Fahim Afzal, Tonmoy Toufic Choudhury and Muhammad Kamran
Because of the growing financial market integration, China’s stock market’s volatility spillover effect has gradually increased. Traditional strategies do not capture stock…
Abstract
Purpose
Because of the growing financial market integration, China’s stock market’s volatility spillover effect has gradually increased. Traditional strategies do not capture stock volatility in dependence and dynamic conditions. Therefore, this study aims to find an effective stochastic model to predict the volatility spillover effect in the dynamic stock markets.
Design/methodology/approach
To assess the time-varying dynamics and volatility spillover, this study has used an integrated approach of dynamic conditional correlation model, copula and extreme-value theory. A daily log-returns of three leading indices of Pakistan Stock Exchange (PSX) and Shanghai Stock Exchange (SSE) from the period of 2009 to 2019 is used in the modeling of value-at-risk (VaR) for volatility estimation. The Student’s t copula has been selected based on maximum likelihood estimation and Akaike’s information criteria values of all the copulas using the goodness-of-fit test.
Findings
The model results show stronger dependency between all major portfolios of PSX and SSE, with the parametric value of 0.98. Subsequently, the results of dependence structure positively estimate the spillover effect of SSE over PSX. Furthermore, the back-testing results show that the VaR model performs well at 99% and 95% levels of confidence and gives more accurate estimates upon the maximum level of confidence.
Practical implications
This study is helpful for the investment managers to manage the risk associated to portfolios under dependence conditions. Moreover, this study is also helpful for the researchers in the field of financial risk management who are trying to improve the returns by addressing the issues of volatility estimations.
Originality/value
This study contributes to the body of knowledge by providing a practical model to manage the volatility spillover effect in dependence conditions between as well as across the financial markets.
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Md Arafat Rahman, Md Mohsan Khudri, Muhammad Kamran and Pakeezah Butt
The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and…
Abstract
Purpose
The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and economic lives of human beings but also to the financial markets. The rapidly pervading and daunting consequences of COVID-19 spread have plummeted the stock markets to their lowest levels in many decades especially in South Asia. This concern motivates us to investigate the stock markets’ response to the COVID-19 pandemic in four South Asian countries: Bangladesh, India, Pakistan and Sri Lanka. This study aims to investigate the causal impact of the number of confirmed COVID-19 cases on stock market returns using panel data of the countries stated above.
Design/methodology/approach
This study collects and analyzes the daily data on COVID-19 spread and stock market return over the period May 28, 2020 to October 01, 2020. Using Dumitrescu and Hurlin panel Granger non-causality test, the empirical results demonstrate that the COVID-19 spread measured through its daily confirmed cases in a country significantly induces stock market return. This paper cross-validates the results using the pairwise Granger causality test.
Findings
The empirical results suggest unidirectional causality from COVID-19 to stock market returns, indicating that the spread of COVID-19 has a dominant short-term influence on the stock movements. To the best of the knowledge, this study provides the first empirical insights into the impact of COVID-19 on the stock markets of selected South Asian countries taking the cross-sectional dependence into account. The results are also in line with the findings of other existing literature on COVID-19. Moreover, the results are robust across the two tests used in this study.
Originality/value
The findings are equally insightful to the fund managers and investors in South Asian countries. Taking into account the possible impact of COVID-19 on stock markets’ returns, investors can design their optimal portfolios more effectively. This study has another important implication in the sense that the impact of COVID-19 on the stock markets of South Asian countries may have spillover effects on other developing or even developed countries.
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Keywords
Muhammad Kamran, Pakeezah Butt, Assim Abdel-Razzaq and Hadrian Geri Djajadikerta
This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of…
Abstract
Purpose
This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of the COVID-19 pandemic in Australia and whether such property is similar or different in one year time from the first wave of the COVID-19.
Design/methodology/approach
The authors used the bivariate Dynamic Conditional Correlation, Generalized Autoregressive Conditional Heteroskedasticity model, on the five-day returns of Bitcoin and Australian stock indices for the sample period between 23 April, 2011 and 19 April, 2021.
Findings
The results show that Bitcoin offered weak safe haven and hedging benefits when combined in a portfolio with S&P/ASX 200 Financials index, S&P/ASX 200 Banks index or S&P/ASX 300 Banks index. In regard to the S&P/ASX All Ordinaries Gold index, the authors found Bitcoin a risky candidate with inconsistent safe haven and hedging benefits. Against S&P/ASX 50 index, S&P/ASX 200 index and S&P/ASX 300 index, Bitcoin was nothing more than a diversifier. The outset of the second COVID-19 wave, which was comparatively more severe than the first, is also reflected in the results with considerably higher correlations.
Originality/value
There is a lack of in-depth empirical evidence on the safe haven capabilities of Bitcoins for various Australian stock indices during the first and second waves of the COVID-19 pandemic. The study bridges this void in research.
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Muhammad Kamran, Hadrian Geri Djajadikerta, Saiyidi Mat Roni, Erwei Xiang and Pakeezah Butt
This study examines how board gender diversity (BGD) interacts with the “tough vs tender” trait in country cultures in influencing firms' corporate social responsibility (CSR).
Abstract
Purpose
This study examines how board gender diversity (BGD) interacts with the “tough vs tender” trait in country cultures in influencing firms' corporate social responsibility (CSR).
Design/methodology/approach
An extensive set of environmental, social and governance (ESG) data of 5,748 firms from 70 countries were collected from Bloomberg terminal, and national-level data on “tough vs tender” societies were collected from the official website of Hofstede. The data were analysed using hierarchical multiple regression (HMR) and bootstrapping estimation techniques.
Findings
The findings show that BGD increases the extent of firms' CSR, with a more pronounced relationship in the tender than in the tough societies. Results are consistent in traditional (p-value based HMR) and robust (confidence intervals reliant bootstrapping) estimation techniques.
Originality/value
This study provides empirical evidence on tough vs tender societies' moderating role in the relationship between BGD and CSR from a rounded international setting. It also raises interesting insights about the dynamics in boards' responses to institutional forces as an avenue for future research.
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Monireh Gharibe Niazi, Masumeh Karbala Aghaei Kamran and Amir Ghaebi
This study aims to design a proposed framework for evaluating university websites.
Abstract
Purpose
This study aims to design a proposed framework for evaluating university websites.
Design/methodology/approach
This study is an exploratory mixed research. It was an applied research in terms of objective and used the Delphi technique and systematic review and meta-analysis approaches. Data collection tools were done through library studies, Delphi checklist and observation. The statistical population of the research comprised 17 experts who are designers of university websites and 20 Iranian university websites selected from the Webometrics website. The statistical data were analyzed using fuzzy methods, descriptive and inferential statistical methods and the SWARA weighting method. Also, the statistical analysis software SPSS 20 and Excel 2016, TOPSIS engineering software and MAXQDA were used.
Findings
Findings indicated that the dimensions of the designed proposed framework in order of their weights are credibility (0.130), reliability (0.125), usability (0.120), website design (0.110), functionality (0.104), content (0.100), page design (0.0922), efficiency (0.082), Webometrics (0.070) and systematic evaluation (0.067). Mebrate’s (2010) framework had the highest overlap (mean = 74.65), and Webometrics (mean = 18.5) had the least overlap and dependency (mean = 19) with the proposed framework. In the evaluation of the 20 university websites of Iran selected from the Webometrics site, the University of Tehran was ranked first with a score of 82.7 and Shiraz University was ranked last with a score of 75.
Originality/value
This study provides a comprehensive proposed framework for evaluating university websites that eliminates the shortcomings of all models, frameworks and methods of university website evaluation that focused only on one or more dimensions of university websites.
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Haleema Saadia and Muhammad Asif Naveed
This research examined the effects of information literacy on lifelong learning, creativity, and work performance among journalists in Pakistan.
Abstract
Purpose
This research examined the effects of information literacy on lifelong learning, creativity, and work performance among journalists in Pakistan.
Design/methodology/approach
Survey research design was applied to conduct this research. The participants were recruited through a stratified convenient sampling process from the press clubs of four provinces (e.g. Punjab, Sindh, Khyber Pakhtunkhwa, and Baluchistan) and the federal capital Islamabad with the consent of relevant authorities for data collection. An online questionnaire was distributed among these journalists and a total of 1,089 responses were received. The data were analyzed by applying descriptive and inferential statistics in SPSS.
Findings
The results revealed that these journalists perceived themselves as information literate. The information literacy (IL) skills of journalists appeared to have a direct and positive effect on their lifelong learning, creativity, and work performance. In other words, the lifelong learning, creativity, and work performance of journalists increase as their levels of IL skills increase.
Practical implications
These results generated useful insights for academicians and organizations about the importance of IL in the workplace and its influence on organizational effectiveness and performance in gaining a sustainable competitive advantage. This knowledge might be crucial for media employers to initiate training programs for journalists to impart IL education.
Originality/value
This research would be a worthwhile contribution to the existing research on workplace IL, particularly in the context of journalists' workplace as no such comprehensive study using these variables appeared so far.
Peer review
The peer review history for this article is available at: https://publons.com/publon/10.1108/OIR-06-2022-0345.
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Akram Mazgar, Khouloud Jarray, Fadhila Hajji and Fayçal Ben Nejma
This paper aims to numerically analyze the effect of non-gray gas radiation on mixed convection in a horizontal circular duct with isothermal partial heating from the sidewall…
Abstract
Purpose
This paper aims to numerically analyze the effect of non-gray gas radiation on mixed convection in a horizontal circular duct with isothermal partial heating from the sidewall. The influence of heater location on heat transfer, fluid flow and entropy generation is given and discussed in this study.
Design/methodology/approach
The numerical computation of heat transfer and fluid flow has been developed by the commercial finite element software COMSOL Multiphysics. Radiation code is developed based on the T10 Ray-Tracing method, and the radiative properties of the medium are computed based on the statistical narrow band correlated-k model.
Findings
The obtained results depicted that the radiation considerably contributes to the temperature homogenization of the gas. The findings highlight the impact of the heater location on swirling flow. It is also shown that the laterally heating process provides better energy efficiency than heating from the top of the enclosure.
Originality/value
This study is performed to improve heat transfer and to minimize entropy generation. Therefore, it is conceivable to improve the model design of industrial applications.
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Keywords
N. Nithyadevi, P. Gayathri and A. Chamkha
The paper aims to examine the boundary layers of a three-dimensional stagnation point flow of Al-Cu nanoparticle-suspended water-based nanofluid in an electrically conducting…
Abstract
Purpose
The paper aims to examine the boundary layers of a three-dimensional stagnation point flow of Al-Cu nanoparticle-suspended water-based nanofluid in an electrically conducting medium. The effect of magnetic field on second-order slip effect and convective heating is also taken into account.
Design/methodology/approach
The thermophysical properties of alloy nanoparticles such as density, specific heat capacity and thermal conductivity are computed using appropriate formula. The non-linear parabolic partial differential equations are transformed to ordinary differential equations and solved by shooting technique.
Findings
The influence of compositional variation of alloy nanoparticle, nanoparticle concentration, magnetic effect, slip parameters and Biot number are presented for various flow characteristics. Interesting results on skin friction and Nusselt number are obtained for different composition of aluminium and copper.
Originality/value
A novel result of the analysis reveals that impact of magnetic field near the boundary is suppressed by the slip effect.
Details
Keywords
Mitushi Singh, Shivani Kapoor, Divya Goel and Charu Sijoria
Research suggests that high employee engagement (EE) leads to high performance. The old notion of considering Corporate Social Responsibility (CSR) as a mode of corporate…
Abstract
Research suggests that high employee engagement (EE) leads to high performance. The old notion of considering Corporate Social Responsibility (CSR) as a mode of corporate philanthropy has now changed to use CSR as a strategic investment for the organization. Thus, the purpose of the present study was to examine how the key dimensions of CSR impact the different dimensions of EE in a sample of employees from selected manufacturing organizations of Delhi NCT region. Data were collected from a sample of 300 employees working at different levels from 15 selected manufacturing organizations of Delhi NCT region. The structural model and the measurement model developed to understand the relationship between three sub-dimensions of employee perception of CSR activities, and the dimensions of EE were examined using AMOS 21. The results supported the proposed hypothesis indicating that positive perception of the employees regarding the three dimensions of CSR, i.e. philanthropic activities, ethical and environmental aspects of the organization does lead to intellectual, social and affective engagement amongst employees. The study results suggest that the organizations should realign their processes to develop a positive perception in employees about its CSR activities to affect the dimensions of EE in a positive way. The study contributes by exploring the linkage between employee perception of the CSR dimensions and dimensions of EE. This study enriches the current literature in the area of EE by highlighting the role played by employee perception of CSR dimensions.
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Muhammad Ali, Chin-Hong Puah, Shafaque Fatima, Anum Hashmi and Muhammad Ashfaq
This research investigates the relationship between e-learning service quality dimensions, student e-learning satisfaction, commitment and behaviour towards finance courses in…
Abstract
Purpose
This research investigates the relationship between e-learning service quality dimensions, student e-learning satisfaction, commitment and behaviour towards finance courses in higher education institutes of Pakistan.
Design/methodology/approach
Due to specific study objectives, the authors gathered sample data of 359 university students who were enrolled in the traditional learning system and shifted to the e-learning environment. The study employed partial least squares-structural equation modelling (PLS-SEM) based approach using Smart PLS version 3.0.
Findings
The results indicated that out of four e-learning service quality dimensions, three dimensions (system quality, course material and instructor quality, information technology (IT) and support service quality) positively impacted student e-learning satisfaction. The other dimension of e-learning service quality (course website quality) showed a positive but insignificant effect on e-learning satisfaction. Additionally, e-learning satisfaction was positively related to e-learning commitment, which, in turn, has a positive and significant influence on student e-learning behaviour towards finance courses.
Originality/value
Overall, the study’s findings provide useful policy implications for higher education institutes, particularly in the coronavirus disease 2019 (COVID-19) pandemic.