Purpose – The purpose of this paper is to investigate the linkages among equity exchange traded funds (ETF) returns and transmission of volatilities of the USA, Europe and key emerging countries’ stock markets. Standard & Poor’s 500 (spy) and iShares Europe are used to represent the USA and European stock markets, the emerging market part of the data set consists of daily returns of equity ETF representing broad equity market indices of the BRIC countries (Brazil, Russia, India and China); the mist countries (Mexico, Indonesia, South Korea and Turkey) and South Africa and covers the period of February 3, 2012-February 28, 2014. Design/methodology/approach – The paper utilizes multi-variate auto-regressive moving-averages (MARMA) methodology to study equity market returns and spillovers. Second, generalized auto-regressive conditional heteroskadasticity (GARCH) modeling is employed to model volatility persistence and transmissions. Findings – The findings include the existence of significant co-movement of returns among all country ETFs; however, despite increasing interdependencies among the global stock markets there are still very good opportunities for diversification. For example, USA and Europe based investors may do well to ignore opportunities in each other’s markets but can realize diversification benefits by investing in ETFs representing China, South Africa and Turkey. As far as volatilities are concerned, the findings indicate that no ETF volatility is transmitted from the sample countries to USA, Brazil, China and South African stock markets. Also, US market volatility is transmitted to India, Russia, Mexico and Turkey while European volatility spills over to Mexico and South Korea. The presence of spillovers among stock markets’ return series and persistence of volatilities are useful to investors interested in diversifying their portfolios and to traders/fund managers who are interested in maximizing returns. Research limitations/implications – The implications include: first, investors should not only rely on current domestic news to guide their investment decisions, but also take into consideration international news for there are substantial spillovers. Second, given that volatilities can proxy for risk, there are lessons for both individual and institutional investors in terms of further examining pricing securities, hedging and other trading strategies as well as framing regulatory policies. Third, investors should be able to ride the financial cycle by following closely monetary policies of the FED and European Central Bank and resulting credit expansion or contraction since research indicates (and as corroborated in this study) equity prices are linked to VIX which is also correlated with capital flows and credit expansion and interest rates. Limitations include: first, the investigation could be expanded to include individual countries in Europe instead of using one Europe-wide ETF. As ETFs for other emerging markets become available it is also possible to include additional countries. Second, ETFs may not be the best vehicles for diversification. Originality/value – Methodology (MARMA and GARCH) is widely used for analyzing financial data. The use of BRIC and MIST countries and the interaction among them may be novel. Spillovers among emerging financial markets is a fairly new area. Typically, the authors see studies of spillovers from the developed countries to the developing ones. The data period is important since it covers both credit expansion and contraction (or the start of it) by the FED and is current.
The awareness of quality issues increased dramatically in the US during the 1980s as many companies began to embrace quality as a management concept (Easton, 1993). Not surprisingly, quality and its management have been identified as key characteristics in determining a company's ability to compete and its long-term opportunity for success. A linkage between quality, competitiveness and strategy was suggested by Belohlav (1993), who argued that the focus of strategy shifted from an external emphasis (market attractiveness) to an internal one (company strength) in the 1980s. Porter's (1985) work on competitive strategy was very instrumental in this shift. The generic strategies (cost The rationalist school posits that as globalization gains momentum, management systems will converge, implying that culture plays a limited role. In contrast, the culturalist school suggests that managerial practices are an extension of a given country's traditions and are unique to that country. While the empirical evidence is mixed, the results of this article provide additional evidence for the importance of cultural variables in the context of a cross-national study of managerial perceptions of quality, utilizing data from the USA, Japan, Hong Kong and Taiwan. The study includes the societal context in the analysis of organizations in cross-national research, and investigates whether cultural variables and company size could explain the differences in managerial perceptions of quality. Model coefficients are estimated by multinomial logistic regression analysis. The findings indicate that both organizational and cultural variables are important in explaining the differences in managerial perceptions of quality. • competitive advantage • cross cultural perceptions • multinomial logistic regression • organizational-and societal-level analysis • quality improvement
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