Conference papers

Exploring Sustainability Practices and Reporting at Musgrave Group: A Case Study of an Irish Private Company.

Rebecca Maughan et al. — Tue, 25 Jan 2011 06:21:09 PST

The purpose of this paper is to present the findings of a case study of a large Irish company, Musgrave Group, which has been engaged in sustainability practices and reporting since the late 1990s. In doing so the paper provides an in-depth account firstly of the internal motivations for the company’s engagement with sustainability practices and reporting and secondly of the process through which the sustainability practice gained internal support and began to be integrated into the day to day activities of the company. The case study of the company involved a series of interviews with key participants in the sustainability process and documentary analysis. The contribution of the paper is twofold. Firstly it provides insight into the internal factors motivating the company’s engagement in sustainability practices and reporting. Secondly it examines the legitimating strategies which have helped the process to gain internal legitimacy leading to the (imperfect) integration of the process into the decision making processes and the day to day activities of the company.

The Global Financial Crisis: World Market or Regional Contagion Effects?

Lucia Morales et al. — Thu, 04 Mar 2010 04:54:52 PST

In the last two decades, the world economy has been challenged by different economic and financial crisis. These events have captured researchers’ attention, and in particular the analysis of contagion effects derived from stock market shocks have been a focal point of interesting discussions. However, there is little consensus on how contagion should be defined and indentified. Consequently, this paper contributes to the already settled debate on the area proposing the analysis of contagion effects in a worldwide framework, where three different econometric models to test for contagion are being used. The main results are in line with most of the existing literature analysing this topic, and our results do not find strong evidence supporting contagion effects derived from the US stock markets, neither in a worldwide nor in a regional form. Hence, these findings bring evidence that there is still a lot of work to be done on how to define contagion, and even more so, on how to measure it.

The Nomination and Motivations of Irish Non-Executive Directors of Listed Companies

Anna Egan et al. — Wed, 14 Oct 2009 05:59:39 PDT

This paper reports the preliminary findings of an empirical investigation into the process of appointing non-executive directors and their motivations behind the adoption of the position. While research into the board of directors has been extensive, little deliberation has been given to the motives of non-executives who choose to sit on boards (Roberts, 2002). Given that the board of directors has been charged with much more responsibility in recent years and is being held to a higher level of accountability than would historically be expected (Donnelly and Kelly, 2005), the choice of non-executives to continue to take up roles on boards is an interesting one and as such warrants academic attention. Many of the directors interviewed acknowledged that the remuneration received for the position did not fully compensate for the personal liability they exposed themselves to and as such was not an appropriate determinant of motive. Instead non-executive directors interviewed presented motivations such as the valid contribution they had to offer, or merely viewed the acceptance of non-executive positions as part of the job.

The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence from Four Transition Economies

Lucia Morales — Tue, 10 Feb 2009 06:05:48 PST

This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. Our findings show that there is no evidence of stock prices and exchange rates moving together either in the long-run or in the short-run, with the exception of Slovakia, where cointegrating relationships were found. In terms of our causality analysis our results show a unidirectional causal relationship form the exchange rates to the stock prices in the case of Hungary, Poland and Czech Republic. There is also evidence of causality from the Hungarian exchange rate to the United Kingdom stock prices, from the Polish exchange rates to the United Kingdom stock prices, from the Czech Republic exchange rate to the United Kingdom stock prices and from the Slovakian exchange rates to the United Kingdom stock prices. And finally we also found evidence of causality from the stock prices to the stock prices in the case of Hungary to United Kingdom, United Kingdom to Poland, and the United States to Poland.

Volatility Analysis of Precious Metals Returns and Oil Returns

Lucia Morales et al. — Tue, 10 Feb 2009 06:05:47 PST

This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) mean equation. Our main results identify a clear relationship between precious metals returns and oil returns, while the interaction between precious metals and stock returns seems to be an independent one. In relation to volatility persistence, the results are showing clear evidence of high volatility persistence between these markets.

Volatility Spillovers Between Stock Returns and Foreign Exchange Rates: Evidence from Four Eastern European Countries

Lucia Morales — Tue, 10 Feb 2009 06:05:46 PST

This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the no existence of integration between these two financial markets. If we analyse the spillover effects from exchange rates to stock markets we found that the overall results is the lack of significant spillovers from exchange rate to stock returns. We also found that volatility in stock returns and exchange rates tends to decrease after the countries joined the European Union.

European Equity Markets and Currency Markets Interlinkages

Lucia Morales — Mon, 09 Feb 2009 03:42:52 PST

This thesis examines the relationship between exchange rates and stock prices in a number of European countries. We focus our attention in three different regions of Europe that are: four Eastern European markets, Czech Republic, Hungary, Poland and Slovakia, four South European Countries: Greece, Italy, Portugal and Spain and one West European Country: Ireland, using daily data we analyze the relationship between these two financial markets from 1996 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Engle and Granger two step and Johansen cointegration techniques, Vector Error Correction Modeling Technique and the standard Granger causality tests to examine the relationship between these two financial variables. We employ a bivariate a trivariate econometric techniques in order to provide and in depth analyses of the interlinkanges between these two financial variables. We also investigate the nature of volatility spillovers between stock returns and a number of exchange rates; we divide our sample period into a number of sub periods that will analyze the behavior of our variables before and post introduction of the Euro, using EGARCH modeling. Our findings show that exchange rates and stock prices seem to be independent. Overall there is no evidence of these two variables moving together either in the long-run or in the short-run. We found a unidirectional causality relationship running from stock prices to exchange rates in some of the countries introduced in our analysis. With regard to the volatility analysis there is some commonality regarding to the behaviour of the variables, it seems to exist a unidirectional spillover effect between the markets, which is found from the stock returns equation to the exchange rates equation. The lack of significant spillovers from exchange rate changes to stock returns found here for some countries across a number of exchange rates is consistent with existing research in this area.

Volatility spillovers between exchange rates and equity markets: evidence from Spain, Portugal and Italy

Lucia Morales — Thu, 05 Feb 2009 04:49:24 PST

This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Italy, Spain and Portugal for the 1996-1998 period prior to the introduction of the Euro as well as the 1999-2001 and 1992-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and equity markets is stronger for some currencies than others. We find that there were no significant volatility spillovers from stock returns to exchange rates prior to the introduction of the Euro in all countries. However, since the introduction of the Euro, there were significant volatility spillovers from stock returns to exchange rates in all countries for all currencies, with the exception of Portugal in the more recent 2002-2006 period. The introduction of the Euro appears to have had little impact on the nature of volatility spillovers from exchange rates to stock returns which were generally insignificant prior to the introduction of the Euro as well as for the 1999-2006 period.

Volatility Spillovers on Precious Metals Markets: the Effects of the Asian Crisis

Lucia Morales — Thu, 05 Feb 2009 04:49:22 PST

This paper investigates the nature of volatility spillovers between precious metals returns over the 1995- July 2007 period. We analyzed daily closing values for precious metals data, we took the US$/Troy ounce for gold, the London Free Market Platinum price in US$/Troy ounce, the London Free Market Palladium price in US$/Troy once, and the Zurich silver price in US$/kilogram. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of the precious metals markets during this crisis; we use GARCH and EGARCH modelling. The results show that there is clear evidence of volatility persistence between precious metals returns. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spillovers running in a bidirectional way in almost all the cases, with the exception of gold, that tend to generate effects in all the markets, but with little evidence in the case of the other precious metals influencing the gold market. Finally, the results from asymmetric spillover effects show that negative news have a stronger impact in these markets than positive news.

Volatility spillovers between stock prices and exchange rates: empiral evidence from six APEC economies

Lucia Morales et al. — Wed, 04 Feb 2009 09:52:51 PST

This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our main results indicate that since the Asian financial crises, there exists significant scope for investors and portfolio managers to diversify their assets between stocks and currencies in these markets. In particular, the lack of volatility spillovers between stock markets and exchange rates, and between exchange rates and stock markets in all countries, except Taiwan in the post crises period indicates that there is scope for investors to diversify their investments and to benefit from potential gains in the long run in this region.

International Transmission Effects of Volatility Spillovers Between Stock Returns and Exchange Rates: Evidence from Greece, Portugal and Spain since the Introduction of the Euro

Lucia Morales — Wed, 04 Feb 2009 09:52:49 PST

This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Greece, Spain and Portugal for the 1999-2006 period after the introduction of the Euro as well as the 1999-2001 and 2002-2003/May and 2003/June-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and equity markets is stronger for some currencies than others. We find that there were no significant volatility spillovers from stock returns to exchange rates for Greece prior the introduction of the Euro for the 1999-2001 time period while the coefficients are significant in the case of Portugal and Spain. However, since the introduction of the Euro, there were insignificant volatility spillovers from stock returns to exchange rates in all countries for all currencies, with the exception of Portugal in the more recent 2002-2006 period. The introduction of the Euro appears to have had little impact on the nature of volatility spillovers from exchange rates to stock returns which were generally insignificant prior to the introduction of the Euro as well as for the 1999-2006 period.

International Transmission Effects of Volatility Between Financial Markets in the G-7 since the Introduction of the Euro

Lucia Morales — Wed, 04 Feb 2009 09:52:46 PST

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates changes for the G-7 countries for the 1996-2006 period. We divide our sample into a number of sub periods, prior to and after the introduction of the Euro, we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is a large degree of consistency across countries and time periods with significant spillovers found for all countries, in all three periods, with the exception of Italy in the pre-Euro period. The impact of stock market volatility on exchange rates thus does not appear to have been altered significantly by the introduction of the Euro in the sense that the cross exchange rates against the $, Yen, £ and CHF existed prior to the introduction of the Euro as well as after it across nearly all G-7 markets In contrast, our results indicate that in terms of volatility spillovers from exchange rates to stock markets, the results are less consistent both across countries and over time but overall we find much less evidence supporting volatility spillovers from exchange rates to stock markets. There is however some commonality regarding which exchange rates we find significant volatility spillover effects to stock markets for the period after the Euro was introduced. The lack of significant spillovers from exchange rate changes to stock returns found here for some countries across a number of exchange rates is consistent with existing research in this area.

Do Precious Metals Markets Influence Stock Markets?

Lucia Morales — Wed, 04 Feb 2009 09:52:44 PST

This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to precious metals returns, but overall the results are significant in the other way around. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spillovers running in a bidirectional way in almost all the cases. And finally, the results from asymmetric spillover effects show that negative news have a stronger impact in these financial markets than positive news.