The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Examines the motivation for achievement as a psychological factor that shapes economic development. Refuting arguments based on race, climate, or population growth, the book instead argues for cultural customs and motivations - especially the motivation for achievement - as the major catalysts of economic growth. Considering the Protestant Reformation, the rise of capitalism, parents' influences on sons, and folklore and children's stories as shaping cultural motivations for achievement, the book hypothesizes that a high level of achievement motivation precedes economic growth. This is supported through qualitative analysis of the achievement motive, as well as of other psychological factors - including entrepreneurial behavior and characteristics, and available sources of achievement in past and present highly achieving societies. It is the achievement motive - and not merely the profit motive or the desire for material gain - that has advanced societies economically. Consequently, individuals are not merely products of their environment, as many social scientists have asserted, but also creators of the environment, as they manipulate it in various ways in the search for achievement. Finally, a plan is hypothesized to accelerate economic growth in developing countries, by encouraging and supplementing their achievement motives through mobilizing the greater achievement resources of developed countries. The conclusion is not just that motivations shape economic progress, but that current influences on future people's motivations and values will determine economic growth in the long run. Thus, it is most beneficial for a society to concentrate its resources on creating an environment conducive to entrepreneurship and a strong ideological base for achievement. (CJC)

The Achieving Society

This paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous research, by using ordinary difference VARs, ignored an important component of linkages displayed purely over the long run. This untapped evidence essentially provides robust and very useful information to international financial analysts and investors. At a substantive level, results of this study tend to support the contention offered by several studies in the literature of significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run. The levels VAR, however, illustrate the Japanese market's influence as an additional long run leader. Findings seem to be plausible given that these three markets (US, UK and Japan) have consistently contributed over 75% of global stock market capitalization over the major part of the sample under consideration. At a methodological level, this analysis also provides a primer for the wealth of applied financial econometric research focusing on dynamic causal inference which involve systems containing possibly integrated and cointegrated processes.

Long and short term dynamic causal transmission amongst international stock markets

Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5

Stock market integration of emerging Asian economies: Patterns and causes

This study investigates volatility in Indian stock markets. Specifically, it looks for the possible volatility transmission channel for the Indian stock market from among Indian sectoral developments as well as developments in the global market. The SENSEX is used as the Indian market index and its response to overseas market indices such as Dow Jones, FTSE, BVSP, MerVal and JKSE is examined. The relationship between the SENSEX and domestic sectoral indices has also been examined. It has been found that the volatility in the developed market indices Granger causes SENSEX volatility, showing strong proof of a global contagion. SENSEX volatility is also related to some extent to the volatility of the Jakarta Stock index, hinting towards some kind of regional contagion. Moreover, as the impulse-response function shows, a shock in Dow Jones, the Jakarta stock index and BVSP has a profound effect on the SENSEX (Dow Jones having the most important one). As for sources from its domestic sectors, capital goods and consumer durables are the most prominent contributors to the volatility of the SENSEX.

https://link.springer.com/content/pdf/10.1057%2Fjam.2008.29.pdf

Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors

This article uses a multivariate GARCH approach to explore the presence and the changing nature of volatility contagion in the Asia-Pacific region around the financial crisis of 2007–2008 and its possible impact on potential investors in the region. Over the study period of June 2006–December 2010, the selected eight Asia-Pacific economies are characterized by significant intra-regional volatility spillover, the nature of which depends crucially on the global stock price movements. The two booming phases around the said crisis have similar attributes that differ from those of the crisis period. In a boom, changes in domestic and foreign market conditions are less likely to affect volatility in any market. It is only the past volatility that is important. However, in crisis, the spillover effect intensifies, with significant innovation, as well as past volatility impacts. However, the absence of asymmetric volatility spillover leaves a breathing space. A panic cannot at least make situations worse. The presence of volatility spillover, however, could reduce volatility of risk-adjusted return but cannot affect the mean risk-adjusted return.

https://link.springer.com/content/pdf/10.1057%2Fjam.2011.29.pdf

Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region

Dynamic market risk of green stocks across regions: Where does the devil lie?

This book evaluates the successes, failures, and factors that influence the competition for public bus transport services. Using Germany as a case study, the author explains the dichotomous system of a market with licenses for commercial services, where operators are granted exclusivity, and licenses for non-commercial services, where supplementary direct subsidies are tendered out by public transport authorities. The empirical analysis is based on primary data usually not publicly available, and supplemented by numerous expert interviews.

Anatomy of Global Stock Market Crashes

This chapter portrays the conceptual development of Emotional Intelligence as a distinct branch of intelligence. The growing branch of relevant literature has gradually shifted its focus from pure cognitive abilities to concede the presence of non-cognitive skills allowing one to comprehend and control personal emotions; to recognize and appreciate that of others’ and to use such skills to make a system better functioning by fostering success of those who belong to it. The chapter reviews the attempts made to relate two apparently unrelated terms namely, Emotions and Intelligence to explain the abilities to lead an effective life. It reviews the basic tenets of the Bar-On model, the Mayer-Salovey model; Goleman’s Mixed model, and the Big-five and other trait-based models with their applications in global context.

Gagari Chakrabarti

Papers

Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors

Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region

Dynamic market risk of green stocks across regions: Where does the devil lie?

Anatomy of Global Stock Market Crashes

Intelligence?… Emotions?… or, the Emotional Intelligence: Theories and Evidence in Global Context