Are European equity markets efficient? New evidence from fractal analysis

We report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and long-range dependence is examined. Pre-filtering by fitting a (short-range) autoregressive model eliminates part of the long-range dependence when the latter is present, while failure to pre-filter leaves open the possibility of conflating short-range and long-range dependence. There is a strong evidence of long-range dependence for the small central European Czech stock market index PX-glob, and a weaker evidence for two smaller western European stock market indices, MSE (Spain) and SWX (Switzerland). There is little or no evidence of long-range dependence for the other five indices, including those with the largest capitalizations among those considered, DJIA (US) and FTSE350 (UK). These results are generally consistent with prior expectations concerning the relative efficiency of the stock markets examined. © 2011 Elsevier Inc.

Long memory in log-range series:do structural breaks matter?

This paper examines whether the observed long memory behavior of log-range series is to some extent spurious and whether it can be explained by the presence of structural breaks. Utilizing stock market data we show that the characterization of log-range series as long memory processes can be a strong assumption. Moreover, we find that all examined series experience a large number of significant breaks. Once the breaks are accounted for, the volatility persistence is eliminated. Overall, the findings suggest that volatility can be adequately represented, at least in-sample, through a multiple breaks process and a short run component.

Modeling equity market integration using smooth transition analysis:a study of Eastern European stock markets

This paper assesses the extent to which the equity markets of Hungary, Poland the Czech Republic and Russia have become less segmented. Using a variety of tests it is shown there has been a consistent increase in the co-movement of some Eastern European markets and developed markets. Using the variance decompositions from a vector autoregressive representation of returns it is shown that for Poland and Hungary global factors are having an increasing influence on equity returns, suggestive of increased equity market integration. In this paper we model a system of bivariate equity market correlations as a smooth transition logistic trend model in order to establish how rapidly the countries of Eastern Europe are moving away from market segmentation. We find that Hungary is the country which is becoming integrated the most quickly. © 2005 ELsevier Ltd. All rights reserved.

Testing for market segmentation in the A and B share markets of China

Recent research has suggested that the A and B share markets of China may be informationally segmented. In this paper volatility patterns in the A and B share market are studied to establish whether volatility changes to the A and B share markets are synchronous. A consequence of new information, when investors act upon it is that volatility rises. This means that if the A and B markets are perfectly integrated volatility changes to each market would be expected to occur at the same time. However, if they are segmented there is no reason for volatility changes to occur on the same day. Using the iterative cumulative sum of squares across the different markets. Evidence is found of integration between the two A share markets but not between the A and B markets. © 2005 Taylor & Francis Group Ltd.

A comparative study of market orientation in China's two services sectors

Developing a Market Orientation (MO) is one of the key managerial issues. In this study, using a sample of firms from two services sectors in China with distinctly different business environments, we explored the effects of business environment on the development of a MO. A key finding of our study is that the effectiveness of top management emphasis on the MO development varies under different environmental conditions.

Corporate social responsibility in China:impact of regulations, market orientation and ownership structure

Purpose – This paper aims to report on a study that contributes to the understanding of the determinants of corporate social responsibility (CSR) in the largest emerging market, namely China. Design/methodology/approach – The approach is a survey of 600 hotels that resulted in 143 returned responses from top managers. Findings – Market orientation is the most significant predicator of CSR followed by government regulations. In contrast, ownership structure is found to have little effect. Originality/value – Previous research on CSR focuses on its nature and impact on business performance, and is carried out mainly in developed countries. This research contributes to one's understanding of the determinants of CSR in emerging markets like China. © 2007, Emerald Group Publishing Limited

Effects of government regulations, market orientation and ownership structure on corporate social responsibility in China:an empirical study

Previous research on corporate social responsibility mainly focuses on its nature and impact on business performance. This paper reports on a study that contributes to our understanding of the determinants of corporate social responsibility by focusing specifically on the role played by three strategically important variables, namely government regulation, ownership structure and market orientation. Results of a survey of 586 general managers of hotels in China suggest that the market orientation is the most significant predicator of corporate social responsibility followed by government regulation. In contrast, the ownership structure is found to have little effect. The implications of the findings for managers in China are discussed.

An examination of the consequences of market orientation in China

Recent literature suggests that the relationship between market orientation and business performance may be moderated by the nature of the external environment. While the conceptual arguments for such a relationship are well established, empirical evidence on the precise nature of this link has been both limited and ambiguous. The current paper provides further evidence on the nature of the links between market orientation, the environment and performance through a comparative analysis of two business sectors in China with distinctively different competitive environments. The results indicate that market orientation's impact on business performance is positive regardless of environmental conditions. However, the environment is found to moderate the relationship between market orientation and customer satisfaction. Finally, the study provides evidence that market orientation also has positive impacts on power in distribution channels and corporate social responsibility.

The impact of regulation and ownership structure on market orientation in the tourism industry in China

The nature of market orientation and its impact on business performance and other related outcomes have been extensively researched in a range of service contexts including tourism. In contrast, our understanding of the factors that influence market orientation is still limited. This paper reports on a study that contributes to our understanding of the determinants of market orientation within the tourism sector by focusing specifically on the role played by two strategically important variables, namely government regulation and ownership structure. The study analyses two national samples of hotels and travel services in the rapidly growing tourism industry in China. The hotel sector has been open to foreign investment for two decades and has a diversified ownership structure, whereas the travel services sector has been dominated by government owned firms and relatively closed to foreign investment. The results of the survey suggest that of the two new antecedents, only government regulation has a significant role to play in driving market orientation. Internally, access to appropriate managerial and marketing capabilities was identified as a significant predictor of the development of market orientation.

The impacts of market orientation and corporate social responsibility on firm performance:evidence from China

Purpose – The purpose of this paper is to investigate the joint effects of market orientation (MO) and corporate social responsibility (CSR) on firm performance. Design/methodology/approach – Data were collected via a questionnaire survey of star-rated hotels in China and a total of 143 valid responses were received. The hypotheses were tested by employing structural equation modelling with a maximum likelihood estimation option. Findings – It was found that although both MO and CSR could enhance performance, once the effects of CSR are accounted for, the direct effects of MO on performance diminish considerably to almost non-existent. Although this result may be due to the fact that the research is conducted in China, a country where CSR might be crucially important to performance given the country's socialist legacy, it nonetheless provides strong evidence that MO's impact on organizational performance is mediated by CSR. Research limitations/implications – The main limitations include the use of cross-sectional data, the subjective measurement of performance and the uniqueness of the research setting (China). The findings provide an additional important insight into the processes by which a market oriented culture is transformed into superior organizational performance. Originality/value – This paper is one of the first to examine the joint effects of MO and CSR on business performance. The empirical evidence from China adds to the existing literature on the respective importance of MO and CSR.