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Animating Leadership: Crisis and Renewal of Governance in 4 Mythic Narratives

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  • Gazi Islamro

Abstract

This paper provides an analysis of empirical microstructure for the exchange rate market in Brazil (BRL/US$) using the high frequency bid and ask quotations data (tick by tick). The aims of the article are to verify the importance of the presence of asymmetric information in the dynamics of prices, to build a model for the prices discovery process and to analyze the empirical determinatives of spread between bid and ask through a conditional model that captures an asymmetric reply for the spread regarding past information. The asymmetric information hypotheses is tested through a non-parametric test of conditional independence for the Markovian property. The model of prices discovery is built using an error correction vector between bid and ask, controlling for the duration and volatility. As a result of this vector, we build a series of the deviation from the equilibrium spread, and we show that conditional distribution of spreads deviations from equilibrium answers asymmetrically to the spreads changes and expected conditional volatitlities and durations. This is made by using the quantilogram and a quantile autoregression model as tools. We relate the ndings to some facts presented in the theoretical literature of market microstructure.

Suggested Citation

  • Gazi Islamro, 2007. "Animating Leadership: Crisis and Renewal of Governance in 4 Mythic Narratives," Business and Economics Working Papers 039, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:039
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    File URL: https://repositorio.insper.edu.br/handle/11224/5830
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    References listed on IDEAS

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    1. Manfred F. R. Kets De Vries & Danny Miller, 1984. "Neurotic style and organizational pathology," Strategic Management Journal, Wiley Blackwell, vol. 5(1), pages 35-55, January.
    2. Neil Abramson, 2007. "The Leadership Archetype: A Jungian Analysis of Similarities between Modern Leadership Theory and the Abraham Myth in the Judaic–Christian Tradition," Journal of Business Ethics, Springer, vol. 72(2), pages 115-129, May.
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