Handbook of the Economics of Finance

International Momentum Strategies

Globalization, Corporate Finance, and the Cost of Capital

(2000). The Lexus and the Olive Tree. Journal of Economic Issues: Vol. 34, No. 1, pp. 232-234.

The Lexus and the Olive Tree

Микроэкономическая теория банковского дела (Microeconomics of banking)

This paper investigates volatility spillovers in the stock market in Japan during the COVID-19 pandemic by using GARCH family models. The empirical analysis is focused on the dynamics of the NIKKEI 225 stock market index during the sample period from July 30, 1998, to January 24, 2022. In other words, the sample period covers both the period of the global financial crisis (GFC) and the COVID-19 pandemic. The econometrics includes GARCH (1,1), GJR (1,1), and EGARCH (1,1) models. By applying GARCH family models, this empirical study also examines the long-term behavior of the Japanese stock market.The Japanese stock market is much more stable and efficient than emerging or frontier markets characterized by higher volatility and lower liquidity. The paper establishes that NIKKEI 225 index dynamics is different in intensity in the case of the two most recent extreme events analyzed, namely the global financial crisis (GFC)of 2007–2008 and the COVID-19 pandemic. The findings confirmed the presence of the leverage effect during the sample period. Moreover, the empirical results identified the presence of high volatility in the sample returns of the selected stock market. Nevertheless, the econometric framework showed that the negative implications of the GFC were much more severe and caused more significant contractions compared to the COVID-19 pandemic for the Japanese stock market. This study contributes to the existing literature by providing additional empirical evidence on the long-term behavior of the stock market in Japan, especially in the context of extreme events.

Testing volatility spillovers using GARCH models in the Japanese stock market during COVID-19

In this study we adopt Wang’s (2002) heteroscedastic stochastic frontier model, which allows us to investigate bank cost efficiency and to measure the marginal effects of some variables on both the level and the variability of inefficiency. In recent years, the financial crisis has significantly affected the banking systems of the transition countries. Hence, the efficiency is of major importance for the stability of the banks. Regarding the determinants of efficiency, we find evidence that banks that follow a more cautious strategy, characterized by lower risk appetite and average expectations on profitability, have higher cost efficiency. We also find that traditional deposit-taking and loan-making still remain the most efficient activity of the banks. Additionally, the results showed that a higher Gross Domestic Product growth rate implies an increase in the inefficiency level, indicating an unsustainable bank management behaviour, which in periods of economic growth adopts policies that can generate inefficiency in order to gain market share and to obtain higher bonuses. Country cost efficiency results show significant differences. The banking systems in transition countries in South Eastern Asia appear to have a higher cost efficiency level. Also, the effects of the financial crisis were less significant in this region.

Determinants of Bank Cost Efficiency in Transition Economies: Evidence for Latin America, Central and Eastern Europe and South-East Asia

Liberalization of the economy has cemented the open road for many to become entrepreneurs. The possibilities created by todayâ€™s comprehensive awareness together with the unfettering of indigenous ventures, has laid a fertile ground for entrepreneurship to thrive on in India. There are several challenges faced by entrepreneurs today and study reveals that most of challenges are because of ethical issues in growing entrepreneurship. The main objective of this research paper is to investigate the entrepreneurship and business developments and their intrinsic relationship with the concept of ethics. Currently, the linkage between entrepreneurship and business ethics is a growing challenge with multidimensional implications.

Is There a Necessary Prerequisite to Follow Ethical Issues in Entrepreneurship and Business

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Urdu version of the telemedicine satisfaction questionnaire and telehealth usability questionnaire: an introductory investigation among pakistani transgender individuals

This paper estimates NIFTY index from Indian stock market by considering a cluster of MSCI European, Middle East and Asian stock market indices. In the forecasting process, we obtain group of independent variables to test its relative impact over dependent variable (NIFTY) considering a sample size of daily observations from January 2000 to December 2021 abstracted from Bloomberg. We run OLS regression, Quantile estimations with additional parameter of VIF and BKW. We found significant impact association with China (Asian index) and Saudi Arabia (Middle East index) during the forecasting process compared to rest of sample indices that exceed unexpectedly out of VIF limits. Further, we recorded strong association of independent variables despite of statistical significance (<1%) in OLS regression estimation.

Cristi Spulbar

Papers

Testing volatility spillovers using GARCH models in the Japanese stock market during COVID-19

Determinants of Bank Cost Efficiency in Transition Economies: Evidence for Latin America, Central and Eastern Europe and South-East Asia

Is There a Necessary Prerequisite to Follow Ethical Issues in Entrepreneurship and Business

Urdu version of the telemedicine satisfaction questionnaire and telehealth usability questionnaire: an introductory investigation among pakistani transgender individuals

Do European, Middle-East and Asian Stock Markets Impact on Indian Stock Market? A Case Study Based on NIFTY Stock Index Forecasting