A new variance ratio is proposed in this article that utilises the extreme values of asset prices. On the basis of the specification test, it is documented that there is excess volatility in the Indian stock market, whereas this feature is completely absent in the US. It is also found that such excess volatility is persistent in India in the sense that it gives rise to excessive path dependence. Furthermore, it is shown how such path dependence can be modelled from a theoretical point of view by way of the Binomial Markov Random Walk model. JEL Classification: G12, G14, G15
Purpose – Asset liability management is a multi-dimensional set of activities. Against this backdrop, the purpose of this paper is to build a goal programming model for optimally determining the asset allocation and liability composition for Indian Banks. Design/methodology/approach – The conceptual model framework has been developed and then tested for four banks that typically represent the Indian banking sector. Published balance sheet data were used for the model that span over 1995-2009. The veracity of the model has been tested in terms of its ability to project the optimum asset allocation and liability composition for the year 2010. Findings – The model has been able to generate the optimum asset and liability mix that meets the goals set on the key drivers. The solution provided is realistic and compatible with the actual figures. Sensitivity analysis including current and savings account and interest rate changes has been successfully performed to study impact they cause on profitability. Research limitations/implications – The model provides an overall approach to asset allocation and liability composition based on past data reflecting the preferences and priorities of the banks with regard to their outlook on setting targets. This may change. The variables like return and risk are stochastic in nature. Practical implications – The model demonstrated in this paper would be useful to the policy makers in any bank for decision support and planning in view of its ability to incorporate a large number of constraints. Changes in profit could be instantaneously captured through sensitivity analysis. Originality/value – The goal programming model used here is invariant to the type of bank and year of consideration.
This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.
Purpose -The business process outsourcing (BPO) industry in India is evolving rapidly, and one of the key characteristics of this industry is the emergence of high-end services offered by knowledge processing outsourcing (KPO) organizations. These organizations are set to grow at a tremendous pace. Given the people-intensive nature of this industry, efficient employee management is bound to play a critical role. The literature lacks studies offering insights into the HR challenges involved and the ways in which they are addressed by KPOs. The purpose of this paper is to attempt to fill this gap by presenting findings from an in-depth case study of a KPO organization. Design/methodology/approach -To achieve the research objective we adopted an in-depth case study approach. The research setting was that of a KPO organization in India, which specialises in offering complex analytics, accounting and support services to the real estate and financial services industries. Findings -The results of this study highlight the differences in the nature of work characteristics in such organizations as compared to call centres. The study also highlights some of the key people management challenges that these organizations face like attracting and retaining talent. The case company adopts formal, structured, transparent and innovative human resource practices. The study also highlights that such enlightened human resource practices stand on the foundations laid by an open work environment and facilitative leadership. Research limitations/implications -One of the key limitations is that the analysis is based on primary data from a single case study and only 18 interviews. The analysis contributes to the fields of KPO, HRM and India and has key messages for policy makers. Originality/value -The literature on outsourcing has in general focused on call centres established in the developed world. However, the booming BPO industry in India is also beginning to offer high-end services, which are far above the typical call centres. These KPOs and their people management challenges are relatively unexplored territories in the literature. By conducting this study in an emerging market (India) and focusing on people-related challenges in KPOs, this study attempts to provide a fresh perspective to the extant BPO literature.
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