Long-Term Asset Tail Risk in Developed and Emerging Markets

2012 ◽  
Author(s):  
Stefan Straetmans ◽  
Bertrand Candelon
Keyword(s):  
Emerging Markets ◽  
Tail Risk

Mcdonald’s versus Vikram Bakshi

2021 ◽  
Vol 11 (4) ◽  
pp. 1-27
Author(s):  
Nitin Pangarkar ◽  
Neetu Yadav
Keyword(s):  
Emerging Markets ◽  
Multinational Corporations ◽  
Service Industry ◽  
Executive Development ◽  
Content Type ◽  
Academic Level ◽  
Quick Service ◽  
Term Performance ◽  
The Impact

Learning outcomes The case illustrates the challenges of managing JVs in emerging markets. specifically, after going through the case, students should be able to: i.Analyze the contexts in which firms need to form JVs and evaluate this need in the context of emerging markets such as India; ii.Understand how multinational corporations can achieve success in emerging markets, specifically the role of strategic (broader than the product) adaptation in success; iii.Evaluate the impact of conflict between partners on the short-term and long-term performance of a JV; and iv.Create alternatives, evaluate each alternative’s pros and cons, and recommend appropriate decisions to address the situation after a JV unravels and the organization is faced with quality and other challenges. Case overview/synopsis McDonald’s, the global giant in the quick service industry, entered India in 1993 and formed two JVs in 1995 one with Vikram Bakshi (Connaught Plaza Restaurants Ltd or CPRL) to own and operate stores in the northern and eastern zones, and another with Amit Jatia (Hardcastle Restaurants Private Limited or HRPL) to own and operate stores in the western and southern zones. Over the next 12 years, both the JVs made steady progress by opening new stores while also achieving better store-level metrics. Though CPRL was ahead of HRPL in terms of the number of stores and total revenues earned in 2008, the year marked the beginning of a long-running dispute between the two partners in CPRL, Bakshi and McDonald’s. Over the next 11 years, Bakshi and McDonald’s tried to block each other, filed court cases against each other and also exchanged recriminations in media. The feud hurt the performance of CPRL, which fell behind HRPL in terms of growth and other metrics. On May 9, 2019, the feuding partners reached an out-of-court settlement under which McDonald’s would buy out Bakshi’s shares in CPRL, thus making CPRL a subsidiary. Robert Hunghanfoo, who had been appointed head of CPRL after Bakshi’s exit, announced a temporary shutdown of McDonald’s stores to take stock of the current situation. He had to make a number of critical decisions that would impact the company’s performance in the long-term. Complexity academic level MBA, Executive MBA and executive development programs. Supplementary materials Teaching Notes are available for educators only. Subject code CSS 11: Strategy.

scholarly journals Liquidity regulations and bank behavior: An emerging markets perspective

2021 ◽  
Vol 10 (4, special issue) ◽  
pp. 194-211
Author(s):  
Tafirei Mashamba
Keyword(s):  
Emerging Markets ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Generalized Method Of Moments ◽  
Emerging Market Economies ◽  
Basel Iii ◽  
Market Economies ◽  
Coverage Ratio ◽  
The Impact

The 2007 to 2009 global financial crisis significantly affected the funding structures of banks, especially internationally active ones (Gambacorta, Schiaffi, & Van Rixtel, 2017). This paper examines the impact of liquidity regulations, in particular, the liquidity coverage ratio (LCR), on funding structures of commercial banks operating in emerging markets over the period 2011 to 2016. Similar to Behn, Daminato, and Salleo (2019) who developed a dynamic partial equilibrium model to examine capital and liquidity adjustments, this paper develops three dynamic error component adjustment models and estimates them using the two-step system generalized method of moments (GMM) estimator to analyze funding adjustments adopted by banks in emerging markets in response to the LCR requirement. The results revealed that banks in emerging markets responded to binding liquidity regulations by increasing deposit, equity as well as long-term funding. In terms of the magnitude of response, deposit funding was found to be more responsive to the LCR rule while the elasticity of equity and long-term funding to the LCR specification was found to be weak. The weak response of equity and long-term funding to liquidity standards was attributed to low levels of capital market development in emerging markets (Bonner, van Lelyveld, & Zymek, 2015). By and large, the results suggest that Basel III liquidity regulations have been effective in persuading banks in emerging market economies to fund their business activities with stable funding instruments. Based on this evidence, the study supports the adoption of Basel III liquidity regulations in emerging markets. Moreover, policymakers in emerging market economies should monitor competition for retail deposits to safeguard the benefits of the LCR rule and pay more attention to developing capital markets.

Tail risk in emerging markets of Southeastern Europe

2015 ◽  
Vol 48 (19) ◽  
pp. 1785-1798 ◽  
Author(s):  
Selena Totić ◽  
Miloš Božović
Keyword(s):  
Emerging Markets ◽  
Southeastern Europe ◽  
Tail Risk

Capital-Flow Volatility and Economic Openness: A Wavelet Approach

2020 ◽  
Vol 66 (4) ◽  
pp. 291-318
Author(s):  
Mihai Mutascu ◽  
Scott W. Hegerty
Keyword(s):  
Emerging Markets ◽  
Developing Economies ◽  
Trade Openness ◽  
Price Volatility ◽  
Developed Countries ◽  
Capital Flow ◽  
Developed Economies ◽  
Oil Price Volatility ◽  
Real Gdp

The paper analyzes the interaction between capital-flow volatility and trade openness in five developed economies and four emerging markets by applying wavelet analysis over the period from 1990Q1 to 2017Q1. The main findings reveal that, in the medium term, capital-flow volatility drives trade openness in emerging markets and developing economies. Special attention should be paid to developed countries during the 2008 economic crisis, when trade exposure is shown to have had significant effects on capital-flow volatility. In the long term, the direction of comovement is rather idiosyncratic in our set of emerging markets and developing countries. Moreover, in both groups of countries, the intensity and persistence of relationships are very sensitive to the volatility of real GDP and secondary to geopolitical risk and oil-price volatility.

LONG-TERM MEMORY IN EMERGING MARKETS: EVIDENCE FROM THE CHINESE STOCK MARKET

2006 ◽  
Vol 05 (03) ◽  
pp. 495-501 ◽  
Author(s):  
CHAOQUN MA ◽  
HONGQUAN LI ◽  
LIN ZOU ◽  
ZHIJIAN WU
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Emerging Market ◽  
Long Term Memory ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Term Memory ◽  
Rescaled Range Analysis

The notion of long-term memory has received considerable attention in empirical finance. This paper makes two main contributions. First one is, the paper provides evidence of long-term memory dynamics in the equity market of China. An analysis of market patterns in the Chinese market (a typical emerging market) instead of US market (a developed market) will be meaningful because little research on the behaviors of emerging markets has been carried out previously. Second one is, we present a comprehensive research on the long-term memory characteristics in the Chinese stock market returns as well as volatilities. While many empirical results have been obtained on the detection of long-term memory in returns series, very few investigations are focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. By means of using modified rescaled range analysis and Autoregressive Fractally Integrated Moving Average model testing, this study examines the long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significant long-term dependence. It would be beneficial to encompass long-term memory structure to assess the behavior of stock prices and to research on financial market theory.

Forschung und Innovation – Wer gewinnt die Zukunft?

2006 ◽  
Vol 55 (3) ◽  
Author(s):  
Nikolaus Schweickart
Keyword(s):  
Emerging Markets ◽  
Economic System ◽  
Industrial Country ◽  
Industrial Countries ◽  
Know How ◽  
The Future ◽  
Recent Developments

AbstractResearch, innovation and know-how - these are the resources necessary for the long-term sustainability of our economic system. The strive for such knowhow should not stop at the recent developments in the IT, biotech and nanotech sectors. Other countries, in particular emerging markets like India, China and Korea, are already ahead of us in this respect. They move fast from imitation to innovation. Once, Germany was a leading industrial country in the biotech sector. Compared to other leading industrial countries, Germany may seem quite innovative still, but it will have to put in much more effort to remain competitive in the future.

scholarly journals How to Attract Talented Expatriates: The Key Role of Sustainable HRM

2019 ◽  
Vol 11 (19) ◽  
pp. 5373 ◽  
Author(s):  
Gahye Hong ◽  
Eunmi Kim
Keyword(s):  
Emerging Markets ◽  
Family Support ◽  
Direct Effect ◽  
Host Country ◽  
Multinational Enterprises ◽  
Moderating Effect ◽  
Country Image ◽  
The Us

Retaining talented expatriates is important for multinational enterprises (MNEs) to maintain knowledge sustainability between their headquarters (HQ) and subsidiaries. However, depending on the host country image of a subsidiary, the attractiveness of the subsidiary may make it challenging to recruit prospective expatriates. Based on the sustainable human resource management (HRM) perspective, this study examines the direct effect of the host country image of a subsidiary and the moderating effect of family support policies on a subsidiary’s attractiveness, by comparing subsidiaries in the US and Vietnam. The results are based on data from 434 Korean potential expatriate applicants and show that the host country image of a subsidiary has a direct effect on the subsidiary’s attractiveness. Specifically, expatriate applicants are less attracted to a Vietnam-based subsidiary than to a US-based one. Further, the positive moderating effect of family support policies on subsidiary attractiveness is more relevant for the Vietnam-based subsidiary. This result suggests that family support policies can be a key strategy for overcoming the less preferred host country images of subsidiaries in emerging markets, thus improving subsidiary sustainability in the long term. The implications of these findings are provided in the context of sustainable HRM and the existing expatriate literature.

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

2016 ◽  
Vol 8 (2) ◽  
pp. 111-136 ◽  
Author(s):  
Masazumi Hattori ◽  
Andreas Schrimpf ◽  
Vladyslav Sushko
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Risk Perceptions ◽  
Equity Market ◽  
Unconventional Monetary Policy ◽  
Tail Risk ◽  
Forward Guidance ◽  
The Impact ◽  
Future Path

We examine the impact of unconventional monetary policy (UMP) on stock market tail risk and risks of extreme interest rate movements. We find that UMP announcements substantially reduced option-implied equity market tail risks and interest rate risks. Most of the impact derives from forward guidance rather than asset purchase announcements. Communication about the future path of policy rates reduced volatility expectations of long-term rates and the associated risk premia. The reaction of equity market tail risk, in turn, points to the risk-taking channel of monetary policy, as the commitment to low funding rates may have relaxed financial intermediaries’ risk-bearing constraints. (JEL E52, E58, G12, G13, G14)

scholarly journals On the Elicitability and Risk Model Comparison of Emerging Markets Equities

2021 ◽  
Vol 26 (3) ◽  
pp. 63
Author(s):  
Peterson Owusu Junior ◽  
Imhotep Paul Alagidede ◽  
Aviral Kumar Tiwari
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Value At Risk ◽  
Risk Model ◽  
Global Financial Crisis ◽  
Risk Models ◽  
Market Conditions ◽  
Tail Risk ◽  
Risk Modelling ◽  
Model Confidence Set

The need for comparative backtesting in the Basel III framework presents the challenge for ranking of internal value-at-risk (VaR) and expected shortfall (ES) models. We use a joint loss function to score the elicitable joint VaR and ES models to select competing tail risk models for the top 9 emerging markets equities and the emerging markets composite index. We achieve this with the model confidence set (MCS) procedure. Our analysis span two sub-sample periods representing turbulent (Eurozone and Global Financial crises periods) and tranquil (post-Global Financial crisis period) market conditions. We find that many of the markets risk models are time-invariant and independent of market conditions. But for China and South Africa this is not true because their risk models are time-varying, market conditions-dependent, percentile-dependent and heterogeneous. Tail risk modelling may be difficult compared to other markets. The resemblance between China and South Africa can stem from the closeness between their equities composition. However, generally, there is evidence of more homogeneity than heterogeneity in risk models. This is indicated by a minimum of three models (out of six) per equity in most of the countries. This may ease the burden for risk managers to find the optimal set of models. Our study is important for internal risk modelling, regulatory oversight, reduce regulatory arbitrage and may bolster confidence in international investors with respect to emerging markets equities.

scholarly journals IPOs Performance Analysis: Evidence from Emerging Markets in the Balkans

2016 ◽  
Vol 63 (3) ◽  
pp. 381-389 ◽  
Author(s):  
Goran Karanović ◽  
Bisera Karanović
Keyword(s):  
Emerging Markets ◽  
Initial Public Offerings ◽  
Public Offerings ◽  
The Balkans ◽  
Financial Variables ◽  
Balkan Countries ◽  
Short And Long Term ◽  
Long Term Performance ◽  
Term Performance

Abstract The main purpose of this paper is to investigate the performance of initial public offerings (IPOs) in the emerging markets with particular focus on the markets of Balkan countries. The paper provides analysis of long and short performance of IPOs. In the Balkan emerging markets IPOs are relatively rarely used. Although all observed Balkan countries have gone through processes of transition from planned economies to market economies in the past 25 years, just a few state-owned companies have been privatized by use of IPOs. Due to this specific nature of the companies the analyzed sample of IPOs is comprised of state-owned and non-state-owned companies. The results are interpreted and expounded accordingly, taking into consideration the aforementioned conjunction. The findings indicate that company characteristics, signalling variables and financial variables have influence on the IPOs short and long term performance. The paper provides academia and policymakers with new revelations concerning the IPO processes in Balkan emerging economies’ capital markets.

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