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The purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance Gamma, Normal Inverse Gaussian, Hyperbolic distribution and GH – and compare their risk-management features with a traditional unconditional extreme value (EV) approach using data from future contracts return data of S&P500, FTSE100, DAX, HangSeng and Nikkei 225 indices.

The authors apply tail-based and Lévy-based calibration to estimate the parameters of the models as part of the initial data analysis. While the authors utilize the peaks-over-threshold approach for generalized Pareto distribution, the conditional maximum likelihood method is followed in case of Lévy models. As the Lévy models do not have closed form expressions for VaR, the authors follow a bootstrap method to determine the VaR and the confidence intervals. Finally, for back-testing, they use both static calibration (on the entire data) and dynamic calibration (on a four-year rolling window) to test the unconditional, independence and conditional coverage hypotheses implemented with 95 and 99 per cent VaRs.

Both EV and Lévy models provide the authors with a conservative proportion of violation for VaR forecasts. A model targeting tail or fitting the entire distribution has little effect on either VaR calculation or a VaR model’s back-testing performance.

To the best of the authors’ knowledge, this is the first study to explore the back-testing performance of Lévy-based VaR models. The authors conduct various calibration and bootstrap techniques to test the unconditional, independence and conditional coverage hypotheses for the VaRs.

The purpose of this paper is to contribute to a unified theory of entrepreneurial orientation. To this end, the study considers the nexus of entrepreneurial orientation and venture performance contingent on entrepreneurial political skill, as well as in relation to organizational justice as it influences stakeholder commitment.

A diverse sample of 237 entrepreneurs from private entrepreneurial enterprises throughout an eastern province (Zhejiang) of China participated in a questionnaire study during three years. The study applies structural equation modeling and hierarchical moderated regression analyses to test the hypotheses.

In the context of a developing economy (China), the study verifies the influence of entrepreneurial political skill on entrepreneurial performance. Amongst those involved in the venture, a sense of organizational justice combined with entrepreneurial orientation work to moderate the entrepreneur’s political skill in achieving outcomes.

Limitations of the study are the questionnaire survey identifies entrepreneurial “perceptions” of success or failure with actual success or failure; and responses are weighted to founders and top managers as representing entrepreneurial actors more generally.

The study concludes that access to scarce resources and maintenance of goal congruence are more likely to be achieved when entrepreneurial innovativeness and pro-activeness are combined with entrepreneurial political skill in a setting of organizational justice.

The study finds that entrepreneurs are able to improve performance by instilling a group culture of trust and social justice.

The study is located contextually in the guanxi-centered social exchange atmosphere of China as the economy transforms from a planned to a market model, with institutional arrangements of a mixed economy of state-owned and privately owned enterprises. In this context, the study explores the constructs of entrepreneurial orientation in relation to entrepreneurial political skill in a context of organizational justice as they combine to influence a venture’s success.

The purpose of this paper is to explore trade union management, using data from four major unions. Managers and management have generally been absent from trade union discourse but unions are substantial organisations that need good management. The paper seeks to understand the extent to which senior trade union officials accept managerial roles and to discuss the significance of this.

The paper draws on 56 interviews with senior trade union managers using a case study approach.

The paper concludes that management is consciously understood and implemented by trade union leaders who take their managerial roles and achieving the goals of the members seriously. It suggests that this is likely to affect the dynamics of the relationships between the various actors in trade union democracy.

Evidence is gained from trade union managers themselves. Further research needs to focus both on the managed and on the lay members to whom managers are accountable.

This paper begins to fill a lacuna in the literature examining the way unions operate by concentrating on managers and management rather than on administration.

The purpose of this paper is to assign fair values to options reduces to the attempt to attribute correct implied volatilities. Here, the authors extend the study by Tanha et al. (2014) to determine the impact of macro economic announcements on the option smile.

First, the authors estimate the implied volatility function in terms of moneyness. The authors next analyse the impact of macroeconomic announcements on the estimated coefficients (b ₀, b ₁, b ₂) by regressing the coefficients on the macroeconomic announcements.

The authors find that in-the-money options are sensitive to such announcements, but that out-of-the money options are not. This is consistent with the interpretation of investor behaviour from prospect theory.

The systematic pricing errors that have been documented using the Black-Scholes model have stimulated attempts to improve the model predictions. The approach uses DVF model to improve the B-S model.

This paper aims to establish the relation between corporate governance – as represented by investor protection at both the legal and firm levels – and stock market liquidity.

This paper avails of the unique features of Hong Kong- and China-based stocks that are traded on the Hong Kong Stock Exchange so as to test whether differences between “common law” and “civil law” legal environments contribute to differences in stock liquidity. In addition, by constructing an internal corporate governance index score for each firm based on board size, board independence and information on the audit and remuneration committee, we document whether firms with better corporate governance scores have narrower spreads, greater depth and higher trading volumes.

Overall, results provide support for a linkage between corporate governance issues – as investor rights protection at both the environment and firm protection levels – and stock market liquidity.

This paper recognizes that investor protection constitutes a single component of the desirability of investing in a firm’s stock. Nevertheless, it does appear to constitute an important component of a stock’s attractiveness.

The practical implications are clear, namely, that good corporate governance of firms leads to their attractiveness as investment vehicles (for both the shorter and the longer terms).

The paper has clear social implications. In particular, the paper serves to highlight that prospects for enduring wealth creation are contingent on the safeguards accorded to the equity ownership of a firm’s stock.

The originality lies in taking advantage of the unique features of the Chinese and Hong Kong firms on the Hong Kong Exchange, so as to examine the contrasting influences of common law and civil law on stock liquidity. Thus, the authors allow for the effects of corporate governance across the two legal environments (China and Hong Kong) to be compared and contrasted while maintaining other influences unchanged across Chinese and Hong Kong shares.

The purpose of this paper is to understand that option pricing is the response of option implied volatility (IV) to macroeconomic announcements.

The authors use high-frequency data on ASX SPI 200 index options to examine the response of option IV, as well as higher moments of the underlying return distribution, to macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the options.

The findings suggest that in-the-money and out-of-the money options have difference characteristics in their responses, leading to the conclusion that heterogeneity in investor beliefs and preferences affect option IV through the state price density (SPD) function.

The research contributes to the literature that examines whether IV captures the beliefs of market participants about the likelihood of future states together with the preferences of market participants towards these states. In particular, the authors relate changes in option IV to changes in macroeconomic announcements, through the impact of these announcements on the moments of the SPD function.

Outlines the development of genetic algorithms (GA), explains how they generate solutions to problems and applies four GA models incorporating different factors (e.g. risk, transaction costs etc.) to financial investment strategies. Uses 1987‐1996 share price data from the Madrid Stock Exchange (Spain) and a buy‐and‐hold strategy in the IBEX‐35 index as a benchmark. Shows that all four GA models generat superior daily returns of long positions with lower risk; and discusses the variations between them in detail.

The purpose of this paper is to evaluate the limitations and emerging trends of Six Sigma through an empirical study. Six Sigma is one of the most powerful business process improvement strategies used by numerous World Class corporations for over three decades. A handful of existing publications address some limitations and potential trends of Six Sigma, yet there are no empirical studies investigating the fundamental limitations and emerging trends of Six Sigma.

The authors developed an online survey instrument based on the existing literature addressing the above. In this study, 61 Six Sigma Master Black Belts and Black Belts from large manufacturing companies and 25 academics who are familiar with the Six Sigma topic participated and contributed to the research.

The study reports the top 5 limitations and emerging trends of Six Sigma from the viewpoints of both academics and experts from large manufacturing companies. These are: integration of Six Sigma with Big Data, use of Six Sigma in small medium and micro enterprises, over emphasis of Six Sigma on variability reduction, poor implementation of Six Sigma and its negative impact on employee satisfaction and non-exploitation of integration of Six Sigma with Industry 4.0.

In order to sustain Six Sigma initiatives, it is imperative that limitations and fundamental gaps are understood, and strategies developed to address them. The authors argue that leading academic scholars have a vital role to play in working with industry practitioners to overcome the limitations and emerging trends addressed above.

To the best of the authors’ knowledge, this is the first empirical study looking into the limitations, research gaps and emerging trends of Six Sigma.

The UK Office for Library and Information Networking are engaged in a wide range of work in the area of metadata, in cooperation with various partners. Projects on metadata for Internet resource discovery, interoperability and digital preservation all point to the continuing need for something like traditional library services to organise, access and preserve networked information.

For their part, GSE went into 2002 with a vision of how they saw the year unfolding. 2002 would see the holding of a general election, and the momentum of GSE's petition gathering and public meetings could be utilised in an attempt to politicise the incineration issue as part of the overall election campaign. The shifting dynamic of the political opportunity structure surrounding the incineration issue had seen GSE and their local political allies losing momentum, due to the removal of the councillors’ powers on the waste issue. However, the response of a public now concerned at this perceived undermining of democracy allowed GSE to extend their democratic deficit frame.