bluuebunny/crossref_metadata_2025_split huggingface dataset:
Option valuation and hedging in markets with a crunch
Authors: El-Khatib Youssef , Hatemi-J Abdulnasser 
Published: August 2017

Purpose
Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. The purpose of this paper is to extend their work to a situation in which the unconditional volatility of the original asset is increasing during a certain period of time.

Design/methodology/approach
The authors consider a market suffering from a financial crisis. The authors provide the solution for the equation of the underlying asset price as well as finding the hedging strategy. In addition, a closed formula of the pricing problem is proved for a particular case. Furthermore, the underlying price sensitivities are derived.

Findings
The suggested formulas are expected to make the valuation of options and the underlying hedging strategies during a financial crisis more precise. A numerical application is provided for determining the premium for a call and a put European option along with the underlying price sensitivities for each option.

Originality/value
An alternative option pricing model is introduced that performs better than existing ones, especially during a financial crisis.
Does transparency mitigate the political budget cycle?
Authors: Herzog Bodo 
Published: August 2017

Purpose
The purpose of this paper is to study the impact of transparency on the political budget cycle (PBC) over time and across countries. So far, the literature on electoral cycles finds evidence that cycles depend on the stage of an economy. However, the author shows – for the first time – a reliance of the budget cycle on transparency. The author uses a new data set consisting of 99 developing and 34 Organization for Economic Cooperation and Development countries. First, the author develops a model and demonstrates that transparency mitigates the political cycles. Second, the author confirms the proposition through the econometric assessment. The author uses time series data from 1970 to 2014 and discovers smaller cycles in countries with higher transparency, especially G8 countries.

Design/methodology/approach
Mathematical model and a respective econometric model testing.

Findings
First, the author shows in the theoretical model that higher transparency mitigates the PBC. Second, the author confirms the theoretical proposition through the econometric model. The author confirms that the countries with higher transparency have smaller budget cycles. Or technically, the author cannot reject the null-hypothesis that the budget cycles are different due to transparency.

Research limitations/implications
As explained in the paper: one issue is the data limitations in respect to the transparency measures. Data for Google are just available since 2004. Data for broadband-subscription are just on annual frequency. But both limitations can be tackled in the future. Hence, the findings are first evidence and a benchmark for future studies.

Practical implications
First, higher public transparency implies smaller budget cycles. In the end, this enhances the stability of economic and fiscal policy. Second, policy-makers have to consider the impact of higher transparency in respect to future election pledges. In a more transparent world, all voters can easily check the commitment of previous election pledges.

Social implications
Transparency helps to improve democracy and thus enhances the political credibility because it allows the voters to check the commitment of the elected policy-makers.

Originality/value
First, the author shows – for the first time – a reliance of the budget cycle on transparency. Second, the author is the first that build a new theoretical model that extends the existing literature in respect to transparency and the size of the budget cycle. Third, the author uses for the first time – in this literature – new internet-based data such as broadband-subscription and Google search data. Fourth, the author empirically proves the new hypothesis based on the new data sources.
The foreign exchange regime in a small open economy: Armenia and beyond
Authors: Gevorkyan Aleksandr V. 
Published: August 2017

PurposeOffering an example of a small open developing economy, the purpose of this paper is to explore the reasons for relative stability in Armenia’s foreign exchange market. Relying on a single currency and derived cross-currency exchange rates, the paper models short-term effects between exchange market pressure and financial and macroeconomic factors.Design/methodology/approachFollowing a literature review, the paper sets the macroeconomic context with an initial variance comparison of standard currency pairs and derived cross-currency exchange rates. Then, the core analysis is carried out with a vector error correction model, focusing on short-term cross-dynamics in monthly data. The orthogonal impulse response function analyses help solidify and further inform relevant conclusions.FindingsThree broad factors influence Armenia’s foreign exchange market: external push factors; domestic banking sector competition, and foreign currency risk perceptions; and domestic macroeconomic and dual, cross-pair, exchange rate target priorities. The central bank’s implicit management of the foreign exchange market’s expectations, pull factor, is consistent with trader market power’s contribution to lower volatility. Yet, the risk of financial and real-sector decoupling remains.Originality/valueThe results are relevant for emerging markets attempting to leverage the global liquidity and low interest rates, while being exposed to external pressures in the post-crisis environment, in which international reserves may be scarce while currency stability is an implied priority. This study can be further adapted to a more comprehensive structural short-term analysis of currency determination or similar dynamics in other small open economies.
Evaluating the individual- and country-level variations in tax morale
Authors: Williams Colin C. , Krasniqi Besnik 
Published: August 2017

PurposeRecently, a small but burgeoning literature has argued that tax non-compliance cannot be fully explained using the conventional rational economic actor approach which views non-compliance as occurring when the pay-off is greater than the expected cost of being caught and punished. Instead, a social actor approach has emerged which views tax non-compliance as higher when “tax morale”, defined as the intrinsic motivation to pay taxes, is low. To advance this social actor model, the purpose of this paper is to evaluate the individual and national heterogeneity in tax morale, which is crucial if tax compliance is to be improved.Design/methodology/approachTo do this, the authors report data from the 2010 Life in Transition Survey on tax morale in 35 Eurasian countries.FindingsLogit econometric analysis reveals, on the one hand, that there is higher tax morale among middle-aged, married, homeowners with children, with a university degree and employed, and on the other hand, that there is higher tax morale in more developed countries with stronger legal systems and less corruption, and higher levels of state intervention in the form of both taxation and expenditure.Research limitations/implicationsRather than continue with the rational actor approach, this paper reveals that how an emergent social actor approach can help to more fully explain tax non-compliance and results in a different policy approach focused upon changing country-level economic and social conditions associated with low tax morale and thus non-compliance.Practical implicationsThese results display the specific populations with low tax morale which need targeting when seeking to tackle tax non-compliance.Originality/valueThis paper provides a new way of explaining and tackling tax non-compliance in Eurasian countries.
Dynamic endogeneity and corporate governance-performance relationship
Authors: Thrikawala Sujani , Locke Stuart , Reddy Krishna 
Published: August 2017

Purpose
The purpose of this paper is to examine the relationship between corporate governance (CG) and microfinance institution (MFI) performance, using a dynamic panel generalised method of moments (GMM) estimator to mitigate the serious issues with endogeneity.

Design/methodology/approach
Inconsistent findings and a general lack of empirical results for the microfinance industry leave an unclear message regarding the impacts of CG on MFI performance, especially in emerging economies. The authors use GMM estimation techniques to examine whether CG has an influence on MFI performance.

Findings
This study confirms that the MFIs’ contemporaneous performance and CG characteristics are statistically significantly positively linked with their past performance. This study finds statistically significant governance effects on MFI performance, including the presence of international directors and/or donor representatives on the board, client representatives on the board, percentage of non-executive directors and the quality of the national governance system.

Practical implications
These findings provide some insights for policy-makers and practitioners to develop suitable policies and guidelines to streamline MFIs’ operations in emerging countries. Moreover, national and international investors and donors may use these finding as a benchmark for their investment and funding decisions.

Originality/value
This paper is the first to estimate the CG and performance relationship of MFIs in a dynamic framework by applying the GMM estimation method. This approach improves upon traditional estimation methods by controlling the likely sources of endogeneity. Further, this paper examines whether quality of national-level governance characteristics is related to performance measures of profitability and outreach of MFIs.
Understanding factors affecting knowledge sharing
Authors: Rahman Safayet , Islam Md Zahidul , Abdullah Annie Dayani Ahad 
Published: August 2017

PurposeThe aim of this paper is to propose a conceptual framework of knowledge sharing for Bangladesh’s business organizations.Design/methodology/approachOn the basis of previous literature, this paper proposed a framework for knowledge sharing.FindingsThis paper identified organizational commitment as a potential mediator for the relationship between organizational factors (organizational culture, leadership and structure) and knowledge sharing. In this paper, top management support and information and communication technology (ICT) support are also proposed as potential moderators that can affect knowledge sharing.Research limitations/implicationsThis paper has identified several organizational factors to predict knowledge sharing. Future research with empirical evidence will validate this conceptual framework.Practical implicationsThis paper will help business managers to understand knowledge sharing from a different perspective. Propositions of organizational commitment as a potential mediator and top management support and ICT support as potential moderators will provide managers with a better understanding of employees’ knowledge sharing behavior.Originality/valueThis paper adopted the general model of workplace commitment and integrated with organizational factors (organizational culture, leadership, structure, top management support and ICT support) to understand knowledge sharing for the business organizations of Bangladesh.
Exploring public sector planning for transformational government
Authors: Mawela Tendani , Twinomurinzi Hossana , Ochara Nixon Muganda 
Published: August 2017

PurposeThis paper aims to understand the conceptualisation of the notion of transformational government that is emerging within the electronic government domain. It reviewed how transformational government is manifest in the policy and strategic commitments of government departments in South Africa. The study focused on understanding the role of public sector planning towards the attainment of transformational government.Design/methodology/approachThe study is interpretive and qualitative in nature. It provides the outcomes of a deductive thematic analysis conducted on strategic documents of government departments to explore their alignment and support for transformational government.FindingsThe paper argues for the need for public sector planning that is focused on citizen benefit realisation. The results highlight the significance of strategic plans for developmental transformation. However, the planning instruments were found to have an inconsistent orientation towards transformational government.Originality/valueThe study is significant in light of the implications of public policy and the associated strategic plans for citizens. This paper also contributes to research on the nascent area of transformational government.
Scenario planning of electricity supply system: case of Iran
Authors: Heidari Alireza , Aslani Alireza , Hajinezhad Ahmad 
Published: August 2017

Purpose
Energy has a strategic role in the social and economic development of countries. Affordability, accessibility and availability of energy sources are the priorities of the governments in energy supply. Therefore, understanding the robustness of energy supply is an important subject of energy researchers and policymakers. This paper aims to analyze the robustness of the electricity system at the national level.

Design/methodology/approach
First, the strengths, weaknesses, opportunities and threats analysis is implemented for a selected case study. Then, the expert panel weighed the parameters’ effect on sustainable power generation, the survey is quantified using fuzzy logic. Finally, cross functional analysis is applied to evaluate the influence/dependence of the parameters.

Findings
The results show three determinant parameters which have the most influence on the system: fluctuations in oil prices, governmental acts and sanctions against the country. The most dependent parameters, as objectives variables, are the share of renewables and distributed generation (DG), system reliability, power generation diversity and transmission efficiency.

Originality/value
Using future studies methods in the energy level at the nation level has been done for the first time in the current work.
Mineral development for growth: the case for a new mineral policy framework for Pakistan
Authors: Ashraf Hamid , Cawood Frederick 
Published: August 2017

Purpose
The fundamental purpose of this research is to compare Pakistan’s mineral policy instrument with that of leading developing minerals-based economies and to highlight the gaps. Mineral resources development can act as an engine for country growth and have the potential to transform economies and societies. The extent to which such transformation takes place varies depending upon the method of their use.

Design/methodology/approach
This paper conducts a gap analysis between Pakistan and leading developing minerals-based economies to identify key policy gaps. Two basic principles were kept in mind with the choice of countries: first, only developing countries were considered and, second, at least two countries had to be Islamic. Eight developing countries Chile, Mexico, Brazil, Peru, India, South Africa, Kazakhstan and Turkey were selected.

Findings
The most important finding of the exercise is that Pakistan’s mineral sector is lacking an enabling institutional, fiscal and regulatory framework for the optimal development of its mineral resources.

Practical implication
Pakistan’s mineral resources have the potential to expand its economy and benefit its citizens. For this to happen, Pakistan must first establish what beneficiation is realistically expected from its mineral resources and, second, formulate a mineral policy based on leading practices to attract mining investment and aim for a sector contribution to gross domestic product of 5 per cent.

Originality/value
This paper presents original work on how Pakistan should formulate its mineral policy to extract maximum benefit from its mineral resources.
Integrated reporting by South African companies: a case study
Authors: du Toit Elda , van Zyl Renier , Schütte Gina 
Published: August 2017

Purpose
The purpose of this paper is to report on the long-term effect of integrated reporting on the quality of information. Investors and stakeholders rely on high-quality integrated reports to obtain social, environmental and ethical information for decision-making. A striking weakness found in recent research on integrated reports is the way certain items of social, environmental and ethical information are excluded while other items are repeated. There is accordingly much confusion, clutter and fragmentation in the integrated reporting landscape.

Design/methodology/approach
Through a detailed content review of the information companies report on, more insight can be gained into this question five years after the mandatory implementation of King III, which requires companies to provide integrated reports. This study used a similar approach to that of Solomon and Maroun (2012), reviewing the integrated reports of four companies with high social and environmental impact, over a period of three years (2012 to 2014).

Findings
The companies’ integrated reports were reviewed in terms of social, environmental and ethical items. The results indicate that there has been a distinct decrease in the amount of information provided in integrated reports but, more importantly, there still exists significant uncertainty as to the amount of reporting that is required.

Originality/value
The results of this study prove that regulators may have to provide more detailed guidelines as to the reporting duties of companies. It also indicates to managers that their approach to integrated reporting may have to be revised to ensure useful information is provided to stakeholders.
Integrated reporting and integrated thinking in Italian public sector organisations
Authors: Guthrie James , Manes-Rossi Francesca , Orelli Rebecca Levy 
Published: August 2017

Purpose
This paper aims to explore the linkages between integrated reporting (IR) and organisations’ internal processes, specifically focusing on investigating the internal mechanisms of change that can lead organisations to adopt IR disclosure and how this impacts on integrated thinking internally.

Design/methodology/approach
The paper draws upon previous analysis and insights provided in the IR academic literature, as well as analysing several directives, policy and framework pronouncements. The study also draws on the management accounting change literature, using it as a lens to observe early adopters’ practice. In addition, it provides detailed case studies considering the internal processes of change in five early adopters of the integrated reporting framework (<IRF>) and whether the adoption leads to internal “integrated thinking”. Five Italian public sector organisations are analysed, and the authors make use of official documents, press releases and in-depth semi-structured interviews with the major internal actors.

Findings
The research highlights that the processes of change in organisations adopting IR is their adoption of a way of thinking, that is, integrated thinking, as a result of the process of internalisation.

Research limitations/implications
Given the short history of IR, this sample is small due to the small number of early adopters.

Originality/value
The paper provides academics and policymakers with insights into the process of change to be considered while adopting the <IRF> and responds to calls in the IR literature for further field-based studies on IR’s impact on internal processes. Also, the paper highlights that the European Directive on the disclosure of non-financial and diversity information (2014/95/EU) has the potential to increase environmental, social and governance disclosures amongst European companies.
Exploring the challenges of preparing an integrated report
Authors: McNally Mary-Anne , Cerbone Dannielle , Maroun Warren 
Published: August 2017

PurposeThe purpose of this paper is to add to the limited body of interpretive research on integrated reporting by exploring challenges to preparing an integrated report. This is done using an integrated thinking framework which stresses the importance of an interconnection between sustainability performance, proactive sustainability management and integrated reporting.Design/methodology/approachDetailed interviews with 26 preparers at 9 South African-based organisations highlight practical issues encountered when producing an integrated report.FindingsIntegrated reporting is not consistently seen as a natural part of the business process, despite the relevance of multiple types of capital for organisations’ business models. The new report format is imposed on existing internal processes and reporting protocols which precludes a broad understanding of the purpose of integrated reporting and limits the development of management control systems and a supporting accounting infrastructure. In this constrained environment, reporting guidelines are used as disclosure checklists, stakeholder engagement is limited, systems are not always compatible and data analysis is difficult. Preparers are also unconvinced that integrated reports are taken seriously by investors, further limiting the interconnection between sustainability performance and integrated reporting.Research limitations/implicationsThose charged with governance need to ensure that their organisations are identifying so-called non-financial issues as strategically relevant. Sustainability performance targets need to be clearly defined and linked to specific performance indicators. The management control systems and accounting infrastructure must be planned and developed to assist with the monitoring of sustainability performance and, in turn, to inform what information is included in integrated reports.Originality/valueThis study answers the calls for primary evidence on how integrated reports are prepared and the associated challenges. The findings add to the limited body of interpretive research on the functioning of corporate governance and accounting systems and offers practical insights for preparers and academics.
A research template to evaluate the degree of accountability of integrated reporting: a case study
Authors: Silvestri Antonella , Veltri Stefania , Venturelli Andrea , Petruzzelli Saverio 
Published: August 2017

PurposeThe scope of the study is to analyze an Italian family firm operating in the transformation and marketing of durum wheat to investigate the degree of accountability of the integrated reporting (IR) disclosed by the organization.Design/methodology/approachThe paper uses a case study approach proposing a specific research template to evaluate the implementation of IR depicting the role of three main dimensions: stakeholder involvement, business model and integration.FindingsThe paper enriches theoretical conceptualization of the implementation of IR proposing a new conceptual model that adds empirical findings to the literature on IR and at the same time addresses the call for studies of Dumayet al.(2016) to engage more with practice and development on IR.Research limitations/implicationsThe use of a specific research framework constitutes both the main strength of the paper and also its main limit, as the dimensions of the framework have been chosen by the authors, and the observations and conclusions are based on the authors’ analysis under an interpretative approach.Practical implicationsThe implementation of the same research framework to other organizational IR documents could allow comparisons to be expressed on the quality of the IR disclosed by different organizations and on the same organization in different periods of time.Originality/valueThe main originality of this paper is the creation and the employment of a specific template to analyze the degree of accountability of the case study selected representing a non-listed Italian company operating in the food industry.