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Open Access
Article
Publication date: 25 November 2022

Ahamuefula Ephraim Ogbonna and Olusanya Elisa Olubusoye

This study aims to investigate the response of green investments of emerging countries to own-market uncertainty, oil-market uncertainty and COVID-19 effect/geo-political…

Abstract

Purpose

This study aims to investigate the response of green investments of emerging countries to own-market uncertainty, oil-market uncertainty and COVID-19 effect/geo-political risks (GPRs), using the tail risks of corresponding markets as measures of uncertainty.

Design/methodology/approach

This study employs Westerlund and Narayan (2015) (WN)-type distributed lag model that simultaneously accounts for persistence, endogeneity and conditional heteroscedasticity, within a single model framework. The tail risks are obtained using conditional standard deviation of the residuals from an asymmetric autoregressive moving average – ARMA(1,1) – generalized autoregressive conditional heteroscedasticity – GARCH(1,1) model framework with Gaussian innovation. For out-of-sample forecast evaluation, the study employs root mean square error (RMSE), and Clark and West (2007) (CW) test for pairwise comparison of nested models, under three forecast horizons; providing statistical justification for incorporating oil tail risks and COVID-19 effects or GPRs in the predictive model.

Findings

Green returns responds significantly to own-market uncertainty (mostly positively), oil-market uncertainty (mostly positively) as well as the COVID-19 effect (mostly negatively), with some evidence of hedging potential against uncertainties that are external to the green investments market. Also, incorporating external uncertainties improves the in-sample predictability and out-of-sample forecasts, and yields some economic gains.

Originality/value

This study contributes originally to the green market-uncertainty literature in four ways. First, it generates daily tail risks (a more realistic measure of uncertainty) for emerging countries’ green returns and global oil prices. Second, it employs WN-type distributed lag model that is well suited to account for conditional heteroscedasticity, endogeneity and persistence effects; which characterizes financial series. Third, it presents both in-sample predictability and out-of-sample forecast performances. Fourth, it provides the economic gains of incorporating own-market, oil-market and COVID-19 uncertainty.

Details

Fulbright Review of Economics and Policy, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2635-0173

Keywords

Article
Publication date: 23 November 2022

Chao He, Yanxi Li and Runxiang Xu

The purpose of this study is to provide a textual approach to quantify the perception of uncertainty from management side and investigate how firms manage their overseas…

Abstract

Purpose

The purpose of this study is to provide a textual approach to quantify the perception of uncertainty from management side and investigate how firms manage their overseas investment dynamics when perceiving an increase in economic policy uncertainty (EPU).

Design/methodology/approach

Using a textual analysis approach, the study evaluates firm-level perception of EPU. Based on the data from China's listed firms between 2007 and 2018, it examines the association between firm-level perception of EPU and overseas investment using probit model and fixed effects regression with robust standard error adjusted for heteroscedasticity and clustered by firm.

Findings

The study finds that the level of EPU perceived by individual firms is heterogeneous. Moreover, it finds that firm-level perception of EPU is positively associated with firms' overseas investment. When perceiving an increase in EPU, firms are more likely to invest abroad and their overseas investment is more diverse. Further analysis shows that the positive association between firm-level perception of EPU and overseas investment is weaker in firms with higher financing cost, investment irreversibility and management incentive but stronger in firms with more intensive industry competition. However, it does not find significant difference in the impact of firm-level perception of EPU on overseas investment of state-owned enterprises (SOEs) and non-state-owned enterprises (non-SOEs). The results are robust to using alternative measures of primary variables and to endogeneity concerns.

Research limitations/implications

First, although the data on outward foreign direct investment (OFDI) at the national and provincial levels are comprehensive, the data on OFDI at the firm level are still relatively scarce. As the firm-level OFDI data become available, future study could be extended to OFDI flow. Second, future study could use other information disclosed by firms to evaluate their perception of EPU from host countries and examine the impact of bilateral EPU on overseas investment. Third, by evaluating firm-level perception of uncertainty in terms of a particular type of economic policies, such as fiscal policy, monetary policy, trade policy and foreign investment policy, future study could probe the sources of EPU affecting firms' overseas investment.

Practical implications

First, although uncertainty increases the volatility of firms' investment activities, firms can recognize and seize investment opportunities in an uncertain economic environment and make profits through resource integration. Second, as the association between firm-level perception of EPU and overseas investment depends on firm and industry characteristics, firms with higher financing cost, investment irreversibility and management incentive should be more cautious when making overseas investment decisions during uncertainty times. Third, governments should increase the transparency and the stability of their economic policies to help firms plan their investment policies.

Originality/value

The study extends the literature related to EPU measurement by constructing a firm-level perception index of EPU based on firms' annual reports using a textual analysis approach. Moreover, it sheds some light on the mechanism of how firms modulate their overseas investment activities under uncertainty.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 7 December 2022

Sutap Kumar Ghosh, Md. Naiem Hossain and Hosneara Khatun

This study analyses the impact of economic and trade policy uncertainty on US and Chinese stock markets. Also, this study examines the hedge and safe-haven properties of…

Abstract

Purpose

This study analyses the impact of economic and trade policy uncertainty on US and Chinese stock markets. Also, this study examines the hedge and safe-haven properties of US and China stocks against both US and Chinese economic and trade policy uncertainty.

Design/methodology/approach

To achieve the desired goals, the authors employ Dynamic Conditional Correlation through Glosten et al. (1993) model based on the Generalized Autoregressive Conditional Heteroscedasticity (DCC-GJR-GARCH (1, 1)) and Quantile cross-spectral (QS) models. The study uses monthly observations spanning from March 2010 to June 2022.

Findings

This study evidence that the economic and trade policy uncertainty between USA and China is extremely sensitive and has high volatility clustering effects on DJChina88 and DJUS, respectively. Conversely, against the Chinese economic and trade policy uncertainty, the US stock market indexes show both hedging properties across the period and safe-haven during COVID-19 and Russia–Ukraine crises. In contrast, among the Chinese stock markets, only DJShenzhen and DJShanghai stock indices might provide strong hedging and safe-haven properties against the US economic and trade policy uncertainties; however, DJShenzhen (DJChina88) stock shows weak hedge and safe-haven properties (hedging benefits) against Chinese trade policy uncertainty (CTPU) (Chinese economic policy uncertainty [CEPU]).

Practical implications

The findings have significant implications for investors, portfolio managers and regulators in hedging and making proper decisions under uncertain circumstances.

Originality/value

The study extends the literature on stock market performance to cover the economic and trade policy uncertainty by providing novel evidence during the recent COVID-19 and Russia–Ukraine invasion.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 22 November 2022

Chao Liu, Wei Zhang, Qiwei Xie and Chao Wang

This study aims to systematically reveal the complex interaction between uncertainty and the international commodity market (CRB).

Abstract

Purpose

This study aims to systematically reveal the complex interaction between uncertainty and the international commodity market (CRB).

Design/methodology/approach

A composite uncertainty index and five categorical uncertainty indices, together with wavelet analysis and detrended cross-correlation analysis, were used. First, in the time-frequency domain, the coherency and lead-lag relationship between uncertainty and the commodity markets were investigated. Furthermore, the transmission direction of the cross-correlation over different lag periods and asymmetry in this cross-correlation under different trends were identified.

Findings

First, there is significant coherency between uncertainties and CRB mainly in the short and medium terms, with natural disaster and public health uncertainties tending to lead CRB. Second, uncertainty impacts CRB more markedly over shorter lag periods, whereas the impact of CRB on uncertainty gradually increases with longer lag periods. Third, the cross-correlation is asymmetric and multifractal under different trends. Finally, from the perspective of lag periods and trends, the interaction of uncertainty with the Chinese commodity market is significantly different from its interaction with CRB.

Originality/value

First, this study comprehensively constructs a composite uncertainty index based on five types of uncertainty. Second, this study provides a scientific perspective on examining the core and diverse interactions between uncertainty and CRB, as achieved by investigating the interactions of CRB with five categorical and composite uncertainties. Third, this study provides a new research framework to enable multiscale analysis of the complex interaction between uncertainty and the commodity markets.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 6 December 2022

Mario Martínez-Córcoles, Vicente Peñarroja and Konstantinos Stephanou

Prior research indicates that empowering leadership has simultaneous contradictory effects on work performance. This study aimed to explore contradictory mechanisms…

Abstract

Purpose

Prior research indicates that empowering leadership has simultaneous contradictory effects on work performance. This study aimed to explore contradictory mechanisms through which empowering leadership is related to work role performance behaviors.

Design/methodology/approach

The sample was composed of 274 professionals from five IT companies located in the Baltic area. OLS regression analyses were performed using MEDCURVE for SPSS 23.0.

Findings

Empowering leadership is positively related to work role performance behaviors; additionally, perceived uncertainty mediates the relationship between empowering leadership and work role performance behaviors, with the relationship between empowering leadership and uncertainty having a curvilinear U-shape (concave upward). That is, although empowering leadership is positively related to work role performance, the relationship between empowering leadership and work role performance though uncertainty becomes non-significant at high levels of empowering leadership.

Originality/value

This is one of the first studies to demonstrate that empowering leadership is related to work performance through simultaneous compensatory mechanisms. Moreover, this study provides evidence about the curvilinear relationship between empowering leadership and performance through uncertainty (previously unknown).

Details

Baltic Journal of Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-5265

Keywords

Article
Publication date: 22 November 2022

Juan Gabriel Brida, Bibiana Lanzilotta and Lucia Rosich

From these data, the authors construct an uncertainty index through the use of a vector autoregressive (VAR) model to measure the impact of uncertainty on GDP, controlling…

Abstract

Purpose

From these data, the authors construct an uncertainty index through the use of a vector autoregressive (VAR) model to measure the impact of uncertainty on GDP, controlling for inflation, which may affect macroeconomic performance. Results indicate that uncertainty is negatively correlated with the economic cycle and the inter-annual variation of the biannual average product.

Design/methodology/approach

This study empirically explores the dynamics of expectations of the Uruguayan manufacturing firms about industrial economic growth. This study explores the dynamics of the industrial economic growth expectations of Uruguayan manufacturing firms. The empirical research is based on firms' expectations data collected through a monthly survey carried out by the Chamber of Industries of Uruguay (CIU) in 2003–2018.

Findings

Granger causality tests show that uncertainty Granger-causes industrial production growth and a one standard deviation shock on uncertainty generates a contraction in the industrial production growth rate. Finally, the authors use statistical and network tools to identify groups of firms with similar performance on expectations. Results show that higher uncertainty is associated with smaller, more interconnected groups of firms, and that the number of homogeneous groups and the distance between groups increases with uncertainty. These findings suggest that policies focused on the coordination of expectations can lead to the development of stable opinion groups.

Originality/value

The paper introduces new data and new methodologies to analyze the dynamics of expectations of manufacturing firms about industrial economic growth.

Highlights

  1. An empirical approach to compare expectations of firms is introduced.

  2. The occurrence of groups of opinion is tested.

  3. Central companies in the network of expectations are detected.

  4. More uncertainty implies a higher degree of discrepancy between the overall firm’s opinions and more compact opinion groups.

An empirical approach to compare expectations of firms is introduced.

The occurrence of groups of opinion is tested.

Central companies in the network of expectations are detected.

More uncertainty implies a higher degree of discrepancy between the overall firm’s opinions and more compact opinion groups.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 14 November 2022

Jonathan E. Ogbuabor, Victor A. Malaolu and Anthony Orji

This study investigated the asymmetric effects of changes in policy uncertainty on real sector variables in Brazil, China, India and South Africa.

Abstract

Purpose

This study investigated the asymmetric effects of changes in policy uncertainty on real sector variables in Brazil, China, India and South Africa.

Design/methodology/approach

The study used the nonlinear autoregressive distributed lag (NARDL) modeling framework.

Findings

The results showed that both in the long run and short run, rising uncertainty not only increases consumer prices significantly in these economies, but also impedes aggregate and sectoral output growths, and deters investment, employment and private consumption. Contrary to economic expectation, the results also showed that in the long run, declining uncertainty impedes aggregate and sectoral output growths in these economies, and significantly hinders employment in South Africa and Brazil. This suggests that in the long run, economic agents in these economies somewhat behave as if uncertainty is rising. The authors also found significant asymmetric effects in the response of real sector variables to uncertainty both in the long run and short run, which justifies the choice of NARDL framework for this study.

Research limitations/implications

The sample is limited to Brazil, India, China and South Africa. While Brazil, India and China are three of the most prominent large emerging market economies, South Africa is the largest emerging market economy in Africa.

Practical implications

To lessen the adverse effects of policy uncertainty observed in the results, there is need for sound institutions and policy regimes that can promote predictable policy responses in these economies so that policy neither serves as a source of uncertainty nor as a channel through which the effects of other shocks are transmitted.

Originality/value

Apart from using the NARDL framework to capture the asymmetric effects of policy uncertainty, this study also accounted for the sectoral effects of uncertainty in emerging markets.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 25 October 2022

Zhenbin Yang, Sangwook Ha, Atreyi Kankanhalli and Sungyong Um

This study aims to examine factors influencing potential commercial innovators' intention to innovate with open government data (OGD) via a risk perspective.

Abstract

Purpose

This study aims to examine factors influencing potential commercial innovators' intention to innovate with open government data (OGD) via a risk perspective.

Design/methodology/approach

The authors develop a theoretical model that explains how different forms of uncertainty (i.e. financial, technology, competitive, demand, and data) and their inter-relationships influence potential commercial innovators' intention to innovate with OGD. The model is tested using survey data collected from 144 potential commercial innovators from a developed Asian country.

Findings

The results suggest that all other forms of uncertainty, except competitive uncertainty, negatively influence potential commercial innovators' intention to innovate, mediated by their perceived risk of innovating with OGD. The results also show positive relationships between different forms of uncertainty, i.e. competitive and financial, demand and competitive, data and financial uncertainty.

Originality/value

This paper identifies major forms of innovation uncertainty, perceived risk, their inter-relationships, and impacts on the intention to innovate with OGD. It also finds support for a unique form of uncertainty for OGD innovation (i.e. data uncertainty).

Details

Internet Research, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1066-2243

Keywords

Article
Publication date: 9 September 2022

Mengfei Zhu and Yitao Tao

This study investigates the impact of economic policy uncertainty on corporation innovation in innovative cities. The study sheds light on different results from the…

Abstract

Purpose

This study investigates the impact of economic policy uncertainty on corporation innovation in innovative cities. The study sheds light on different results from the previous literature by testing the moderator effects of entrepreneurial risk appetite on such impact.

Design/methodology/approach

A static panel estimator is applied to a Chinese sample of 416 firm-year observations from 2010 to 2019. This paper uses regression model to test the impact of uncertainty on enterprise innovation in innovative cities, and to test the regulatory role of entrepreneurial risk appetite. For a series of robustness analysis conducted by the author to deal with endogeneity, the results are robust.

Findings

The author finds reliable evidence that the economic policy uncertainty can promote corporations to invest more in R&D in innovative cities. In addition, the role of the entrepreneurial initiative is significant, and there is a positive moderating effect of entrepreneurial risk appetite between policy uncertainty and corporation innovation.

Research limitations/implications

From a practical point of view, this study examines the impact of economic policy uncertainty on corporation innovation in innovative cities for the first time. It emphasizes the role of entrepreneurial risk-taking in the development of corporation innovation in Shenzhen, an innovative city. This research is of great significance to the formulation of government policies and the innovative choice of entrepreneurs. In addition, the research shows that the entrepreneurial risk appetite in innovative cities can have a positive impact on enterprise innovation. Therefore, when formulating policies, the government should take the subjective factors of entrepreneurs into account and support enterprises with innovation potential. The evidence of this study also helps entrepreneurs make innovative decisions and enhance their confidence in enterprise development.

Originality/value

By studying the impact of economic policy uncertainty on enterprise innovation under the regulation of enterprise risk appetite, this study shows the subjective and positive role of entrepreneurs in risk grasp in innovative cities for the first time. In addition, it fills the gap of the impact of policy uncertainty on innovative urban enterprises. In fact, although it is traditionally believed that economic policy uncertainty has a negative impact on enterprise innovation, the sensitive findings of this study reveal completely different results from previous studies.

Details

Management Decision, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0025-1747

Keywords

Article
Publication date: 19 September 2022

Ruihe Yan and Xiang Gong

Building upon uncertainty reduction theory, this work aims to explore how four uncertainty reduction factors (i.e. online property review, online textual description…

Abstract

Purpose

Building upon uncertainty reduction theory, this work aims to explore how four uncertainty reduction factors (i.e. online property review, online textual description, online visual description and online instant messenger) mitigate property quality uncertainty and property fit uncertainty, which further influence Airbnb use intention.

Design/methodology/approach

This work tests the proposed research model using a structural equation modeling approach with 335 Airbnb users.

Findings

The findings reveal that the online property review, online textual description, online visual description and online instant messenger can efficiently mitigate property quality uncertainty and property fit uncertainty, which ultimately influence Airbnb use intention.

Research limitations/implications

This study provides useful insights on mitigating property uncertainty in the peer-to-peer (P2P) accommodation platforms. Researchers are encouraged to investigate the boundary conditions that influence the effectiveness of uncertainty reduction strategies in alleviating property uncertainty.

Practical implications

P2P accommodation service providers are suggested to take actionable uncertainty reduction strategies to mitigate property uncertainty in online P2P accommodation platforms.

Originality/value

First, this study advances research on P2P accommodation by identifying two key types of property uncertainty, namely, property quality uncertainty and property fit uncertainty. Second, this study extends research on P2P accommodation by proposing contextualized passive, active and interactive uncertainty reduction strategies in mitigating property uncertainty. Third, this study extends uncertainty reduction theory to the P2P accommodation context. Fourth, this study enriches uncertainty reduction theory by verifying the mediating effects of property quality uncertainty and property fit uncertainty.

Details

International Journal of Contemporary Hospitality Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0959-6119

Keywords

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