developed for this study.
Originality/value
The work contributes to the current debate considering the effect of a combination of innovation practices on knowledge management strategies and type of innovation output, with a particular focus on OI activities. Moreover, the separation between the impact of previous and current innovation practices provides useful insights.
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The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and…
Abstract
Purpose
The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period.
Design/methodology/approach
The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models.
Findings
The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets.
Practical implications
These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk.
Originality/value
Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.
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Thomas Gillier, Akin Osman Kazakci and Gerald Piat
Scholars and practitioners have both emphasized the importance of collaboration in an innovation context. They have also largely acknowledged that the definition of common purpose…
Abstract
Purpose
Scholars and practitioners have both emphasized the importance of collaboration in an innovation context. They have also largely acknowledged that the definition of common purpose is a major driver of successful collaboration, but surprisingly, researchers have put little effort into investigating the process whereby the partners define the common purpose. The purpose of this paper is to explore the generation of common purpose (GCP) in innovation partnerships.
Design/methodology/approach
An action‐research approach combined with modeling has been followed. The authors’ research is based on an in‐depth qualitative case study of a cross‐industry exploratory partnership through which four partners, from very different arenas, aim to collectively define innovation projects based on micro‐nanotechnologies. Based on a design reasoning framework, the mechanisms of GCP mechanism are depicted.
Findings
Regarding GCP, two main interdependent facets are identified: the determination of existing intersections between the parties’ concept and knowledge spaces (“Matching”); and an introspective learning process that allows the parties to transforms those spaces (“Building”).
Practical implications
The better understanding of the GCP and the specific notion of “C‐K profiles”, which is an original way to characterize each partner involved in a partnership, should improve the capabilities of organizations to efficiently define collaborative innovation projects.
Originality/value
The paper explores one of the cornerstones of successful collaboration in innovation: the process whereby several parties define the common purpose of their partnership.
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Roda Müller-Wieland, Antonia Muschner and Martina Schraudner
Academic entrepreneurship is extremely relevant in knowledge and technology transfer (KTT). The purpose of this study is to provide insights into phase-specific constraints and…
Abstract
Purpose
Academic entrepreneurship is extremely relevant in knowledge and technology transfer (KTT). The purpose of this study is to provide insights into phase-specific constraints and needs impacting scientists’ engagement in entrepreneurial activities at public research institutions.
Design/methodology/approach
In an exploratory case study, 40 qualitative, semi-structured interviews were conducted with German academic entrepreneurs in the fields of science, technology, engineering and mathematics (STEM).
Findings
Based on the data analysis, an ideal-typical founding process with phase-specific barriers and needs was identified. Many constraints and associated needs occur in more than one phase, including the lack of knowledge, the demand for exchange formats, the lack of time and financial resources, institutionalized return options, the lack of human resources and the lack of incentives.
Research limitations/implications
Given its exploratory approach, this study has limitations regarding its generalization; however, the presented findings may induce further research and in-depth analysis on this matter.
Practical implications
Several recommendations for action are provided for each phase of the founding process to strengthen the (entrepreneurial) transfer in research organizations. Generally, a pioneering indicator of excellence in the science system should be developed to promote transfer next to publications.
Originality/value
The study contributes to existing literature on determinants of academic entrepreneurship by indicating the phase-specific constraints and needs throughout the founding process and discussing those needs in the theoretical context of current societal and technological mega-trends.
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