Template-Type: ReDIF-Article 1.0 Title: Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis Author-Name: Dirceu Pereira Author-Workplace-Name: University of Minho Author-Email: rolffcoelho@hotmail.com Classification-JEL: G01, G11, G12, G15, G18. Keywords: Financial Contagion; Financial Crises; VAR Models; BRICS Stock Markets; Cointegration; Causality. Abstract: This research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements between BRICS markets in response to international shocks that are originated in advanced markets like USA and Europe. Employing data of daily stock market indices of BRICS countries, this research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by applying cointegration, causality and VECM/Gonzalo-Granger statistic and variance decomposition methodology on stock returns as a measure of perceived country risk. The results exhibit that both long-run and short-run relationships patterns exist between BRICS stock markets and have drastically changed during turbulent periods compared with tranquil period, pointing towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate that changes in the USA and the Euro Zone indices affect BRICS stock markets in the short-run, acting as a leading indicator for investing in BRICS markets. Also imply an increasing degree of global market integration, bringing major implications for portfolio diversification and policy makers. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 1 Pages: 1-44 DOI: http://dx.doi.org/10.1991/jefa.v2i1.a11 File-URL: https://ojs.tripaledu.com/jefa/article/download/31/25 File-Format: application/pdf File-URL: https://ojs.tripaledu.com/jefa/article/view/31/30 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0011 Template-Type: ReDIF-Article 1.0 Title: Impact of Health Care Employees Job Satisfaction on Organizational Performance Support Vector Machine Approach Author-Name: Cemil Kuzey Author-Workplace-Name: Murray State University Author-Email: cemilkuzey@gmail.com Classification-JEL: J28, J54, J59, J81. Keywords: Job Satisfaction; Health Care Workers; Support Vector Machine (SVM). Abstract: This study is undertaken to search for key factors that contribute to job satisfaction among health care workers, and also to determine the impact of these underlying dimensions of employee satisfaction on organizational performance. Exploratory Factor Analysis (EFA) is applied to initially uncover the key factors, and then, in the next stage of analysis, a popular data mining technique, Support Vector Machine (SVM) is employed on a sample of 249 to determine the impact of job satisfaction factors on organizational performance. According to the proposed model, the main factors are revealed to be management's attitude, pay/reward, job security and colleagues. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 1 Pages: 45-68 DOI: http://dx.doi.org/10.1991/jefa.v2i1.a12 File-URL: http://ojs.tripaledu.com/jefa/article/download/32/26 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/32/31 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0012 Template-Type: ReDIF-Article 1.0 Title: Nonprofit Organizations in Disaster Response and Management: A Network Analysis Author-Name: Naim Kapucu Author-Workplace-Name: University of Central Florida Author-Email: kapucu@ucf.edu Author-Name: Farhod Yuldashev Author-Workplace-Name: University of Pittsburgh Author-Email: fyuldash@yahoo.com Author-Name: Mary Ann Feldheim Author-Workplace-Name: University of Central Florida Author-Email: mfeldhei@ucf.edu Classification-JEL: L10, L25, L30, H12, H84. Keywords: NVOAD; Disaster Response; Non-profit Organizations; Networks; Resource Dependency. Abstract: This paper tracks changes in the national disaster management system with regard to the nonprofit sector by looking at the roles ascribed to nonprofit organizations in the Federal Response Plan (FRP), National Response Plan (NRP), and National Response Framework (NRF). Additionally, the data collected from news reports and organizational after action reports about the inter-organizational interactions of emergency management agencies during the September 11th attacks and Hurricane Katrina are analyzed by using network analysis tools. The findings of the study indicate that there has been an increase in the interactions of the National Voluntary Organizations Active in Disasters (NVOAD) network member organizations on par with policy changes in the NRP to involve nonprofit organizations in the national disaster planning process. In addition, those organizations close to the center of the network experienced enhanced communication and resource acquisition allowing them to successfully accomplish their missions, a finding that supports the development of strong network connections. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 1 Pages: 69-98 DOI: http://dx.doi.org/10.1991/jefa.v2i1.a13 File-URL: http://ojs.tripaledu.com/jefa/article/download/33/27 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/33/32 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0013 Template-Type: ReDIF-Article 1.0 Title: A Study on Regime Type and Globalization in Simultaneous Equation Framework Author-Name: Sudhanshu K. Mishra Author-Workplace-Name: North-Eastern Hill University Author-Email: mishrasknehu@hotmail.com Classification-JEL: C30, C36, C51, C57, C61, C71, F63. Keywords: Simultaneous equations model; Two-Stage Least Squares; Instrumental Variables; Collinearity; Shapley Value Regression; Democracy Index; Globalization Index. Abstract: In this study we build a simultaneous equation model in which the measures of different aspects of globalization (attributable to KOF) and different aspects of democracy (attributable to EIU) are related in seven structural equations. A bi-directional relationship between democracy and globalization is visualized. The model is estimated by the conventional 2-SLS as well as a modified 2-SLS in which Shapley value regression is used at the second stage of 2-SLS. On the basis of our analysis, we document several findings. First, we find that democracy and globalization promote each other and hence there is a bi-directional causality with positive relationships running both ways between democracy and globalization. At a national level, there may be various intermediary conditions that modify the relationship as well as set in motion a complex of positive and/or negative feedbacks to accelerate or retard the pace of globalization and democratization in a country-specific manner. However, when a large number of countries are studied, a clear relationship emerges out. Second, there is a need to estimate the structural coefficients of the model cautiously since the regression equations may be suffering from collinearity among the predictor variables. The Shapley value regression based 2-SLS has performed better than the conventional regression in estimating the structural parameters of the model. Third, the system methods of estimation of the model gives better results than what are obtained by the single equation methods of estimation of structural parameters of the model. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 1 Pages: 99-128 DOI: http://dx.doi.org/10.1991/jefa.v2i1.a14 File-URL: http://ojs.tripaledu.com/jefa/article/download/34/28 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/34/33 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0014 Template-Type: ReDIF-Article 1.0 Title: Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices Author-Name: Yhlas Sovbetov Author-Workplace-Name: London School of Commerce Author-Email: ihlas.sovbetov@lsclondon.co.uk Author-Name: Hami Saka Author-Workplace-Name: Istanbul University Author-Email: hamisaka@gmail.com Classification-JEL: E00, E44. Keywords: Credit Deafult Swaps (CDS); BIST-100 index; Cointegration; ARDL. Abstract: This paper investigates both short and long-run interaction between BIST-100 index and CDS prices over January 2008 to May 2015 using ARDL technique. The paper documents several findings. First, ARDL analysis shows that 1 TL increase in CDS shrinks BIST-100 index by 22.5 TL in short-run and 85.5 TL in long-run. Second, 1000 TL increase in BIST index price causes 25 TL and 44 TL reducation in Turkey's CDS prices in short- and long-run respectively. Third, a percentage increase in interest rate shrinks BIST index by 359 TL and a percentage increase in inflation rate scales CDS prices up to 13.34 TL both in long-run. In case of short-run, these impacts are limited with 231 TL and 5.73 TL respectively. Fourth, a kurush increase in TL/USD exchange rate leads 24.5 TL (short-run) and 78 TL (long-run) reductions in BIST, while it augments CDS prices by 2.5 TL (short-run) and 3 TL (long-run) respectively. Fifth, each negative political events decreases BIST by 237 TL in short-run and 538 TL in long-run, while it increases CDS prices by 33 TL in short-run and 89 TL in long-run. These findings imply the highly dollar indebted capital structure of Turkish firms, and overly sensitivity of financial markets to the uncertainties in political sphere. Finally, the paper provides evidence for that BIST and CDS with control variables drift too far apart, and converge to a long-run equilibrium at a moderate monthly speed. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 1 Pages: 129-149 DOI: http://dx.doi.org/10.1991/jefa.v2i1.a15 File-URL: http://ojs.tripaledu.com/jefa/article/download/35/29 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/35/34 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0015 Template-Type: ReDIF-Article 1.0 Title: Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero Author-Name: Yhlas Sovbetov Author-Workplace-Name: London School of Commerce Author-Email: ihlas.sovbetov@lsclondon.co.uk Classification-JEL: G12, D40, C51, C59. Keywords: Cryptocurrency; Bitcoin; Ethereum; Cointegration; ARDL Bound Test; Error Correction Model. Abstract: This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings. First, cryptomarket-related factors such as market beta, trading volume, and volatility appear to be significant determinant for all five cryptocurrencies both in short- and long-run. Second, attractiveness of cryptocurrencies also matters in terms of their price determination, but only in long-run. This indicates that formation (recognition) of the attractiveness of cryptocurrencies are subjected to time factor. In other words, it travels slowly within the market. Third, SP500 index seems to have weak positive long-run impact on Bitcoin, Ethereum, and Litcoin, while its sign turns to negative losing significance in short-run, except Bitcoin that generates an estimate of -0.20 at 10% significance level. Lastly, error-correction models for Bitcoin, Etherem, Dash, Litcoin, and Monero show that cointegrated series cannot drift too far apart, and converge to a long-run equilibrium at a speed of 23.68%, 12.76%, 10.20%, 22.91%, and 14.27% respectively. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 2 Pages: 1-27 DOI: http://dx.doi.org/10.1991/jefa.v2i2.a16 File-URL: https://ojs.tripaledu.com/jefa/article/download/36/35 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/36/36 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0016 Template-Type: ReDIF-Article 1.0 Title: Differential Investors Response to Restatement Announcements: An Empirical Investigation Author-Name: Sebahattin Demirkan Author-Workplace-Name: Morgan State University Author-Email: sebahattin.demirkan@morgan.edu Author-Name: Harlan Platt Author-Workplace-Name: Northeastern University Author-Email: h.platt@neu.edu Classification-JEL: D40, D49, E44, F30, G15. Keywords: Restatement; Investor Size; Information; Trading Response; Prompters of restatement; Reasons of Restatements. Abstract: When firms announce a restatement of their financial reports, they inform investors that their prior announcements were faulty. Not only do companies lose credibility at times such as this but also their securities are revalued as investors respond to the substance of the announcement. We investigate investor size to understand how large and small investors differ in their responses to restatement announcements. Our results indicate that large investors seemingly anticipate the announcement; their holdings decrease before restatement announcements; consequently large investors trading after announcements is less pronounced than for smaller investors. The response of small investors depends on who has prompted the restatement: the company itself, FASB or the SEC and not on the reason for the restatement such as problems with revenue recognition, restructuring or cost/expense. Large investor trading volume is affected by both the source of the restatement and the reason for it. Large investors seem to anticipate potential problems, and sell securities before restatement announcements. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 2 Pages: 29-59 DOI: http://dx.doi.org/10.1991/jefa.v2i2.a17 File-URL: https://ojs.tripaledu.com/jefa/article/download/37/37 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/37/43 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0017 Template-Type: ReDIF-Article 1.0 Title: The determinants of Bank Profitability: Does Liquidity Creation matter? Author-Name: Ahmad Sahyouni Author-Workplace-Name: Dongbei University of Finance and Economics Author-Email: sahyouni.ahmad@yahoo.com Author-Name: Man Wang Author-Workplace-Name: Dongbei University of Finance and Economics Author-Email: manwang@dufe.edu.cn Classification-JEL: G21, G32 Keywords: Liquidity Creation; Bank Profitability; Emerging Countries; Developed Countries. Abstract: Using a panel data set of 4995 banks across 11 developed and emerging countries during the period (2011-2015), this report analyses the amount of liquidity created by banks, how liquidity creation, bank-specific and the macroeconomic factors affecting bank profitability. The results show evidence of increased creation of liquidity over the period. By applying the panel data fixed effect technique, banks that create more liquidity, are set up to have lower profitability. As well as, Asset management, bank size and capital ratio are positively correlated with bank profitability. While, credit quality and operating efficiency affect bank's profits negatively. Additionally, macroeconomic factors have different impact on profitability indicators in each market. Our findings may help decision makers inside and outside bank to determine important factors affecting bank profitability. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 2 Pages: 61-85 DOI: http://dx.doi.org/10.1991/jefa.v2i2.a18 File-URL: https://ojs.tripaledu.com/jefa/article/download/30/38 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/30/39 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0018 Template-Type: ReDIF-Article 1.0 Title: Interest Rate Swaptions: A Review and Derivation of Swaption Pricing Formulae Author-Name: Nicholas Burgess Author-Workplace-Name: University of Reading Author-Email: nburgessx@gmail.com Classification-JEL: C02, C20, E43, E47, E49, G15. Keywords: Interest Rate Swaps; European Swaption Pricing; Martingale Representation Theorem; Radon-Nikodym Derivative; Generalized Black-Scholes Model. Abstract: In this paper we outline the European interest rate swaption pricing formula from first principles using the Martingale Representation Theorem and the annuity measure. This leads to an expression that allows us to apply the generalized Black-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap annuity factor. Firstly, we review the Martingale Representation Theorem for pricing options, which allows us to price options under a numeraire of our choice. We also highlight and consider European call and put option pricing payoffs. Next, we discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to price interest rate swaptions using the martingale representation theorem with the annuity measure to simplify the calculation. Finally, applying the Radon-Nikodym derivative to change measure from the annuity measure to the savings account measure we arrive at the swaption pricing formula expressed in terms of the Black-76 formula. We also provide a full derivation of the generalized Black-Scholes formula for completeness. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 2 Pages: 87-103 DOI: http://dx.doi.org/10.1991/jefa.v2i2.a19 File-URL: https://ojs.tripaledu.com/jefa/article/download/38/40 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/38/44 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0019 Template-Type: ReDIF-Article 1.0 Title: Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology Author-Name: Mohamed Chikhi Author-Workplace-Name: University of Ouargla Author-Email: mchikhi00@gmail.com Author-Name: Ali Bendob Author-Workplace-Name: University of Ain-Temouchent Author-Email: bendobali4@gmail.com Classification-JEL: C14, C22, C58, G17 Keywords: Final Prediction Error; Kernel; Bandwidth; Conditional Heteroscedastic Functional Autoregressive Process; Orange Stock Price; Forecasts. Abstract: This paper analyses cyclical behaviour of Orange stock price listed in French stock exchange over 01/03/2000 to 02/02/2017 by testing the nonlinearities through a class of conditional heteroscedastic nonparametric models. The linearity and Gaussianity assumptions are rejected for Orange Stock returns and informational shocks have transitory effects on returns and volatility. The forecasting results show that Orange stock prices are short-term predictable and nonparametric NAR-ARCH model has better performance over parametric MA-APARCH model for short horizons. Plus, the estimates of this model are also better comparing to the predictions of the random walk model. This finding provides evidence for weak form of inefficiency in Paris stock market with limited rationality, thus it emerges arbitrage opportunities. Journal: Journal of Economics and Financial Analysis Year: 2018 Volume: 2 Issue: 2 Pages: 105-120 DOI: http://dx.doi.org/10.1991/jefa.v2i2.a20 File-URL: https://ojs.tripaledu.com/jefa/article/download/19/41 File-Format: application/pdf File-URL: http://ojs.tripaledu.com/jefa/article/view/19/42 File-Format: text/html Handle: RePEc:trp:01jefa:jefa0020