Journal of Economics and Financial Analysis

Number 1, 2018

1-44
Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis

Authors: Dirceu Pereira

Abstract

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Number of views: 407

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.

45-68
Impact of Health Care Employees’ Job Satisfaction on Organizational Performance Support Vector Machine Approach

Authors: Cemil Kuzey

Abstract

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Number of views: 448

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.

69-98
Nonprofit Organizations in Disaster Response and Management: A Network Analysis

Authors: Naim Kapucu, Farhod Yuldashev, Mary Ann Feldheim

Abstract

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Number of views: 420

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.

99-128
A Study on Regime Type and Globalization in Simultaneous Equation Framework

Authors: Sudhanshu K. Mishra

Abstract

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Number of views: 378

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.

129-149
Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices

Authors: Yhlas Sovbetov, Hami Saka

Abstract

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Number of views: 360

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.