Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.

The Vietnam's Transition Economy and Its Fledgling Financial Markets: 1986-2003

In this paper, we analyze the context of Vietnam’s economic standings in the reform period. The first section embarks on most remarkable factors, which promote the development of financial markets are: (i) Doi Moi policies in 1986 unleash ‘productive powers’. Real GDP growth, and key economic indicators improve. The economy truly departs from the old-style command economy; (ii) FDI component is present in the economy as sine qua non; a crucial growth engine, forming part of the financial markets, planting the ‘seeds’ for its growth; and (iii) the private economy is both the result and cause of the reform. Its growth is steady. Today, it represents a powerhouse, and helps form part of the genuine financial economy. A few noteworthy points found in the next section are: (i) No evidence of financial markets existence was found before Doi Moi. The reform has generated a bulk of private-sector financial companies. New developments have roots in the 1992-amended constitution (x3.2); (ii) The need to reform the financial started with the domino collapse of credit cooperatives in early 1990s. More stress is caused by the ‘blow’ of banking deficiency in late 1990s; and (iii) Laws on SBV and credit institutions, and the launch of the stock market are bold steps. Besides, the Asian financial turmoil forces the economy to reaffirm its reform agenda. Our findings also indicate, through empirical evidences, that economic conditions have stabilized throughout the reform, thanks to the contributions of the FDI and private economic sector. Private investment flows continue to be an eminent factor that drives the economy growth.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Operational scales, sources of finance, and firms’ performance: evidence from Vietnamese longitudinal data

This study investigates a longitudinal dataset consisting of financial and operational data from 37 listed companies listed on Vietnamese stock market, covering the period 2004-13. By performing three main types of regression analysis - pooled OLS, fixed-effect and random-effect regressions - the investigation finds mixed results on the relationships between operational scales, sources of finance and firms' performance, depending on the choice of analytical model and use of independent/dependent variables. In most situation, fixed-effect models appear to be preferable, providing for reasonably consistent results. Toward the end, the paper offers some further explanation about the obtained insights, which reflect the nature of a business environment of a transition economy and an emerging market.

[BSHM meetings] Topics in the history of financial mathematics: early commerce to chaos in modern stock markets

This account provides an overview of the study day, entitled 'Topics in the History of Financial Mathematics: Early commerce to chaos in modern stock markets,' held by the British Society for the History of Mathematics jointly with Gresham College, at Gresham College, London on 25th April 2008. The series of talks explored the development of mathematics and mathematical techniques in a commercial and financial context.

Psychological bonds and their impact on behavioral loyalty in auditor-client relationships

Purpose – The purpose of this paper is to examine the effect of the psychological bond on behavioral loyalty (word-of-mouth, continuance and non-audit services) to audit firms providing services to companies listed on the Polish Stock Exchange. Design/methodology/approach – A model is proposed and tested using structural equation modeling with LISREL. Data were collected from top executives of companies listed on the Warsaw Stock Exchange. Findings – The psychological bond has a positive effect on word-of-mouth, continuance and non-audit services. Research limitations/implications – The current research is limited to the investigation of the psychological bond as an antecedent of behavioral loyalty in Poland. Future research should identify and assess other antecedents and replicate these across different countries. A longitudinal survey across different points in time might reveal more useful information about auditor-client relationships. Practical implications – Auditors need to consider ways in which they can develop the psychological bond with their clients. This bond is the basis for the client believing the audit firm is superior to others, which has been found to lead to behavioral loyalty in this study. In particular, management of the auditor brand and reputation, personal experience of the audit firm and alumni relations are discussed as ways of enhancing the psychological bond among client executives. Originality/value – This study is the first to examine the impact of the psychological bond on behavioral loyalty in auditor-client relationships.

Municipal services: organisations, companies and alternatives

A review of the impact of international institutions and multinational companies on municipal services worldwide, and of campaigns for alternatives.

Key service issues in two UK manufacturing companies from a PSS perspective

This paper illustrates the key service issues within two UK manufacturing companies,which belong to two different industrial domains, and highlights the main points of difference. It draws also on the literature of Product-Service Systems regarding their definition, types, benefits and difficulties in their implementation

Comparative analysis of corporate risk management practices in Croatian and Slovenian companies

The paper explores differences as well as commonalities in corporate risk management practices and risk exposures in the large non-financial Slovenian and Croatian companies. Comparative analysis of survey results have revealed that the majority of analysed companies in both Croatia and Slovenia are using some form of risk management to manage interest-rate, foreign exchange, or commodity price risk. Regarding the intensity of influence of financial risks on the performance of the analysed companies, the results have shown that the price risk has the highest influence among the Slovenian as well as the Croatian companies. Croatian companies are more affected by currency risk than the Slovenian companies, while the interest-rate risk has been ranged as less important in comparison with commodity price and currency risks. The survey’s results have clearly indicated that Croatian and Slovenian non-financial companies manage financial risks primarily with simple risk management instruments such as natural hedging. In the case of derivatives use, forwards and swaps are by far the most important instruments in both countries, but futures as representatives of standardised derivatives and structured derivatives are more important in the Slovenian than in the Croatian companies.

Waste management companies in Europe 2009

This paper examines the ownership, employment and finances of the major waste companies in Europe, and recent developments in ownership.

Depth gradients of benthic standing stock and diversity on the continental margin at a high-latitude ice-free site (off Spitsbergen 79 degrees N)

High-latitude seas are mostly covered by multi-year ice, which impacts processes of primary production and sedimentation of organic matter. Because of the warming effect of West Spitsbergen Current (WSC), the waters off West Spitsbergen have only winter ice cover. That is uncommon for such a high latitude and enables to separate effects of multiyear-ice cover from the latitudinal patterns. Macrofauna was sampled off Kongsfjord (79°N) along the depth gradient from 300 to 3000 m. The density, biomass and diversity at shallow sites situated in a canyon were very variable. Biomass was negatively correlated with depth (R=-0.86R=-0.86, p<0.001), and ranged from 61 g ww m−2 (212 m) to 1 g ww m−2 (2025 m). The biomasses were much higher than in the multiyear-ice covered High Arctic at similar depths, while resembling those from temperate and tropical localities. Species richness (expressed by number of species per sample and species–area accumulation curves) decreased with depth. There was no clear depth-related pattern in diversity measures: Hurbert rarefaction, Shannon–Wiener or Pielou. The classic increase of species richness and diversity with depth was not observed. Species richness and diversity of deep-sea macrofauna were much lower in our study than in comparable studies of temperate North Atlantic localities. That is related to geographic isolation of Greenland–Icelandic–Norwegian (GIN) seas from the Atlantic pool of species.

Fishery Exploitation and Stock Assessment of the Endangered Nassau Grouper, Epinephelus Striatus (Actinopterygii: Perciformes: Serranidae), in the Turks and Caicos Islands

The Nassau grouper, Epinephelus striatus (Bloch, 1792), is an endangered species that has been historically overexploited in numerous fisheries throughout its range in the Caribbean and tropical West Atlantic. Data relating fishery exploitation levels to stock abundance of the species are deficient, and protective regulations for the Nassau grouper are yet to be implemented in the Turks and Caicos Islands (TCI). The goal of this study was to conduct a stock assessment and evaluate the exploitation status of the Nassau grouper in the TCI. Materials and methods. Calibrated length cohort analysis was applied to published fisheries data on Nassau grouper landings in the TCI. The total lengths of Nassau groupers among the catches of spearfishers, lobster trappers, and deep sea fishers on the island of South Caicos during 2006 and 2008 were used with estimates of growth, natural mortality, and total annual landings to derive exploitation benchmarks. Results. The TCI stock experienced low to moderate fishing mortality (0.28, 0.18) and exploitation rates (0.49, 0.38) during the period of the study (2006, 2008). However, 21.2%-64.4% of all landings were reproductively immature. Spearfishing appeared to contribute most to fishing mortality relative to the use of lobster traps or hydraulic reels along bank drop-offs. Conclusion. In comparison with available fisheries data for the wider Caribbean, the results reveal the TCI as one of the remaining sites, in addition to the Bahamas, with a substantial Nassau grouper stock. In light of increasing development and tourism in the TCI, continued monitoring is essential to maintain sustainable harvesting practices.

Much Ado About Nothing: The Limitation of Liability and the Market for 19th century Irish Bank Stock

Abstract Limited liability is widely believed to be a prerequisite for the emergence of an active and liquid securities market because the transactions costs associated with trading ownership of unlimited liability firms are viewed as prohibitive. In this article, we examine the trading of shares in an Irish bank, which limited its liability in 1883. Using this bank’s archives, we assemble a time series of trading data, which we test for structural breaks. Our results suggest that the move to limited liability had a negligible impact upon the trading of this bank’s shares.