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Sample records for financial market integration

  1. Financial Market Integration in a Monetary Union

    Claudia M. Buch

    2001-01-01

    Financial markets in Euroland differ from those of a national monetary union in two regards. First, capital markets in general and banking markets in particular show a greater degree of segmentation than national financial markets as a result of information costs and regulatory barriers to full integration. Second, financial market structures differ among the members of Euroland, which potentially affects the transmission of (monetary) shocks. This paper provides a simple model of a currency ...

  2. Financial integration and Japanese stock market

    khaled GUESMI; Kablan, Sandrine

    2015-01-01

    Our paper tests the conditional version of the International Capital Asset Pricing Model (ICAPM) applying a parsimonious multivariate DCC - GARCH process. By permitting the prices of risk and the level of market integration to vary through time, our results show that Japan experienced increases in the degree of regional integration in last years. The increasing integration into regional financial markets alone is unlikely to provide a sound ground for a currency union in ASEAN+5 at this stage...

  3. Stock Market Integration and the Global Financial Crisis

    Lehkonen, Heikki

    2015-01-01

    We study the dynamics of stock market integration and its consequences during the recent financial crisis for 23 developed and 60 emerging markets. We find that integration increased slightly for emerging markets but decreased for developed countries during the crisis. Moreover, we argue that the high degree of integration propagated the crisis across the global financial markets at the beginning of the crisis, but it had little effect during the crisis. We also find that integ...

  4. Financial Integration in Emerging Market Economies

    Pasricha, Gurnain

    2007-01-01

    This paper analyzes the de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parities in the last 10 years. It tests for modified market efficiency conditions in the presence of real world frictions and arrives at a single measure of de-facto integration for some Emerging Market Economies in the post-globalization era. An Asymmetric Self Exciting Threshold Autoregressive model (SETAR) is used to estimate bands of speculative inaction. Ma...

  5. Financial Market Integration of South Asian Countries: Panel data Analysis

    Hasan Muhammad Mohsin; Patrick A. Rivers

    2010-01-01

    In order to attain financial integration using the Feldstein Horoika (FH) model, the real interest rates differentials must be short lived. This paper estimates the degree of financial market integration in South Asian countries (i.e., Pakistan, India, Bangladesh, Sri Lanka and Nepal) utilizing both techniques i.e. FH model and Real Interest Rates Differentials (RIDs). This study shows some degree of integration with the FH model which has increased in post liberalization period since the 199...

  6. Economic and financial integration in emerging markets: A European policy

    Theodoropoulos Theodore E.

    2005-01-01

    Full Text Available This paper extends to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of "emerging markets". This work finds signs that, contrary to other emerging markets, this does not happen: for the future member states financial integration, similarly to the outcome observed in mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that this may happen partially due to the anchoring of expectations provided by the EU Accession, and to the more robust institutional framework imposed by this process onto the countries in question.

  7. Financial Integration of North Africa Stock Markets

    Onour, Ibrahim

    2009-01-01

    This paper investigates long-term relationship that links stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows, there is strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets. Nonlinear cointegration between stock prices imply portfolios in these markets are inefficient (systematic risk cannot be diversified away), as movement in the price of one market influence the movement in an...

  8. The Kurzweil integral in financial market modeling

    Krejčí, Pavel; Lamba, H.; Monteiro, Giselle Antunes; Rachinskii, D.

    2016-01-01

    Roč. 141, č. 2 (2016), s. 261-286. ISSN 0862-7959 R&D Projects: GA ČR(CZ) GA15-12227S Institutional support: RVO:67985840 Keywords : hysteresis * Prandtl-Ishlinskii operator * Kurzweil integral Subject RIV: BA - General Mathematics http://hdl.handle.net/10338.dmlcz/145715

  9. On Egypt's de facto Integration in the International Financial Market

    Alnashar, Sara B.

    2015-01-01

    This study explores whether Egypt has become de facto perfectly integrated in the international financial market following the steps taken towards the de jure liberalization of the capital and financial accounts of the balance of payments since the early 1990s. It does so by running two empirical tests, namely, the uncovered interest parity and the monetary autonomy tests using monthly data for the periods January 2000–December 2011 and July 2004–June 2008. The outcome of both tests indicates...

  10. Protecting Financial Market Integrity: Roles and Responsibilities of Auditors

    Diekman, Peter

    2008-01-01

    Waarom heeft u nog vertrouwen in een bank? En waarom vertrouwt u uw geld nog toe aan banken? Deze vragen staan centraal in de oratie Protecting Financial Market Integrity. Roles and Responsibilities of Auditors' van prof.dr. Peter A.M. Diekman RA. Hij stelt dat zowel de intern als de openbare accountant een belangrijke taak hebben bij de bewaking van de financile markt. Diekman aanvaardt op donderdag 15 mei 2008 het ambt van bijzonder hoogleraar Compliance & Risicobeheersing vanwege de Stic...

  11. On the integration of financial markets: How strong is the evidence from five international stock markets?

    Bentes, Sónia R.

    2015-07-01

    This paper examines the integration of financial markets using data from five international stock markets in the context of globalization. The theoretical basis of this study relies on the price theory and the Law of One Price, which was adjusted to the framework of financial markets. When price levels are nonstationary, cointegration and the error correction model constitute a powerful tool for the empirical examination of market integration. The error correction model provides a fully dynamic framework that allows to separating the long and the short run effects of the integration process. A dataset encompassing the daily stock price series of the PSI 20 (Portugal), IBEX 35 (Spain), FTSE 100 (UK), NIKKEI 225 (Japan) and SP 500 (US) indices from January 4th 1999 to September 19th 2014 is employed. The results highlight that these five stock markets are linked together by just one long-run relationship, although short-run movements are also present, which causes distinct deviations from the long-run equilibrium relationship. Endogeneity prevails in the system as a whole. While market integration in the sense of the Law of One Price holds, pairwise full price transmission has limited evidence. The results therefore show that stock market price movements are highly nonlinear and complex.

  12. STATE REGULATION OF DOMESTIC FINANCIAL SERVICES MARKET IN THE CONTEXT OF THE EUROPEAN INTEGRATION PROCESS

    I. Krupka

    2014-01-01

    This paper investigates the evolution of state regulation of domestic financial services market and analyses the experience of foreign countries. On this basis, suggestions to improve supervision of the financial services market in Ukraine in terms of European integration are made.

  13. Research network on capital markets and financial integration in Europe : results and experience after two years

    European Central Bank ; Center for Financial Studies (CFS)

    2008-01-01

    In April 2002 the European Central Bank (ECB) and the Center for Financial Studies (CFS) launched the ECB-CFS Research Network to promote research on “Capital Markets and Financial Integration in Europe”. The ECB-CFS research network aims at stimulating top-level and policy-relevant research, significantly contributing to the understanding of the current and future structure and integration of the financial system in Europe and its international linkages with the United States and Japan. This...

  14. Networks in Financial Markets

    Raddant, Matthias

    2012-01-01

    The thesis applies methods from network sciences to four economic topics: herding in financial markets; corporate board networks; contagion in global financial markets; the Italian overnight loan market.

  15. Integration versus Segmentation in Asian Financial Market: The Prospect of Regionalism in Asia

    Herlina Yoka Roida

    2009-01-01

    This paper draws the prospect of regionalism among financial market in Asia (Indonesia, Malaysia, Philippine, Singapore, China, Hong Kong, Japan and South Korea). The first part examines the correlation among them that lead to regional integration. The second part shows the possibility of integration or segmentation between Asia countries and world. The next part, tries to draw whether last financial crises 1997 gave different result to the integration process. The correlation between Asia re...

  16. Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe

    Geesun Lee; Jinho Jeong

    2014-01-01

    This study examines the effect of financial crisis on the level of stock market integration. In particular, we investigated the dynamic movements of two regional stock markets, Northeast Asia and Europe during the period between January 1st, 2000 and December 31st, 2012, with particular attention placed on the global financial crisis (GFC). For this purpose, the paper employs various approaches including DCC-MGARCH, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empiric...

  17. INTEGRATION OF EUROPEAN FINANCIAL MARKETS AT THE BEGINNING OF THE 21ST CENTURY

    Madalina Antoaneta RADOI

    2011-12-01

    Full Text Available The latest four decades have marked by their width, speed and radicality a true “revolution” on the financial market, a transformation and restructuring of financial services, of financial instruments which were used, of transaction systems, but also of competitive processes. The importance that should be given to such transformations of financial systems is given, as well, by their impact, both at the micro- and at the macro- levels, on the economy as a whole.The evolution of the European financial market at the beginning of the 21st century has followed the general trend of global markets. As a main tendency of financial market restructuring at the European level we should keep in mind the fact that there was an opening towards private financing according to the American model, due to the necessity to attract international capital resources, a process which is still ongoing.The integration of the European financial markets at the beginning of the 21st century follows the general process of financial globalization which develops rapidly on several structures of financial systems.

  18. Financial and real integration

    Baier, Scott L.; Dwyer, Gerald P.

    2008-01-01

    We examine the relationship between real and financial integration. Real integration is measured by productivities of capital and labor from trade data for 1982 to 1997. Financial integration is measured by the black market exchange rate. We find more evidence of convergence to equality for returns to capital than for returns to labor. There is some support for associating the convergence of black market premia with declines in black market premia.

  19. Financial market crisis and financial market channel

    Braasch, Bernd

    2010-01-01

    Before a new financial architecture can be established in the wake of the financial crisis, the increasing importance of the global financial market channel must be fully understood. This importance was illustrated by the unexpectedly strong dampening effects of the financial crisis on the real economy and by the worldwide contagion of the crisis, including its spreading to emerging market economies that were macroeconomically stable. This article argues that the financial sphere is gaining i...

  20. CONSTITUENTS OF FINANCIAL MARKETS

    Meenakshi M. Huggi

    2016-02-01

    Full Text Available Indian Financial Market helps in promoting the savings of the economy - helping to adopt an effective channel to transmit various financial policies. Our paper is prepared on the basis of descriptive study it consists of financial market meaning, features and types of financial markets, capital and money market instruments their differences and also it covers the differences between primary and secondary markets and at the last it throws light on the functions of financial markets.

  1. CONSIDERATIONS ON THE PROSPECTS OF THE INTEGRATION OF THE EUROPEAN FINANCIAL MARKETS IN THE CONTEXT OF THE GLOBAL CRISIS

    Morosan Danila Lucia

    2010-12-01

    Full Text Available In recent years, as the efforts linked to the elimination of the capital movements control between countries have intensified, the preoccupations concerning the explanation of the financial integration concept have multiplied, in their turn. An integrated financial market is necessary particularly to the distribution of liquidity between the institutions in the euro zone, and, implicitly, for the enforcement of a common monetary policy. Thus, the problem of the integration of the financial market, respectively of the monetary one, appears as a premise for a homogenous transmission of the financial policy impulses all throughout the euro zone. The financial integration is defined in conformity with the law of a single price. According to this definition, in case the markets are integrated, the financial assets bearing identical characteristics should have the same price, regardless of their geographic origin.

  2. RECENT TRENDS IN GLOBAL FINANCIAL MARKETS

    Zakharova, M.

    2013-01-01

    The article highlights current financial market trends, such as integration, securitization and more sophisticated derivative markets. The process of financial market integration is described. The factors stimulating the securitization market are studied. The reasons for financial markets inefficiency are defined. Partial recovery of financial markets against the general instability of the sector is noted. Key government initiatives fostering soundness, sustainability, transparency and co-ope...

  3. Financial integration of stock markets among new EU member states and the euro area

    Babetskii, Ian; Komárek, L.; Komárková, Z.

    2007-01-01

    Roč. 57, 7-8 (2007), s. 341-362. ISSN 0015-1920 Grant ostatní: GA ČR(CZ) GA402/05/2758 Institutional research plan: CEZ:AV0Z70850503 Keywords : financial integration * stock markets * European Union Subject RIV: AH - Economics Impact factor: 0.382, year: 2007 http://journal.fsv.cuni.cz/storage/1083_fau_7_8_2007_000000000039.pdf

  4. The Global Financial Crisis and The Integration of Islamic Stock Markets in Developed and Developing Countries

    Salina H. Kassim

    2013-01-01

    This study aims to determine the impact of the 2007 global financial crisis on the integration of the Islamic stock markets. Seven Islamic stock markets are selected based on the countries’ level of development and geographical factors. The period of analysis is divided into the pre-crisis period (9 January 2005 to 22 July 2007) and the crisis period (29 July 2007 to 10 January 2010). The methodology of this study relies on the Auto-Regressive Distributed Lag approach and the multi-variate ...

  5. Welfare Effects of Financial Integration

    Hartmann, Philipp; Grüner, Hans Peter; Fecht, Falko

    2007-01-01

    This paper compares four forms of inter-regional financial risk sharing: (i) segmentation, (ii) integration trough the secured interbank market, (ii) integration trough the unsecured interbank market, (iv) integration of retail markets. The secured interbank market is an optimal risk-sharing device when banks report liquidity needs truthfully. It allows diversification without the risk of cross-regional financial contagion. However, free-riding on the liquidity provision in this market restra...

  6. ECONOMIC NATURE OF FINANCIAL MARKET IN INTEGRATED SYSTEMS INSTITUTE TRANSITIONAL ECONOMIES

    В.Л. СМАГІН

    2011-03-01

    Full Text Available  The article deals with economic essence of the financial market in the transformation economic system of the contemporary types in the context of the nowadays research on this segment of the market economy. 

  7. Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?

    Balli, Faruk

    2008-01-01

    This paper examines the time varying nature of European government bond market integration by employing multivariate GARCH models. We state that unlike other bond markets, in euro markets the default(credit) risk factor and other macroeconomic and fiscal indicators are not able to explain the sovereign bond yields after the beginning of monetary union. This fact might be counted as a signal for perfect financial integration. However, we also find that the global shocks affect Germany and the ...

  8. European financial integration and the 1992 challenge: is the market approach sufficient?

    M. SARCINELLI

    2013-12-01

    Full Text Available The new phase of European integration is being developed in parallel with a gradual strengthening of international cooperation in the field of macroeconomics. This has coincided with the rejection of positions that reflected the belief that markets were self-regulating and an over-confidence in the rationality of expectations. Indeed, the emergence and worsening of fiscal, trade and payments imbalances with foreign countries has led to a reconsideration of the approach to the problems of international economic policy. The present article looks at the financial aspects of integration in the prospect of the 1992 objectives, and Italys role within this context. After recalling the main features of the process of European integration, the implications of the liberalisation of capital movements and financial services for banks and for Italian agents are analysed. The author argues that although markets may determine productivity gains and efficiency, it would be imprudent to entrust them with distributing them fairly and compensating those who are disadvantaged.

  9. Communication impacting financial markets

    Andersen, Jorgen Vitting; Dellaportas, Petros; Galam, Serge

    2014-01-01

    Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model that studies the impact of communication on the pricing in financial markets. Considering the simplest possible case where each market participant has either a positive (bullish) or negative (bearish) sentiment with respect to the market, we model the evolution of the sentiment in the population due to communication in subgroups of different sizes. Nonlinear feedback effects between the market performance and changes in sentiments are taking into account by assuming that the market performance is dependent on changes in sentiments (e.g. a large sudden positive change in bullishness would lead to more buying). The market performance in turn has an impact on the sentiment through the trans...

  10. Financial Innovations in International Financial Markets

    Richard M. Levich

    1987-01-01

    The central theme of this paper is that financial innovation has become a major force effecting the United States and other developed economies. The common features of the process include product innovation, securitization, liberalization of domestic financial market practices, globalization of markets, and increased competition among financial institutions. The paper offers a review of the product and process changes that have occurred in international financial markets, an analysis of the f...

  11. Communication impacting financial markets

    Vitting Andersen, Jørgen; Vrontos, Ioannis; Dellaportas, Petros; Galam, Serge

    2014-10-01

    Since the attribution of the Nobel prize in 2002 to Kahneman for prospect theory, behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model (Vitting Andersen J. and Nowak A., An Introduction to Socio-Finance (Springer, Berlin) 2013) that studies the impact of communication on the pricing in financial markets. Considering the simplest possible case where each market participant has either a positive (bullish) or negative (bearish) sentiment with respect to the market, we model the evolution of the sentiment in the population due to communication in subgroups of different sizes. Nonlinear feedback effects between the market performance and changes in sentiments are taken into account by assuming that the market performance is dependent on changes in sentiments (e.g., a large sudden positive change in bullishness would lead to more buying). The market performance in turn has an impact on the sentiment through the transition probabilities to change an opinion in a group of a given size. The idea is that if for example the market has observed a recent downturn, it will be easier for even a bearish minority to convince a bullish majority to change opinion compared to the case where the meeting takes place in a bullish upturn of the market. Within the framework of our proposed model, financial markets stylized facts such as volatility clustering and extreme events may be perceived as arising due to abrupt sentiment changes via ongoing communication of the market participants. The model introduces a new volatility measure which is apt of capturing volatility clustering and from maximum-likelihood analysis we are able to apply the model to real data and give additional long term insight into where a market is heading.

  12. Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

    Olbryś Joanna

    2015-06-01

    Full Text Available The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE stock markets during the 2007-2009 Global Financial Crisis (GFC. As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

  13. Financial Markets and Persistence

    Jain, S.; Buckley, P

    2005-01-01

    Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain either above or below their ` starting\\rq values. As a result, we estimate a persistence exponent for the underlying financial market to be $\\theta_f\\sim 0.5$.

  14. Market liquidity and financial stability.

    CROCKETT, A.

    2008-01-01

    Stability in financial institutions and in financial markets are closely intertwined. Banks and other financial institutions need liquid markets through which to conduct risk management. And markets need the back-up liquidity lines provided by financial institutions. Market liquidity depends not only on objective, exogenous factors, but also on endogenous market dynamics. Central banks responsible for systemic stability need to consider how far their traditional responsibility for the health ...

  15. INTEGRATION OF THE NATIONAL FOREIGN EXCHANGE MARKET TO THE WORLD FINANCIAL SYSTEM

    М.А. РИЧКА

    2011-12-01

    Full Text Available  The evolution, issues and modern trends of the foreign exchange market of Ukraine are reflected in the article. The possible ways to Ukraine’s integration into the world currency market are analyzed. The measures to develop the foreign exchange market of Ukraine and improve the effectiveness of monetary policy of the state are pro-posed in the article.

  16. Financial Market: Sector Strategy (2000)

    Inter-American Development Bank (IDB)

    2000-01-01

    This Financial Market Development Strategy (GN-1948-3) has been prepared to assist IDB staff in the process of supporting financial market development, as financial markets provide the appropriate environment for capital mobilization to profitable investment opportunities. The IDB must strive for balance with a continued concentration on the establishment of efficient and effective, safe and sound banking systems, while pursuing opportunities to motivate nonbank financial markets, institution...

  17. Reconfiguring the Financial Markets

    Ion Bucur

    2009-12-01

    Full Text Available The debut of the new millennium is marked by the increased economic and social imbalances. An important task of economic science is to identify the causes and factors that contributed to the radical transformation of the unfolding conditions of economic activity. The existence of different perspectives to approach the new realities may offer greater opportunities for decrypting the conditions that generated so far unknown developments, as well as for shaping solutions to promote new paths of progress and civilization. The defining with profound implications on the economy and society is represented by the globalization. From this perspective, we have analysed the new dimensions of capital accumulation and economic growth in the context of deregulation and liberalization of the international capital movements. In this context, we have noticed the increasing influence of the financial markets on the economy, the tendency to remove the finances from the real economy requirements, the growing role of external financing using more volatile capital goods, increased competition regarding the access to financing, the significant increase of power of the international capital markets whose characteristic is represented by the increased instability, the implications of the investors’ obsession with an excessive profitableness of their own funds and the expansion of using sophisticated financial products. Realities of today’s financial markets, which are the subject of numerous studies and analysis, have contributed to the association of the arguments that are contesting the thesis on the virtues of self-regulation markets and promoting a new paradigm, within which finances should subordinate the requirements of a balanced and sustained economic growth.

  18. Markets for financial transmission rights

    Results of a survey of markets for financial transmission rights that facilitate competitive, open and non-discriminatory electricity market design are discussed. Specifically, the survey covered Pennsylvania, New Jersey, Maryland (PJM), New York, California, New England, Texas and New Zealand. The main emphasis was on the PJM and the New York markets, since they are the most mature. Interwowen with the results is a thorough discussion of the properties, features and the design of financial transaction rights in the various jurisdictions, the advantages, disadvantages and market performance of financial transmission rights, market performance criteria, and the mechanism for acquiring financial transmission rights. 49 refs., 14 tabs., 6 figs

  19. FINANCIAL MARKETING CHALLENGES FOR THE ROMANIAN MARKET

    Oana PREDA

    2013-01-01

    The reason I choose to analyze this issue is the fact that the proper functioning of the market economy is based on a solid and profitable banking financial system. The experience of the last 20 years in corroboration with the global financial crisis shows that banks in our country must face the challenges coming from both the international market and especially the national market. In this context, it becomes increasingly clear that to obtain a good market positioning (which will automatical...

  20. Financial Services and Emerging Markets

    Karreman, Bas

    2011-01-01

    textabstractThis study addresses the organization and strategy of firms in emerging markets with an explicit application to financial services. Given the relevance of a well-functioning financial system for economic growth, understanding the organization and strategy of firms contributing to the development of sound financial services appears of utmost importance for emerging markets. Throughout the study, two main providers of financial services are distinguished, namely banks and stock mark...

  1. The Nordic financial electricity market

    2010-11-15

    NordREG is a cooperation of the Nordic energy regulators. The mission is to actively promote legal and institutional framework and conditions necessary for developing the Nordic and European electricity markets. The financial market is an important market for market participants to mitigate their risks. By providing tools for risk management, the financial market contributes to the efficient functioning of both wholesale and end-user markets. NordREG decided during 2009 to undertake a study on the Nordic financial electricity market. The aim of the report is to consider whether any improvements can be made to further increase the efficiency of the Nordic financial electricity market in order to secure an optimal price setting in the wholesale and the end-user markets

  2. POLISH MARKET OF FINANCIAL DERIVATIVES

    Sobol, Iwona

    2014-01-01

    The market of financial derivatives is the biggest market in the world. The tremendous growth of this market in recent years is the result of the increase of financial risks caused by volatilities of interest rates, share prices and the adoption of floating exchange rates by most of the developed countries. The most effective way of hedging financial risks is using of derivatives. The derivatives are the instruments which are derived from more basic ones which are called underlying instrument...

  3. Affect, financial decision making, and financial markets

    Merrin, Robert P.

    2015-01-01

    ABSTRACT: Affect refers to the physiological processes in the nervous system that are responsible for emotions and feelings. This dissertation studies the relationship between affect and three aspects of financial markets. The first chapter examines affective influences in the stock market as a whole. The second chapter zooms in and studies the relationship between market participants’ affect and their trading decisions. Finally, the third chapter takes the perspective of another kind of mark...

  4. Asian Capital Market Integration: Theory and Evidence

    Park, Cyn-Young

    2013-01-01

    Financial integration is a multidimensional process through which allocation of financial assets becomes increasingly borderless. This paper assesses the progress achieved thus far in capital market integration in Asia, and compares regional capital market integration with global financial integration. The results of the analysis on which the paper is based indicate that while the pace of regional integration of financial markets in Asia's emerging economies has accelerated in recent years, t...

  5. Integration between the Romanian and the Euro Area Banking Markets: An Application of the Johansen Cointegration Test to Interest Rates on Loans to Non-Financial Corporations

    Maricica MOSCALU

    2015-01-01

    The aim of the present paper is to investigate if there is any level of integration between the Romanian and the euro area banking markets � with focus on lending activities of monetary financial institutions (MFIs) to non-financial corporations (NFCs) � and to assess this level of integration through using both quantity- and especially price-based data. The main empirical instrument used is the Johansen cointegration test applied to pairs of interest rates for euro-denominated loans granted ...

  6. Marketing in current financial crisis

    Mariánek, Lukáš

    2009-01-01

    The paper is describing the effects of recessions and current financial crisis on companies and their marketing. The topic covers the history of marketing throughout the world biggest recessions and describes the current marketing efforts of Czech companies under the current financial crisis. A strategical analysis with the impacts of crisis on long-term strategy planning is provided at the end of the paper.

  7. Financial Markets and Stochastic Growth

    Schenk-Hopp, Klaus Reiner; Mirman, Leonard J

    2000-01-01

    In this paper, we study the effect of financial markets on the investment of a two-good two-country economy with stochastic production in a dynamic framework. Each country produces and invests only one good and, therefore, makes decisions as a central planner in an optimal growth model. Trade between consumers of both countries, however, takes place on competitive (spot or financial) markets. Wencompare the investment-consumption decisions of both `market' models with the benchmark-case of an...

  8. Trading strategies for financial market

    Drbohlavov, Veronika

    2011-01-01

    Thesis deals with trading on financial market concretely forex market. This market is quit new but for sure very interesting and full of potential for trading or investments. Thesis then gives an overview of possible methods of analysis of such a market as also utilization of those methods in following determination of trading strategies. Those methods are technical and fundamental analyses which provide valuable information about market and its possible future development.

  9. Financial Market Volatility: A Survey

    Louis O. Scott

    1991-01-01

    Volatility in financial markets has forced economists to re-examine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. This paper presents a review of recent studi...

  10. Institutional Arrangement of Financial Markets Supervision: The Case of the Czech Republic

    Musílek, Petr

    2008-01-01

    The paper deals with institutional arrangement of financial supervision in the Czech Republic. Financial markets are composed of partial financial segments specialized in individual types of financial instruments and individual customer groups. Financial institutions gradually transform into financial supermarkets. There are several models of institutional arrangement of financial supervision (integrated financial supervision model, sectional financial supervision model, financial supervision...

  11. Modelling Competition Level in the Ukrainian Financial Market ????????????? ?????? ??????????? ?? ?????????? ????? ???????

    Abakumenko Olga V.

    2013-05-01

    Full Text Available Liberalisation of functioning of main segments of the financial market in the majority of developed and developing countries, appearance of new forms of financial mediation and innovation financial instruments contributed to sharpening of competition between recipients of financial assets, which resulted in relevant organisational and integration transformations in the financial market. The article offers a scientific and methodical approach to assessment of the level of competition in the financial market both in general and in its individual segments: deposit, credit, currency market and securities market ones. The offered scientific and methodical approach allows identification of the aggregate level of competition of the financial market of Ukraine, taking into account not only specific features of competitive activity in the currency, deposit, credit and securities markets, but also the degree of influence (priority of each of these system forming components upon the financial market of Ukraine in general, which significantly increases the level of practical importance and objectivity of obtained results.????????????? ???????????????? ???????? ????????? ??????????? ????? ? ??????????? ???????? ? ????????????? ?????, ????????? ????? ???? ??????????? ?????????????? ? ????????????? ?????????? ???????????? ?????????????? ?????????? ??????????? ????? ???????????? ?????????? ???????, ??? ?????????? ??????????????? ??????????????-?????????????? ?????????????? ?? ?????????? ?????. ? ?????? ????????? ??????-???????????? ?????? ? ?????? ?????? ??????????? ?? ?????????? ????? ??? ? ?????, ??? ? ? ??????? ????????? ??? ?????????: ???????????, ??????????, ????????? ?????? ? ????? ?????? ?????. ???????????? ??????-???????????? ?????? ????????? ?????????? ?????????? ??????? ??????????? ??????????? ????? ???????, ???????? ?? ?????? ??????????? ???????????? ???????????? ?? ????????, ?????????? ? ????????? ?????? ? ????? ?????? ?????, ?? ? ??????? ??????? (?????????????? ?????? ?? ?????? ????????????????? ???????????? ?? ?????????? ????? ??????? ? ?????, ??? ??????????? ???????? ??????? ???????????? ?????????? ? ????????????? ?????????? ???????????.

  12. Marketing Cooperatives and Financial Structure

    Hendrikse, G.W.J.; C.P. VEERMAN

    1995-01-01

    The relationship between the financial structure of marketing cooperatives and the requirement of the domination of control by the members of the cooperative is analysed with an emphasis on incomplete contracts and system complementarities. It is argued that the disappearance of shortage markets in agricultural and horticultural markets poses a serious threat to the survival of the marketing cooperative as an organizational form. Comparative statics results are presented regarding aspects of ...

  13. Time, expectations and financial markets

    Herr, Hansjörg

    2009-01-01

    After the breakdown of the Bretton Woods system and the beginning of the neoliberal revolution, financial markets became very unstable. The theoretical background of the neoliberal revolution stands in the tradition of Léon Walras. He was very much impressed by Isaac Newton, used his methodology and wanted to lift economic thinking on the same level as Newton's mechanics. The rational expectation approach and the hypothesis of efficient financial markets follow this methodology. In a Keynesia...

  14. Extremal spillovers in financial markets

    Straetmans, Stefan

    2000-01-01

    We analyze the interdependency between different financial markets by using multivariate extreme value theory. This permits one to focus on the occurrence of simultaneous financial market crises, whereas standard co-variance analysis is less suitable for studying extreme interdependencies. The analysis builds on the so-called stable tail dependence function which measures the amount of interdependency between the tail probabilities of multiple random variables. The empirical implementation of...

  15. Financial Intermediation, Markets, and Alternative Financial Sectors

    Allen, Franklin; CARLETTI, Elena; QIAN, Jun 'QJ'; Valenzuela, Patricio

    2012-01-01

    We provide a comprehensive review of firms’ financing channels (internal and external, domestic and international) around the globe, with the focus on alternative finance—financing from all the nonmarket, non-bank external sources. We argue that while traditional financing channels, including financial markets and banks, provide significant sources of funds for firms in developed countries, alternative financing channels provide an equally important source of funds in both developed and devel...

  16. Market free lunch and large financial markets

    Klein, I

    2006-01-01

    The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asymptotic market free lunch with respect to monotone concave utilities is equivalent to no asymptotic free lunch. In principle, the paper can be seen as the large financial market analogue of [Math. Finance 14 (2004) 351--357] and [Math. Finance 16 (2006) 583--588].

  17. FINANCIAL MARKETS AND INSTITUTIONS: IMPORTANT FUNCTIONS

    Fadil Govori

    2005-01-01

    Economic system relies heavily on financial resources and transactions, and economic efficiency rests in part on efficient financial markets. Financial markets consist of agents, brokers, institutions, and intermediaries transacting purchases and sales of securities. The many persons and institutions operating in the financial markets are linked by contracts, communications networks which form an externally visible financial structure, laws, and friendships. The financial market is divided be...

  18. Essays on Financial Market Interdependence

    Liu, Lu

    2012-01-01

    This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. Chapter 2 proposes a binary response model approach to measure and forecast extreme downside risks in Asian-Pacific markets given information on extreme d...

  19. The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices’ Movements

    Adwin Surja Atmadja

    2009-01-01

    Full Text Available This study attempts to examine the existence of cointegration relationship and the short run dynamic interaction among the five ASEAN stock market indices in the period of before and during the 2007 financial crisis. The multivariate time series analysis frameworks are employed to the series in both sub-sample periods in order to answer the hypotheses.The study finds two cointegrating vectors in the series before the financial crisis period, however it fails to detect any cointegrating vector in the period of financial crisis. Granger causality tests applied to the series reveal that number of significant causal linkages between two variables increase during the crisis period. Moreover, the accounting innovation analysis shows an increase in the explanatory power of an endogenous variable to another within the system during the crisis period, indicating that the contagious effect of the 2007-US financial crisis has entered into the ASEAN capital market, and significantly influenced the regional indices’ movements.

  20. Financial Integration, Technology Differences and Capital Flows

    Sebastián Claro

    2005-01-01

    The one-to-one mapping between cross-country differences in capital returns and the size and direction of international capital flows after financial integration vanishes in a multi-sector world with a laborintensive non-tradable sector if financial liberalization generates significant swings in the demand for the non-tradable good. For example, a high return to capital country may become an exporter of capital after financial integration if access to world capital markets enhances demand for...

  1. Agricultural commodities and financial markets

    MODENA, MATTEO

    2011-01-01

    The sharp raise of the price of agricultural commodities between 2006 and 2008 seems to have a rationalization that goes beyond the mere interaction between supply and demand. Data evidence suggests that financial factors, rather than real determinants, played an important role in determining the dynamics of agricultural commodity prices. In particular, there seems to be a common source underlying food price changes and the financial markets dynamics. Evidence based on principal components su...

  2. Bidding Markets with Financial Constraints

    Beker, Pablo; Hernando-Veciana, Angel

    2013-01-01

    We develop a model of bidding markets with financial constraints a la Che and Gale (1998b) in which two firms optimally choose their budgets. First, we provide an alternative explanation for the dispersion of markups and “money left on the table” across procurement auctions. Interestingly, this explanation does not hinge on significant private information but on di?erences, both endogenous and exogenous, in the availability of financial resources. Second, we explain why the empirical analysis...

  3. Offshoring And Financial Markets

    Battisti, Gianfranco

    2013-01-01

    During the 20th century all economic structures underwent the impact of two epochal phenomena, the communications revolution and the financialization of economy. As a consequence of the never ending technological progress, the first has repeatedly reduced the friction of distance, provoking a radical change in the map of locational advantages. The result was a new model of international distribution of production that projected its effects to the core of business management, triggering a disi...

  4. 78 FR 76973 - Financial Market Utilities

    2013-12-20

    ... maintenance of sufficient working capital and cash flow to permit the designated financial market utility to... CFR Part 234 RIN 7100 AD-94 Financial Market Utilities AGENCY: Board of Governors of the Federal... through the account provide certain financial services to, financial market utilities (``FMUs'') that...

  5. Financing Asia's infrastructure: modes of development and integration of Asian financial markets

    Bhattacharyay, Biswa

    2010-01-01

    Asia faces very large infrastructure funding demands, estimated at around US$750 billion per year for energy, transport, telecommunications, water, and sanitation during 2010-2020 (ADB/ADBI 2009). Asia has large savings, significant international reserves, and rapid accumulations of funds that could be utilized for meeting these infrastructure investment needs, but Asian markets have failed to use available resources to channel funding into highly needed infrastructure projects. This paper ex...

  6. Path integrals in quantum mechanics, statistics, polymer physics, and financial markets

    Kleinert, Hagen

    2009-01-01

    This is the fifth, expanded edition of the comprehensive textbook published in 1990 on the theory and applications of path integrals. It is the first book to explicitly solve path integrals of a wide variety of nontrivial quantum-mechanical systems, in particular the hydrogen atom. The solutions have been made possible by two major advances. The first is a new euclidean path integral formula which increases the restricted range of applicability of Feynman's time-sliced formula to include singular attractive 1/r- and 1/r2-potentials. The second is a new nonholonomic mapping principle carrying p

  7. Advertising, Attention, and Financial Markets

    Focke, Florens; Ruenzi, Stefan; Ungeheuer, Michael

    2015-01-01

    We investigate the impact of product market advertising on investor attention and financial market outcomes. Using daily advertising data allows us to identify short-term effects of advertising. We measure daily investor attention based the company's number of Wikipedia page views. We show that TV and newspaper advertising positively impacts short-term investor attention. It also positively impacts turnover and liquidity, but the effects are not economically significant. Most importantly, ass...

  8. Practical .NET for financial markets

    Shetty, Vivek

    2006-01-01

    This book provides fascinating insight into the nature and operation of Financial (Equity) markets and the singular demands and challenges placed on technology solutions in this environment. It then takes an in-depth look at how these challenges can be addressed using Microsoft .NET technology. Each chapter starts with a detailed explanation of a specific and ubiquitous business requirement in Equity market applications, and then the particular features of the.NET framework that can be used to meet that requirement

  9. High Frequency Trading in Financial Markets

    Zhang, Shuo Sarah

    2013-01-01

    Financial markets have undergone tremendous changes in the last decades. Next to the automation of the trading process and the improvement in market quality, High Frequency Trading (HFT) plays a major role in financial markets. This thesis provides a background on the evolution of financial markets and the role of HFT in price discovery and the nature of its interaction with human traders.

  10. RETROSPECTIVE OF FINANCIAL REPORTING ON CAPITAL MARKET

    Diana Muresan

    2012-01-01

    The purpose of this paper is to develop a conceptual framework for the evolution offinancial reporting on capital market. Due to the worlwide changes, the role of financial reportingin capital market is constantly growing. Financial reporting analyzed through market perspective isstrongly correlated with issues like: capital allocation, financial statements, internationalaccounting standards and informational valences. Capital market research emphasizes the need forqualitative and transparent...

  11. Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009

    Mynhardt, H. R.; Plastun, Alex; Makarenko, Inna

    2014-01-01

    This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis ...

  12. Dynamics of financial markets in the context of globalization

    Marilen PIRTEA; Iovu, Laura Raisa; Milos, Marius Cristian

    2008-01-01

    The transformation of national segmented financial markets into integrated parts of the global financial market- the globalization process - involves cross-border and cross-sector integration in which capital movements and financial services are key determinants. Growth in trade and investments, important changes in production and technology, meaningful innovations in telecommunications and computer applications, and a generalized trend towards liberalization and deregulation of domestic and ...

  13. Enhancing financial stability: the case of financial market utilities

    Anna L. Paulson; Kirstin E. Wells

    2010-01-01

    The sweeping overhaul of the nation’s financial regulatory system that was signed into law on July 21, 2010, will touch virtually every aspect of financial markets. This Chicago Fed Letter focuses on provisions in the Dodd–Frank Wall Street Reform and Consumer Protection Act that affect “financial market utilities,” critical behind-the-scenes institutions and arrangements that ensure the smooth functioning of financial markets.

  14. Financial Markets in China and Its Development

    Kušljić, Dragana

    2012-01-01

    China is an emerging economy strongly influencing the World markets. Being a fusion of planned economy and capitalism, its financial markets have specifics which greatly differ from other developed markets. Aim of this thesis is to analyze development of financial markets in China and to identify the specific factors which influenced their success and welfare of entire economy. Focus is on money market, bonds market, derivatives market. Special attention is given to stock market as the most d...

  15. 78 FR 14024 - Financial Market Utilities

    2013-03-04

    ... financial markets and the broader economy rely to function effectively. FMUs operate multilateral systems in... CFR Part 234 RIN No. 7100-AD 94 Financial Market Utilities AGENCY: Board of Governors of the Federal... maintain an account for, and through the account provide certain financial services to, financial...

  16. 77 FR 45907 - Financial Market Utilities

    2012-08-02

    ... the overall nature or level of risk presented by the designated financial market utility.'' Proposed... risk-management standards for financial market utilities (``FMUs'') that are designated as systemically...,'' was enacted to mitigate systemic risk in the financial system and to promote financial stability,...

  17. FEATURES AND EFFECTS OF INTERNATIONAL INTEGRATION OF THE FINANCIAL MARKETS/ ОСОБЕННОСТИ И ПОСЛЕДСТВИЯ МЕЖДУНАРОДНОЙ ИНТЕГРАЦИИ НА ФИНАНСОВЫХ РЫНКАХ

    A.A. Kotova

    2013-04-01

    Full Text Available The article presents a model of international financial integration, shows the advantages and disadvantages of integration of financial markets, identified the benefits and potential risks of the penetration of foreign banks in the financial markets.

  18. Complex Interactions in Financial Markets

    Finger, Karl

    2014-01-01

    All six studies show how complex the interactions on the micro-level (agent, bank, trader group) are and shed some light on how they determine the observed outcomes (price, network) on the macro-level. The two main findings in case of the artificial financial market are: (1) the introduction of a second asset triggers alternating herding behavior of the informed traders. This results from simple profit considerations by the individual agents rather than any form of coordination between them. ...

  19. Switching processes in financial markets

    Preis, Tobias; Schneider, Johannes J.; Stanley, H. Eugene

    2011-01-01

    For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating upward trends and downward trends, on time scales ranging from macroscopic trends persisting for hundreds of days to microscopic trends persisting for a few minutes. The question arises whether these ubiquitous switching processes have quantifiab...

  20. STOCK MARKET INTEGRATION IN THE EMERGING MARKETS: SOME EMPIRICAL EVIDENCE

    Kadir KARAGOZ; Ebrahim REZAEI; ?lhan EGE

    2010-01-01

    Numerous studies have investigated long-run relationship between emerging stock markets, but few interests have been focused on emerging markets in the Middle East region. In this paper we aim to investigate financial integration among five emerging stock markets in the Middle East region by using co-integration analysis. In the paper it is also examined that integration between these emerging markets and developed markets represented by US, UK and France. This will provide opportunity for to...

  1. Informal Financial Markets and Financial Intermediation in Four African Countries

    Aryeetey, Ernest; Hettige, Hemamala; Nissanke, Machiko; Steel, William

    1997-01-01

    A study of both informal and formal financial markets in Ghana, Malawi, Nigeria and Tanzania, Financial Market Fragmentation and Reform in Sub-Saharan Africa, shows that informal institutions use specialized methods to serve broad segments of the population that lack access to banks. Although they have responded positively in a liberalized environment, fragmentation into isolated market se...

  2. A measure of stock market integration for developed and emerging markets

    Korajczyk, Robert A.

    1995-01-01

    If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated - possibly because of barriers to capital flows across markets - the price of risk may differ across markets. The author investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the"law of one price."He applies the integration mea...

  3. Integrated Financial Management Program

    Pho, Susan

    2004-01-01

    Having worked in the Employees and Commercial Payments Branch of the Financial Management Division for the past 3 summers, I have seen the many changes that have occurred within the NASA organization. As I return each summer, I find that new programs and systems have been adapted to better serve the needs of the Center and of the Agency. The NASA Agency has transformed itself the past couple years with the implementation of the Integrated Financial Management Program (IFMP). IFMP is designed to allow the Agency to improve its management of its Financial, Physical, and Human Resources through the use of multiple enterprise module applications. With my mentor, Joseph Kan, being the branch chief of the Employees and Commercial Payments Branch, I have been exposed to several modules, such as Travel Manager, WebTads, and Core Financial/SAP, which were implemented in the last couple of years under the IFMP. The implementation of these agency-wide systems has sometimes proven to be troublesome. Prior to IFMP, each NASA Center utilizes their own systems for Payroll, Travel, Accounts Payable, etc. But with the implementation of the Integrated Financial Management Program, all the "legacy" systems had to be eliminated. As a result, a great deal of enhancement and preparation work is necessary to ease the transformation from the old systems to the new. All this work occurs simultaneously; for example, e-Payroll will "go live" in several months, but a system like Travel Manager will need to have information upgraded within the system to meet the requirements set by Headquarters. My assignments this summer have given me the opportunity to become involved with such work. So far, I have been given the opportunity to participate in projects resulting from a congressional request, several bankcard reconciliations, updating routing lists for Travel Manager, updating the majordomo list for Travel Manager approvers and point of contacts, and a NASA Headquarters project involving improper payments on firm fixed price contracts. Each of the projects that I have worked on this summer presents a different aspect of the work performed on a regular basis by members of this branch. Not only do I get to see the "big picture" of what occurs within the organization, but I also get to experience the "little stuff" that goes on here and throughout the NASA Agency.

  4. Cournot competition, financial option markets and efficiency

    Willems, Bert

    2004-01-01

    Allaz and Vila (1993) show that the existence of futures markets increases the efficiency of markets in a Cournot setting. This paper looks at the efficiency effect of financial options in a similar framework. It shows that also the existence of financial options makes markets more efficient; though to a smaller extent than futures. This is particularly relevant for markets with market power and costly storage, like the electricity market.

  5. Cournot Competition, Financial Option Markets, and Efficiency

    Willems, Bert

    2005-01-01

    Allaz and Vila (1993) show that the existence of futures markets increases the efficiency of markets in a Cournot setting. This paper looks at the efficiency effect of financial options in a similar framework. It shows that the existence of financial options also makes markets more efficient; though to a smaller extent than futures. This is particularly relevant for markets with market power and costly storage, like electricity markets.

  6. Why Ecologists Should Care about Financial Markets.

    Galaz, Victor; Gars, Johan; Moberg, Fredrik; Nykvist, Björn; Repinski, Cecilia

    2015-10-01

    Financial actors such as international banks and investors play an important role in the global economy. This role is shifting due to financial innovations, increased sustainability ambitions from large financial actors, and changes in international commodity markets. These changes are creating new global connections that potentially make financial markets, actors, and instruments important aspects of global environmental change. Despite this, the way financial markets and actors affect ecosystem change in different parts of the world has seldom been elaborated in the literature. We summarize these financial trends, explore how they connect to ecosystems and ecological change in both direct and indirect ways, and elaborate on crucial research gaps. PMID:26411614

  7. Understanding Financial Market States Using Artificial Double Auction Market

    Kyubin Yim; Gabjin Oh; Seunghwan Kim

    2015-01-01

    The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from the fields of finance, mathematics, and even physics to explain states observed in the real financial markets, previous theories that attempt to fully explain the complexities of financial markets have ...

  8. Hierarchical Structure in Financial Markets

    Mantegna, R N

    1998-01-01

    I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of stocks.

  9. Globalization, financial crisis and contagion: time-dynamic evidence from financial markets of developing countries

    Simplice A., Asongu

    2011-01-01

    Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its implications for growth especially in developing countries. This paper examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown. Findings show...

  10. The liberalisation of Chinese financial markets

    Semerák, Vilém

    London : Imperial College Press, 2015 - (Brown, K.), s. 309-326 ISBN 978-1-78326-454-4 Institutional support: RVO:67985998 Keywords : Chinese financial market s * Chinese financial system Subject RIV: AH - Economics

  11. International financial markets and development

    Peter Wahl

    2009-11-01

    Full Text Available The current financial crisis has not come about by chance. It is the result of a system that has emerged over the last 30 years and which Keynes may well have called the ‘casino economy’. The dominance of finance over real economy characterises the financial crisis, while finance itself is dominated by the all-encompassing target of maximum profit at all times. Other aims of economic activity such as job creation, social welfare and development have fallen by the wayside. In response, new actors are surfacing, e.g. the institutional investor (hedge funds, private equity funds, etc., while new instruments are leading to highly leveraged and destabilising derivatives. The casino system has been promoted by governments and intergovernmental institutions to liberalise and deregulate financial markets. Although developing countries have not participated in the casino system, they have been suffering most from the spill-over into the real economy. The main lesson learnt is that the casino has to be closed.

  12. A Financial Market Model and Its Application

    Zheng Xing Chen

    2014-01-01

    A financial market model is developed according to the pricing mechanism in this paper. By simulating the influence among bargainer and price of financial asset, the model can be trained to fitting pricing process in real financial market such as stock market. A proof-test suggested that the model will be available when used in price forecast in short term. Result of forecast shows that the model is effective.

  13. Financial Development and Stock Market performance

    Dellas, Harris; Martin K. Hess

    2000-01-01

    The level of financial development is an important determinant of the performance of capital markets. We examine stock returns in a cross section of emerging and mature markets (49 countries) over 1980-99. Returns in financially underdeveloped countries have been somewhat lower, but significantly more volatile and less closely linkedd to- and influenced by- world stock returns. This implies that the stock markets of financially underdeveloped countries may have contributed to higher global ri...

  14. Relationship Service Marketing and Investment in Financial Market of Iran

    Mehrdad Alipour

    2012-08-01

    Full Text Available In competitive world, having expertise, knowledge and marketing experience for financial market activities, especially brokerage firms has proven inevitable. This should be accompanied by performing marketing operations along with intermediary roles and carrying on the daily transactions of shares in the Tehran stock exchange market. The current study aims investigating the level of marketing knowledge used in stock exchange market, identifying the reasons behind deficient use of the marketing knowledge by the financial institutions (financial intermediaries, brokerage firms and etc, matching the marketing activities with the financial activities of the brokerage firms in the Tehran stock exchange and finally improving the investment in Tehran stock exchange market. Independent variables were selected based on services marketing mix such as product, price, place, promotion, physical facilities, people and process. The method used is survey-based and the universe has been drawn from among the financial institutions active in Tehran stock exchange and the regional branches of the country. The results obtained from the research show that, during the period reviewed, the dynamic marketing system in the financial market was the traditional system without attending to the modern criteria of financial service marketing in the areas relating communication and determination of the shares prices, services of conduct transactions of the financial analyses and encouragement the big companies to enter the Tehran Stock Exchange.

  15. Financial transaction tax contributes to more sustainability in financial markets

    Schäfer, Dorothea

    2012-01-01

    We argue that a financial transaction tax complements financial market regulation. With the tax, governments have an additional instrument at hand to influence trading activity. FTT aims to reduce regulatory arbitrage, flash trading, overactive portfolio management, excessive leverage and speculative transactions of financial institutions. The focus clearly addresses these classes of activities that have contributed to the financial crisis. However, if contrary to expectations harmful transac...

  16. Integration between the Romanian and the Euro Area Banking Markets: An Application of the Johansen Cointegration Test to Interest Rates on Loans to Non-Financial Corporations

    Maricica MOSCALU

    2015-06-01

    Full Text Available The aim of the present paper is to investigate if there is any level of integration between the Romanian and the euro area banking markets � with focus on lending activities of monetary financial institutions (MFIs to non-financial corporations (NFCs � and to assess this level of integration through using both quantity- and especially price-based data. The main empirical instrument used is the Johansen cointegration test applied to pairs of interest rates for euro-denominated loans granted by MFIs located in the two markets to NFCs for different loan maturities and amounts. By employing recent data, the results of the test indicate the existence of a cointegration relationship between the interest rates for loans with floating rate / period of initial rate fixation of up to 1 year and up to and including EUR 1 million euro. These findings suggest that, although Romania is not yet part of the Economic and Monetary Union (EMU, the two markets are not completely disintegrated especially with regard to short-term bank lending operations. Although further investigation is necessary, the findings are relevant from the perspective of Romania entering the EMU and have implications for Romanian NFCs� access to finance.

  17. European financial integration and corporate governance

    Buch, Claudia M; Heinrich, Ralph P.

    2002-01-01

    The paper studies the link between the integration of European financial markets and corporate governance in Europe. The focus of the paper is on how integration affects the interplay of ownership structures, capital structures, and monitoring, all of which can be used to govern agency problems at the firm level. Integration is a process which comprises the abolition of capital controls, the harmonization of institutions, and the creation of a common currency area. These elements, in turn, af...

  18. Mesoscopic modelling of financial markets

    Cordier, S; Piatecki, C

    2010-01-01

    We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model (Econ. Lett., 45, (1994), 103--111) using the methods of kinetic theory and consists of a linear Boltzmann equation for the wealth distribution of the agents coupled with an equation for the price of the stock. From this model, under a suitable scaling, we derive a Fokker-Planck equation and show that the equation admits a self-similar lognormal behavior. Several numerical examples are also reported to validate our analysis.

  19. The Cyclical Volatility of Labor Markets under Frictional Financial Markets

    Petrosky-Nadeau, Nicolas; Wasmer, Etienne

    2013-01-01

    Financial frictions are known to raise the volatility of economies to shocks (e.g. Bernanke and Gertler 1989). We follow this line of research to the labor literature concerned by the volatility of labor market outcomes to productivity shocks initiated by Shimer (2005): in an economy with search on credit and labor markets, a financial multiplier raises the elasticity of labor market tightness to productivity shocks. This multiplier increases with total financial costs and is minimized under ...

  20. Technology and (Post-)Sociality in the Financial Market

    Langenohl, Andreas; Schmidt-Beck, Kerstin

    2007-01-01

    The article takes issue with recent influential work on the paradigmatic relevancy of technologically induced modes of communication and sociality on the financial markets. According to Karin Knorr Cetina and Urs Bruegger, the technological infrastructure of the global financial markets engenders novel forms of sociality and social integration: intersubjectivity with non-present others and (post)sociality with (imagined) objects. The article differentiates these hypotheses by way of confronti...

  1. Financial Integration into EU: The Romanian Case

    Ibrahim Bozkurt

    2016-05-01

    Full Text Available The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed with daily stock returns of 24 EU members including Romania for 2002-2012 period using panel data gravity models and correlations are investigated. Findings reveal that the following factors have significant and robust effects on the financial integration process of Romania with other 23 EU members; (i EU membership, (ii bilateral trade, (iii GDP per capita, (iv 2012 sovereign debt crisis and (v East European location. The results emphasize that intensifying economic relations with EU members can contribute the integration of Romanian stock market with other EU members. designed & hoste

  2. Equilibrium in financial markets with adverse selection

    Takalo, Tuomas; Toivanen, Otto

    2003-01-01

    We study a financial market adverse selection model where all agents are endowed with initial wealth and choose to invest as entrepreneurs or financiers, or not to invest. We show that often a lack of outside finance leads to the emergence of financial markets where availability of outside finance leads to autarky. We find that i) there exist Pareto- efficient and inefficient equilibria; ii) adverse selection has more severe consequences for poorer economies; iii) increasing initial wealth ma...

  3. Rural Financial Markets in Developing Countries

    Conning, Jonathan; Udry, Christopher

    2005-01-01

    This review examines portions of the vast literature on rural financial markets and household behavior in the face of risk and uncertainty. We place particular emphasis on studying the important role of financial intermediaries, competition and regulation in shaping the changing structure and organization of rural markets, rather than on household strategies and bilateral contracting. Our goal is to provide a framework within which the evolution of financial intermediation in rural economies ...

  4. Financial Repression To Financial Liberalisation Of Indian Banking And Capital Market Sectors (pre &post 1991 Reforms

    Raghavendra Rao Rentala

    2012-10-01

    Full Text Available Financial sector of any Economy is multi-faceted term. It refers to legal and institutional arrangements, financial intermediaries, markets and instruments with both domestic and external dimensions. The Economic Development of a nation is reflected by the progress of the various economic units, broadly classified into Corporate sector, Government and Household sector. While performing their activities these units will be placed in a surplus/deficit/balanced budgetary situations.Financial system comprises a set of sub-systems of Financial Institutions, Financial Markets, Financial Instruments and services which help arranging this mechanism. A financial system or financial sector functions as an intermediary and facilitates the flow of funds from the areas of surplus to the areas of deficit. The Financial System is characterized by the presence of integrated financial markets, and institutions that meet the short term and long term financial needs of both the household and corporate sector. The role and importance of financial sector in the process of economic growth has evolved over a time along with the changing paradigms especially in Banking and the Financial (Capital Markets for pooling up of long term sources. The growth of Banks and Capital Markets can be studied in three phases. Firstly, to overview these sectors during Pre Reforms Development (1947-1991 . Secondly, reasons for Indian Economic Crisis in 1991 which had led to “Financial Repression”. Thirdly, reforms in 1991 and its contribution to the development of sectors mentioned which can be named as “ Financial Liberalisation” . The study has revealed that these sectors had flourished with a very positive growth especially after 1991 due to various developments and sectoral reforms under taken in these segments.

  5. FINANCIAL INTERMEDIARIES’ ACTIVITY ON ROMANIAN CAPITAL MARKET

    Dumitru-Cristian OANEA

    2014-11-01

    Full Text Available The financial shifts encountered in the last decade, increase the importance of capital markets in emerging countries, which is also Romania’s case. The banking system was for a long period of time the main source of liquidity for the economy. Meanwhile, the situation is changing due to the importance that capital market has in financing the economy. Through this paper we analyze the transactions’ evolution made by financial intermediaries on Romanian capital market, by highlighting the Societies for Financial Services and Investments (SSIF. Based on this evolution, we identified the main significant differences and similarities between the SSIFs existing on the market.

  6. Financial Market Modeling with Quantum Neural Networks

    Gonçalves, Carlos Pedro

    2015-01-01

    Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and Finance is called Quantum Econophysics. In Finance, Quantum Econophysics' contributions have ranged from option pricing to market dynamics modeling, behavioral finance and applications of Game Theory, integrating the empirical finding, from human decision analysis, that shows that nonlinear update rules in probabilities, leading to non-additive decision weights, can be computationally approached from quantum computation, with resulting quantum interference terms explaining the non-additive probabilities. The current work draws on these results to introduce new tools from Quantum Artificial Intelligence, namely Quantum Artificial Neural Networks as a way to build and simulate financial market models with adaptive selection of trading rules, leading to turbulence and excess ku...

  7. The rise of emerging markets' financial market architecture: constituting new roles in the global financial goverancen

    Metzger, Martina; Taube, Günther

    2010-01-01

    This paper analyses the impact of the global financial crisis on Brazil, India and South Africa whose financial markets have shown strong resilience to the global financial turmoil. The paper shows, that in contrast to advanced countries in these emerging market economies there is contagion from the real sector through a slump in exports and a decline in industrial production. Although exposure to toxic assets has been very low, financial markets of the economies under consideration have come...

  8. FINANCIAL INTERMEDIARIES’ ACTIVITY ON ROMANIAN CAPITAL MARKET

    Dumitru-Cristian OANEA

    2014-01-01

    The financial shifts encountered in the last decade, increase the importance of capital markets in emerging countries, which is also Romania’s case. The banking system was for a long period of time the main source of liquidity for the economy. Meanwhile, the situation is changing due to the importance that capital market has in financing the economy. Through this paper we analyze the transactions’ evolution made by financial intermediaries on Romanian capital market, by highlighting the ...

  9. Financial Stability and Market Structure: International Evidence

    Marcos Soares da Silva

    2012-04-01

    Full Text Available Although the economic theory recognizes the ambiguous relationship between market structure and stability of the bank sector, some models, such as the one of competition-fragility by Allen and Gale (2004, suggest that increasing competition leads financial institutions to take more risks. As a result, financial markets that are more concentrated also present higher financial stability. To assess this hypothesis, we estimate a dynamic panel data model for 41 countries in the period from 1987 to 2007. The econometric model included covariates for level of income, characteristics of the financial market, economic environment, and macro prudential regulation. We used the following databases: “A new database on financial development and structure” and “Bank regulation and supervision”, from the World Bank, and “Systemic banking crises: a new database”, from the International Monetary Fund. The results indicate that the greater the market concentration the higher the stability of the banking system.

  10. Integrated Financial Supervision in Germany

    Schüler, Martin

    2004-01-01

    With the establishment of the Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) in May 2002 Germany followed the trend towards integrated financial supervision. The main reason for unification of supervision is the growing integration of financial sectors leading to the blurring of boundaries between banking, insurance and securities activities. The aim of this paper is to analyse the development of Allfinanz, and hence the driving forces for the creation of the single supervisory autho...

  11. MEASURING INTEGRATED MARKETING COMMUNICATION

    Damjana JERMAN

    2011-01-01

    Full Text Available The concept of integrated marketing communications continues to gain widespread attention and interest among academics and practitioners around the world. Among the objectives of our paper may be considered dealing with changes in the conceptualization of integrated marketing communication and measuring the dimensions of this conceptual area. Two priorities guide our paper: 1 a more complete view for the conceptualization of integrated marketing communication; and 2 an empirical analysis for measuring the concept of integrated marketing communication. The study present a four dimensional conceptualization of integrated marketing communications and empirically develops its measurement instrument with 15-item scale. This paper presents the results of a study that examines integrated marketing communication in the sample of Slovenian companies and it closes with the implications of the findings.

  12. Simple grading model for financial markets

    Thuy Anh, Chu; Lan, Nguyen Tri; Viet, Nguyen Ai

    2015-06-01

    A simple way to estimate and grade a financial market by comparison the evolution process and the shape of distribution functions was proposed. In normal working state of financial market, the shape of distribution functions have one-peak form and change from Boltzmann-like to Gaussian-like distributions, while in risk moment might have two-peak form. The grad of financial markets was characterized by overlap area of initial and final distribution functions, and for risk degree by the separation between two shoulders of distribution function. The meaning of Levi tails of distribution and laws of general entropy and information was discussed.

  13. Algorithmic complexity of real financial markets

    Mansilla, R.

    2001-12-01

    A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a quantity rooted in the Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indexes. The study is based on NASDAQ and Mexican IPC data. Different behaviors of this quantity are shown when applied to the intervals of series placed before crashes and to intervals when no financial turbulence is observed. The connection between our results and the efficient market hypothesis is discussed.

  14. A stochastic model for the financial market with discontinuous prices

    Leda D. Minkova

    1996-01-01

    Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

  15. Financial instability from local market measures

    We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. We show that, depending on the number of financial instruments available and on the heterogeneity of local measures, the market moves from an arbitrage-free phase to an unstable one, where the complexity of the market—as measured by the diversity of financial instruments—increases, and arbitrage opportunities arise. A sharp transition separates the two phases. Focusing on two different classes of local measures inspired by real market strategies, we are able to analytically compute the critical lines, corroborating our findings with numerical simulations. (paper)

  16. Understanding Financial Market States Using an Artificial Double Auction Market.

    Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

    2016-01-01

    The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, Pc. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range Pc = 0.40 to Pc = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than Pc = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than Pc = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at Pc = 0.85. PMID:27031110

  17. Understanding Financial Market States Using an Artificial Double Auction Market

    2016-01-01

    The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, Pc. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range Pc = 0.40 to Pc = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than Pc = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than Pc = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at Pc = 0.85. PMID:27031110

  18. Regulatory Competition in Global Financial Markets

    Ringe, Georg

    2015-01-01

    The decades-long discussion on the merits of regulatory competition appears in a new light on the global financial market. There are a number of strategies that market participants use to avoid the reach of regulation, in particular by virtue of shifting trading abroad or else relocating activities...... or operations of financial institutions to other jurisdictions. Where this happens, such arbitrage can trigger regulatory competition between jurisdictions that may respond to the relocation of financial services (or threats to relocate) by moderating regulatory standards. Both arbitrage and...... regulatory competition are a reality in today’s global financial market, and the financial sector is different from their traditional fields of application: the ease of arbitrage, the fragility of banking and the risks involved are exceptional. Most importantly, regulatory arbitrage does not or only rarely...

  19. Balance, growth and diversity of financial markets

    Constantinos Kardaras

    2008-01-01

    A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is not exclusive) all the capital of the market will accumulate in one company. Thus, absence of any "free unbounded lunches relative to the total capital" opportunities lead to the most dramatic failure of diversity in the market: one company takes over all oth...

  20. Experimental Studies of Overconfidence in Financial Markets

    Michailova, Julija

    2010-01-01

    This doctoral thesis investigates the influence of overconfidence on the outcomes in experimental asset markets, both on the market and individual levels. Thesis consists of three parts. In the first part an instrument (test) is developed that is later used in economic experiments to measure subjects’ overconfidence. The second part investigates the role of market overconfidence in the occurrence of bubbles in asset prices and the emergence of other stylized facts of financial markets, namely...

  1. Integration in primary community care networks (PCCNs: examination of governance, clinical, marketing, financial, and information infrastructures in a national demonstration project in Taiwan

    Lin Blossom Yen-Ju

    2007-06-01

    Full Text Available Abstract Background Taiwan's primary community care network (PCCN demonstration project, funded by the Bureau of National Health Insurance on March 2003, was established to discourage hospital shopping behavior of people and drive the traditional fragmented health care providers into cooperate care models. Between 2003 and 2005, 268 PCCNs were established. This study profiled the individual members in the PCCNs to study the nature and extent to which their network infrastructures have been integrated among the members (clinics and hospitals within individual PCCNs. Methods The thorough questionnaire items, covering the network working infrastructures – governance, clinical, marketing, financial, and information integration in PCCNs, were developed with validity and reliability confirmed. One thousand five hundred and fifty-seven clinics that had belonged to PCCNs for more than one year, based on the 2003–2005 Taiwan Primary Community Care Network List, were surveyed by mail. Nine hundred and twenty-eight clinic members responded to the surveys giving a 59.6 % response rate. Results Overall, the PCCNs' members had higher involvement in the governance infrastructure, which was usually viewed as the most important for establishment of core values in PCCNs' organization design and management at the early integration stage. In addition, it found that there existed a higher extent of integration of clinical, marketing, and information infrastructures among the hospital-clinic member relationship than those among clinic members within individual PCCNs. The financial infrastructure was shown the least integrated relative to other functional infrastructures at the early stage of PCCN formation. Conclusion There was still room for better integrated partnerships, as evidenced by the great variety of relationships and differences in extent of integration in this study. In addition to provide how the network members have done for their initial work at the early stage of network forming in this study, the detailed surveyed items, the concepts proposed by the managerial and theoretical professionals, could be a guide for those health care providers who have willingness to turn their business into multi-organizations.

  2. THE FINANCIAL CRISIS AND THE EMERGING MARKETS

    LORENA POPESCU DUDUIALĂ

    2014-06-01

    Full Text Available The emerging markets emerge and develop in the larger context of the international financial market development "is a consequence of the needs expressed by investors and those who wish to place their financial capital." Thus, to achieve a certain level of saturation economic zones and the lack of attractiveness of gains obtainable in certain markets determine the migration of capital to areas that are or may become interesting in terms of the gains that are achieved by investing in these areas in conjunction minimizing market risk assumed.

  3. The recent growth of financial derivative markets

    Remolona, Eli M.

    1992-01-01

    This article examines the reasons for the phenomenal growth of financial derivative markets in recent years. The author shows how specific demand forces have largely determined the direction and speed of the derivatives' spread.

  4. Identifying States of a Financial Market

    Münnix, Michael C.; Shimada, Takashi; Schäfer, Rudi; Leyvraz, Francois; Seligman, Thomas H.; Guhr, Thomas; Stanley, H. Eugene

    2012-09-01

    The understanding of complex systems has become a central issue because such systems exist in a wide range of scientific disciplines. We here focus on financial markets as an example of a complex system. In particular we analyze financial data from the S&P 500 stocks in the 19-year period 1992-2010. We propose a definition of state for a financial market and use it to identify points of drastic change in the correlation structure. These points are mapped to occurrences of financial crises. We find that a wide variety of characteristic correlation structure patterns exist in the observation time window, and that these characteristic correlation structure patterns can be classified into several typical ``market states''. Using this classification we recognize transitions between different market states. A similarity measure we develop thus affords means of understanding changes in states and of recognizing developments not previously seen.

  5. Corporate social responsibility and financial markets

    Dam, Lammertjan

    2008-01-01

    This thesis examines the economics of corporate social responsibility, with an emphasis on the role of financial markets and institutions. Questions that are raised are: What does corporate social responsibility mean in an economic context? What is the impact of corporate social responsibility on the financial performance of a company? What kind of role can a stock market play in trying to achieve sustainable development? What is the relation between corporate social responsibility, economic ...

  6. Networks of equities in financial markets

    Bonanno, G; Caldarelli, G.; Lillo, F.; S. Micciche`; Vandewalle, N.; Mantegna, R N

    2004-01-01

    We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.

  7. Algorithmic Complexity in Real Financial Markets

    R. Mansilla

    2001-01-01

    A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indexes. The study is based on NASDAQ and Mexican IPC data. Different behaviors of this magnitude are shown when applied to the intervals of series placed before crashes and to intervals when ...

  8. Inventories, financial structure and market structure.

    Tribó, Josep A.

    2001-01-01

    In this paper, we study the effect of different financial contracts on the firm's inventory policy. Doing so will allow to define the best financial instruments to diminish the stock variability of a profit-maximizing firm in a given economic environment (expansion or recession), and for a given market structure. We show that in periods of recession (expansion), reducing (increasing) the amount of short-term debt is an optimal strategy independently of the market structure.

  9. Corporate social responsibility and financial markets

    Dam, Lammertjan

    2008-01-01

    This thesis examines the economics of corporate social responsibility, with an emphasis on the role of financial markets and institutions. Questions that are raised are: What does corporate social responsibility mean in an economic context? What is the impact of corporate social responsibility on the financial performance of a company? What kind of role can a stock market play in trying to achieve sustainable development? What is the relation between corporate social responsibility, economic...

  10. Algorithmic Complexity of Real Financial Markets

    Ricardo Mansilla

    2000-01-01

    A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indices. The study is based on NASDAQ and Mexican IPC data. Different behaviors of this magnitude are shown when applied to the intervals of series placed before crashes and in interva...

  11. ABOUT THE FINANCIAL MARKET INFRASTRUCTURE IMPROVEMENT

    Zheleznyak, V.

    2009-01-01

    The creation of such new financial market unit as the investment project office is proposed. The office's activity must be promotional for project finance expansion in the Ukraine. The special attention was paid to insurance companies, banks and investment project office interaction through the temporary financial investment cluster.

  12. 76 FR 18445 - Financial Market Utilities

    2011-04-04

    ... an FMU's nature or level of risks or impact or cause disruption to the financial system more broadly... or level of risks presented by the designated financial market utility and for which the Board is the... risk, settlement risk, operational risk, and legal risk. These risks arise between...

  13. The Financial Crisis and Money Markets in Emerging Asia

    Rigg, Robert; Schou-Zibell, Lotte

    2009-01-01

    Asian money markets entered the financial crisis in better shape than markets in other regions due to a substantial build-up of savings and liquidity in their banking systems, as well as a greater domestic focus in most of the region’s markets. However, despite the higher liquidity and lower levels of global integration, the effects of the crisis in Asia were severe and followed a similar path observed in international markets. The further development of money markets, particularly in less de...

  14. Simulation and validation of an integrated markets model

    Brian Sallans; Alexander Pfister; Alexandros Karatzoglou; Georg Dorffner

    2003-01-01

    The behavior of boundedly rational agents in two interacting markets is investigated. A discrete-time model of coupled financial and consumer markets is described. The integrated model consists of heterogenous consumers, financial traders, and production firms. The production firms operate in the consumer market, and offer their shares to be traded on the financial market. The model is validated by comparing its output to known empirical properties of real markets. In order to better explore ...

  15. Network Topologies of Financial Market During the Global Financial Crisis

    Ashadun Nobi; Seong Eun Maeng; Gyeong Gyun Ha; Jae Woo Lee

    2013-01-01

    We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks generate from the fully connected correlation network by using the cross-correlation coefficients among the stock price time series of the companies. We generate the threshold netw...

  16. Financial management systems at the power marketing administrations

    1989-11-28

    The Department of Energy's (DOE) five Power Marketing Administrations (PMA) market all federally produced power, except that under the jurisdiction of the Tennessee Valley Authority. Each PMA maintains its own accounting system. The purpose of this audit was to determine whether the PMAs were complying fully with Office of Management and Budget (OMB) Circular A-127, which requires agencies to establish a single, integrated financial management system and to eliminate systems that are excessively costly. We interviewed the finance directors at four of the five PMAs and reviewed documentation of the financial management systems at those sites. At Headquarters, we interviewed personnel in the Office of the Deputy Assistant Secretary for Financial Management and Controller (Controller). We also reviewed documentation of the PMA Financial Management Systems Coordinating Committee, a group formed to further PMA financial management objectives.

  17. Perspectives of the Evolution of Romanian Financial Market in the Context of Global Financial Market

    SIMION Dalia; Daniel TOBA

    2008-01-01

    Economical financial reality proves that, in time, globalisation has an impact not only on commodities economy but also on all financial domains, leading to remodelling of financial arrangement, increase of business opportunities but as well competition between financial institutions. Due to the expansion of financial markets, the consequences of globalisation processes converge to an efficiency of economic systems, through an increase of financing capacity and quick transformation of investm...

  18. Postwar Changes in the American Financial Markets

    Benjamin M. Friedman

    1980-01-01

    The object of this essay is to gain an overview of developments in theAmerican financial markets since World War II, with particular attention to changes that have occurred either between the prewar and post-war years or within the past several decades. Inevitably such an effort must be selective. The primary emphasis here is on the interaction between the financial markets and the nonfinancial economy, in the sense of the demands that the nonfinancial economy has placed on the financial mark...

  19. Why Financial Markets Will Remain Marginally Inefficient?

    Yi-Cheng Zhang

    2001-01-01

    I summarize the recent work on market (in)efficiency, highlighting key elements why financial markets will never be made efficient. My approach is not by adding more empirical evidence, but giving plausible reasons as to where inefficiency arises and why it's not rational to arbitrage it away.

  20. Quantum Bohmian model for financial market

    Choustova, Olga Al.

    2007-01-01

    We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. The Hamiltonian formalism on the price/price-change phase space describes the classical-like evolution of prices. This classical dynamics of prices is determined by “hard” conditions (natural resources, industrial production, services and so on). These conditions are mathematically described by the classical financial potential V(q), where q=(q1,…,qn) is the vector of prices of various shares. But the information exchange and market psychology play important (and sometimes determining) role in price dynamics. We propose to describe such behavioral financial factors by using the pilot wave (Bohmian) model of quantum mechanics. The theory of financial behavioral waves takes into account the market psychology. The real trajectories of prices are determined (through the financial analogue of the second Newton law) by two financial potentials: classical-like V(q) (“hard” market conditions) and quantum-like U(q) (behavioral market conditions).

  1. Asymmetric information and financial markets

    Estrada, Fernando

    2012-01-01

    This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the complex area of financial crises. Specifically, we investigated the scope of the phenomenon of persuasion in advertising. It examines advertisements in publications notable economic movement in Colombia. The financial communication is important to distinguish how to run the models of behavior based on beliefs of agents. Consequently, investors' beliefs can also change systematicall...

  2. Degree of correlation inside a financial market

    Mantegna, Rosario Nunzio

    1997-05-01

    I present an empirical study of the correlations observed between pairs of time series of stock prices in the New York Stock Exchange. I verify that various degrees of correlations or anti-correlations are present inside a financial market and I study the time evolution of these correlations. I briefly discuss how these empirical observations might be consistent with the well accepted hypothesis of absence of arbitrage in an efficient financial market (i.e. that there is no way of extracting money from the market in a continuous way without risk).

  3. Financial derivatives in power marketing: The basics

    With the ongoing changes in the power industry worldwide, electricity is beginning to be traded like other commodities. The use of financial derivative instruments in power markets is on the rise. The purpose of this paper is to explain the role of these derivatives in risk management which is vital for survival in the increasingly competitive industry. Starting with the familiar cash markets, the paper discusses the basics of futures, options, and swap markets as applied to electric energy trading

  4. Regulation of Banking and Financial Markets

    Pacces, Alessio Maria; Heremans, Dirk

    2011-01-01

    Abstract: This paper is one chapter of the volume “Regulation and Economics” of the second edition of the Encyclopedia of Law and Economics. The authors review the economics of banking and financial markets and the regulatory response to market failure. Market failure in finance depends on problems of information and externalities. Regulation addresses these problems through conduct of business rules and prudential requirements. This approach has recently proved insufficient to prevent financ...

  5. Solvable Stochastic Dealer Models for Financial Markets

    Yamada, Kenta; Ito, Takatoshi; Takayasu, Misako

    2008-01-01

    We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects, the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which has recently been discovered in the study of market price modeling based on random walks.

  6. Determinants of Financial Stress in Emerging Market Economies

    Park, Cyn-Young; Mercado, Rogelio V.

    2013-01-01

    The global financial crisis of 2008-2009 illustrates how financial turmoil in advanced economies could trigger severe financial stress in emerging markets. Previous studies dealing with financial crises and contagion show the linkages through which financial stress are transmitted from advanced to emerging markets. This paper extends the existing literature on the use of financial stress index (FSI) in understanding the channels of financial transmission in emerging market economies. Using FS...

  7. Cohesiveness in Financial News and its Relation to Market Volatility

    Piškorec, Matija; Antulov-Fantulin, Nino; Kralj Novak, Petra; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc, Tomislav

    2014-01-01

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial docu...

  8. Investigating Contagion and Market Interdependence during the Global Financial Crisis

    Filip Iorgulescu

    2015-06-01

    Full Text Available This paper examines the roles played by market interdependence and contagion in the propagation of the 2007-2009 global financial crisis. For this purpose, five aggregate indices were employed, representing all the major financial markets from each geographical region. The data series are daily and they cover the period between 2002 and 2014. The presence of contagion and market interdependence was assessed by means of the values and value changes of the correlation coefficients between the ante crisis (2002-2007, the crisis (2007-2009 and the post crisis (2009-2014 intervals, as well as with the aid of a spillover index. The results indicate a high degree of interdependence between the global financial markets even before the occurrence of the crisis. On the other hand, there is evidence that the crisis spread through contagion mainly from the developed financial markets of Europe and North America to the emerging centers in Africa and Latin America while the markets from the Asia/Pacific region displayed lower correlations which may have given opportunities for the mitigation of losses. Moreover, since the majority of the correlation coefficients have not decreased significantly after the 2007-2009 period, it seems that the crisis intensified the degree of global financial integration.

  9. Review of quantum path integrals in fluctuating markets

    Bonnet, Frederic D. R.; Allison, Andrew G.; Abbott, Derek

    2004-03-01

    We review various techniques from engineering and physics applied to the theory of financial risks. We also explore at an introductory level how the quantum aspects of physics may be used to study the dynamics of financial markets. In particular we explore how the path integral methods may be used to study financial markets quantitatively.

  10. Scaling Exponents in Financial Markets

    Kim, Kyungsik; Kim, Cheol-Hyun; Kim, Soo Yong

    2007-03-01

    We study the dynamical behavior of four exchange rates in foreign exchange markets. A detrended fluctuation analysis (DFA) is applied to detect the long-range correlation embedded in the non-stationary time series. It is for our case found that there exists a persistent long-range correlation in volatilities, which implies the deviation from the efficient market hypothesis. Particularly, the crossover is shown to exist in the scaling behaviors of the volatilities.

  11. On Risks and Opportunities in Financial Markets

    Lansdorp, Simon

    2012-01-01

    Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different risk-measures in pricing U.S. stocks and find that investors dislike downside risk. In the second study, we show that conventional short-term reversal strategies exhibit dynamic exposures to systematic risks. Elim...

  12. The role of accounting in financial markets

    André Taue Saito; José Roberto Ferreira Savoia

    2009-01-01

    This paper discusses the relation between accounting and financial markets by showingthat the relevance of this relation is clearly stated by the different interests of managers,investors, shareholders, creditors, and the government, among other stakeholders due to thefact that it gives them updated and reliable information about the financial condition ofthe company. The study is supported by three pillars: relation between finance and theaccounting theory, evolution of the role played by pr...

  13. Opportunities in emerging Islamic financial markets

    H. ASKARI; Iqbal, Z

    1995-01-01

    There are more than one billion Muslims in the world and they account for roughly 5 per cent of the world's GNP. Some people estimate that Islamic banking will be responsible for managing up to 50 per cent of savings in the Islamic world within the next five to ten years. Recent developments in Islamic financial markets, including the participation of Western financial institutions, are surveyed.

  14. Cohesiveness in financial news and its relation to market volatility.

    Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Smuc, Tomislav

    2014-01-01

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets. PMID:24849598

  15. Financial methods in competitive electricity markets

    Deng, Shijie

    The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in pricing electricity financial instruments such as electricity forwards, options and cross-commodity derivatives. It is also essential for the analysis of financial risk management, asset valuation, and project financing. In the setting of diffusion processes with multiple types of jumps, I examine three mean-reversion models for modeling the electricity spot prices. I impose some structure on the coefficients of the diffusion processes, which allows me to easily compute the prices of contingent claims (or, financial instruments) on electricity by Fourier methods. I derive the pricing formulas for various electricity derivatives and examine how the prices vary with different modeling assumptions. I demonstrate a couple of risk management applications of the electricity financial instruments. I also construct a real options approach to value electric power generation and transmission assets both with and without accounting for the operating characteristics of the assets. The implications of the mean-reversion jump-diffusion models on financial risk management and real asset valuation in competitive electricity markets are illustrated. With a discrete trinomial lattice modeling the underlying commodity prices, I estimate the effects of operational characteristics on the asset valuation by means of numerical examples that incorporate these aspects using stochastic dynamic programming. (Abstract shortened by UMI.)

  16. Global financial crisis and return of South Asian Gulf migrants: patterns and determinants of their integration to local labour markets

    Abraham, Vinoj; Rajan, Irudaya S

    2011-01-01

    Studies record that a large number of South Asian migrant workers in the Middle–East had to return to their home countries owing to the global financial crisis and loss of jobs. However, their distress of loss of job in the gulf is compounded by the fact that in their own home countries the rehabilitation and reintegration of these workers is tedious and often the returnees are thrust with forced choices. This paper, based on a primary survey conducted in five south Asian countries, namely; N...

  17. Modelling systemic risk in financial markets

    Ugolini, Andrea

    2014-01-01

    This dissertation provides a study on systemic risk in financial markets; it is laid out as follows. Chapter 1 provides a survey of the quantitative measure of systemic risk in the economics and finance literature. In Chapter 2 examine, using conditional VaR (CoVaR), the systemic risk generated by major Spanish financial institutions in the recent global financial crisis and the European sovereign debt crisis as a systemic risk measure. CoVaR was quantified using quantile regression, multivar...

  18. Ukraine Financial Markets - The Analysis of Financial Frauds

    Melnychuk, Oleksandr

    2012-01-01

    Ukraine is quite new country, which faces early stages of its development. The financial market of the country has passed through different and challenging times for these 20 years and still has to choose several essential factors for the further development. The existence of financial frauds in Ukraine could be explained by lack of knowledge and information in the country as well as low level of trust to the government. The case of JSC "MMM" and Mr. Mavrodi is the best well-known example of ...

  19. International Trade and Financial Integration : a Weighted Network Analysis

    Fagiolo, Giorgio; Reyes, Javier; Schiavo, Stefano

    2007-01-01

    In this paper we compare the degree and patterns of trade and financial integration exploiting network analysis. We start from a simple binary analysis and then move to a more appropriate weighted approach, presenting a detailed overview of international goods and financial markets integration, and compare their main characteristics. Moving from binary to weighted analysis changes considerably the properties of the networks, and with them the picture of the integration process. Limiting to a ...

  20. Behavioral Effects in Financial Markets

    Lutz, Chandler

    2011-01-01

    We develop sentiment indexes to study the relationship between sentiment and stock returns. For the first index, we use only market return data; for the second, we use traditional indicators including the closed-end fund discount, NYSE share turnover, and the equity-share of new issues. In sample we find that rising sentiment leads to rising returns and lower risk. We also show that sentiment cycles lead bear markets. In a forecasting exercise we develop two-stage model averaging (2SMA). ...

  1. Temporal evolution of financial-market correlations

    Fenn, Daniel J.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Johnson, Neil F.; Jones, Nick S.

    2011-08-01

    We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007-2008 credit and liquidity crisis.

  2. Temporal Evolution of Financial Market Correlations

    Fenn, Daniel J; Williams, Stacy; McDonald, Mark; Johnson, Neil F; Jones, Nick S

    2010-01-01

    We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We then characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007--2008 credit and liquidity crisis.

  3. A quantitative description for efficient financial markets

    Immonen, Eero

    2015-09-01

    In this article we develop a control system model for describing efficient financial markets. We define the efficiency of a financial market in quantitative terms by robust asymptotic price-value equality in this model. By invoking the Internal Model Principle of robust output regulation theory we then show that under No Bubble Conditions, in the proposed model, the market is efficient if and only if the following conditions hold true: (1) the traders, as a group, can identify any mispricing in asset value (even if no one single trader can do it accurately), and (2) the traders, as a group, incorporate an internal model of the value process (again, even if no one single trader knows it). This main result of the article, which deliberately avoids the requirement for investor rationality, demonstrates, in quantitative terms, that the more transparent the markets are, the more efficient they are. An extensive example is provided to illustrate the theoretical development.

  4. Integrated Marketing Communications

    Black, Jim

    2004-01-01

    Integration has become a cliche in enrollment management and student services circles. The term is used to describe everything from integrated marketing to seamless services. Often, it defines organizational structures, processes, student information systems, and even communities. In Robert Sevier's article in this issue of "College and

  5. Essays on banking and financial markets

    Hilberg, Björn (Dr.)

    2012-01-01

    In this thesis the behavior of banks in financial markets which banks frequently use to obtain short-term as well as long-term financing is studied. In the first chapter we incorporate an interbank market for collateralized lending among banks into a dynamic, stochastic, general equilibrium (DSGE) framework to analyze the impact of variations in the expected value of the collateral on the interbank lending volume. We find that a central bank which decides to lower the haircut on eligible coll...

  6. Perturbative Approach on Financial Markets

    Scotti, Simone

    2008-01-01

    We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging procedures in order to perturbate parameters and stochastic processes, in the case of a volatility parameter fixed but uncertain for traders; we call this model Perturbed Black Scholes (PBS) Model. We show that this model can reproduce at the same time a smile effect and a bid-ask spread; we exhibit the volatility function associated to the local-volatility model equivalent to PBS model when vanilla options are concerned. Lastly, we present a connection between Error Theory using Dirichlet Forms and Utility Function Theory.

  7. Rethinking Consumer Protection Policy in Financial Markets

    Liran Haim

    2013-10-01

    Full Text Available Normal 0 false false false EN-US JA HE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:Calibri; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-language:HE;} Financial products for consumers usually are characterized by complexity and incomprehensibility. Consumers typically find themselves defeated when attempting to control their financial destiny by understanding these products. This Article explores the economic and social factors that lead to this reality, analyzes its highly negative private and social ramifications and proposes an appropriate policy response. I argue that the current market structure creates a reality in which financial institutions are motivated to produce complex financial products for consumers in order to maximize their profits. This market structure, combined with inadequate policy, induces inefficiency by allocating the comprehension costs of financial products to the consumer.   My thesis is that a fundamental change in risk allocation policy will steer the market toward consumer comprehension of financial products and, therefore, will reduce private and social costs, increase consumer trust in financial institutions and promote social cohesion. I propose a new default liability rule under which financial institutions would be required to introduce internal procedures and mechanisms to ensure product comprehension among all of their consumers. To encourage maximum compliance with my proposal, I suggest implementing a reputation-based incentives method that would require every financial institution branch to publicly post a service quality ranking assigned by the regulator. I also support a trust-oriented licensing policy that would encourage the inclusion of new trustworthy financial institutions in the market and offer the implementation of a new regime for supervising financial product contract terms.                 

  8. News Cohesiveness: an Indicator of Systemic Risk in Financial Markets

    Piškorec, Matija; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc, Tomislav

    2014-01-01

    Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We propose a novel measure of collective behaviour in financial news on the Web, News Cohesiveness Index (NCI), and show that it can be used as a systemic risk indicator. We evaluate the NCI on financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and financially related news. We hypothesized that strong cohesion in financial news reflects movements in the financial markets. Cohesiveness is more general and robust measure of systemic risk expressed in news, than measures based on simple occurrences of specific terms. Our results indicate that cohesiveness in the financial news is highly correlated with and driven by volatility on the financial markets.

  9. Financial Policies and the Prevention of Financial Crises in Emerging Market Economies

    Mishkin, Frederic S.

    2001-01-01

    The author defines a financial crisis as a disruption in financial markets in which adverse selection and moral hazard problems become much worse, so that financial markets are unable to efficiently channel funds to those who have the most productive investment opportunities. As financial markets become unable to function efficiently, economic activity sharply contracts. Factors that promote ...

  10. Rough paths in idealized financial markets

    Vovk, Vladimir

    2010-01-01

    This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.

  11. Statistics of financial markets an introduction

    Franke, Jürgen; Hafner, Christian Matthias

    2015-01-01

    Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de

  12. The statistical mechanics of financial markets

    Voit, Johannes

    2003-01-01

    From the reviews of the first edition - "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the reader’s understanding of what may be a plethora of new terms and ideas… [This is] an excellent starting point for the physicist interested in the subject. Some of the book’s strongest features are its careful definitions, its detailed examples, and the connection it establishes to physical systems." PHYSICS TODAY "This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This highly-praised introductory treatment describes parallels between statistical physics and finance - both thos...

  13. Moods Modelling on the Financial Markets

    Vácha, Lukáš; Vošvrda, Miloslav

    Ostrava : Technical University of Ostrava, 2007, s. 1-7. ISBN 978-80-248-1457-5; ISBN 978-80-248-1458-2. [Mathematical Methods in Economics. Ostrava (CZ), 04.09.2007-06.09.2007] R&D Projects: GA ČR GD402/03/H057; GA ČR(CZ) GA402/06/1417 Institutional research plan: CEZ:AV0Z10750506 Keywords : efficient market s hypothesis * fractal market hypothesis * mood on the financial market Subject RIV: AH - Economics

  14. The Financial Crisis: A Wake-Up Call for Strengthening Regional Monitoring of Financial Markets and Regional Coordination of Financial Sector Policies?

    Winkler, Adalbert

    2010-01-01

    How much can regional monitoring of financial markets and coordination of financial sector policies contribute to preventing and mitigating financial crises? This paper reviews and compares the experiences of Europe and Asia, which have taken different routes and have achieved different levels of regional financial integration. The analysis suggests that the harmonization and coordination of regulation and supervision, with a strong focus on maturity and currency mismatch problems, would cons...

  15. Heterogeneous patterns of financial development: Implications for Asian financial integration

    Bun, Linh; Singh, Nirvikar

    2015-01-01

    This paper analyzes detailed differences in patterns of financial development across the major Asian economies, including three of the region's largest economies (China, Japan and South Korea), to understand how these differences might affect possibilities for greater regional financial integration. In particular, the paper argues that heterogeneous patterns of financial development, and not just differences in levels of financial development, may present an economic challenge to regional fin...

  16. The role of accounting in financial markets

    Andr Taue Saito

    2009-12-01

    Full Text Available This paper discusses the relation between accounting and financial markets by showingthat the relevance of this relation is clearly stated by the different interests of managers,investors, shareholders, creditors, and the government, among other stakeholders due to thefact that it gives them updated and reliable information about the financial condition ofthe company. The study is supported by three pillars: relation between finance and theaccounting theory, evolution of the role played by professionals in this area; and theimportance of the impact of the accounting information for the economic agents. Theresults suggest that stakeholders demand different financial information in order to assesscompany performance. This work contributes by highlighting that accounting must considerthe different needs of stakeholders and not solely financial metrics of profitability.

  17. Financial Policies and the Prevention of Financial Crises in Emerging Market Countries

    Mishkin, Frederic S.

    2001-01-01

    This paper outlines a set of financial policies that can help make financial crises less likely in emerging market countries. To justify these policies, the paper first explains what a financial crisis is, the factors that promote a financial crisis and the dynamics of a financial crisis. It then examines twelve basic areas of financial policies to prevent financial crises: 1) prudential supervision, 2) accounting and disclosure requirements, 3) legal and judicial systems, 4) market-based dis...

  18. Liquidity, banks, and markets : effects of financial development on banks and the maturity of financial claims

    Douglas W. Diamond

    1996-01-01

    Financial markets and financial institutions compete to provide investors with liquidity. The author examines the roles of banks and markets when both are active, characterizing how development of the financial markets affects the structure and market share of banks. Banks create liquidity by offering claims with a higher short-term return than exist without a banking system. The amount of liquidity that banks offer depends on the degree of direct participation in financial markets - that is,...

  19. An Analysis of Indian Financial Derivatives Market and its Position in Global Financial Derivatives Market

    Bhagwat, Dr. Shree; Omre, Ritesh; Chand, Deepak

    2012-01-01

    The past decade has witnessed the multiple growth in the volume of international trade and business due to the wave of globalization and liberalization all over the world. As a result, the demand for the international money and financial instruments increased significantly at the global level. In this respect, change in exchange rates, interest rates and stock prices of different financial markets have increased the financial risk to the corporate world. Adverse changes have even threatened t...

  20. Fractional integration and cointegration in US financial time series data

    Caporale, Guglielmo Maria; Gil-Alana, Luis A.

    2014-01-01

    This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between financial se...

  1. News Cohesiveness: an Indicator of Systemic Risk in Financial Markets

    Matija Pi\\v{s}korec; Nino Antulov-Fantulin; Petra Kralj Novak; Igor Mozeti\\v{c}; Miha Gr\\v{c}ar; Irena Vodenska; Tomislav \\v{S}muc

    2014-01-01

    Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We propose a novel measure of collective behaviour in financial news on the Web, News Cohesiveness Index (NCI), and show that it can be used as a systemic risk indicator. We evaluate the NCI on financial documents from large Web news sources on a daily basis fr...

  2. Financial markets: the recent experience of a developing economy

    ADAM, MUSTAFA HASSAN MOHAMMAD

    2009-01-01

    The financial sector plays a crucial role in economic growth; it allows an efficient transfer of resources from those who save to those who invest. This sector comprises financial institutions, markets and instruments. This study highlights the fact that change has always been the hallmark of financial markets and the regulatory board of the Sudanese financial market. The Sudanese capital market, although an infant, could follow the route of other well-established capital marke...

  3. Financial Symmetry and Moods in the Market

    Savona, Roberto; Soumare, Maxence; Andersen, Jørgen Vitting

    2015-01-01

    This paper studies how certain speculative transitions in financial markets can be ascribed to a symmetry break that happens in the collective decision making. Investors are assumed to be bounded rational, using a limited set of information including past price history and expectation on future dividends. Investment strategies are dynamically changed based on realized returns within a game theoretical scheme with Nash equilibria. In such a setting, markets behave as complex systems whose payoff reflect an intrinsic financial symmetry that guarantees equilibrium in price dynamics (fundamentalist state) until the symmetry is broken leading to bubble or anti-bubble scenarios (speculative state). We model such two-phase transition in a micro-to-macro scheme through a Ginzburg-Landau-based power expansion leading to a market temperature parameter which modulates the state transitions in the market. Via simulations we prove that transitions in the market price dynamics can be phenomenologically explained by the number of traders, the number of strategies and amount of information used by agents, all included in our market temperature parameter. PMID:25856392

  4. Adaptive Control Applied to Financial Market Data

    Šindelář, Jan; Kárný, Miroslav

    Vol. I. Praha : Matfyz press, 2007, s. 1-6. ISBN 978-80-7378-023-4. [Week of Doctoral Students 2007. Praha (CZ), 05.06.2007-08.06.2007] R&D Projects: GA MŠk(CZ) 2C06001 Institutional research plan: CEZ:AV0Z10750506 Keywords : baysian statistics * finance * financial engineering * stochastic control Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2007/si/sindelar-adaptive control applied to financial market data.pdf

  5. Network Topologies of Financial Market During the Global Financial Crisis

    Nobi, Ashadun; Ha, Gyeong Gyun; Lee, Jae Woo

    2013-01-01

    We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks generate from the fully connected correlation network by using the cross-correlation coefficients among the stock price time series of the companies. We generate the threshold networks (TN), the minimal spanning tees (MST), and the hierarchical network (HN) from the fully connected cross-correlation networks. By assigning a threshold value of the cross-correlation coefficient, we obtain the threshold networks. We observe the power law of the degree distribution in the limited range of the threshold. The degree distribution of the largest cluster in the threshold networks during the crisis is fatter than other periods. The clustering coefficient of the threshold networks follows the power law in the...

  6. Canonical momenta indicators of financial markets and neocortical EEG

    Ingber, L

    1996-01-01

    A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a recursive ASA optimization process to tune trading rules. These trading rules are then used on out-of-sample data, to demonstrate that they can profit from the SMFM model, to illustrate that these markets are likely not efficient. This methodology can be extended to other systems, e.g., electroencephalography. This approach to complex systems emphasizes the utility of blending an intuitive and powerful mathematical-physics formalism to generate indicators which are used by AI-type rule-based models of management.

  7. Quantifying Stock Return Distributions in Financial Markets.

    Botta, Federico; Moat, Helen Susannah; Stanley, H Eugene; Preis, Tobias

    2015-01-01

    Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales. PMID:26327593

  8. Study of Stylized Facts in Indian Financial Markets

    Chitrakalpa Sen

    2011-01-01

    Full Text Available Stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets have attracted the attention of researchers since a long time. These are a set of properties, common across many instruments, markets and time periods that has been observed by independent studies. The objective of this research is to study stylized facts of financial time series by using data from the Indian financial market. BSE SENSEX is used as a proxy for the Indian market. Particular stress is given to the study of volatility using different models from the GARCH School including GARCH, EGARCH, TARCH, Asymmetric Component GARCH etc. The raw SENSEX daily return series are found to be non-normal having fat tails, show significant amount of asymmetry and exhibit strong volatility persistence as well as volatility clustering. This study also examines the possibility of long-term dependence (long memory in Absolute SENSEX daily return series. Rescaled range analysis, modified rescaled range analysis and GPH test are used for this purpose. The results indicate presence of long memory and also show the series to be fractionally integrated. The findings obtained are in broad agreement with the stylized facts observed in financial time series.

  9. Design and Factors Affecting State Supervision of the Financial Market

    Miros?aw Je?owski

    2015-03-01

    Full Text Available Purpose: The purpose of the paper is to identify the factors that affect the development of the models of financial market state supervision and to identify the factors that have influenced the evolution of the supervision model in Poland. Methodology: critical analysis of literature, legal provisions and documents. Findings: The completely integrated and the fully dispersed model of supervision are located at the opposite ends of the spectrum. A variety of the hybrid models can be identified between them. Factors that affect supervision organization are both economic and non-economic. Factors that have influenced the Polish model of supervision include political aspects, administration costs and, in due course, also the development of the financial market. Research implications: The variety of state supervision structures, combined with the ambiguity and multiplicity of factors that affect their evolution create a new research challenge. Significant problems in accessing documents have been identified. Originality: The author presents an overview of models of state supervision of financial markets and factors affecting the evolution and structure of supervision. Conclusions drawn from the analysis were used to identify factors that influence the evolution and supervision of the Polish financial market.

  10. Can Credit Ratings Create Value for the Icelandic Financial Market?

    Sveinn Héðinsson 1986

    2015-01-01

    Credit ratings are considered an important part of today’s financial markets and contribute to increased investor protection, market efficiency and transparency in the market. While ratings have come under criticism for the role they played in the financial crisis in 2008, their presence in modern financial markets is still considered important. Ratings have a short history in Iceland and their use is not highly established among market participants. This thesis examines whether any potential...

  11. On Financial Markets Based on Telegraph Processes

    Ratanov, Nikita

    2007-01-01

    The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black-Scholes fundamental differential equation is derived, but, in contrast with the Black-Scholes model, this equation is hyperbolic. Explicit formulas for prices of European options are obtained using perfect and quantile hedging.

  12. Agent-based models of financial markets

    Samanidou, E.; Zschischang, E.; Stauffer, D.; Lux, T.

    2007-03-01

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont-Bouchaud, Solomon-Levy-Huang and Lux-Marchesi models. Open research questions are discussed in our concluding section.

  13. Agent-based models of financial markets

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont-Bouchaud, Solomon-Levy-Huang and Lux-Marchesi models. Open research questions are discussed in our concluding section

  14. Integration of European Bond Markets

    Christiansen, Charlotte

    2014-01-01

    I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU memb......I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non...

  15. Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints

    Gordan Zitkovic

    2007-01-01

    Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints.We deal with random endowment density streams which admit jumps and general time-dependent utility functions on which only regularity conditions are imposed. As an integral part of the proof of the main result, we establish a novel characterizati...

  16. Financial integration and financial development in transition economies: What happens during financial crises?

    Igor Masten

    2011-12-01

    Full Text Available

    This paper provides an empirical analysis of the role of financial development and financial integration in the growth dynamics of transition countries. We focus on the role of financial integration in determining the impact of financial development on growth, distinguishing normal times from periods of financial crises. In addition to confirming the significant positive effect on growth exerted by financial development and financial integration, our estimates show that a higher degree of financial openness tends to reduce the contractionary effect of financial crises, by cushioning the effect on the domestic supply of credit. Consequently, the high reliance on international capital flows by transition countries does not necessarily increase their financial fragility. This implies that financial protectionism is a self-defeating policy, at least for transition countries.

  17. Financial Market Supervision and its position in the System of Financial Law

    Janovec Michal

    2015-01-01

    This paper analyzes the position of financial market supervision in the financial law. Provides for a system of financial law, in which puts precisely financial market supervision, as a specific area of non-fiscal part of financial law and also sets out the objectives and tasks of supervision itself. "This is a targeted publication on the one topic (Financial Law). It has been requested for inclusion in WOS."

  18. Statistical Process Control in Financial Markets

    Besalduch Martín, Borja

    2008-01-01

    This Master’s Thesis consists of the definition, identification and calculation of several tools of Statistical Process Control applied to trading/investment systems. As Benjamin Van Vliet described in his book Quality Money Management: “a trading/investment system consists of the interacting position selection and execution algorithms, that is, the rules and business logic necessary to enter into and exit from positions in the financial markets, as well as the technology required to parti...

  19. Essays in Comovement of Financial Markets

    Mathias, Charles

    2012-01-01

    Comovement is ubiquitous in financial markets. The evolution of asset characteristics, such as price, volatility or liquidity, exhibits a high degree of correlation across assets---a phenomenon that in this thesis will generically be denoted with the term comovement. The origins of such comovement are legion. In their investment decisions, economic agents are not only influenced by their idiosyncrasies---a large part of investment motivations are shared over a population. Demographics or the ...

  20. Essays in comovement of financial markets.

    Mathias, Charles

    2012-01-01

    Comovement is ubiquitous in financial markets. The evolution of asset characteristics, such as price, volatility or liquidity, exhibits a high degree of correlation across assets---a phenomenon that in this thesis will generically be denoted with the term comovement. The origins of suchcomovement are legion. In their investment decisions, economic agents are not only influenced by their idiosyncrasies---a large part of investment motivations are shared over a population. Demographics or the p...

  1. Rethinking risk in international financial markets

    Campbell-Pownall, Rachel

    2001-01-01

    This thesis aims to address many of the issues raised concerning the appropriate definition and measurement of risk. An alternative approach to the estimation of risk, and the risk-return trade-off in international financial markets is investigated. Rather than focusing on the deviation of returns as the appropriate measure for risk, the more relevant negative domain when defining risk is focused upon. The notion of downside risk is applied as a more appropriate measure for risk. The focus is...

  2. Adaptive Control Applied to Financial Market Data

    Šindelář, Jan; Kárný, Miroslav

    Strasbourg cedex : European Science Foundation, 2007, s. 1-6. [Advanced Mathematical Methods for Finance. Vídeň (AT), 17.09.2007-22.09.2007] R&D Projects: GA MŠk(CZ) 2C06001 Institutional research plan: CEZ:AV0Z10750506 Keywords : bayesian statistics * portfolio optimization * finance * adaptive control Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2007/si/sindelar-adaptive control applied to financial market data.pdf

  3. Introduction to convex optimization in financial markets

    Pennanen, Teemu

    2012-01-01

    Convexity arises quite naturally in financial risk management. In risk preferences concerning random cash-flows, convexity corresponds to the fundamental diversification principle. Convexity is a basic property also of budget constraints both in classical linear models as well as in more realistic models with transaction costs and constraints. Moreover, modern securities markets are based on trading protocols that result in convex trading costs. The first part of this paper gives an intr...

  4. Mediating markets: financial news media and reputation risk management

    Masie, Desné Rentia

    2014-01-01

    The increase of interest in financial culture following the financial crisis, which started in 2008, as well as the proliferation of financial data, have sparked an emerging research agenda into the role of financial news media. Moreover, financial news media is an important research topic in finance because information released through the media has a wider audience than other information intermediating systems in the financial market. This thesis defines the financial journal...

  5. Agent-based Models of Financial Markets

    Samanidou, E; Stauffer, D; Lux, T

    2008-01-01

    This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective ...

  6. A Financial Market Model Incorporating Herd Behaviour

    2016-01-01

    Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option. PMID:27007236

  7. A Financial Market Model Incorporating Herd Behaviour.

    Wray, Christopher M; Bishop, Steven R

    2016-01-01

    Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option. PMID:27007236

  8. Intermediaries, Financial Markets and Growth: Some more International Evidence

    Afonso, António; Ferreira, Raquel; Freitas, Edmund; Nóbrega, Celso; Pinheiro, José

    2003-01-01

    We examine how financial institutions affect growth, taking into the account the organisational features of the financial system namely systems characterised by strong financial intermediaries and systems where the financial markets assume a more important role. We use a panel of 24 developed and developing countries over the 70s, 80s and 90s, to evaluate the existence of possible links between the type of preponderant financial system (bank-based or more capital markets based) and economic g...

  9. Uncertainty in an Interconnected Financial System, Contagion, and Market Freezes

    Li, Mei; Milne, Frank; Qui, Junfeng

    2013-01-01

    This paper studies contagion and market freezes caused by uncertainty in financial network structures and provides theoretical guidance for central banks. We establish a formal model to demonstrate that, in a financial system where financial institutions are interconnected, a negative shock to an individual financial institution could spread to other institutions, causing market freezes because of creditors’ uncertainty about the financial network structure. Central bank policies to allevia...

  10. Inefficiency of competitive equilibrium with hidden action and financial markets.

    Panaccione, Luca

    2006-01-01

    In this paper, we study a pure exchange economy with idiosyncratic uncertainty, hidden action and multiple consumption goods. We consider two different market structures: contingent markets on the one hand, and financial and spot markets on the other hand. We propose a competitive equilibrium concept for each market structure. We show that the equilibrium with contin- gent markets is efficient in an appropriate sense, while the equilibrium with financial and spot markets is inefficie...

  11. International market integration and market interdependence: evidence from China's stock market in the post-WTO accession period

    HE, HONGBO

    2012-01-01

    The Chinese government has implemented a series of financial liberalisation policies in stock market after China’s accession into the WTO in 2001. However, it remains somewhat unclear whether and to what extent China’s financial liberalisation has influenced its stock market in the post-WTO accession period. This thesis examines this issue from the perspectives of international market integration and market interdependence. This thesis mainly includes three empirical studies: 1) gauging the d...

  12. Fragmentation in European Financial Markets: Measures, Determinants, and Policy Solutions

    Maria Abascal; Tatiana Alonso; Sergio Mayordomo

    2013-01-01

    This paper measures fragmentation in four European financial markets (interbank, sovereign debt, equity, and the CDS market for financial institutions) and develops a new measure of global fragmentation using these markets as inputs. We find that, during the recent crisis, fragmentation in the interbank market has been, on average, higher in the peripheral countries than in the core ones and it has increased particularly during periods of financial stress. Among the most significant factors t...

  13. Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

    El GHINI, Ahmed; Saidi, Youssef

    2013-01-01

    In this paper, we aim at the study of the contagion of the global financial crisis (2007-2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and U.S. mar...

  14. A brief essay on the financialization of agricultural commodity markets

    Girardi, Daniele

    2012-01-01

    During the 2000s agricultural commodity derivatives markets were flooded by a “wall of money” coming from financial investors. In this essay I outline the main facts about the increasing presence and impact of financial investors in agricultural commodity markets and I discuss the main empirical works that tried to assess whether financial investors have affected agricultural prices in recent years.

  15. ECONOMIC-LAW COLLISIONS IN FINANCIAL MARKETS RESEARCH

    S. Naumenkova

    2013-11-01

    Full Text Available In the article different approaches in interpretation of the notion “financial market” itself, in investigating its functions and instruments are analyzed. The author shows specific usage of particular instruments of financial markets in different countries, draws a conclusion about growth of significance of instrumental structure of financial market for the Russian Federation.

  16. FINANCIAL MARKET OF AZERBAIJAN: CURRENT CONDITION AND FUTURE PERSPECTIVES

    R. Guliyev

    2014-01-01

    Full Text Available This article discusses the economic model of Azerbaijan. Main components of the financial market are being analyzed: state budget, state oil fund, banking system, foreign debt and etc. This article assesses the impact of the global financial crisis on the national economy. Moreover, future development perspectives of the financial market and the economy are being examined as well.

  17. Quantifying meta-correlations in financial markets

    Kenett, Dror Y.; Preis, Tobias; Gur-Gershgoren, Gitit; Ben-Jacob, Eshel

    2012-08-01

    Financial markets are modular multi-level systems, in which the relationships between the individual components are not constant in time. Sudden changes in these relationships significantly affect the stability of the entire system, and vice versa. Our analysis is based on historical daily closing prices of the 30 components of the Dow Jones Industrial Average (DJIA) from March 15th, 1939 until December 31st, 2010. We quantify the correlation among these components by determining Pearson correlation coefficients, to investigate whether mean correlation of the entire portfolio can be used as a precursor for changes in the index return. To this end, we quantify the meta-correlation - the correlation of mean correlation and index return. We find that changes in index returns are significantly correlated with changes in mean correlation. Furthermore, we study the relationship between the index return and correlation volatility - the standard deviation of correlations for a given time interval. This parameter provides further evidence of the effect of the index on market correlations and their fluctuations. Our empirical findings provide new information and quantification of the index leverage effect, and have implications to risk management, portfolio optimization, and to the increased stability of financial markets.

  18. Volatility in financial markets: The impact of the global financial crisis

    Valls Ruiz, Natàlia

    2014-01-01

    This dissertation focuses on volatility in financial markets, with a special concern for: (i) volatility transmission between different financial markets and asset categories and, (ii) the effect of macroeconomic announcements on the returns, volatility and correlation of stock markets. These issues are analysed taking into account the phenomenon of asymmetric volatility and incorporating the period of financial turmoil caused by the Global Financial Crisis. The study focuses the attention on...

  19. The stability of financial market networks

    Yan, Xin-Guo; Xie, Chi; Wang, Gang-Jin

    2014-08-01

    We investigate the stability of a financial market network by measuring its topological robustness, namely the ability of the network to resist structural or topological changes. The closing prices of 710 stocks in the Shanghai Stock Exchange (SSE) from 2005 to 2011 are chosen as the empirical data. We divide the period into three sub-periods: before, during, and after the US sub-prime crisis. By monitoring the size of the clusters which fall apart from the network after removing the nodes (i.e., the listed companies in the SSE), we find that: i) the SSE network is sensitive to the nodes' failure, which implies that the network is unstable. ii) the SSE network before the financial crisis has the strongest robustness against the intentional topological damage; iii) the hubs (i.e., highly connected nodes) connect with each other directly and play a vital important role in maintaining SSE network's stability.

  20. European corporate bond market integration: lessons from EMU

    AVADANEI Andreea

    2010-01-01

    Abstract: The scope of this article is to point out the features of European corporate bond market, in particular its development since the euro introduction. We structured our paper on chapters that present its economic importance, the implications of the common currency in respect to its growth and the level of integration in the present context. This market, including the debt securities issued by non-financial corporations, non-monetary financial corporations and monetary financial instit...

  1. International Financial Integration and Crisis Contagion

    Michael B. Devereux; Changhua Yu

    2014-01-01

    International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints. Collateral constraints bind occasionally, depending upon the state of the economy and levels of inherited debt. The analysis allows for different degrees of financial integration, moving from financial autarky...

  2. MARKETING MIX IN FINANCIAL INVESTMENT SERVICES COMPANIES

    Ioana Ancuța IANCU

    2016-05-01

    Full Text Available Given that services of Financial Investment Services Companies can be very similar (described by law, it's very important that they be distinguished by certain elements from competitors, thereby gaining market share. How can they do that? By adding value for customers. International literature offers views on creating competitive advantage considering the elements of the Marketing Mix: product, price, placement, promotion, personnel, process and physical evidence. From our experience in brokerage business, but also from our research in this field, we conclude that product and prices policies should be considered in periods of economic growth and stagnation. If in times of crisis we find no significant differences between companies (regardless of the number of products or the fees they have, in a stabilized economy, precisely this policies makes the difference between competitors.

  3. Non-bank Financial Institutions and Capital Markets in Turkey

    World Bank

    2003-01-01

    This study analyses the state of development, and prospects of future growth of Turkish non-bank financial institutions, and capital markets. Currently, credit markets in Turkey are dominated by banking, and capital markets are dominated by Government securities. Longstanding macro-economic instability, and inflation have discouraged investment in financial assets, and crowded out funding ...

  4. Threat, Intimidation, and Student Financial Market Knowledge: An Empirical Study

    Ford, Matthew W.; Devoto, Steve; Kent, Daniel W.; Harrison, Todd

    2007-01-01

    Threat emanating from financial markets may intimidate college students to some degree. In this article, the authors considered the influence of such intimidation on student financial market knowledge. They hypothesized a negative relationship between intimidation and market knowledge. An empirical study of over 150 undergraduate business school…

  5. Taxing the Financially Integrated Multinational Firm

    Johannesen, Niels

    This paper develops a theoretical model of corporate taxation in the presence of financially integrated multinational firms. Under the assumption that multinational firms at least partly use internal loans to finance foreign investment, we find that the optimal corporate tax rate is positive from...... the perspective of a small, open economy. This finding contrasts the standard result that the optimal source based capital tax is zero. Intuitively, to the extent that multinational firms finance investment in country i with loans from affiliates in country j, the burden of corporate taxes in the...... latter country partly fall on investment and thus workers in the former country. This tax exporting mechanism introduces a scope for corporate taxes, which is not present in standard models of international taxation. Accounting for the internal capital markets of multinational firms thus represents a way...

  6. THE VOLATILITY OF THE FINANCIAL MARKET A QUANTITATIVE APPROACH

    Mester Ioana Teodora

    2008-05-01

    Full Text Available During the last years, the financial markets have been subject to significant fluctuations of their financial actives. These spectacular movements have revived the interest, in the academic circles and policy makers and regulation and control authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock exchange chocks have significant effects on the financial stability and they can lead to serious consequences in the real economy.

  7. Japan?s Financial Markets: The Lost Decade

    Reszat, Beate

    2003-01-01

    Recent debates about the state of Japan's financial system focus on the weakness of Japanese banks. But, in the complex financial relations of an advanced economy bank finance cannot be seen separate from other forms of financial intermediation. Despite the reform efforts under the Big Bang program, financial markets in Japan show severe signs of malfunctioning, distortion and backwardness. The paper gives an overview of the current state of markets for money, bonds, equities and derivatives ...

  8. Incomplete Financial Markets and Jumps in Asset Prices

    Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

    A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are...... incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

  9. DEVELOPMENT OF NONBANKING FINANCIAL MARKET THROUGH FISCAL INCENTIVES: ALBANIAN CASE

    Flora Musta; Gentiana Sharku

    2011-01-01

    An efficient financial market in any economy stimulates the economic growth through mobilizing the savings and promoting the investments. The Albanian economy has passed through a long period of transition which means a transformation of all the financial market and institutions. But not all the financial institutions are uniformly developed. Actually more attention is given to the transformation and development of the banking industry and less to the non-banking markets i.e. insurance, pensi...

  10. Basic trends of the global financial market development

    Luchian Ivan

    2013-01-01

    Full Text Available The world (global financial market is designated for the exchange of capital and credit, including currency and foreign exchange markets. Ensuring freedom of movement of capital internationally, it is an important condition for the functioning of the world economy. The world (global financial market is a system of relations of supply and demand on the financial capital, which operates in the international arena as the purchase and payment facilities, credit, investment resources. This article is concerned to demonstrate main directions and tendencies of development of global financial market

  11. An index of financial market stress for the United Kingdom

    Shaen Corbet; Cian Twomey

    2014-01-01

    We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions. Our results present clear evidence that the Bank of England’s swift and decisive actions stemmed financial market stress as measured by the stress index.

  12. Developing regional financial markets – the case of East Asia

    Pomerleano, Michael

    2008-01-01

    "The paper explores the extent and benefits of financial integration in East Asia. It presents evidence that the extent of financial integration in East Asia is less extensive than the aggregate data suggests. The paper then addresses why some countries are integrated more than others and discusses the obstacles to regional financial integration. The paper points out that East Asia’s growth strategy has shaped bank centric financial systems. An important thesis presented in the...

  13. The Interaction between Market Sentiments in the U.S. Financial Market and Global Equity Market

    Huijian Dong; Xiaomin Guo

    2014-01-01

    This paper adopts the volatility index and Baker-Wurgler index as the U.S. financial market sentiment measures. Using monthly data from June 1965 to December 2010, we identify the causal relationships between sentiment and the performance of global equity markets. We include 23 G20 market indices, 28 European indices, 25 Asia-Pacific indices, and 10 Americas indices, and employ Granger causality procedure to explore the linkages. We find that the international equity markets are not greatly a...

  14. The Effects of International Financial Integration in a Model with Heterogeneous Firms and Credit Frictions

    Heinemann, Maik; Clemens, Christiane

    2010-01-01

    This paper examines the consequences of international financial integration in a two–sector heterogeneous–agent dynamic general equilibrium model of occupational choice with financial constraints and idiosyncratic risks. We discuss the macroeconomic and distributional effects of financial market integration for small economies which differ only with respect to the tightness of constraints on the domestic credit market. The results contribute to an explanation for the ‘Lucas paradox’, i.e. ...

  15. Financial Innovation and Current Trends in U.S. Financial Markets

    Mishkin, Frederic S.

    1990-01-01

    This paper discusses recent developments in U.S. financial markets and provides an economic analysis of why various recent financial innovations have occurred. This will not only provide us with s better understanding of existing financial markets in the United States and why they have been undergoing so much change in recent years, but it also may provide us with clues as to where our financial system may be heading.

  16. Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

    Simplice ASONGU

    2013-01-01

    With financial globalization, investors can gain from diversification if returns from financial markets are stable and not correlated. However with volatility spillovers, increase in cross-market correlations exist as a real-effect and are not taken into account for asset allocation and portfolio composition. This chapter assesses financial contagion from two recent trends in the world economy: the global financial crisis and the 2011 Japanese natural disasters (tsunami, earthquake and nuclea...

  17. Does financial integration spur economic growth?, new evidence from the first era of financial globalization

    Schularick, Moritz; Thomas M. Steger

    2006-01-01

    Does international financial integration boost economic growth? The question has been discussed controversially for a long time, and a large number of studies has been devoted to its empirical investigation. As of yet, robust evidence for a positive impact of capital market integration on economic growth is lacking, as documented by Edison et al. (2002). However, there is substantial narrative evidence from economic history that highlights the contribution European capital made to economic gr...

  18. Correlation of financial markets in times of crisis

    Sandoval, Leonidas; Franca, Italo De Paula

    2012-01-01

    Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investigate financial market crises that occurred in the years 1987 (Black Monday), 1998 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime Mortgage Crisis), which mark some of the largest downturns of financial markets in the last three decades.

  19. The Impact Of Economic News On Financial Markets

    Parker, John

    2007-01-01

    This paper analyzes the impact of economic news, that is, the difference between economic announcements and what was anticipated, on financial markets. The three contributions of this paper are, first, the market expectation is derived from economic derivative prices that allow a full distribution for the market expectation to be derived. Economic derivatives data better predict financial market movements and also allow for testing whether there is information in the high moments of th...

  20. Limited Market Participation, Financial Intermediaries,And Endogenous Growth

    Ohno, Hiroaki

    2011-01-01

    This paper analyzes the role of imperfect asset markets and financial intermediaries in determining the equilibrium growth rate of the capital stock by incorporating exogenous market participation constraints into an overlapping generation¡¯s economy. Economic growth and social welfare monotonically increase with the degree of market participation. Hence, economies with financial intermediaries have a stronger potential for a higher growth rate than economies with imperfect markets lacking su...

  1. Correlation of financial markets in times of crisis

    Leonidas Sandoval Junior; Italo De Paula Franca

    2011-01-01

    Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investigate several financial market crises that occurred in the years 1987 (Black Monday), 1989 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime...

  2. Carbon flows, financial markets and climate change mitigation

    Mol, A.P.J.

    2012-01-01

    After initial debates and controversies, from the late 1980s onwards market instruments became fully accepted in environmental governance. However, with their inclusion in transnational and global environmental governance, market institutions seem to be in for a new round of discussions. Transnational carbon markets stand out in these debates, especially since the recent financial crisis made the world aware of the vulnerability of global financial markets. This paper uses a sociology ...

  3. Banking and Financial Markets in the New Economy. Impact of the Financial Institutions Banking

    Balaceanu Valeria Arina

    2011-01-01

    Use of new technologies and how the circulation of information, in banking, globalization emphasizes more than any other field. Today, globalization of financial markets is a priority both for multinational companies and governments and international institutions. The degree of priority is determined by financial markets ensure that the entire global economy connection. Financial crisis calls into question the situation of areas (components) of the capital markets less regulated and controlle...

  4. Measuring the Impact of Financial Crisis on International Markets: An Application of the Financial Stress Index

    Apostolos G. Christopoulos; John Mylonakis; Christos Koromilas

    2011-01-01

    The scope of paper is to examine whether the recent financial crisis has had any impact on international capital markets and more precisely on the 4 primary international stock markets of England, France, Japan, the United States and Greece. The research is based on the use of the Financial Stress Index (FSI) from July 2005 until December 2008 and August 2009. Research results showed that the recent financial crisis has had a negative impact on all examined markets, with the Tokyo stock excha...

  5. Geometry of Financial Markets -- Towards Information Theory Model of Markets

    Piotrowski, E W; Piotrowski, Edward W.; Sladkowski, Jan

    2006-01-01

    Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the object of interest of agents, called here baskets, form a vector space over the reals. A portfolio is defined as an equivalence class of baskets containing assets in the same proportions. Therefore portfolios form a projective space. Cross ratios, being invariants of projective maps, form key structures in the proposed model. Quotation with respect to an asset X (i.e. in units of X) are given by linear maps. Among various types of metrics that have financial interpretation, the min-max metrics on the space of quotations can be introduced. This metrics has an interesting interpretation in terms of rates of return. It can be generalized so that to incorporate a new numerical parameter (called temperature) that describes ...

  6. The global financial crisis: Lessons for European Integration

    Dabrowski, Marek

    2009-01-01

    The purpose of this paper is to analyze the various challenges facing European integration and the EU institutional architecture as result of the global financial crisis. The European integration process is not yet complete, both in terms of its content and geographical coverage. It can be viewed as a kind of intermediate hybrid between an international organization and a federation, subject to further evolution. This is also true of the Single European Market and the Economic and Monetary Un...

  7. The Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Markets

    Min-Hsien Chiang

    2004-01-01

    Full Text Available This study investigates sources of the comovement of the Taiwan and U.S. stock markets. The empirical evidence shows that both economic fundamentals and equity risk premiums can act as transmission mechanisms of both markets. In the meantime, the financial integration is much stronger than real economic integration. Moreover, the deregulation of foreign investments in Taiwan and the Southeast Asian financial crisis in 1997 did not alter the transmission mechanisms of real economic and equity risk premium factors."

  8. When Can Social Media Lead Financial Markets?

    Zheludev, Ilya; Smith, Robert; Aste, Tomaso

    2014-02-01

    Social media analytics is showing promise for the prediction of financial markets. However, the true value of such data for trading is unclear due to a lack of consensus on which instruments can be predicted and how. Current approaches are based on the evaluation of message volumes and are typically assessed via retrospective (ex-post facto) evaluation of trading strategy returns. In this paper, we present instead a sentiment analysis methodology to quantify and statistically validate which assets could qualify for trading from social media analytics in an ex-ante configuration. We use sentiment analysis techniques and Information Theory measures to demonstrate that social media message sentiment can contain statistically-significant ex-ante information on the future prices of the S&P500 index and a limited set of stocks, in excess of what is achievable using solely message volumes.

  9. Adoption of the Objectives of the Monetary and Economic Union and European Financial Integration

    MĂDĂLINA RĂDOI

    2014-05-01

    Full Text Available The European concerns, with old traditions in forming multinational financial markets, developed in the integration of the financial markets and of the European banking systems which allowed the investors from any European country to follow the orders on the best market, through the best beneficiary, benefitting from the most effective financial-banking services. This market offers sophisticated and modern financial tools, which cope with the needs of the invertors, portfolio managers, transnational companies and traders, having an impact over the balanced economic development of the European countries and unemployment reduction.

  10. Identifying States of a Financial Market

    Münnix, Michael C; Schäfer, Rudi; Seligman, Francois Leyvraz Thomas H; Guhr, Thomas; Stanley, H E

    2012-01-01

    The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such time series, stationary situations have been extensively studied and correlations have been found to be a very powerful tool. Yet most natural processes are non-stationary. In particular, in times of crisis, accident or trouble, stationarity is lost. As examples we may think of financial markets, biological systems, reactors or the weather. In non-stationary situations analysis becomes very difficult and noise is a severe problem. Following a natural urge to search for order in the system, we endeavor to define states through which systems pass and in which they remain for short times. Success in this respect would allow to get a better understanding of the system and might even lead to methods for controlling the system in more efficient ways. We here concentrate on financial...

  11. Market Selection of Financial Trading Strategies: Global Stability

    Evstigneev, I.V.; Hens, Thorsten; SCHENK-HOPPÉ, Klaus Reiner

    2001-01-01

    In this paper we analyze the long-run dynamics of the market selec-tion process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving finan-cial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easley (1992) to any complete or incomplete asset market.

  12. Best Practice: Integrated Marketing Communications

    Schultz, Don; Macdonald, Emma K.; Baines, Paul R.

    2012-01-01

    Integrated marketing communications can substantially improve target audience reception, message resonance, and positive behavioural response but, to reach its true potential, the process requires a strong focus on data integration/customer insight.

  13. The Romanian Municipal Bond Market and the International Financial Crisis

    VALENTINA VASILE

    2010-06-01

    Full Text Available In Romania, the bond market was set up later, comparatively to the equity market. This market is in a development process, but the international financial crisis has affected even the interest of investors in bonds. The secondary municipal bond market is not a very liquid market because these securities are bought from the primary market and held in portfolios by investors because these bonds have a low risk. The issue of these bonds is correlated with the financial independence and the level of decentralization of the local public authorities. The issuance of these bonds is correlated with financial independence and decentralization level specific to local public authorities. Under crisis conditions, the volatility of this market is more significant, the increasing deficits of local budgets decreasing the interest of the middle-class in investing in such financial instruments.

  14. The Financial Protectionism-Financial Integration Dilemma through Capital Mobility: Economic Performance vs Financial Crises

    Fatma Kchir Jedidi; Sami Mensi

    2011-01-01

    In this paper, a theoretical and an empirical discussion of the post-crisis supremacy of financial integration over financial protectionism are proposed. The debate is done through a survey of the advantages each line of thinking brings about to improve economic performance and reduce crisis probability or its magnitude. Moreover, in this paper we study the impact of financial integration through capital mobility on economic growth of a sample of emerging countries. The contribution of our pa...

  15. Financial Institutions and Markets across Countries and over Time

    Beck, Thorsten; Demirgüç-Kunt, Asli; Levine, Ross

    2010-01-01

    This article introduces the updated and expanded version of the Financial Development and Structure Database. The database includes indicators on the size, efficiency, and stability of banks, nonbank financial institutions, and equity and bond markets over 1960–2007. It also contains indicators of financial globalization.

  16. Financial Derivatives Market for Grid Computing

    Aubert, David; Lindset, Snorre; Huuse, Henning

    2007-01-01

    This Master thesis studies the feasibility and properties of a financial derivatives market on Grid computing, a service for sharing computing resources over a network such as the Internet. For the European Organization for Nuclear Research (CERN) to perform research with the world's largest and most complex machine, the Large Hadron Collider (LHC), Grid computing was developed to handle the information created. In accordance with the mandate of CERN Technology Transfer (TT) group, this thesis is a part of CERN's dissemination of the Grid technology. The thesis gives a brief overview of the use of the Grid technology and where it is heading. IT trend analysts and large-scale IT vendors see this technology as key in transforming the world of IT. They predict that in a matter of years, IT will be bought as a service, instead of a good. Commoditization of IT, delivered as a service, is a paradigm shift that will have a broad impact on all parts of the IT market, as well as on the society as a whole. Political, e...

  17. Marketing investment courage and financial performance - A study of profiles and financial implications among Finnish firms

    Karvonen, Vilma

    2010-01-01

    The purpose of this study is to research what marketing investment courage is and how it can impact firms’ financial performance. The literature review provides a theoretical overview of marketing investments, their characteristics and targets, investment courage and the routes through which marketing investment courage can impact firms’ financial performance through actual investments. The empirical study investigates the current state of marketing investment courage among Finnish companies....

  18. Marketing investment courage and financial performance - A study of profiles and financial implications among Finnish firms

    Karvonen, Vilma

    2010-01-01

    The purpose of this study is to research what marketing investment courage is and how it can impact firms financial performance. The literature review provides a theoretical overview of marketing investments, their characteristics and targets, investment courage and the routes through which marketing investment courage can impact firms financial performance through actual investments. The empirical study investigates the current state of marketing investment courage among Finnish companies....

  19. Financial european integration policy of Ukraine

    Kateryna Kovtonyuk

    2013-01-01

    The article reviews the theoretical foundations of legitimate nature of formation of the global financial space and its regional subsystems, which primarily influenced by the objective economic laws. It was proven that systemic interaction of these laws creates the foundation for the global financial space based on a comprehensive process of internationalisation of economic life in the form of integration and globalisation. Increased influence of these laws helps define integration as a leadi...

  20. Hierarchical structure of stock price fluctuations in financial markets

    The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they share. In this paper, the She–Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviating from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the hierarchical structure of stock price fluctuations in financial markets. We therefore observed certain interesting results: (i) the hierarchical structure related to multifractal scaling generally presents in all the stock price fluctuations we investigated. (ii) The quantitatively statistical parameters that describe SL hierarchy are different between developed financial markets and emerging ones, distinctively. (iii) For the high-frequency stock price fluctuation, the hierarchical structure varies with different time periods. All these results provide a novel analogy in turbulence and financial market dynamics and an insight to deeply understand multifractality in financial markets. (paper)

  1. Aftershock prediction for high-frequency financial markets' dynamics

    Fulvio Baldovin; Francesco Camana; Michele Caraglio; Stella, Attilio L.; Marco Zamparo

    2012-01-01

    The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by Omori at the end of 1800 for seismic earthquakes. We point out the limited predictive power in this...

  2. Financial european integration policy of Ukraine

    Kateryna Kovtonyuk

    2013-07-01

    Full Text Available The article reviews the theoretical foundations of legitimate nature of formation of the global financial space and its regional subsystems, which primarily influenced by the objective economic laws. It was proven that systemic interaction of these laws creates the foundation for the global financial space based on a comprehensive process of internationalisation of economic life in the form of integration and globalisation. Increased influence of these laws helps define integration as a leading pattern of the global financial space. The multilevel system of the regional financial space contributes to its harmonisation and facilitation of accession of new players. It was ascertained that the European Union is one of the most successful integration associations. The necessity of Ukraine’s integration into the European financial sector was reasoned. The article contains the comparative analysis of statistics and financial and economic convergence indicators showing the prerequisites for expanding of the integration kernel (the Eurozone as well as of the most effective integration mechanism.

  3. The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy

    Crotty, James

    2011-01-01

    The radical deregulation of financial markets after the 1970s was a precondition for the explosion in size, complexity, volatility and degree of global integration of financial markets in the past three decades. It therefore contributed to the severity and breadth of the recent global financial crisis. It is not likely that deregulation would have been so extreme and the crisis so threatening had most financial economists adopted Keynes-Minsky financial market theory, which concludes that unr...

  4. Banks, financial markets, and international consumption risk sharing

    Leibrecht, Markus; Scharler, Johann

    2009-01-01

    In this paper we empirically explore how characteristics of the domestic financial system influence the international allocation of consumption risk using a sample of OECD countries. Our results show that the extent of risk sharing achieved does not depend on the overall development of the domestic financial system per se. Rather, it depends on how the financial system is organized. Specifically, we find that countries characterized by developed financial markets are less exposed to idiosyncr...

  5. Financial sector regulation and reforms in emerging markets: An overview

    Prasad, Eswar S.

    2010-01-01

    This paper provides an overview of the complex conceptual and practical challenges that emerging market economies face as they attempt to reform their frameworks for financial regulation. These economies are striving to balance the quest for financial stability with the imperatives of financial development and broader financial inclusion. I argue that these objectives can in fact reinforce one another. I also discuss aspects of macroeconomic policies and cross-border regulation that have impl...

  6. Regulating financial markets: Costs and trade-offs

    Górnicka, L.A.

    2015-01-01

    This thesis studies the interactions between the institutional design of financial systems, and the financial agents that regulatory institutions supervise. It explores the channels through which financial regulation affects financial agents’ lending, funding, and risk-taking decisions. By introducing regulatory and market penalties for non-compliance with minimum capital requirements, this thesis investigates the responses of bank capital ratios to changes in the regulatory minimum, as envis...

  7. Bank Competition and International Financial Integration:Evidence Using a New Index

    Pasricha, Gurnain

    2009-01-01

    In the debate on the benefits and costs of international financial integration recent literature has emphasized thresholds in the development of domestic markets as preconditions to benefitting from international integration. This paper offers an alternative view - that of development of competition in domestic markets as an aide to de-facto openness. Lack of competition in domestic financial systems may prevent countries from reaping the benefits of international integration simply because t...

  8. INTEGRATION OF FINANCIAL AND NON-FINANCIAL REPORTS UNDER MANAGEMENT CONDITIONS

    Mihail PRODANCIUK

    2013-02-01

    Full Text Available The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability of the business model. Goals and objectives of corporate reports are determined, which consist in providing reliable information on all company activities in accordance with strategic objectives and management models. The structure of the integrated report takes into consideration the requirements of the management system, of the legislative bodies and other institutions, and is considered the basis for the development of branch reports models. Its structure will depend on the size of the legal-organizational form and the social value of the company in society. The author of the article suggests three approaches to achieving corporate reports in the section of social responsibility indicators; where each company chooses the form of reporting in accordance with the available categories that depend on the size and strategic policy. The suggested integrated reports are instrumental to the observance of the stable development doctrines and will become a tool that, in the near future, will ensure the company an effective interaction with financial markets and the stakeholders of market relations.

  9. Integration of financial and non-financial reports under management conditions

    Prodanciuk Mihail

    2013-02-01

    Full Text Available The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability of the business model. Goals and objectives of corporate reports are determined, which consist in providing reliable information on all company activities in accordance with strategic objectives and management models.The structure of the integrated report takes into consideration the requirements of the management system, of the legislative bodies and other institutions, and is considered the basis for the development of branch reports models. Its structure will depend on the size of the legal-organizational form and the social value of the company in society. The author of the article suggests three approaches to achieving corporate reports in the section of social responsibility indicators; where each company chooses the form of reporting in accordance with the available categories that depend on the size and strategic policy. The suggested integrated reports are instrumental to the observance of the stable development doctrines and will become a tool that, in the near future, will ensure the company an effective interaction with financial markets and the stakeholders of market relations.

  10. The Adoption of Digital Marketing in Financial Services under Crisis

    Daj A.; Chirca A.

    2009-01-01

    Led by social media, online search, consumer generated content, virtual communities, and considering the increased focus on digital technologies, the longer-term prospects for digital marketing and the global online medium continue to be bright. Given the recent decline of the financial markets and the economic fallout, financial institutions have to implement new digital marketing techniques both for cost optimization and for dealing with the crisis of confidence.

  11. The Volatility in a Multi-share Financial Market Model

    Ponzi, Adam

    2000-01-01

    Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the standard deviation of the price fluctuations, with empirical characteristics. In particular we find its probability distribution is similar to a log normal distribution but with a long power-law tail for the large fluctuations, and that the time development s...

  12. State-dependent dynamics and interdependence of global financial markets

    Maderitsch, Robert

    2015-01-01

    This thesis investigates information transmission across international financial markets in four different studies. The common focus of all analyses is a long-term investigation of cross-market information transmission. Special consideration is given to the impact of the financial crisis of 2007 as well as the aspect of potential state-dependence in cross-market linkages. The following points provide a summary of the studies’ key questions: 1. Is there evidence for time- and state-dependen...

  13. Sovereign wealth funds in the globalization of financial markets

    Djordje Cuzovic

    2012-05-01

    Full Text Available This paper analyses the investment funds with special emphasis on Sovereign Wealth Funds (SWFs, as new participants in the financial market. Considering that financial markets are one of the main carriers of globalization, our goal is to investigate development and the role of these investment funds with reference to contemporary theory and progressive practice of the market of developed countries. Although SWFs emerged in practice more than fifty years ago, they are not sufficiently explored in the theory.

  14. Developing Countries and the Globalization of Financial Markets

    Malcolm D Knight

    1998-01-01

    This paper analyzes the impact of the globalization of financial markets on developing and transition economies. Differences between the responses of competitive and imperfectly competitive banking sectors cause them to affect economic activity differently. While nonbank financial markets and institutions can help to increase the competitiveness of banking sectors, there are “gaps” in the institutions and market structures of developing and transition economies. Eliminating these gaps may rei...

  15. Price-level versus inflation targeting with financial market imperfections

    Covas, Francisco; Zhang, Yahong

    2008-01-01

    Price-level targeting (PT) is compared with inflation targeting (IT) in a DSGE model augmented with imperfections in both debt and equity markets. The PT regime outperforms the IT regime, and the gain depends on the degree of financial market frictions. This is because inflation is better anchored under PT, owing to the expectation channel, and therefore the monetary authority has more leverage to deal with the financial market distortions. We also find that the gain is higher if the optimal ...

  16. The Adoption of Digital Marketing in Financial Services under Crisis

    Daj A.

    2009-12-01

    Full Text Available Led by social media, online search, consumer generated content, virtual communities, and considering the increased focus on digital technologies, the longer-term prospects for digital marketing and the global online medium continue to be bright. Given the recent decline of the financial markets and the economic fallout, financial institutions have to implement new digital marketing techniques both for cost optimization and for dealing with the crisis of confidence.

  17. Evolving Domestic Bond Markets and Financial Deepening in Asia

    Das Dilip K.

    2014-01-01

    The principal thesis of this paper is growth and development of the debt securities markets in Asia, which resulted in financial deepening. In the post-Asian financial crisis period development of Asian currency dominated long-term bond markets was given a high priority. Conception and launch of the ABMI initiative proved to be exceedingly meaningful in this regard. Additionally, with an objective to develop well-capitalized regional bond markets, the EMEAP group of central banks launched the...

  18. Investigating Contagion and Market Interdependence during the Global Financial Crisis

    Filip Iorgulescu

    2015-01-01

    This paper examines the roles played by market interdependence and contagion in the propagation of the 2007-2009 global financial crisis. For this purpose, five aggregate indices were employed, representing all the major financial markets from each geographical region. The data series are daily and they cover the period between 2002 and 2014. The presence of contagion and market interdependence was assessed by means of the values and value changes of the correlation coefficients between the a...

  19. Limited Market Participation, Financial Intermediation, and Consumption Smoothing

    Hiroaki Ohno

    2015-01-01

    This paper examines the role of financial intermediaries to provide desirable deposit contracts in an overlapping generation economy where consumers are exposed to preference shocks and exogenous limited market participation. It is impossible for agents to obtain perfect risk-sharing opportunities in an imperfect secondary market while financial intermediaries can provide intra-generation risk-sharing against limited market participation. In addition, by setting up a saving stage, posterity i...

  20. Financial markets regulation in the energy sector. A few financial aspects of energy transactions

    In addition to energy legislation, financial markets legislation and regulation (FMR) are becoming increasingly important for the energy sector. Consequently, parties on the energy market not only have to deal with the energy and competition authorities (the Dte and NMa respectively), but may also face supervision by The Netherlands Authority for the Financial Markets (AFM). Energy transactions may trigger certain prohibitions and obligations under financial and securities law, the most relevant of which are discussed in this article. Both the recent changes as a result of the Financial Markets Supervision Act ('Wet op het financieel toezicht', Wft) entering into force as per 1 January 2007 and the anticipated future amendments following the implementation of the Markets in Financial Instruments Directive (MiFID) are examined

  1. Economic implications of corporate financial reporting in brazilian and european financial markets

    Benetti, C

    2010-01-01

    The main objective of this study is to determine how the people involved in the accounting process consider the role of accounting information in an economic environment where capital markets play a major role. The study is also aimed at determining whether International Financial Reporting Standards (IFRS) will help fulfill this role. To this end, we compare the perceptions of financial officers, financial analysts and auditors, using Europe as a proxy for a highly developed capital market e...

  2. Sustainable financial markets: Financial transaction tax and high capital buffers indispensable

    Schäfer, Dorothea

    2013-01-01

    The sustainability of the financial markets is a requirement that has only appeared on the economic policy agenda very recently, whereas a stable financial system has been a declared goal for decades. The relationship between sustainability and stability is, however, still unclear. The two terms are often used synonymously but stability is only one part of sustainability. The following outlines the requirements for sustainable financial markets based on the current general principles of envir...

  3. Eroding market stability by proliferation of financial instruments

    Caccioli, F.; Marsili, M.; Vivo, P.

    2009-10-01

    We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the market to a critical state characterized by large susceptibility, strong fluctuations and enhanced correlations among risks. This suggests that the hypothesis of APT may not be compatible with a stable market dynamics. In this perspective, market stability acquires the properties of a common good, which suggests that appropriate measures should be introduced in derivative markets, to preserve stability. in here

  4. Financial development, labor and market regulations and growth

    Utrero González, Natalia; FONSECA, RAQUEL

    2005-01-01

    This paper investigates the importance that market regulation and fi…nancial imperfections have on …firm growth. We analyse institutions af- fecting labor market as Employment Protection Laws (EP) and Product Market Regulation (PM). We show that together with the bene…ficial ef- fects of …financial development, a …firm will get less …financing, and thus invest less, in a weak …financial market (…finance effect), the strictness of product and labor market regulations also affect fi…rm growth (...

  5. Notional and Essential Characteristics of the World Financial Market ?????????? ? ?????????? ?????????????? ???????? ??????????? ?????

    Vlasenko Marina A.

    2013-03-01

    Full Text Available The article considers interpretations of the notion of the world financial market of domestic and foreign scientists, studies existing classification approaches and approaches to structuring the world financial market. It reveals the following main features of structuring: 1 dependence on national systems of monetary and credit regulation; 2 term of realisation and 3 type of a financial tool (financial asset. It offers an improved interpretation of the notion of a financial tool and reveals features of attribution of an economic phenomenon to a financial tool: 1 contract, security or any other form of fixation of contractual relations; 2 mandatory availability of minimum 2 parties: appearance or increase of an asset of one party and liability of the other party; 3 asset and liability are financial and not trade ones.? ?????? ??????????? ????????? ??????? ???????? ??????????? ????? ?????????????? ? ???????????? ???????, ??????? ???????????? ????????????????? ??????? ? ??????? ? ?????????????? ???????? ??????????? ?????. ???????? ????? ???????? ???????? ??????????????, ???: 1 ???????????????? ???????????? ???????? ???????-?????????? ?????????????; 2 ???? ?????????? ? 3 ??? ??????????? ??????????? (??????????? ??????. ?????????? ??????????????????? ????????? ??????? ??????????? ??????????? ? ???????? ???????? ????????? ?????????????? ??????? ? ??????????? ???????????: 1 ???????, ?????? ?????? ???? ?????? ????? ??????????? ?????????? ?????????; 2 ???????????? ??????? ??????? 2-? ??????: ????????????? ??? ?????????? ?????? ? ????? ??????? ? ??????? ? ??????; 3 ????? ? ?????? ???????? ???????????, ? ?? ?????????.

  6. Economic and financial analysis of the portuguese art market

    Nabais, Dbora Amaral de Matos

    2015-01-01

    A Dissertation presented in partial fullfillment of the Requirements for the Degree of Master in Art Markets Management / JEL Classifications: D400 Market Structure and Pricing D440 Auctions G100 General Financial Markets Z11 Economics of the Arts and Literature

  7. Diversifying in the Integrated Markets of ASEAN+3 : A Quantitative Study of Stock Market Correlation

    Stark, Caroline; Nordell, Emelie

    2010-01-01

    There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of;...

  8. FINANCIAL RATIOS AND STOCK PRICES ON DEVELOPED CAPITAL MARKETS

    BOGDAN DIMA; ŞTEFANA MARIA DIMA; OTILIA ŞĂRĂMĂT; CARMEN ANGYAL

    2013-01-01

    This study empirically tests for the relevance of a set of financial ratios designed to capture issuers’ financial performance for the dynamics of stock prices, on a dataset of quarterly values for 495 trading quotes from major European capital markets as well as from S&P 500 market covering a time span between 2003/1 and 2011/1. The research hypothesis is that financial ratios reflecting issuers’ financial health matter in the selection of portfolios’ structure. We tested this hypothesis in ...

  9. INDIVIDUAL INVESTORS AND THE FINANCIAL CRISIS : TOWARDS A SCALE OF LOYALTY : APPLICATION TO TUNISIAN FINANCIAL MARKET

    JAHMANE Abderrahman

    2011-10-01

    Full Text Available Retail investors are now a class of stock exchange operators whose importance is growing in most international markets. But following the events of the financial crisis the world has known, there was a lack of trust between investors and financial markets, which we pose the problem of retention of investors and the indicators which are based on their behavior discision and stay on the market.

  10. CONSIDERATIONS ON THE ROLE OF FINANCIAL MARKETS IN ECONOMIC GROWTH

    Carmen ALBU

    2014-06-01

    Full Text Available Generally accepted in economic literature, the financial market has a positive impact on growth in a modern economy. Nevertheless, due to the global crises starting in 2008, a number of authors are questioning today about this assertion. Among them, there are authors which are attributing as initial impulse to the crisis an exaggerated expansion of financial market (and non-covered on the real side of economy. In this study, based on economic literature and empirical evidences, we are presentig few considerations regarding the development of financial market during last decades and its role on economic growth.

  11. FInancial Integration and Interenational Portfolio Diversification : A Multivariate Analysis

    Arouri, Mohamed El Hedi

    2003-01-01

    In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. This approach, with double asymmetric effects, allows to the risk premia, betas and correlations to vary through time. Then, we investigate ex ante benefits from world market diversification. The evidence supports the financial integration hypothesis and suggests that investors from all countries could expect statistically significant benefits from interna...

  12. Strategic Opportunities Afforded by Integrated Marketing

    CONSTANTIN SASU

    2006-01-01

    Full Text Available This paper explores integrated marketing, examines how integrated marketing differs from traditional definitions of marketing, and offers insights into what kinds of institutions might most benefit from integrated marketing. It closes with a brief outline of the components of an integrated marketing plan.

  13. Strategic Opportunities Afforded by Integrated Marketing

    CONSTANTIN SASU

    2006-01-01

    This paper explores integrated marketing, examines how integrated marketing differs from traditional definitions of marketing, and offers insights into what kinds of institutions might most benefit from integrated marketing. It closes with a brief outline of the components of an integrated marketing plan.

  14. Testing the Informational Efficiency on the Romanian Financial Market

    Aurora Murgea; Marilen Pirtea; Bogdan Dima

    2006-01-01

    The classical models of portfolio selection could not be applied on a market were the efficient market hypothesis is not valid (at least in a “weak” sense). The aim of this paper is to enlighten the difficulties of portfolio construction in a financial market with institutional and structural deficiencies, like the Romanian one, and to propose an alternative approach to the problem. The main features of our analysis are: 1) an empirical test for the efficient market hypothesis in the Romanian...

  15. Quantifying Trading Behavior in Financial Markets Using Google Trends

    Tobias Preis; Helen Susannah Moat; H. Eugene Stanley

    2013-01-01

    Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as “early...

  16. Capital Markets and Financial Politics: Preferences and Institutions

    Roe Mark J.

    2012-01-01

    For capital markets to function, political institutions must support capitalism in general and the capitalism of financial markets in particular. Yet the shape, support, and extent of capital markets are often contested in the polity. Powerful elements — from politicians to mass popular movements — have reason to change, co-opt, and remove value from capital markets. And the competing capital markets’ players themselves have reason to seek rules that favor their own capital channels over thos...

  17. Repo funding and internal capital markets in the financial crisis

    Düwel, Cornelia

    2013-01-01

    This paper examines how the exposure of German parent banks to the disruptions on sale and repurchase markets (repo markets) during the financial crisis has affected their provision of funds to their foreign branches and subsidiaries via bank-internal capital markets. The collapse of the subprime market, the rescue of Bear Stearns and the bankruptcy of Lehman Brothers are analyzed with regard to their role as amplifiers of uncertainty about the value of collateral used in repo transactions an...

  18. Assymetric information in the financial market: Sequential move games

    Trifunović Dejan

    2006-01-01

    Full Text Available This paper analyses equilibrium in financial market when investors are aymmetrically informed, by using the methodology of game theory. We will show that bid-ask spread is increasing in probability of insider trading. Dynamic trading models suggest that insider’s informational advantage over market-maker is diminishing in time. By using sequential trading models we can explain various types of market manipulations and stock market crashes.

  19. MODELS OF DOMESTIC FINANCIAL MARKET ON STAGE STRUCTURAL TRANSFORMATIONS

    ?.?. ??????

    2011-12-01

    Full Text Available an expediency of adjustable model of Ukrainian financial market as classical variant for institutional environment of modern economy of transitional period is grounded here according to generalized experience of using of foreign models.

  20. Inflation, Business Cycles, and Commodity Investing in Financialized Markets

    Adam Zaremba

    2015-01-01

    Full Text Available Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and nonfinancialized markets and on their role for a tactical asset allocation. The study aims to contribute to the academic literature in four ways. First, it provides fresh evidence on the interdependences between commodity returns, inflation and the business activity. Second, it documents increased correlation of the commodity returns with the business activity in the financialized markets. Third, it explores changes in the lead/lag relationship of commodity prices and the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized markets. The computations are based on listings of various commodity indices, which are calculated by S&P-GSCI, JP Morgan, and Dow Jones-UBS, between 1970 and 2013.

  1. On utility maximization in discrete-time financial market models

    Rasonyi, M; Rasonyi, Miklos; Stettner, Lukasz

    2005-01-01

    We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.

  2. Derivatives, Hedge Accounting Disclosure And Impact On Indian Financial Market

    Prabhakara T

    2013-09-01

    Full Text Available In India, the emergence and growth of derivatives market is relatively a recent phenomenon. Since its inception in June 2000, derivatives market has exhibited exponential growth both in terms of volume and number of contract traded. The market turnover has grown from Rs.2365 Cr. in 2000-2001 to Rs.16807782.22 Cr. in 2012-13. Within a short span of twelve years, derivatives trading in India has surpassed cash segment in terms of turnover and number of traded contracts. The passed study encompasses in its objective and significance, concept, definition, types, features, market, trend, growth, Future prospects and challenges of derivatives in India. The problem is concerned with financial risks or not and why? Thus, the article reviews the use of derivative financial instruments for financial hedge and their effects to minimize the financial risks of the entities and bankrupt entities as well as their impacts on financial markets through decisions of investors and managers because their decisions are based on analysis results of financial statements. A country's accounting policy has not applied the derivative financial instruments for financial hedging, leading to affect that country's economy or not? Especially, the financial markets of Indian countries with similar economies have not also applied the hedge accounting to their hedge activities. The article uses the accounting theories of international accounting standards and Generally Accepted Accounting Principles and applies the methods of statistical data analysis about Indian derivatives market to show the results of hedge accounting that are concerned with the performance of derivatives products in Indian marke

  3. Essays on Return Predictability in Financial Markets

    Mang, Chan R.

    2012-01-01

    My thesis examines return predictability in government bond markets and currency markets. In Chapter 1, I take the term structure model in Cochrane and Piazzesi (2008) and construct currency market prices. The implied currency market prices are then counterfactually volatile and predictable, at least with respect to commonly used predictor variables. Getting the model closer to currency market data means reducing bond risk compensation but doing so nearly eliminates predictability in bond mar...

  4. Essays on Irrational Behavior in Financial Markets

    Martelin, Nicolas

    2014-01-01

    Personal preferences along with cognitive biases create the behavioral heterogeneity of a given market. In this thesis we study three markets that are completely different from each other and have their own peculiarities: the stock market (US equity funds), the option market (S&P500 index options) and the art market (Impressionist and Modern, Post-war and Contemporary, American, and Latin American art indices).

  5. VOLATILITY OF INTERNATIONAL FINANCIAL MARKETS AND PUBLIC DEBT SUSTAINABILITY

    Georgescu, George

    2013-01-01

    Under the circumstances of markets volatility persistence, the global financial balances deteriorated during the post-crisis period. In the case of advanced countries, the bailout of the private banking system by public or multilateral financial intervention, instead of leading to financial rebalancing has transferred a systemic risk to the sovereign level. Bringing high public debts back to sustainable levels by budgetary constraints of austerity programs has proved to hamper the economic gr...

  6. A dilution cost approach to financial intermediation and securities markets

    Bolton, Patrick; Freixas, Xavier

    1997-01-01

    This paper proposes a model of financial markets and corporate finance, with asymmetric information and no taxes, where equity issues, Bank debt and Bond financing may all co-exist in equilibrium. The paper emphasizes the relationship Banking aspect of financial intermediation: firms turn to banks as a source of investment mainly because banks are good at helping them through times of financial distress. The debt restructuring service that banks may offer, however, i...

  7. Interconnections and market integration in the Irish Single Electricity Market

    Interconnections can be an effective way to increase competition and improve market integration in concentrated wholesale electricity markets with limited number of participants. This paper examines the potential for interconnections and increasing market integration in the Irish Single Electricity Market (SEM). We use a time-varying Kalman filter technique to assess the degree of market integration between SEM and other large, mature and interconnected wholesale electricity markets in Europe including Great Britain (GB). The results indicate no market integration between SEM and other European markets except for Elspot and GB. We show that the current state of market integration between SEM and GB is just 17% indicating potential to improve market integration via increased interconnector capacity. The results indicate that liquidity of wholesale markets might be a crucial factor in the market integration process while our results remain inconclusive in determining whether increased trade of renewables can improve market integration. - Highlights: ► We assess the degree of market integration between SEM and other EU electricity markets. ► Our results indicate no market integration between SEM and other European markets except for Elspot and GB. ► We show that the current state of market integration between SEM and GB is just 17%.

  8. How to recover from the financial market flu.

    Doody, Dennis

    2008-05-01

    The widely publicized subprime mortgage crisis and soaring crude oil prices have contributed to considerable market volatility in recent months, inducing queasiness among institutional investors. A four-layer approach to asset allocation that carefully considers assets, liquidity, currency, and risk may be the best strategy for maintaining an institution's financial health through today's volatile market. Perhaps the biggest challenge in such financially turbulent times is keeping fear in check. PMID:18546970

  9. Limited Financial Market Participation: A Transaction Cost-Based Explanation

    Paiella, M.

    2001-01-01

    This paper focuses on the issue of limited financial market participation and determines a lower bound on the level of fixed transaction costs that are required to reconcile observed portfolio choices with asset returns within an isoelastic utility framework. The bound is determined from the set of conditions that ensure the optimality of consumption behavior by financial market non-participants. It represents the lowest possible cost rationalizing observed non-participation ch...

  10. Limited financial market participation: A transaction cost-based explantation

    Paiella, Monica

    2001-01-01

    This paper focuses on the issue of limited financial market participation and determines a lower bound on the level of fixed transaction costs that are required to reconcile observed portfolio choices with asset returns within an isoelastic utility framework. The bound is determined from the set of conditions that ensure the optimality of consumption behavior by financial market non-participants. It represents the lowest possible cost rationalizing observed non-participation choices by provid...

  11. Portfolio Bias of Real Estate Companies Vs. Financial Markets

    Oseenius, Bryan

    2015-01-01

    This study will apply the Capital Asset Pricing Model (CAPM) to help understand the relationship between traded real estate companies and their respective financial markets. The aim will be to quantitatively explain the link between real estate companies holding different asset types within their portfolio and their traded financial markets using betas from CAPM. Some companies have preferences towards one type of real estate assets; which could be referred to as "portfolio bias." On the othe...

  12. Globalisation And Its Impact On The Lithuanian Financial Market

    Urbien?, Laimut?

    2012-01-01

    The object of the study is Lithuanian financial market in the global context. The study aims to conceptualize the term of globalisation and by means of economic analysis principles to identify and comprehensively assess the impact of globalisation on the Lithuanian financial market. For this purpose the author has conducted a comparative analysis of the theoretical concepts of globalisation and has conceptualized the term of globalization from the paradigmatic aspect, analyzed and systematiz...

  13. Multiple Time Series Ising Model for Financial Market Simulations

    In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility clustering that is often observed in the real financial markets. Furthermore we also find non-zero cross correlations between the volatilities from our model. Thus our model can simulate stock markets where volatilities of stocks are mutually correlated

  14. A Knowledge-Based Consultant for Financial Marketing

    Kastner, John; Apte, Chidanand; Griesmer, James

    1986-01-01

    This article describes an effort to develop a knowledge-based financial marketing consultant system. Financial marketing is an excellent vehicle for both research and application in artificial intelligence (AI). This domain differs from the great majority of previous expert system domains in that there are no well-defined answers (in traditional sense); the goal here is to obtain satisfactory arguments to support the conclusions made. A large OPS5-based system was implemented as an initial pr...

  15. Asset Markets Contagion During the Global Financial Crisis

    Dimitris Kenourgios; Dimitrios Dimitriou; Apostolos Christopoulos

    2013-01-01

    This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-informa...

  16. International Stock Market Comovements: What Happened during the Financial Crisis?

    Horváth, Roman; Poldauf, P.

    2012-01-01

    Roč. 12, č. 1 (2012), s. 1-21. ISSN 1524-5861 R&D Projects: GA ČR GA402/09/0965 Institutional research plan: CEZ:AV0Z10750506 Institutional support: RVO:67985556 Keywords : stock market comovements * financial crisis * GARCH Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2012/E/horvath-international stock market comovements what happened during the financial crisis.pdf

  17. Arbitrage theory for non convex financial market models

    Lepinette, Emmanuel; Tran Quoc, Tuan

    2015-01-01

    When dealing with non linear trading costs, e.g. fixed costs, the usual tools from convex analysis are inadequate to characterize an absence of arbitrage opportunity as the mathematical model is no more convex. An unified approach is to describe a financial market model by a liquidation value process. This allows to extend the frictionless models of the classical theory as well as the recent proportional transaction costs models to a large class of financial markets with transaction costs inc...

  18. Financial market developments and their implications for monetary policy

    2015-01-01

    This volume features eight papers written for the conference "Financial market developments and their implications for monetary policy". The event was jointly organised by the BIS Representative Office for Asia and the Pacific and Bank Negara Malaysia in Kuala Lumpur on 13 August 2007. Drawing upon experiences in the Asia-Pacific region and beyond, these papers characterise the key financial market trends and developments over the past decade and assess their implications for three aspects of...

  19. Spillovers to emerging markets during global financial crisis

    Sebnem Kalemli-Özcan

    2014-01-01

    We study the effect of banking linkages on output spillovers with a specific focus on the transmission of 2007–2009 crisis from advanced countries to emerging markets. In a country-pair sample of 17 advanced economies and 11 emerging markets between 1977 and 2012, we find that, in periods without large financial crises, increases in bilateral banking linkages are associated with more divergent output cycles. This relation turns positive during the recent financial crisis suggesting that finan...

  20. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets

    Bernd Hayo; Ali M Kutan

    2004-01-01

    This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets d...

  1. Financial development and corporate growth in the EU single market

    Bena, J.; Jurajda, Štěpán

    2011-01-01

    Roč. 78, č. 311 (2011), s. 401-428. ISSN 0013-0427 R&D Projects: GA MŠk LC542 Institutional research plan: CEZ:AV0Z70850503 Keywords : financial development * corporate growth * access to financial markets Subject RIV: AH - Economics Impact factor: 1.152, year: 2011

  2. A Bull Market for Financial Literacy

    Finkel, Ed

    2010-01-01

    School districts across the country have been taking a harder look at what they are teaching students about financial literacy in the wake of the financial crisis of the past few years, caused in part by excessive credit card and mortgage debt. While economics courses have been common for many years, particularly at the high school level,…

  3. Financial Literacy: Getting beyond the Markets

    Stanford, Jim

    2010-01-01

    Recently, several Canadian provinces have added financial literacy into core curriculum for high school students, and in his 2009 budget, federal Finance Minister Jim Flaherty announced the creation of a Task Force to evaluate current financial literacy initiatives. Typically, these initiatives focus on "individual responsibility", implying that…

  4. Diffusion entropy analysis on the scaling behavior of financial markets

    Cai, S M; Yang, C X; Yang, H J; Zhou, P L; Zhou, T

    2006-01-01

    In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the same; with the scale-invariance exponents all in the interval $[0.92, 0.95]$. These results provide a strong evidence of the existence of long-rang correlation in financial time series, thus several variance-based methods are restricted for detecting the scale-invariance properties of financial markets. In addition, a parsimonious percolation model for stock markets is proposed, of which the scaling behavior agrees with the real-life markets well.

  5. Analysis of Financial Markets' Fluctuation by Textual Information

    Izumi, Kiyoshi; Goto, Takashi; Matsui, Tohgoroh

    In this study, we proposed a new text-mining methods for long-term market analysis. Using our method, we analyzed monthly price data of financial markets; Japanese government bond market, Japanese stock market, and the yen-dollar market. First we extracted feature vectors from monthly reports of Bank of Japan. Then, trends of each market were estimated by regression analysis using the feature vectors. As a result, determination coefficients were over 75%, and market trends were explained well by the information that was extracted from textual data. We compared the predictive power of our method among the markets. As a result, the method could estimate JGB market best and the stock market is the second.

  6. Integrating Europe's Securities Markets: The Way Forward

    Daniel Mark Azzopardi

    2011-08-01

    Full Text Available Having been earmarked as one of the primary objectives towards the creation of the Single Market from early on, the consolidation of securities legislation in the EU really took off under the auspices of the Financial Services Action Plan (or FSAP.The implementation of the Plan’s objectives was achieved most successfully through the Lamfalussy approach, a four-level model which was applied successfully to many framework Directives. While the creation of a single legal framework for the Union was in development, numerous efforts had also been made towards other aspects of market integration, namely convergence in interpretation, supervision and enforcement. With the latest round of proposals put forward by the Commission, the European securities market has never looked more likely to becoming a truly unified and singular entity. This article provides a brief overview on how the EU has fared thus far on this monumental project, while highlighting areas which need to be improved, and what measures can be taken to improve them. The article also discusses the latest measures taken by the EU to create a supervisory architecture in the financial services sphere, primarily through the introduction of three regulatory authorities for banking, insurance and securities, with particular focus on the new European Securities Market Authority.

  7. Financial Market Regulation in Germany - Capital Requirements of Financial Institutions

    Daniel Karl Detzer

    2015-03-01

    Full Text Available This paper examines capital adequacy regulation in Germany. The first part reviews capital adequacy regulation from the 1930s up to the financial crisis and identifies two main trends: a gradual softening of the eligibility criteria for equity and increasing reliance on internal risk models. While the first trend has been reversed following the financial crisis, internal risk models still play a central role. Therefore, the second part discusses the problems with the use of internal risk models and discusses the potentials of Basel 2.5 and Basel III to alleviate the identified problems. It is concluded that the relevant problems are not resolved. Therefore, in the final part some suggestions of how the problems could be addressed properly are given.

  8. Higher-order phase transitions on financial markets

    Kasprzak, A.; Kutner, R.; Perelló, J.; Masoliver, J.

    2010-08-01

    Statistical and thermodynamic properties of the anomalous multifractal structure of random interevent (or intertransaction) times were thoroughly studied by using the extended continuous-time random walk (CTRW) formalism of Montroll, Weiss, Scher, and Lax. Although this formalism is quite general (and can be applied to any interhuman communication with nontrivial priority), we consider it in the context of a financial market where heterogeneous agent activities can occur within a wide spectrum of time scales. As the main general consequence, we found (by additionally using the Saddle-Point Approximation) the scaling or power-dependent form of the partition function, Z(q'). It diverges for any negative scaling powers q' (which justifies the name anomalous) while for positive ones it shows the scaling with the general exponent τ(q'). This exponent is the nonanalytic (singular) or noninteger power of q', which is one of the pilar of higher-order phase transitions. In definition of the partition function we used the pausing-time distribution (PTD) as the central one, which takes the form of convolution (or superstatistics used, e.g. for describing turbulence as well as the financial market). Its integral kernel is given by the stretched exponential distribution (often used in disordered systems). This kernel extends both the exponential distribution assumed in the original version of the CTRW formalism (for description of the transient photocurrent measured in amorphous glassy material) as well as the Gaussian one sometimes used in this context (e.g. for diffusion of hydrogen in amorphous metals or for aging effects in glasses). Our most important finding is the third- and higher-order phase transitions, which can be roughly interpreted as transitions between the phase where high frequency trading is most visible and the phase defined by low frequency trading. The specific order of the phase transition directly depends upon the shape exponent α defining the stretched exponential integral kernel. On this basis a simple practical hint for investors was formulated.

  9. Special Features of Development of the Present World Financial Market Structure

    Oleh Patsenko

    2012-03-01

    Full Text Available The article analyzes the different approaches to definition of the world financial market. Basic criterion approaches to the present world financial market structuring have been examined. The own world financial market structure model has been proposed. Current trends in development of the world financial market have been revealed in the perspective of its geographical, functional, monetary and institutional structure.

  10. Financial Repression To Financial Liberalisation Of Indian Banking And Capital Market Sectors (pre &post 1991 Reforms)

    Raghavendra Rao Rentala

    2012-01-01

    Financial sector of any Economy is multi-faceted term. It refers to legal and institutional arrangements, financial intermediaries, markets and instruments with both domestic and external dimensions. The Economic Development of a nation is reflected by the progress of the various economic units, broadly classified into Corporate sector, Government and Household sector. While performing their activities these units will be placed in a surplus/deficit/balanced budgetary situations.Financial sy...

  11. A Trust-Driven Financial Crisis. Implications for the Future of Financial Markets

    Guiso, Luigi

    2010-01-01

    The financial crisis has brought to light diffuse opportunistic behaviour and some serious frauds. Because of this trust towards banks, bankers, brokers and the stock market has collapsed to unprecedented levels and there are so far no signs of recovery. This paper uses survey-based information to document the collapse of trust, show its link to the emergence of frauds in the financial industry and discuss its consequences for the demand of financial instruments, investors portfolios and more...

  12. The Effects of the Global Financial Crisis on China's Financial Market and Macroeconomy

    Nan Zhang; Linyue Li; Willett, Thomas D.

    2012-01-01

    This paper provides a brief review of the increasing importance of China in the world economy and discusses the spillover effects of the global financial crisis on China's financial markets and macroeconomy. It presents and critiques alternative ways of estimating these effects. Contrary to much popular discussion, China was hit fairly hard by the global recession generated by the financial crisis. It suffered a huge drop in exports, and these effects on the economy were only partially offset...

  13. The Values Distribution in a Competing Shares Financial Market Model

    A. Ponzi; Aizawa, Y

    1999-01-01

    We present our competing shares financial market model and describe its behaviour by numerical simulation. We show that in the critical region the distribution avalanches of the market value as defined in this model has a power-law distribution with exponent around 2.3. In this region the price returns distribution is truncated Levy stable with exponent near the observed value.

  14. Price dynamics in financial markets: a kinetic approach

    Dario Maldarella; Lorenzo Pareschi

    2010-01-01

    The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of agents' heterogeneity in emerging power laws for price distributions is emphasized and discussed.

  15. Financial Systems and Capital Markets: an alternative view

    Mavroudeas, Stavros; Lapavitsas, Costas

    1999-01-01

    This paper presents the Marxist theory of the financial system and the capital markets. First, it surveys the orthodox literature on the relationship between finance and the economy. Then, the function of the capital markets is analysed. Finally the differences between the orthodox and the Marxist perspective are being explained.

  16. Marketing of Professional and Financial Services in Croatia

    Durdana Ozretic Dosen; Tanja Kesic; Jozo Previsic

    1999-01-01

    Based on sample survey of professional and financial service companies in Croatia, in this article, the authors try to analyse their marketing orientation in business practices. With the help of the data they assess the extent of companies understanding of usefulness of marketing concepts, methods and techniques in their daily operations.

  17. Nigeria : Financial Sector Review, Volume 3. Non-Bank Financial Institutions and Markets

    World Bank

    2000-01-01

    This report is a comprehensive review of the Nigerian financial system, covering the following areas: i) macro-financial environment; ii) safety and soundness of the banking system; iii) banking supervision; iv) development finance institutions; v) community banks and commercial banks' rural operations; vi) insurance and pensions; vii) housing finance; viii) money and capital markets; and ...

  18. Market Failure, Regulation and Education of Financial Advisors

    Adam Steen

    2016-04-01

    Full Text Available This paper explores the recent series of financial scandals in the Australian financial advice industry. It examines the causes, consequences and responses to theses scandals by financial institutions, investors and regulators through the lens of relevant finance theory and extant literature. Although the paper focuses on the recent Australian experience the discussion and findings presented are of relevance to financial market regulation worldwide. It is proposed that a combination of compensation, education, training and structural reforms are required to reduce the undesirable effects of information asymmetry, adverse selection and moral hazard in the finance sector.

  19. FINANCIAL RATIOS AND STOCK PRICES ON DEVELOPED CAPITAL MARKETS

    BOGDAN DIMA

    2013-03-01

    Full Text Available This study empirically tests for the relevance of a set of financial ratios designed to capture issuers’ financial performance for the dynamics of stock prices, on a dataset of quarterly values for 495 trading quotes from major European capital markets as well as from S&P 500 market covering a time span between 2003/1 and 2011/1. The research hypothesis is that financial ratios reflecting issuers’ financial health matter in the selection of portfolios’ structure. We tested this hypothesis in a GMM methodological framework and found that such relationship holds on long run, even if there appears to be some differences in the reactions of European and United States’ stocks to financial information.

  20. Pareto improving financial innovation in incomplete markets

    Turner, Sergio

    2005-01-01

    Financial innovation in an existing asset generically supports a Pareto improvement, targeting the income effect. This result, as several on taxation, owes to one unifying notion: that an intervention generically supports Pareto improvements if the implied price adjustment is sufficiently sensitive to the economy’s risk aversion. Elul (1995) and Cass and Citanna (1998) introduce financial innovation in a new unwanted asset, targeting the substitution effect. Our result requires an initial pos...

  1. Financial Investment Management: Testing the Market Model on the Romanian Capital Market during the Post Financial Crisis

    Radu CIOBANU

    2011-06-01

    Full Text Available This article presents an analysis of the decision of investing in the capital market in Romania during 2009-2010, in the context of overcoming the global financial crisis. In the first part of the paper, we have made a brief presentation of the simplified model of market analysis introduced in the specialized literature by William Sharpe, the respective model representing the starting point in our study. The purpose of the present study is to emphasize how the evolutions of the financial securities rates listed on the Bucharest Stock Exchange could be explained based on the evolution of BET Romanian capital market index. Although the study over this phenomenon has begun in the middle of the last century, every day new studies appear that are either coming in addition to the already existing ones or are bringing a new approach regarding the financial theory. The novelty of the present study conducted by us resides in the highlighting of the evolutions of the financial securities rates during July 2009 – December 2010 periods. The second part of the paper presents the results of a study conducted on the Romanian capital market, emphasizing the correlations between the most important securities on the Romanian capital market, as parts of BET index and market index. The aim is to check whether during this period the evolution of the financial securities’ return can be explained more or less by the return of the capital market.

  2. A statistical physics perspective on criticality in financial markets

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems, but little statistically founded evidence has been given. Through a data-based methodology and comparison to simulations inspired by the statistical physics of complex systems, we show that the Dow Jones and index sets are not rigorously critical. However, financial systems are closer to criticality in the crash neighborhood. (paper)

  3. A statistical physics perspective on criticality in financial markets

    Bury, Thomas

    2013-11-01

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems, but little statistically founded evidence has been given. Through a data-based methodology and comparison to simulations inspired by the statistical physics of complex systems, we show that the Dow Jones and index sets are not rigorously critical. However, financial systems are closer to criticality in the crash neighborhood.

  4. A statistical physics perspective on criticality in financial markets

    Bury, Thomas

    2013-01-01

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems but few statistically founded evidence have been given. Through a data-based methodology and comparison to simulations inspired by statistical physics of complex systems, we show that the Dow Jones and indices sets are not rigorously critical. However, financial systems are closer to the criticality in the crash neighborhood.

  5. TRENDS IN THE RUSSIAN FINANCIAL MARKET CONDITIONS AND INTEGRATION INTO THE GLOBAL FINANCIAL SYSTEM/ТЕНДЕНЦИИ РОССИЙСКОГО ФИНАНСОВОГО РЫНКА И УСЛОВИЯ ИНТЕГРАЦИИ В МИРОВУЮ ФИНАНСОВУЮ СИСТЕМУ

    A.A. Kotova

    2013-07-01

    Full Text Available The article presents the trends in the Russian financial market and the conditions for integration into the global financial system. Main directions of integration of the financial market of Russia into the global financial system, such as: reform of the existing model of the financial market in Russia with respect to evade speculative model integration and development with developing countries, countries of CIS and BRIC. Stimulation of real investment in the Russian economy. Regular monitoring of investment imbalances in the framework of the state investment policy with regard to determine the excess or deficit of the necessary investment capital by comparing the maximum amount of available internal resources and investment needs within the planned period.

  6. Co-movements between Latin American and U.S. stock markets: convergence after the financial crisis

    Ramrez Hassan, Andrs; Pantoja Robayo, Javier

    2013-01-01

    Currently, the world is facing a continuous process of integration in different aspects and financial markets are no exception to this development. Despite the fact that global integration is gradual, one can find some specific events that might help to accelerate this trend. This paper shows that after the financial crisis of 2008, which mainly occurred in the United States, the Latin American stock markets exhibit a higher level of convergence, measured by the correlation between the annual...

  7. Dynamics of a financial market index after a crash

    Fabrizio Lillo; Mantegna, Rosario N.

    2002-01-01

    We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. By performing numerical simulations and theoretical modelling, we show that the nonlinear behavior observed in real market crashes cannot be described by a GARCH(1,1) model. We ...

  8. Credit Rating Agencies, Financial Regulations and the Capital Markets

    Shahzad, Khurram

    2013-01-01

    textabstractThis thesis studies the role of credit rating agencies (CRAs) in capital markets, and the effects of two important regulatory decisions that are taken to improve the quality of information available to the capital markets. In particular, this thesis examines a) the importance of credit ratings to the debt markets and the level of trust investors place on CRAs b) whether the adoption of International Financial Reporting Standards (IFRS) improves the quality of accounting informatio...

  9. Order Book, Financial Markets and Self-Organized Criticality

    Biondo, Alessio Emanuele; Pluchino, Alessandro; Rapisarda, Andrea

    2016-01-01

    We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model shows the role played by individual imitation in determining trading decisions, while fruitfully replicates typical aggregate market behavior as the "self-fulfilling prophecy". We also address the role of random traders as a possible decentralized solution to dampen market fluctuations.

  10. A statistical physics perspective on criticality in financial markets

    Thomas Bury

    2013-01-01

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems but few statistically founded evidence have been given. Through a data-based methodology and comparison to simulations inspired b...

  11. Quantifying trading behavior in financial markets using Google Trends.

    Preis, Tobias; Moat, Helen Susannah; Stanley, H Eugene

    2013-01-01

    Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as "early warning signs" of stock market moves. Our results illustrate the potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior. PMID:23619126

  12. Consolidated supervision of financial institutions and financial market in the Republic of Croatia

    Bojana Olgić Draženović

    2005-06-01

    Full Text Available The question of regulation and supervision of all parts of financial system is of major importance for any country. In order to protect the interest of the society and to accelerate the economic development, it is necessary to provide adequate legal framework as well as independent supervision institutions. The regulations refer mostly to maintenance of financial stability and consumer protection. The article points out that the structure of the financial sector in the Republic of Croatia is underdeveloped and characterized by domination of the banking sector. Therefore, bank supervision is one of the main tasks of Croatian national bank and all other financial institutions (except banks are regulated by other regulatory institutions. The problems of authority overlapping and insufficient regulation are becoming more complex by the development of financial sector and especially by the deregulation of financial markets. Because of that, it is reasonable to investigate the existing regulatory framework of Croatian financial system concerning its structure and development.

  13. Uncovered Interest Parity and Financial Market Volatility

    Alexandra Horobet; Sorin Dumitrescu; Dan Gabriel Dumitrescu

    2009-01-01

    Our paper addresses the relationship between exchange rates changes and interest rate differentials in the UIP framework, by taking into account capital market and foreign exchange market volatility. We use eight currencies, of which five are Central and Eastern European and three are developed markets currencies, and their relationship to the US dollar. We use OLS regressions to capture the influence of volatility on UIP testing. We find that UIP is not validated, overall and in times of hig...

  14. Financial market heterogeneity: Implications for the EMU

    Gareis, Johannes; Mayer, Eric

    2012-01-01

    This paper evaluates business cycle and welfare effects of cross-country mortgage market heterogeneity for a monetary union. By employing a calibrated two-country New Keynesian DSGE model with collateral constraints tied to housing values, we show that a change in cross-country institutional characteristics of mortgage markets, such as the LTV ratio, is likely to be an important driver of an asymmetric development in housing markets and real economic activity of member states. Our welfare ana...

  15. Testing the Informational Efficiency on the Romanian Financial Market

    Bogdan Dima

    2006-01-01

    Full Text Available The classical models of portfolio selection could not be applied on a market were the efficient market hypothesis is not valid (at least in a "weak" sense. The aim of this paper is to enlighten the difficulties of portfolio construction in a financial market with institutional and structural deficiencies, like the Romanian one, and to propose an alternative approach to the problem. The main features of our analysis are: 1 an empirical test for the efficient market hypothesis in the Romanian financial market case; 2 a critical distinction between the concept of "risk" and the concept of "incertitude"; 3 the use of the individual yield/risk ratio versus the market one as a selection variable; 4 the renouncement at the use in the selection procedure of an "non-risky" asset; 5 an example of the proposed selection procedure. The output of this approach could be resumed by the thesis that, even in a situation when the financial market is affected by severe disfunctions, there is a possibility to build an "optimal" portfolio based on a yield-risk arbitrage inside an efficiency frontier and to obtain a "good" schema of an financial placement, in spite of the limited possibilities for a efficient portfolio management.

  16. Testing the Informational Efficiency on the Romanian Financial Market

    Aurora Murgea

    2006-03-01

    Full Text Available The classical models of portfolio selection could not be applied on a market were the efficient market hypothesis is not valid (at least in a “weak” sense. The aim of this paper is to enlighten the difficulties of portfolio construction in a financial market with institutional and structural deficiencies, like the Romanian one, and to propose an alternative approach to the problem. The main features of our analysis are: 1 an empirical test for the efficient market hypothesis in the Romanian financial market case; 2 a critical distinction between the concept of “risk” and the concept of “incertitude”; 3 the use of the individual yield/risk ratio versus the market one as a selection variable; 4 the renouncement at the use in the selection procedure of an “non-risky” asset; 5 an example of the proposed selection procedure. The output of this approach could be resumed by the thesis that, even in a situation when the financial market is affected by severe disfunctions, there is a possibility to build an “optimal” portfolio based on a yield-risk arbitrage inside an efficiency frontier and to obtain a “good” schema of an financial placement, in spite of the limited possibilities for a efficient portfolio management.

  17. The Value of Institutions for Financial Markets: Evidence From Emerging Markets

    Thomas Stratmann; Bernardin Akitoby

    2009-01-01

    This paper investigates the value of political institutions for financial markets, using panel data from emerging market countries. We test the hypothesis that changes in political institutions, such as improvements in democratic rights and increased government accountability, have a direct effect on sovereign interest rate spreads. We find that financial markets value institutions over and above the economic and fiscal outcomes these institutions shape. Democracy and accountability generally...

  18. Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress

    Distinguin, Isabelle; Rous, Philippe; Tarazi, Amine

    2006-01-01

    We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We also study the robustness of the link between market information and financial downgrading in the light of the safety net and asymmetric information hypotheses. Some of our results support the use of m...

  19. Financialization is marketization! A study on the respective impact of various dimensions of financialization on the increase in global inequality

    Godechot, Olivier

    2015-01-01

    In this paper, we study the impact of financialization on the rise in inequality in 18 OECD countries from 1970 to 2011 and measure the respective roles of various forms of financialization: the growth of the financial sector; the growth of one of its subcomponents, financial markets; the financialization of non-financial firms; and the financialization of households. We test these impacts using cross-country panel regressions in OECD countries. As dependent measures we use Solt’s (2009) Gini...

  20. Market integration and market concentration in horizontally differentiated industries

    Eckel, Carsten

    2001-01-01

    This paper derives the impact of market integration on equilibrium firm size and market concentration in horizontally differentiated industries. We show that market concentration (measured by the number of firms) can rise as a consequence of market integration if firms engage in R&D competition. We also demonstrate that whether concentration occurs or not depends on the R&D production function and on consumer preferences. This result implies that the welfare effects of market integration are ...

  1. A Threshold Model of Financial Markets

    Sieczka, P.; Ho?yst, J. A.

    2008-09-01

    We proposed a model of interacting market agents based on the generalized Ising spin model. The agents can take three actions: "buy", "sell", or "stay inactive". We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.

  2. ACCOUNTING FOR MARKETING: MARKETING PERFORMANCE THROUGH FINANCIAL RESULTS

    Levent KOSAN

    2014-10-01

    Full Text Available Accounting, especially strategic management accounting, provides significant contributions to companies for decisions in environments of intense competition. Accounting, which has positive effects of company strategy development and management, has become a required facet of marketing, another area that has gained significance. The aim of this study is to assess the contributions of accounting to marketing performance management and other areas related to marketing development and to evaluate the relationship and synergies between marketing and accounting with comparative examples.

  3. Integration of liberalised energy market

    The markets for electricity, natural gas and district heating are inter-linked both with respect to the energy flows and with respect to ownership of supply sources and infrastructure. The extent and the possible consequences of these linkages are examined in this report. The options for public interventions in these markets are analysed to compare instruments with respect to their ability to provide the necessary incentives for an efficient functioning of the liberalised markets. Aspects of retail markets with households facing multi-product distribution companies and aspects of the production of combined heat and power based on natural gas has been covered. This project identifies some important aspects related to final consumers and the interaction of markets with different types of regulation and scope for liberalisation. From a Danish perspective the district heat market and the dependence on market conditions for natural gas is a specific concern. Consumer concerns also relate to the creation of multi-product energy distribution companies that are privately owned and possibly controlled by foreign interests. Such companies might use bundled sales of energy products to extent their dominant position in one market e.g. a regulated heat market to a market with considerable competition (electricity). Bundled sales would not necessarily result in a loss for the consumer due to economies of scope in supplying energy products. However, the regulatory authorities responsible for district heat prices will have a more complicated job in surveying the bundled price setting. Integration of activities within natural gas distribution and CHP production has been analysed with respect to incentives and welfare implications. Results of the project point to critical market conditions and identify areas of concern for regulatory policies. The analysis shows that there is a large welfare loss associated with having monopolies in both natural gas supplies and the CHP production. If liberalisation allows integration of these two energy markets welfare would be improved relative to the first case. Furthermore the analysis shows that the existence of differentiated electricity production technology (fuels) reduces the welfare loss from the monopoly in the natural gas supply even though the natural gas keeps a high market share. (au)

  4. The Marketing Plan: An Integrative Device for Teaching Marketing Management.

    Berdine, W. R.; Petersen, James C.

    1980-01-01

    The importance of the marketing plan is stressed as an integrative device for teaching marketing management, and a structure is presented to assist students in designing a marketing plan. Components of this plan include marketing objectives, targeting market and buying motives, external environment and competition, product, price, and promotion.

  5. The Marketing Plan: An Integrative Device for Teaching Marketing Management.

    Berdine, W. R.; Petersen, James C.

    1980-01-01

    The importance of the marketing plan is stressed as an integrative device for teaching marketing management, and a structure is presented to assist students in designing a marketing plan. Components of this plan include marketing objectives, targeting market and buying motives, external environment and competition, product, price, and promotion.…

  6. The internalist perspective on inevitable arbitrage in financial markets

    Matsuno, Koichiro

    2003-06-01

    Arbitrage as an inevitable component of financial markets is due to the robust interplay between the continuous and the discontinuous stochastic variables appearing in the underlying dynamics. We present empirical evidence of such an arbitrage through the laboratory experiment on a portfolio management in the Japan-United States financial markets over the last several years, under the condition that the asset allocation was updated every day over the entire period. The portfolio management addressing the foreign exchange, the stock, and the bond markets was accomplished as referring to and processing only those empirical data that have been complied by and made available from the monetary authorities and the relevant financial markets so far. The averaged annual yield of the portfolio counted in the denomination of US currency was slightly greater than the averaged yield of the same physical assets counted in the denomination of Japanese currency, indicating the occurrence of arbitrage pricing in the financial markets. Daily update of asset allocation was conducted as referring to the predictive movement internal to the dynamics such that monetary flow variables, that are discontinuously stochastic upon the act of measurement internal to the markets, generate monetary stock variables that turn out to be both continuously stochastic and robust in the effect.

  7. Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange Rates

    Achim Koberstein; Elmar Lukas; Marc Naumann

    2013-01-01

    In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variabl...

  8. Complex systems: from nuclear physics to financial markets

    We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate the financial empirical correlation matrix of the DAX and Dow Jones. We will show, that if the time-zone delay is properly accounted for, the two distinct markets largely merge into one. This is reflected by the largest eigenvalue that develops a gap relative to the remaining, chaotic eigenvalues. By extending investigations of the specific character of financial collectivity we also discuss the criticality-analog phenomenon of the financial log-periodicity and show specific examples.

  9. Hitting Time Distributions in Financial Markets

    Valenti, D; Spagnolo, B; Bonanno, Giovanni; Spagnolo, Bernardo; Valenti, Davide

    2006-01-01

    We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.

  10. Heterogeneous volatility cascade in financial markets

    Gilles Zumbach; Paul Lynch

    2001-01-01

    Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the next time period is a measure of the response function of the market participants. This correlation shows explicitly the heterogeneous structure of the market according to the characteristic time horizons of the differents agents. It reveals a volatility...

  11. A threshold Potts model of financial markets

    Sieczka, Pawe?

    2007-01-01

    We proposed a model of interacting market agents based on the Potts spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of magnetization of the system. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns, volatility clustering and a power-low decay of autocorrelation of absolute returns.

  12. On the Market Risks Prevention of China’s Commercial Banks’Financial Product under the Financial Crisis

    Mengchun Ding; Hongxin Li

    2009-01-01

    The year 2009 faces significant changes of economy. In front of the global financial crisis originated from Wall Street sub-prime mortgage crisis, China will be affected inevitably. The financial products market of the banking industry suffers from serious test. Starting from the concept, the classification, the risks, and the development of China’s commercial banks’ financial products, this paper analyzes the market risks of China’s commercial banks’ financial products under the financial cr...

  13. Estimating WACC for Regulated Industries on Developing Financial Markets and in Times of Market Uncertainty

    Igor Stubelj

    2014-03-01

    Full Text Available The paper deals with the estimation of weighted average cost of capital (WACC for regulated industries in developing financial markets from the perspective of the current financial-economic crisis. In current financial market situation some evident changes have occurred: risk-free rates in solid and developed financial markets (e. g. USA, Germany have fallen, but due to increased market volatility, the risk premiums have increased. The latter is especially evident in transition economies where the amplitude of market volatility is extremely high. In such circumstances, there is a question of how to calculate WACC properly. WACC is an important measure in financial management decisions and in our case, business regulation. We argue in the paper that the most accurate method for calculating WACC is the estimation of the long-term WACC, which takes into consideration a long-term stable yield of capital and not the current market conditions. Following this, we propose some solutions that could be used for calculating WACC for regulated industries on the developing financial markets in times of market uncertainty. As an example, we present an estimation of the capital cost for a selected Slovenian company, which operates in the regulated industry of electric distribution.

  14. Linking Financial Market Dynamics and the Impact of News

    Nacher, J. C.; Ochiai, T.

    2011-09-01

    In financial markets, he behavior of investors determines the prices of financial products. However, these investors can also be influenced by good and bad news. Here, we present a mathematical model to reproduce the price dynamics in real financial markets affected by news. The model has both positive and negative feed-back mechanisms. Furthermore, the behavior of the model is examined by considering two different types of noise. Our results show that the dynamic balance of positive and negative feed-back mechanisms with the noise effect determines the asset price movement. For comparison with real market, we have used the Forex data corresponding to the time period of the recent Tohoku-Kanto earthquake in Japan.

  15. Networks in financial markets based on the mutual information rate

    Fiedor, Pawe?

    2014-05-01

    In the last few years there have been many efforts in econophysics studying how network theory can facilitate understanding of complex financial markets. These efforts consist mainly of the study of correlation-based hierarchical networks. This is somewhat surprising as the underlying assumptions of research looking at financial markets are that they are complex systems and thus behave in a nonlinear manner, which is confirmed by numerous studies, making the use of correlations which are inherently dealing with linear dependencies only baffling. In this paper we introduce a way to incorporate nonlinear dynamics and dependencies into hierarchical networks to study financial markets using mutual information and its dynamical extension: the mutual information rate. We show that this approach leads to different results than the correlation-based approach used in most studies, on the basis of 91 companies listed on the New York Stock Exchange 100 between 2003 and 2013, using minimal spanning trees and planar maximally filtered graphs.

  16. FBIH financial market segmentation on the basis of image factors

    Arnela Bevanda

    2008-12-01

    Full Text Available The aim of the study is to recognize, single out and define market segments useful for future marketing strategies, using certain statistical techniques on the basis of influence of various image factors of financial institutions. The survey included a total of 500 interviewees: 250 bank clients and 250 clients of insurance companies. Starting from the problem area and research goal, the following hypothesis has been formulated: Basic preferences of clients in regard of image factors while selecting financial institutions are different enough to be used as such for differentiating significant market segments of clients. Two segments have been singled out by cluster analysis and named, respectively, traditionalists and visualists. Results of the research confirmed the established hypothesis and pointed to the fact that managers in the financial institutions of the Federation of Bosnia and Herzegovina (FBIH must undertake certain corrective actions, especially when planning and implementing communication strategies, if they wish to maintain their competitiveness in serving both selected segments.

  17. Analysis of Spin Financial Market by GARCH Model

    A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GARCH model. It is found that volatility determined by the GARCH model exhibits ''volatility clustering'' also observed in the real financial markets. Using volatility determined by the GARCH model we examine the mixture-of-distribution hypothesis (MDH) suggested for the asset return dynamics. We find that the returns standardized by volatility are approximately standard normal random variables. Moreover we find that the absolute standardized returns show no significant autocorrelation. These findings are consistent with the view of the MDH for the return dynamics

  18. Corporate Investments in Asian Emerging Markets: Financial Conditions, Financial Development, and Financial Constraints

    Wang, Jianxin; Gochoco-Bautista, Maria Socorro; Sotocinal, Noli

    2013-01-01

    Motivated by the literature on the finance–growth nexus, this paper explores the mechanisms through which finance affects corporate investments and capital accumulation. We separate the effects of financial conditions from those of financial development. Based on a sample of firms from five Asian emerging economies, we find that (1) financial conditions and financial development affect corporate investments through different channels. Financial conditions affect firms' growth opportunities an...

  19. Essays on the Economics of Risk and Financial Markets

    Turley, Robert Staffan

    2013-01-01

    Prices in financial markets are primarily driven by the interaction of risk and time. The returns to financial assets over long time horizons are primarily driven by fundamental news regarding their promised cash flows. In contrast, short-run price variation is associated with a large degree of predictable, transient investor trading behavior unrelated to fundamental prospects. The quantity of long-run risk directly affects economic well-being, and its magnitude has varied significantly over ...

  20. Why Do Financial Market Experts Misperceive Future Monetary Policy Decisions?

    Schmidt, Sandra; Nautz, Dieter

    2010-01-01

    This paper investigates why financial market experts misperceive the interest rate policy of the European Central Bank (ECB). Assuming a Taylor-rule-type reaction function of the ECB, we use qualitative survey data on expectations about the future interest rate, inflation, and output to discover the sources of in- dividual interest rate forecast errors. Based on a panel random coefficient model, we show that financial experts have systematically misperceived the ECB's in- terest rate rule. Ho...

  1. Central Banks Leadership and their Influence over Financial Markets

    Valentin Mihai Leoveanu

    2015-01-01

    In the years after the global financial crisis, central banks have undergone to a tremendous pressure from financial markets, from the real economy, but also from the population and politicians. Each part is interrelated with each other, but is in different positions in terms of the influence exerted on the other, in terms of the means and instruments through which their interest must prevail against the other parties. In this context, the leadership of a central bank is the key to the proper...

  2. Essays on the Real Effects of Financial Market Fluctuations

    Giuliano, Fernando Mauro

    2015-01-01

    In the following essays I study the effects of disruptions in financial markets on aggregate outcomes.In the first two chapters, I study the transmission mechanisms from financial crises to the real economy in emerging countries, in environments where firms set heterogeneous markups. The introduction of heterogeneous markups is backed by data: I document that there is evidence of firms setting heterogeneous markups using microdata for Argentina and Colombia. As an endogenous source of resourc...

  3. Optimal monetary policy, exchange rate misalignments and incomplete financial markets

    Senay, Ozge; Sutherland, Alan James

    2016-01-01

    Recent literature on monetary policy in open economies shows that, when international financial trade is restricted to a single non-contingent bond, there are significant internal and external trade-offs that prevent optimal policy from simultaneously closing all welfare gaps. This implies an optimal policy which deviates from inflation targeting in order to offset real exchange rate misalignments. These simple models are, however, not good representations of modern financial markets. This pa...

  4. ACCOUNTING FOR MARKETING: MARKETING PERFORMANCE THROUGH FINANCIAL RESULTS

    Levent KOSAN

    2014-01-01

    Accounting, especially strategic management accounting, provides significant contributions to companies for decisions in environments of intense competition. Accounting, which has positive effects of company strategy development and management, has become a required facet of marketing, another area that has gained significance. The aim of this study is to assess the contributions of accounting to marketing performance management and other areas related to marketing development and to evaluate...

  5. Novel indexes based on network structure to indicate financial market

    Zhong, Tao; Peng, Qinke; Wang, Xiao; Zhang, Jing

    2016-02-01

    There have been various achievements to understand and to analyze the financial market by complex network model. However, current studies analyze the financial network model but seldom present quantified indexes to indicate or forecast the price action of market. In this paper, the stock market is modeled as a dynamic network, in which the vertices refer to listed companies and edges refer to their rank-based correlation based on price series. Characteristics of the network are analyzed and then novel indexes are introduced into market analysis, which are calculated from maximum and fully-connected subnets. The indexes are compared with existing ones and the results confirm that our indexes perform better to indicate the daily trend of market composite index in advance. Via investment simulation, the performance of our indexes is analyzed in detail. The results indicate that the dynamic complex network model could not only serve as a structural description of the financial market, but also work to predict the market and guide investment by indexes.

  6. THE ROLE OF THE FINANCIAL SYSTEM IN MARKET ECONOMY

    CĂRUNTU GENU ALEXANDRU

    2015-12-01

    Full Text Available Financial system can be approached from the perspective of sales in socio-economic system, namely a global financing mechanism, taking version account specific components, such as: normative base regulatory a financialmonetary methods, forms and techniques version running streams Monetary Financial methods, techniques usable forms and version carrying cash flows, financial levers. Integration contexts, the financial system becomes part of gear intended to ensure implementation and regulation of money flows version compared with the normal performance requirements of real processes in the economy.

  7. Indexation and causation of financial markets

    Tanokura, Yoko

    2015-01-01

    This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box–Cox transformed prices is estimated by fitting a trend model with time-varying observation noises. By applying state space modeling, the estimation is performed and missing observations are automatically interpolated. Finally, the index is defined by taking the inverse Box–Cox transformation of the optimal long-term trend. This book applies the method to various financial data. ...

  8. Vertical integration and market power

    Maddigan, R.J.

    1980-01-01

    One of the continuing debates of industrial organization surrounds the importance of market structure in determining a firm's performance. This controversy develops naturally from the difficulties in measuring the relevant variables and the hazards of statistical analysis. The focus of this empirical study is the relationship between vertical integration, as an element of market structure, and market power, as a component of a firm's performance. The model presented in this paper differs from previous efforts because vertical integration is measured by the Vertical Industry Connections (VIC) index. VIC is defined as a function of the relative net interactions among the industries in which a firm operates, and is calculated by use of the national input-output tables. A linear regression model is estimated by means of a random sample of firms selected from the Standard and Poor's COMPUSTAT data base for 1963, 1967, and 1972. Combined cross-sectional, time-series methods are employed. The dependent variable is the price-cost margin; the independent variables include not only VIC, but also the concentration ratio, diversification index, value of assets, capital-output ratio, and sales growth. The results indicate that VIC is significant in increasing the price-cost margin, and thus support the hypothesis that vertical integration is a strategy to enhance market power. 1 figure, 3 tables.

  9. Subprime crisis and instability of global financial markets

    Radonjić Ognjen

    2010-01-01

    Full Text Available In order to prescribe adequate remedies to treat the current financial crisis one has to understand what in the first place went wrong. An age ago, older generations wrote that disease could not be cured without an accurate diagnosis. In contrast to mainstream 'efficient markets hypothesis' we argue that Minsky's financial instability hypothesis gives numerous valuable insights into sources and possible consequences of current global financial crisis. Furthermore, two decades ago Hyman P. Minsky predicted possible developments and perils of ever growing process of securitization of illiquid assets.

  10. General autocatalytic theory and simple model of financial markets

    Thuy Anh, Chu; Lan, Nguyen Tri; Viet, Nguyen Ai

    2015-06-01

    The concept of autocatalytic theory has become a powerful tool in understanding evolutionary processes in complex systems. A generalization of autocatalytic theory was assumed by considering that the initial element now is being some distribution instead of a constant value as in traditional theory. This initial condition leads to that the final element might have some distribution too. A simple physics model for financial markets is proposed, using this general autocatalytic theory. Some general behaviours of evolution process and risk moment of a financial market also are investigated in framework of this simple model.

  11. DETERMINANTS OF BANKS’ COMPETITIVENESS IN LOCAL FINANCIAL MARKETS

    Ryszard Kata

    2012-04-01

    Full Text Available The article presents the analysis of determinants of banks’ competitiveness in local financial markets, with respect to local (cooperative banks and branches of large commercial banks. The paper also evaluates the competitive position of the banks using the synthetic measure of competitive advantage MPK. The article proves that tere are considerable differences between the analyzed groups of banks, in terms of their competitiveness and its determining factors (which are banks’ assets. The paper also indicates the areas in which particular banks shouldmake changes in their resources and operational strategies in order to improve their competitiveness in local financial markets.

  12. Federal coal leases: marketing, management and financial profiles

    1981-01-01

    Presented is a compilation of US government data that provides operating and financial details concerning all existing federal coal leases. Up to 352 details of each of the 588 leases in 14 states are given. These details are grouped into 6 major categories: (1) financial profiles; (2) technical profiles; (3) marketing profiles/producing leases; (4) marketing profiles/nonproducing leases; (5) production profiles; and (6) lease owner information. The source of the data is the US Department of Interior's Automated Coal Leasing System. (JMT)

  13. Risk efficiency of hedging strategy in China financial market

    Haochen Guo

    2016-03-01

    Full Text Available This paper presents the analysis of China financial market and method of hedging optimization for compute expected shortfall risk based on attitude towards risk under the Black–Scholes model. The application demonstrates an example of the efficient hedging strategy for call option in the Black–Scholes model based on geometric Brownian motion with loss function. The data of illustrations which applies in China financial market. The resulting efficient hedges allow the investor to interpolate in a systematic way extreme of partial hedging (between no hedge and full hedge that depend on the accepted level of shortfall risk.

  14. The Use of Financial Derivatives in Emerging Market Economies: An Empirical Evidence from Bosnia and Herzegovina's Non-Financial Firms

    Emira Kozarevic; Meldina Kokorovic Jukan; Beriz Civic

    2014-01-01

    This paper discusses development of financial derivatives markets in emerging market economies, focusing on the use of financial derivatives in risk management purposes of non-financial firms in Bosnia and Herzegovina. For achieving the research goals authors collected data on the derivatives market structure and types of derivative instrument traded, focusing commercial banks, because of the authors¡¯ prior knowledge of the derivatives market. Additionally, in order to assess the current sta...

  15. Forecasting Financial Time-Series using Artificial Market Models

    Gupta, N; Johnson, N F; Gupta, Nachi; Hauser, Raphael; Johnson, Neil F.

    2005-01-01

    We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach to market prediction - in particular, forecasting financial time-series by training a third-party or 'black box' game on the financial data itself -- was discussed by Johnson et al. in cond-mat/0105303 and cond-mat/0105258 and was based on some encouraging preliminary investigations of the dollar-yen exchange rate, various individual stocks, and stock market indices. However, the initial attempts lacked a clear formal methodology. Here we present a detailed methodology, using optimization techniques to build an estimate of the strategy distribution across the multi-trader population. In contrast to earlier attempts, we are able to present a systematic method for identifying 'pockets of predictability' in real-world markets. We find that as each pocket closes up, the black-box system needs to be 'reset' - which is equivalent to sayi...

  16. The Integration of Corporate Non-Market and Market Strategies

    Xie, Peihong; Li, Xin; Xie, Xuemei

    2014-01-01

    : For the why question, the authors use a formal model to demonstrate that the essence of the most important type of integration synergy lies in the positive spillover or externality from non-market to market strategies. For the what question, the authors identify the contents of integration at three......Purpose: This paper aims to systematically examine the key notion of integration of non-market and market strategies in the increasingly popular study of corporate non-market strategies. Design/methodology/approach: This paper is based on a brief literature review of the non-market strategy (NMS......) research that shows the existing literature does not offer a clear and systematic account of the key notion of integration. It suggests any systematic account of integration should address at least three interrelated questions, i.e. why, what and how to integrate non-market and market strategies? Findings...

  17. Hitting Time Distributions in Financial Markets

    Davide Valenti; Bernardo Spagnolo; Giovanni Bonanno

    2006-01-01

    We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with...

  18. Emerging Markets Spreads and Global Financial Conditions

    Alessio Ciarlone; Paolo Piselli; Giorgio Trebeschi

    2007-01-01

    In this article, we analyse how much of the reduction in emerging markets spreads can be ascribed to specific factors - linked to the improvement in the 'fundamentals' of a given country - rather than to common factors - linked to global liquidity conditions and agents� degree of risk aversion. By means of factor analysis, we find that a single common factor is able to explain a large part of the co-variation in emerging market economies spreads observed in the last four years; on its turn,...

  19. Models of Financial Markets with Extensive Participation Incentives

    Yeung, C H; Zhang, Y -C

    2007-01-01

    We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with several attractor behaviors resembling those of real markets emerge, reflecting the roles played by the arbitrageurs and trendsetters, and including a phase with irregular price trends and positive sums. The positive-sumness of the players' wealths provides participation incentives for them. Evolution and the bid-ask spread provide mechanisms for the gain in wealth of both the players and market-makers. The enhanced survival of the new players through strategy pre-learning provides a mechanism to attract an influx of new players. We test the applicability of the model on real Hang Seng Index data over 20 years. Comparisons with other models show that our model has a superior average performance when applied to real financial data.

  20. Endogenous versus Exogenous Crashes in Financial Markets

    Johansen, A

    2002-01-01

    We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which allows for a certain degree of fuzziness in the definition of cumulative losses and improves on the statistics of our previous results on the existence of ``outliers'' or ``kings.'' Then, for each identified outlier, we check whether log-periodic power law signatures (LPPS) are present and take the existence of LPPS as the qualifying signature for an endogenous crash: this is because a drawdown outlier is seen as the end of a speculative unsustainable accelerating bubble generated endogenously. In the absence of LPPS, we are able to identify what seems to have been the relevant historical event, i.e., a new piece of information of such magnitude and impact that it is seems reasonable to attribute t...

  1. Fluctuations and Market Friction in Financial Trading

    Rosenow, B

    2001-01-01

    We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.

  2. Fluctuations and Market Friction in Financial Trading

    Rosenow, Bernd

    We study the relation between stock price changes and the difference in the volume of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.

  3. MONETARY POLICY AND PARALLEL FINANCIAL MARKETS

    Adela IONESCU

    2015-07-01

    Full Text Available Monetary policy is one of the economic policy "tools" through which it acts on the currency demand and supply in the economy. The importance of monetary policy results from its primary objective - price stability, plus limiting inflation and maintaining internal and external value of the currency. Responsibility for achieving these objectives rests with the Central Bank, which has a monopoly in the formulation and the implementation of monetary policy targets. Price stability is the primary objective of monetary policy and also the central objective of economic policy, alongside with: sustainable economic growth, full employment of labor force, balance of external payments equilibrium. To achieve these overall objectives of economic policy, monetary policy acts through currency as an instrument of action and it represents the overall action exercised by the monetary authority to influence economic development and to ensure price stability. In economic processes numerous factors emerge to the sale or purchase of capital available for a shorter or longer period and to achieving their aspirations of maximize capital gains, they are negotiating, they are confronting and agreeing within specific market relationships. The entirety of relations between various economic issues, enterprises and individuals, between them and the banking intermediaries, as well as the relationship between banks and other credit institutions on the transfer of cash money as specific form of debt and fructification of capital, form capital markets or credit markets. These markets are carved up according to the nature and purposes of the participants.

  4. Sentiment indices on financial markets: What do they measure?

    Bormann, Sven-Kristjan

    2013-01-01

    Sentiment indices based on investor sentiment surveys attempt to measure the stock market sentiment. The literature on these indices focusses mainly on whether investor sentiment influences the financial markets or not. But the term 'sentiment' has never been defined in the literature. Therefore it is unclear what is measured by sentiment indices, whether it is really sentiment or something different. This paper closes this gap in the literature by using psychological definitions about feelin...

  5. Financial Markets and HFT - An Information Management Perspective

    Theodoulidis, Babis

    2013-01-01

    A key message: despite commonly held negative perceptions, the available evidence indicates that high frequency trading (HFT) and algorithmic trading (AT) may have several beneficial effects on markets. However, HFT/AT may cause instabilities in financial markets in specific circumstances. This Project has shown that carefully chosen regulatory measures can help to address concerns in the shorter term. However, further work is needed to inform policies in the longer term, particularly in view...

  6. Czech Swap Curve, Economic Fundamentals and Financial Markets

    Pohl, Martin

    2010-01-01

    We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output ga...

  7. Financial market volatility and inflation uncertainty: An empirical investigation

    Döpke, Jörg; Pierdzioch , Christian

    1999-01-01

    Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of t...

  8. Volatility and Causality in Asia Pacific Financial Markets

    Weber, Enzo

    2007-01-01

    The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows the identification of the contemporaneous effects between the variables. Structural VARs or VECMs can therefore give answers to questions of exchange rate stabilisation, moneta...

  9. Business groups in emerging markets: financial control and sequential investment

    Hainz , Christa

    2006-01-01

    Business groups in emerging markets perform better than unaffiliated firms. One explanation is that business groups substitute some functions of missing institutions, for example, enforcing contracts. We investigate this by setting up a model where firms within the business group are connected to each other by a vertical production structure and an internal capital market. Thus, the business group’s organizational mode and the financial structure allow a self-enforcing contract to be design...

  10. Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

    Drehmann, Mathias; Oechssler, Jörg; Roider, Andreas

    2004-01-01

    Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6400 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavio...

  11. Herding and Contrarian Behavior in Financial Markets: An Internet Experiment

    Drehmann, M.; Oechssler, J.; Roider, Andreas

    2005-01-01

    We report results of an Internet experiment designed to test the theory of informational cascades in financial markets (Christopher Avery and Peter Zemsky, 1998). More than 6,400 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. We find that the presence of a flexible market price prevents herding. The presence of contrarian behavior distorts prices, however, and even after 20 decisions, convergence to the fundamental val...

  12. Herding and Contrarian Behavior in Financial Markets: An Internet Experiment

    Drehmann, Mathias; Oechssler, Jörg; Roider, Andreas

    2002-01-01

    We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavior, which can (partly) be rationalized via error models, distorts prices,...

  13. Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

    Drehmann, Mathias; Oechssler, Jörg; Roider, Andreas

    2004-01-01

    Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004: We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6400 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behav...

  14. Financial analysts and information flows in the markets

    Druz, Marina; Degeorge, François

    2010-01-01

    The aim of this research project is to discuss the information flow between managers, analysts and investors in the financial markets. It examines the official information releases such as quarterly earnings announcements, unofficial flows of information between managers and analysts, and uncertain information as interpretation of managers' actions, so-called "signals", used by analysts and investors. The agency problem created by informational inequality of the market participants cre...

  15. When Entrepreneurs Meet Financiers: Evidence from the Business Angel Market

    Angela, Cipollone; Paolo E., Giordani

    2016-01-01

    This paper estimates the process of search and matching between entrepreneurs and financiers in the business angel (BA) market. We hand-collect a new dataset from the BA markets of 17 developed countries for the period 1996-2014, and we estimate the aggregate matching function, which captures the number of successful deals as a function of the number of potential entrepreneurs and of business angels. Empirical findings confirm the technological features assumed in the theoretical literature: ...

  16. Financial integration in the European Union. Measurement and determination

    Lemmen, J.J.G.

    1996-01-01

    The first part of this study addresses the measurement of financial integration in the European Union (EU). First, we present empirical evidence on the degree of financial integration as measured with interest parity conditions. Second, the study applies an error-correction model of saving-investment correlations to assess the degree of financial integration. Third, we examine the relationship between returns on financial assets and consumption growth rates across countries to test for the de...

  17. Benefits and Costs of International Financial Integration : Theory and Facts

    Agenor, Pierre-Richard

    2001-01-01

    The author provides a selective review of the recent analytical and empirical literature on the benefits and costs of international financial integration. He discusses the impact of financial openness on consumption, investment, and growth, and the impact of foreign bank entry on the domestic financial system. Consistent with some recent studies, the author argues that financial integratio...

  18. Evaluation of wholesale electric power market rules and financial risk management by agent-based simulations

    Yu, Nanpeng

    As U.S. regional electricity markets continue to refine their market structures, designs and rules of operation in various ways, two critical issues are emerging. First, although much experience has been gained and costly and valuable lessons have been learned, there is still a lack of a systematic platform for evaluation of the impact of a new market design from both engineering and economic points of view. Second, the transition from a monopoly paradigm characterized by a guaranteed rate of return to a competitive market created various unfamiliar financial risks for various market participants, especially for the Investor Owned Utilities (IOUs) and Independent Power Producers (IPPs). This dissertation uses agent-based simulation methods to tackle the market rules evaluation and financial risk management problems. The California energy crisis in 2000-01 showed what could happen to an electricity market if it did not go through a comprehensive and rigorous testing before its implementation. Due to the complexity of the market structure, strategic interaction between the participants, and the underlying physics, it is difficult to fully evaluate the implications of potential changes to market rules. This dissertation presents a flexible and integrative method to assess market designs through agent-based simulations. Realistic simulation scenarios on a 225-bus system are constructed for evaluation of the proposed PJM-like market power mitigation rules of the California electricity market. Simulation results show that in the absence of market power mitigation, generation company (GenCo) agents facilitated by Q-learning are able to exploit the market flaws and make significantly higher profits relative to the competitive benchmark. The incorporation of PJM-like local market power mitigation rules is shown to be effective in suppressing the exercise of market power. The importance of financial risk management is exemplified by the recent financial crisis. In this dissertation, basic financial risk management concepts relevant for wholesale electric power markets are carefully explained and illustrated. In addition, the financial risk management problem in wholesale electric power markets is generalized as a four-stage process. Within the proposed financial risk management framework, the critical problem of financial bilateral contract negotiation is addressed. This dissertation analyzes a financial bilateral contract negotiation process between a generating company and a load-serving entity in a wholesale electric power market with congestion managed by locational marginal pricing. Nash bargaining theory is used to model a Pareto-efficient settlement point. The model predicts negotiation results under varied conditions and identifies circumstances in which the two parties might fail to reach an agreement. Both analysis and agent-based simulation are used to gain insight regarding how relative risk aversion and biased price estimates influence negotiated outcomes. These results should provide useful guidance to market participants in their bilateral contract negotiation processes.

  19. On entropy, financial markets and minority games

    Zapart, Christopher A.

    2009-04-01

    The paper builds upon an earlier statistical analysis of financial time series with Shannon information entropy, published in [L. Molgedey, W. Ebeling, Local order, entropy and predictability of financial time series, European Physical Journal B-Condensed Matter and Complex Systems 15/4 (2000) 733-737]. A novel generic procedure is proposed for making multistep-ahead predictions of time series by building a statistical model of entropy. The approach is first demonstrated on the chaotic Mackey-Glass time series and later applied to Japanese Yen/US dollar intraday currency data. The paper also reinterprets Minority Games [E. Moro, The minority game: An introductory guide, Advances in Condensed Matter and Statistical Physics (2004)] within the context of physical entropy, and uses models derived from minority game theory as a tool for measuring the entropy of a model in response to time series. This entropy conditional upon a model is subsequently used in place of information-theoretic entropy in the proposed multistep prediction algorithm.

  20. Using an Artificial Financial Market for studying a Cryptocurrency Market

    Luisanna Cocco; Giulio Concas; Michele Marchesi

    2014-01-01

    This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which interact with each other by trading Bitcoins. Each agent is initially endowed with a finite amount of crypto and/or fiat cash and issues buy and sell orders, according to her strategy and resources. The number of Bitcoins increases over time with a rate pro...

  1. The structure and resilience of financial market networks

    Kauê Dal'Maso Peron, Thomas; da Fontoura Costa, Luciano; Rodrigues, Francisco A.

    2012-03-01

    Financial markets can be viewed as a highly complex evolving system that is very sensitive to economic instabilities. The complex organization of the market can be represented in a suitable fashion in terms of complex networks, which can be constructed from stock prices such that each pair of stocks is connected by a weighted edge that encodes the distance between them. In this work, we propose an approach to analyze the topological and dynamic evolution of financial networks based on the stock correlation matrices. An entropy-related measurement is adopted to quantify the robustness of the evolving financial market organization. It is verified that the network topological organization suffers strong variation during financial instabilities and the networks in such periods become less robust. A statistical robust regression model is proposed to quantity the relationship between the network structure and resilience. The obtained coefficients of such model indicate that the average shortest path length is the measurement most related to network resilience coefficient. This result indicates that a collective behavior is observed between stocks during financial crisis. More specifically, stocks tend to synchronize their price evolution, leading to a high correlation between pair of stock prices, which contributes to the increase in distance between them and, consequently, decrease the network resilience.

  2. Regulation versus Competition on European Financial Markets

    Alexandra HOROBET; Ilie, Livia

    2007-01-01

    Competition is the mechanism that helps companies, institutions and markets to become more productive and efficient. one of the main obstacles to economic growth is represented by the policies that hinder competition. Excessive protection may create a handicap for the European economic system which will have not all the necessary instruments to face the increasing competition between companies, countries, economic regions.The paper aims at analyzing the relationship between regulation, compet...

  3. Financial Markets Equilibrium with Heterogeneous Agents

    Cvitanic, Jaksa; Jouini, Elys; Semyon MALAMUD; Napp, Clotilde

    2012-01-01

    This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as th...

  4. An adaptive stochastic model for financial markets

    An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.

  5. Understanding the source of multifractality in financial markets

    Baruník, Jozef; Aste, T.; Di Matteo, T.; Liu, R.

    2012-01-01

    Roč. 391, č. 17 (2012), s. 4234-4251. ISSN 0378-4371 R&D Projects: GA ČR GA402/09/0965 Institutional research plan: CEZ:AV0Z10750506 Keywords : Multifractality * Financial markets * Hurst exponent Subject RIV: AH - Economics Impact factor: 1.676, year: 2012 http://www.sciencedirect.com/science/article/pii/S0378437112002890

  6. Traders' strategy with price feedbacks in financial market

    Takayuki Mizuno; Tohur Nakano; Misako Takayasu; Hideki Takayasu

    2003-01-01

    We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distribution of price changes.

  7. IBM announces global Grid computing solutions for banking, financial markets

    2003-01-01

    "IBM has announced a series of Grid projects around the world as part of its Grid computing program. They include IBM new Grid-based product offerings with business intelligence software provider SAS and other partners that address the computer-intensive needs of the banking and financial markets industry (1 page)."

  8. Pricing Asian options in financial markets using Mellin transforms

    Indranil SenGupta

    2014-11-01

    Full Text Available We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.

  9. Scaling and Multi-scaling in Financial Markets

    Giulia Iori

    2000-01-01

    This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a possible explanation for the complex dynamics of markets' returns. Scaling and multi-scaling analysis performed on the simulated data is in good quantitative agreement with the empirical results.

  10. Coherent Patterns in Nuclei and in Financial Markets

    Drozdz, S; Speth, J

    2010-01-01

    In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of coherent patterns and of randomness. From a more interdisciplinary perspective, these are the financial markets that represent an extreme complexity. Here, based on the matrix formalism, we set some parallels between several characteristics of complexity in the above two systems. We, in particular, refer to the concept - historically originating from nuclear physics considerations - of the random matrix theory and demonstrate its utility in quantifying characteristics of the coexistence of chaos and collectivity also for the financial markets. In this later case we show examples that illustrate mapping of the matrix formulation into the concepts originating from the graph theory. Finally, attention is drawn to some novel aspects of the financial coherence which opens room for s...

  11. High-Frequency Trading Synchronizes Prices in Financial Markets

    Austin Gerig

    2012-01-01

    High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it also adds to market instability, especially during times of stress. Currently, it is unclear how or why HFT produces these outcomes. In this paper, I use data from NASDAQ to sh...

  12. Micro and Macro Benefits of Random Investments in Financial Markets

    Biondo, Alessio Emanuele; Rapisarda, Andrea

    2014-01-01

    In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained about the effectiveness of random strategies of investment, compared with some of the most used trading strategies for forecasting the behavior of real financial indexes. We also push forward our analysis by means of a Self-Organized Criticality model, able to simulate financial avalanches in trading communities with different network topologies, where a Pareto-like power law behavior of wealth spontaneously emerges. In this context, we present new findings and suggestions for policies based on the effects that random strategies can have in terms of reduction of dangerous financial extreme events, i.e. bubbles and crashes.

  13. Sector strength and efficiency on developed and emerging financial markets

    Fiedor, Paweł

    2014-11-01

    In this paper we analyse the importance of sectors and market efficiency on developed and emerging financial markets. To perform this we analyse New York Stock Exchange between 2004 and 2013 and Warsaw Stock Exchange between 2000 and 2013. To find out the importance of sectors we construct minimal spanning trees for annual time series consisting of daily log returns and calculate centrality measures for all stocks, which we then aggregate by sectors. Such analysis is of interest to analysts for whom the knowledge of the influence of particular groups of stocks to the market behaviour is crucial. We also analyse the predictability of price changes on those two markets formally, using the information-theoretic concept of entropy rate, to find out the differences in market efficiency between a developed and an emerging market, and between sectors themselves. We postulate that such analysis is important to the study of financial markets as it can contribute to the profitability of investments, particularly in the case of algorithmic trading.

  14. Economic and Financial Integration of CEECs: The Impact of Financial Instability

    Albulescu, Claudiu,

    2011-01-01

    The recent financial crisis had a powerful impact upon the European countries' economies, in particular on those from Central and Eastern Europe, with some small exceptions. Thus, applying a panel data approach for a large sample of CEECs, we demonstrate that financial instability negatively influences these countries economic and financial integration. If instability is measured by means of a financial instability index, we have used two classical indicators for the economic integration, nam...

  15. Volatility, Persistence, and Survival in Financial Markets

    Constantin, M

    2005-01-01

    We study the temporal fluctuations in time--dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non--Markovian stochastic process using the first--passage statistical concepts of persistence and survival. We report the results of empirical measurements of the normalized $q$-order correlation functions $f_q(t)$, survival probability $S(t)$, and persistence probability $P(t)$ for several stock market dynamical sets. We analyze both minute--to--minute and higher frequency stock market recordings (i.e., with the sampling time $\\delta t$ of the order of days). We find that the fluctuating stock price is multifractal and the choice of $\\delta t$ has no effect on the qualitative multifractal behavior displayed by the $1/q$--dependence of the generalized Hurst exponent $H_q$ associated with the power--law evolution of the correlation function $f_q(t)\\sim t...

  16. Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets

    A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/fβ processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis (DFA) of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously. Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.

  17. The Sixth Kondratieff Cycle the Era of Financial Market Instruments: A Reflection on the Australia vs US Subprime Mortgage Market

    Gregory Kenneth Laing

    2011-01-01

    This paper posits that the present global financial crisis is the sixth Kondratieff cycle and that the underlying cause of transactions-based financial capitalism points to this cycle as being the era of financial market instruments. The US subprime mortgage market having contributed to the present financial liquidity shock as a consequence of the derivative market instruments known as collateralised debt obligations (CDO) is responsible for this cycle. The comparison between the subprime mor...

  18. Managing financial integration and capital mobility: Policy lessons from the past two decades

    Aizenman, Joshua; Pinto, Brian

    2011-01-01

    The accumulated experience of emerging markets over the past two decades has laid bare the tenuous links between external financial integration and faster growth, on the one hand, and the proclivity of such integration to fuel costly crises on the other. These crises have not gone without learning. During the 1990s and 2000s, emerging markets converged to the middle ground of the policy sp...

  19. Managing Financial Integration and Capital Mobility— Policy lessons from the past two decades

    Aizenman, Joshua; Pinto, Brian

    2011-01-01

    The accumulated experience of emerging markets over the last two decades has laid bare thetenuous links between external financial integration and faster growth on the one hand and theproclivity of such integration to fuel costly crises on the other. These crises have not gonewithout learning. During the 1990s and 2000s, emerging markets converged to the middleground of the policy space defined by the macroeconomic trilemma, with growing financialintegration, controlled exchange rate flexibil...

  20. Coherence and incoherence collective behavior in financial market

    Zhao, Shangmei; Xie, Qiuchao; Lu, Qing; Jiang, Xin; Chen, Wei

    2015-10-01

    Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find that a Financial Coherence and Incoherence (FCI) coexistence collective behavior emerges as the system evolves into the stable state, in which the stocks split into two groups: one is represented by coherent, phase-locked oscillators, the other is composed of incoherent, drifting oscillators. It is demonstrated that the size of the coherent stock groups fluctuates during the economic periods according to real-world financial instabilities or shocks. Further, we introduce the coherent characteristic matrix to characterize the involvement dynamics of stocks in the coherent groups. Clustering results on the matrix provides a novel manifestation of the correlations among stocks in the economic periods. Our analysis for components of the groups is consistent with the Global Industry Classification Standard (GICS) classification and can also figure out features for newly developed industries. These results can provide potentially implications on characterizing the inner dynamical structure of financial markets and making optimal investment into tragedies.

  1. Market, Country and World Effects on Regional Equity Market Integration

    Chee-Wooi Hooy

    2009-07-01

    Full Text Available This study explores the fundamental driving forces of regional equity market integration in a trading bloc. The determinant factors are categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of five regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to August 2005. We measure market integration based on pricing errors as proposed by Korajczyk (1996 and Levine and Zervos (1998. Using panel regressions, our results show that equity integration in these trading blocs is driven internally, where only individual market volatility and economic fundamentals play a significant role in the process. Intrabloc trade is found to enhance regional equity market integration, supporting the notion that regional convergence extends beyond the trade sector that is promoted in the trade agreements. We also document regime shifting effects during stock market crises, where most of these markets became strongly integrated after a regional crisis, but integration was significantly weakened during a crisis that affected the world markets. Also, the level of equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated.

  2. DEEPENING SERVICES MARKET INTEGRATION - A CRITICAL ASSESSMENT

    Jacques Pelkmans

    2007-12-01

    Full Text Available The greatest asset of the European Union is undoubtedly its internal market. However, the internal market is not completed: it suffers from a giant hole with respect to many services. The present contribution addresses the status of services in the internal market and, in particular, the horizontal liberalisation (or, the lack of it of services outside the two large sectors which greatly deepened market integration (6 modes of transport and 3 financial services markets. Because a horizontal perspective on services in the EU is still little understood, it is briefly summarized what services really are and how their regulatory logic in the internal market can help to classify them. The (strong economic case for deepening services market integration is built on recent empirical economic analysis as well as simulation. This is followed by a discussion, with flowchart, of the Bolkestein draft directive, against the backdrop of the frustrating lack of, or at best, selective progress on services for decades. A survey of economic impact studies of the draft directive is provided, too, underpinning its importance even when the infamous origin principle is taken out. Some light is subsequently shed on the tumultuous politicisation of the services debate. Emphasis is laid on the socio-economic context (which, it is submitted, sharpened the discussion at times into polarisation and a series of other factors such as the diversity of the national regulatory frameworks of services and the labour employed, the complexity of the draft directive, the potentially radical nature of the origin principle (especially for those not aware of the case law of the ECJ, the dominant role of the EP and the opportunism of leading national politicians. Finally, directive 2006/123 –meanwhile in force – is explained and briefly assessed. Apart from the conspicuous manifestation of 'Angst' in drafting the directive, the (de merits are set out. The conclusion is that a badly drafted directive with excessive emphasis on exclusions and derogations, and which lacks a driving principle, nevertheless comprises several functional obligations in general (e.g single window, administrative cooperation in dedicated networks, etc., significant advantages for free establishment (which imply equally significant economic gains and a firm discipline for (or prohibition of bad practices with respect to temporary provision of services.

  3. The People's Republic of China's financial markets: Are they deep and liquid enough for renminbi internationalization?

    Cruz, Prince Christian; Gao, Yuning; Song, Lei Lei

    2014-01-01

    Domestic financial market development is a key determinant of a currency’s international status, and financial depth and market liquidity are two essential attributes for an international currency. This paper discusses the status of the People’s Republic of China’s (PRC) financial markets and their depth and liquidity conditions. The paper also compares the PRC’s financial markets with those in developed and emerging economies, contemporaneously and historically. The paper finds that the PRC’...

  4. Financial Institutions and Markets across Countries and over Time : Data and Analysis

    Beck, Thorsten; Demirgüç-Kunt, Asli; Levine, Ross

    2009-01-01

    This paper introduces the updated and expanded version of the Financial Development and Structure Database and presents recent trends in structure and development of financial institutions and markets across countries. The authors add indicators on banking structure and financial globalization. They find a deepening of both financial markets and institutions, a trend concentrated in high-i...

  5. ECONOMIC NATURE OF THE FINANCIAL REGULATION OF INSURANCE MARKET

    L. Shirinyan

    2013-07-01

    Full Text Available Author made critical review of researches and found out the existance of the problem of determination and differentiation in a scientific literature the concepts “financial regulation of the insurance market”, “government financial regulation of the insurance market” and “government regulation of the insurance market”. It is offered the consideration of the insurance market from positions of analysis of the complex systems as being the component part of the greater system. It is disclosured the economic nature and determined the mentioned notions.

  6. Business Process Management Integration Solution in Financial Sector

    2009-01-01

    Full Text Available It is vital for financial services companies to ensure the rapid implementation of new processes to meet speed-to-market, service quality and compliance requirements. This has to be done against a background of increased complexity. An integrated approach to business processes allows products, processes, systems, data and the applications that underpin them to evolve quickly. Whether it’s providing a loan, setting up an insurance policy, or executing an investment instruction, optimizing the sale-to-fulfillment process will always win new business, cement customer loyalty, and reduce costs. Lack of integration across lending, payments and trading, on the other hand, simply presents competitors who are more efficient with a huge profit opportunity.

  7. Narrative Financial Therapy: Integrating a Financial Planning Approach with Therapeutic Theory

    Megan A. McCoy; D. Bruce Ross; Joseph W. Goetz

    2014-01-01

    The article serves as one of the first attempts to develop an integrated theoretical approach to financial therapy that can be used by practitioners from multiple disciplines. The presented approach integrates the components of the six-step financial planning process with components of empirically-supported therapeutic methods. This integration provides the foundation for a manualized approach to financial therapy, shaped by the writings of narrative theorists and select cognitive-behavioral ...

  8. The role of the Financial Supervision Authority and the situation of the client on the financial services market with special emphasis on the banking services market

    Edyta Rutkowska-Tomaszewska

    2012-01-01

    A well-functioning financial services market should be stable and transparent, as well as ensure security and protect the interests of its participants. These goals and tasks are defined in a number of legal acts, and an important role in their realization has been entrusted to the Polish Financial Supervision Authority as the oversight body for the financial services market. The Polish Financial Supervision Authority (hereinafter referred to as the FSA) has been equipped with tools allowing ...

  9. Financial Markets, Banking and the Design of Monetary Policy: A Stable Baseline Scenario

    Florian Hartmann

    2013-12-01

    Full Text Available A baseline integration of commercial banks into the disequilibrium framework with behavioral traders of Charpe et al. (2011, 2012 is presented. At the core of the analysis is the impact the banking sector exerts on the interaction of real and financial markets. Potentially destabilizing feedback channels in the presence of imperfect macroeconomic portfolio adjustment and heterogeneous expectations are investigated. Given the possible financial market instability, various policy instruments have to be applied in order to guarantee viable dynamics in the highly interconnected macroeconomy. Among those are open market operations reacting to the state-of-confidence in the economy and Tobin-type capital gain taxes. The need for policy intervention is even more striking, as the banking sector is modeled in a rather stability enhancing way, fulfilling its fundamental tasks of term transformation of savings and credit granting without engaging in investment activities itself.

  10. The Financial Protectionism-Financial Integration Dilemma through Capital Mobility: Economic Performance vs Financial Crises

    Fatma Kchir Jedidi

    2011-10-01

    Full Text Available In this paper, a theoretical and an empirical discussion of the post-crisis supremacy of financial integration over financial protectionism are proposed. The debate is done through a survey of the advantages each line of thinking brings about to improve economic performance and reduce crisis probability or its magnitude. Moreover, in this paper we study the impact of financial integration through capital mobility on economic growth of a sample of emerging countries. The contribution of our paper is the use of a number of capital mobility openness measures. Thus, we propose to test whether this impact varies with the used measure, the time period and the sample of selected countries. We adopted a panel data analysis technique proposed by Arellano and Bond. With reference to the different estimations conducted, we can conclude that the impact of capital mobility liberalization on economic growth depends on the openness indicator or measure used, the sample of countries studied and the time period examined.

  11. Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis

    Saiti, Buerhan; Bacha, Obiyathulla; Masih, Mansur

    2014-01-01

    The issue of market linkages (and price discovery) between stock indices and the lead-lag relationship are topics of interest to financial economists, financial managers and analysts. The lead-lag relationship analysis should take into account both the short and long-run investor. From a portfolio diversification perspective, the first type of investor is generally more interested in knowing the comovement of stock returns at higher frequencies, that is, short-run fluctuations, while the latt...

  12. Integration of Liberalised European Electricity Markets

    Houllier, M.

    2014-01-01

    The aim of this thesis is to assess the integration of European electricity markets. An integrated market could help to improve security of supply, foster competition, and may also help to integrate renewables. After reviewing the literature and describing the context, three studies are reported as separate chapters, which besides the common underlying theme use novel econometric and statistical methodology for time series analysis. Chapter two examines electricity market integration in n...

  13. Modelling Financial Markets by Self-Organized Criticality

    Biondo, A E; Rapisarda, A

    2015-01-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  14. Modeling financial markets by self-organized criticality

    Biondo, Alessio Emanuele; Pluchino, Alessandro; Rapisarda, Andrea

    2015-10-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally, we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  15. Responsiveness of the MENA Economic Growth to the EU Financial Integration: A Problem Evaluation

    Seyed Komail Tayebi

    2011-01-01

    Full Text Available Implementing a currency union may lead members to face financial crisis if their financial markets are not ready to adopt themselves to a new situation. There are still problems like ownership concentration and self-governing states cause limitation in economic growth, financial development, and the ability of a country to take advantage of financial integration. The evidence is that the proportion of global financial flows dedicated to the low- and middle-income developing economies, decreased after the Asian crisis of 1997-98 (Das, 2006. These problems explain why the impact of financial integration has been limited and why it can lead to capital flight and financial crises. In this study, we develop an analytical framework of economic growth and assessing special and differential treatment of currency union (a subject of financial integration members (like the EU and apply this framework to MENA countries. We propose specifically that one can evaluate the "average" impact of the currency union membership on growth of the countries. It reveals the fact that the routine program evaluation can be for all the EU and MENA members. We will call this treated or untreated, respectively. Next, we predict such outcomes for a group of countries based on matching of their characteristics. Hence we use the matching method to make a relationship between a response variable (economic growth and a treatment variable (financial integration experimentally in the economies of the EU and MENA.

  16. An Empirical Analysis of Lead-Lag Relationship among Various Financial Markets

    Xiaoli Wang

    2015-01-01

    The efficient-market hypothesis (EMH) asserts that financial markets are "informationally efficient", i.e. all relevant information will be fully and immediately reflected in a security's market price. Other researchers however, have disputed the efficient-market hypothesis both empirically and theoretically. In this paper, we contribute to the discussions of market efficiency by empirically testing the lead-lag relationship among various financial markets. If markets are efficient in process...

  17. A New Approach to Spreadsheet Analytics Management in Financial Markets

    Sentence, Brian

    2008-01-01

    Spreadsheets in financial markets are frequently used as database, calculator and reporting application combined. This paper describes an alternative approach in which spreadsheet design and database technology have been brought together in order to alleviate management and regulatory concerns over the operational risks of spreadsheet usage. In particular, the paper focuses on the rapid creation and centralised deployment of statistical analytics within a software system now in use by major investment banks, and presents a novel technique for the manipulation in spreadsheets of high volumes of intraday market data.

  18. Hedging in nonlinear models of illiquid financial markets

    Sah, Nadim

    2014-01-01

    The majority of mathematical models concerned with the pricing and replication of derivatives in financial markets relies on the implicit assumption that the price for a traded position is linear in the position size, as is the case, for instance, in the famous Black-Scholes model. While suitable for small transactions, these models are inadequate if transaction sizes are large enough to be significant in comparison to the size of the market as a whole. In this thesis we study a nonlinear fra...

  19. Econophysics: Two-phase behaviour of financial markets

    Plerou, Vasiliki; Gopikrishnan, Parameswaran; Stanley, H. Eugene

    2003-01-01

    Buying and selling in financial markets is driven by demand, which can be quantified by the imbalance in the number of shares transacted by buyers and sellers over a given time interval. Here we analyse the probability distribution of demand, conditioned on its local noise intensity Σ, and discover the surprising existence of a critical threshold, Σc. For Σ Σc, two most probable values emerge that are symmetrical around zero demand, corresponding to excess demand and excess supply; we interpret this as an out-of-equilibrium phase in which the market behaviour is mainly buying for half of the time, and mainly selling for the other half.

  20. Market risk stress testing for internationally active financial institutions

    Markovi? Petar

    2011-01-01

    Full Text Available The paper develops a comprehensive framework for market risk stress testing in internationally active financial institutions. We begin by defining the scope and type of the stress test and explaining how to select risk factors and the stress time horizon. We then address challenges related to data gathering, followed by in-depth discussion of techniques for developing realistic shock scenarios. Next the process of shock application to a particular portfolio is described, followed by determination of portfolio profit and loss. We conclude by briefly discussing the issue of assigning probability to stress scenarios. We illustrate the framework by considering the development of a worst case scenario using global financial market data from Thomson Reuters Datastream.

  1. Using trading strategies to detect phase transitions in financial markets

    Forró, Z.; Woodard, R.; Sornette, D.

    2015-04-01

    We show that the log-periodic power law singularity model (LPPLS), a mathematical embodiment of positive feedbacks between agents and of their hierarchical dynamical organization, has a significant predictive power in financial markets. We find that LPPLS-based strategies significantly outperform the randomized ones and that they are robust with respect to a large selection of assets and time periods. The dynamics of prices thus markedly deviate from randomness in certain pockets of predictability that can be associated with bubble market regimes. Our hybrid approach, marrying finance with the trading strategies, and critical phenomena with LPPLS, demonstrates that targeting information related to phase transitions enables the forecast of financial bubbles and crashes punctuating the dynamics of prices.

  2. Financial market pressure, tacit collusion and oil price formation

    We explore a hypothesis that a change in investment behaviour among international oil companies (IOC) towards the end of the 1990s had long-lived effects on OPEC strategies, and on oil price formation. Coordinated investment constraints were imposed on the IOCs through financial market pressures for improved short-term profitability in the wake of the Asian economic crisis. A partial equilibrium model for the global oil market is applied to compare the effects of these tacitly collusive capital constraints on oil supply with an alternative characterised by industrial stability. Our results suggest that even temporary economic and financial shocks may have a long-term impact on oil price formation. (author)

  3. Time Varying Market Integration and Expected Rteurns in Emerging Markets

    de Jong, F.C.J.M.; de Roon, F.A.

    2001-01-01

    We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market value of the assets that can be held by domestic investors only versus the market value of the assets that can be traded freely.Our empirical analysis for 30 emerging markets shows that there are strong...

  4. The role of rating agencies in international financial market

    Emilian - Constantin MIRICESCU

    2015-01-01

    In the context of financial markets globalization, the role of rating agencies and credit ratings expanded sharply. Standard & Poor's awarded in the late 70s ratings only for 12 countries and currently it assigned ratings for 129 countries. Global rating agencies Standard & Poor's, Moodys and Fitch publish long term sovereign ratings and short term sovereign ratings. The role of sovereign ratings is the decrease of informational asymmetry between borrowers (countries) acting as issuers an...

  5. DETERMINANTS OF BANKS’ COMPETITIVENESS IN LOCAL FINANCIAL MARKETS

    Ryszard Kata

    2012-01-01

    The article presents the analysis of determinants of banks' competitiveness in local financial markets, with respect to local (cooperative) banks and branches of large commercial banks. The paper also evaluates the competitive position of the banks using the synthetic measure of competitive advantage MPK. The article proves that there are considerable differences between the analyzed groups of banks, in terms of their competitiveness and its determining factors (which are banks' assets). The ...

  6. Defending Fair Use Against Legal and Financial Market Infringement

    Driscoll, Margaret A.

    2008-01-01

    This paper reviews recent legislative changes to the U.S. Copyright Act and explains how these changes, along with the growth of a financial market for copyright clearance permissions, infringe on the original purpose of copyright protection, especially the fair use provision. The legislative changes have additionally caused increased copyright confusion, hesitancy, and misinformation regarding what can and cannot be used under the fair use provision, thus adversely affecting the quality of e...

  7. What Do Financial Markets Reveal about Global Warming?

    Ron Balvers; Ding Du; Xiaobing Zhao

    2009-01-01

    Financial market information can provide an objective assessment of expected losses due to global warming. In a Merton-type asset pricing model, with asset prices affected by changes in investment opportunities caused by global warming, the risk premium is significantly negative and growing over time, loadings for most assets are negative, and asset portfolios in more vulnerable industries have stronger negative loadings on the global warming factor. Required returns are 0.11 percent higher d...

  8. Revenue diversification in emerging market banks: implications for financial performance

    Ben Gamra, Saoussen; Plihon, Dominique

    2011-01-01

    Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper examines whether the observed shift into non-interest based activities improves financial performance. Using a sample of 714 banks across 14 East-Asian and Latin-American countries over the post 1997-crisis changing structure, we find that diversification gains are more than offset by the cost o...

  9. Critical Analysis of Electronic Simulation of Financial Market Fluctuations

    Fanchiotti, H.; Canal, C. A. García; Martínez, N.

    2002-01-01

    An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power law can be fixed by tuning an appropriate circuit element. The proposal is to use the circuit as a simulator-generator of financial market fluctuations and as a tool for risk estimations and forecasts. We present a discussion of the stability conditions for multiplicative noise and an exhaustive an...

  10. Effects of Aging on Gender Differences in Financial Markets

    Ran Shao; Na Wang

    2015-01-01

    Gender differences in risk-taking and investment decisions have been widely documented in the financial markets. Utilizing trading information from individual investor brokerage accounts, this paper explores the effects of aging on gender differences in terms of portfolio turnover and returns. We document that male investors trade more frequently than female investors and yield lower portfolio returns, but these gender differences attenuate substantially with age. Our study suggests that gend...

  11. The Financial Instruments for Risk Management on the International Financial Markets

    Alina Hagiu

    2008-01-01

    The international financial market is extremely volatile because of the influence of anumerous objective and subjective factors. Because of these, în their fight for maximizing the profit, the creditinstitutes confronts permanently with all sort of risks.It is important to know that the risk is generated by a numerous operations and procedures. From thesecause, at least în the financial field, the risk must be considered as a complex of risks, în the sense that they canhave common causes, and...

  12. General Equilibrium Analysis of the Czech Financial Market and a Financial Fragility Model

    Ondřej Machek; Luboš Smrčka; Jiří Hnilica; Markéta Arltová; Dimitrios P. Tsomocos

    2014-01-01

    The purpose of this paper is to create a financial fragility model for the Czech financial sector. We adapt the Goodhart-Tsomocos model which is based on general equilibrium with incomplete markets, money and default. The calibration of the model is based on publicly available data from the period 2003-2011. Finally, we perform comparative statics to show how the key variables of the model respond to possible events. The model can be used by government institutions to stress-test the banking ...

  13. Assessment of Development of Financial Markets in Central and Eastern European Countries During the Period of Transformation ?????? ???????? ?????????? ?????? ? ??????? ??????????? ? ????????? ?????? ? ?????? ?????????????

    Kasiyan Yevgeniy V.

    2013-05-01

    Full Text Available The article studies development of financial markets of transition economies of Central and Eastern Europe as an important factor that influences economic growth. The article also draws attention to specific features of financial reforms directed at creation of efficient stock markets and its productivity. The author makes assessment of the level of development of the securities markets in the countries of Central and Eastern Europe in the context of their qualitative characteristics, such as depth, efficiency and stability. The author also shows the level of integration into international markets of capital and conducts comparison with developed neighbouring countries members of European Union. The article also studies main shortcomings and problems of development of financial markets in these states and sets prospects of their development in the post-crisis period.? ?????? ?????? ??????????? ???????? ?????????? ?????? ?????????? ???????? ??????????? ? ????????? ?????? ??? ??????? ???????, ????????? ?? ????????????? ????. ? ?????? ????? ?????????? ???????? ?? ??????????? ?????????? ?????? ???????????? ?? ???????? ??????????? ???????? ?????? ? ?? ????????????????. ??????? ??????? ?????? ?????? ???????? ?????? ?????? ????? ? ??????? ??????????? ? ????????? ?????? ? ????????? ?? ???????????? ????????????? ????? ??? ???????, ????????????? ? ????????????, ??????? ??????? ?????????? ? ????????????? ????? ???????? ? ????????? ????????????? ?????????????? ? ????????? ????????? ??????????????? ???????????? ?????. ????? ? ???? ?????? ??????????? ???????? ?????????? ? ???????? ???????? ?????????? ?????? ? ???? ????????????, ???????? ??????????? ?? ???????? ? ????????????? ??????.

  14. Integrated Marketing Communication plan for GSK Nordic

    Savelius, Sanna

    2013-01-01

    The purpose of this thesis was to create an integrated marketing communication plan for GSK Nordic. This included creating a marketing gift that will be sent to Swedish service firms and suggestions on how IMC could be implemented also in the future. The focus was on creating a marketing gift which would help GSK Nordic achieve their goal of finding co-operation partner from Sweden. Theoretical part of this thesis focused on the concept of integrated marketing com-munication and communica...

  15. Coupled effects of market impact and asymmetric sensitivity in financial markets

    Zhong, Li-Xin; Ren, Fei; Shi, Yong-Dong

    2012-01-01

    By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occ...

  16. INTEGRATIVE NATURE OF FINANCIAL RISK MANAGEMENT TERMINOLOGY

    Akhmetova, Maynur

    2014-01-01

    Interdisciplinary approach to studying financial risk management terminology. Languages for special purposes of developed scientific fields are the most productive sources for borrowings for dynamically developing ones. Sources of term borrowings for financial risk management: their specific features and types.

  17. COMMUNICATION AND PROMOTION OF INTEGRATED MARKETING

    Keshav Lengare

    2016-03-01

    Full Text Available Integrated Marketing Communication emerges as a powerful tool that guides practitionersin developing and implementing marketing communications more consistently and effectively.Despite its continuing appeal little is known about its physical or visible form in marketing communication process, but the emergence of this concept has become one of the most significantexamples of development in the marketing discipline. It is the most innovative function ofmarketing endorsed by advertising and marketing practitioners. Integrated Marketing Communication has moved beyond communication to the process of using promotional elements in a unified way so that a synergistic communication effect is created and achieved.

  18. INTEGRATION OF FINANCIAL AND NON-FINANCIAL REPORTS UNDER MANAGEMENT CONDITIONS

    Prodanciuk Mihail

    2013-01-01

    The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability ...

  19. Rice market integration in southern Sumatra, Indonesia

    Yetty Oktarina

    2015-01-01

    This paper investigates rice market integration among five provinces in southern Sumatra using data from monthly retail rice markets during 2004-2009. The degree of integration was measured across provinces using vector error correction model. Result revealed that there is spatial market integration in southern Sumatra. Province of Bangka Belitung can make price adjustment more quickly compared to others provinces. In the long run period, rice price in Jambi province, Lampung province, and Ba...

  20. Innovation and regulation in financial markets: A summary of the 2007 Philadelphia Fed Policy Forum

    Mester, Loretta J.

    2008-01-01

    Innovation and Regulation in Financial Markets” was the topic of the seventh annual Philadelphia Fed Policy Forum, held on November 30, 2007. This event, sponsored by the Bank’s Research Department, brought together economic scholars, policymakers, and market economists to discuss and debate the consequences of financial innovation and the implications for financial market regulation. The recent events in financial markets and their effects on the real sector of the economy underscore the imp...

  1. From Fragmentation towards Innovation, the Application of Institutionalism towards Financial Market Theories

    von Bernstorff, Alexandra

    2004-01-01

    Financial markets in less developed countries suffer from financial dualism, a situation in which a large informal sector coexists alongside a formal one. Contemporary financial market theories are not able to incorporate an understanding of the informal sector and are, therefore, only applicable to the formal system which is unsatisfying. With over 80 percent of the worlds population relying on informal financial arrangement (World Bank 2001), financial informality is not just a small except...

  2. On the Modular Dynamics of Financial Market Networks

    Silva, Filipi N; Peron, Thomas K DM; Rodrigues, Francisco A; Ye, Cheng; Wilson, Richard C; Costa, Edwin Hancockm Luciano da F

    2015-01-01

    The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism, which establishes a time-evolving network of transactions among companies and individuals. Such network can be inferred through correlations between time series of companies stock prices, allowing the overall system to be characterized by techniques borrowed from network science. Here we study the presence of communities in the inferred stock market network, and show that the knowledge about the communities alone can provide a nearly complete representation of the system topology. This is done by defining a simple random model sharing only the sizes and interconnectivity between communities observed in the time-evolving stock market network. We show that many topological characteristics of the inferred networks are preserved in the modeled networks. In particular, we find t...

  3. Financial transmission rights meet Cournot: How TCCs curb market power

    This paper reconsiders the problem of market power when generators face a demand curve limited by a transmission constraint. After demonstrating that the problem's importance originates in an inherent ambiguity in Cournot-Nash theory, the author reviews Oren's argument that generators in this situation capture all congestion rents. In the one-line case, this argument depends on an untested hypothesis while in the three-line case, the Nash equilibrium was misidentified. Finally, the argument that financial transmission rights (and TCCs in particular) will have zero market value is refuted by modeling the possibility of their purchase by generators. This allows transmission owners, who initially own the TCCs, to capture some of the congestion rent. In fact when total capacity exceeds line capacity by more than the capacity of the largest generator, TCCs should attain their perfectly competitive value, thereby curbing the market power of generators

  4. Testing for detailed balance in a financial market

    Fiebig, H. R.; Musgrove, D. P.

    2015-06-01

    We test a historical price-time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process based on a Markov chain, thus leading to equilibrium. In economic terms, a positive outcome of the test would support the efficient market hypothesis, a cornerstone of neo-classical economic theory. In contrast to the usage in prevalent economic theory the term equilibrium here is tied to the returns, rather than the price-time series. The test is based on an action functional S constructed from the elements of the detailed balance condition and the historical data set, and then analyzing S by means of simulated annealing. Checks are performed to verify the validity of the analysis method. We discuss the outcome of this analysis.

  5. Product Market Integration, Comparative Advantages and Labour Market Performance

    Andersen, Torben M.; Rose Skaksen, Jan

    2003-01-01

    Product Market Integration, Comparative Advantages andLabour Market Performance@*In a two-country model with trade driven by comparative advantages, it is considered howimperfectly competitive labour markets are affected by lower frictions in international goodstrade. Easier goods trading is...... equivalent to increased mobility of employment acrosscountries and thus a change in the trade-off between wages and employment faced by wagesetters. While the effects of product market integration on the trade-off between wages andemployment in general is ambiguous, it is shown that product market...... integration works like ageneral improvement in productivity via the specialization it allows through trade.Unambiguously, real wages and employment and welfare improve upon reductions in tradefrictions, and therefore workers are better off irrespective of whether the market power ofunions is enhanced or muted...

  6. Social security privatization and financial market risk : lessons from US financial history

    Burtless, Gary

    2000-01-01

    A popular proposal for reforming social security is to supplement or replace traditional publicly financed benefits with a new system of mandatory defined-contribution private pensions. Proponents claim that private plans offer better returns than traditional social security. To achieve higher returns, however, contributors are exposed to extra risks associated with financial market fluctuations. This paper offers evidence on the extent of these risks by considering the hypothetical pensions ...

  7. Banks, Development Financial Institutions and Credit Markets in India: A Simple Model of Financial Intermediation

    Ghosh, Saibal

    2003-01-01

    The paper examines the interaction between a bank and a development financial institution (DFIs) in a macroeconomic set-up, both of whom can lend for working capital and investment finance purposes. Our analysis reveals that the reduction in the interest rate premium on bonds over the deposit rate is an important pre-requisite for the DFI to raise its market share in both investment finance and working capital lending. Also, greater corporate access to bond financing raises investment, output...

  8. Integrated marketing communications at solar energy equipment market

    I.L. Litovchenko; I.A. Shkurupskaya

    2013-01-01

    The aim of the article. The article is devoted to the development of the concept of «integrated marketing communications», as well as its adaptation to a specific market of solar energy equipment. The theoretical development of foreign and domestic scholars in the field of IMC is considered. The aim of the article is to define the concept of «integrated marketing communications» and use them in the market of solar еnergy equipment in an information economy. The author's definition of the c...

  9. The Effects of World Financial Integration on Financing Current Account Deficits: The Case for Turkey

    S. Cem Karaman; Nurettin Can

    2014-01-01

    The world financial markets are integrated more than ever. Together with countries opening their economies to the world, we see the dynamics of capital movements changing together with how countries respond to their domestic capital needs. Today, foreign capital is financing most of Turkey’s current account deficit. With this paper, we show that the main reason why Turkey is borrowing so much money from international markets and its current account deficit is substantial, is global liquidity ...

  10. Impact of Financial News Headline and Content to Market Sentiment

    Tan Li

    2014-04-01

    Full Text Available Business and financial news are important resources that investors referred to when monitoring the stock performance. News brings us the latest information about the stock market. Studies have shown that business and financial news have a strong correlation with future stock performance. Business and financial news can be used to extract sentiments and opinions that may assist in the stock price predictions. In this paper, we present a sentiment analyser for financial news articles using lexicon-based approach. We utilized two most important elements of news, the headline and the content as our test data. We use polarity lexicon to distinguish between positive and negative polarity of each term in the corpus. We further investigate on how news headline will affect the sentiment analysis by adjusting the weights of the news headline and news contents sentiment value. Three sets of experiments were carried out using headline only, content only and headline and content as test data. In the experiment, we used non-stemming tokens and stemming tokens when considering individual word found in the news article. The preliminary results are presented and discussed in this paper.

  11. Five Essays on International Spillovers of Monetary Policy, Fiscal Policy and Financial Markets

    Niehof, Britta

    2015-01-01

    The recent financial and real economic crises have made it clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real economy seriously by developing a fully dynamic theoretical model in continuous time. Starting from a standard New Keynesian framework, we reformulate an...

  12. THE INTEGRATION OF CAPITAL MARKETS: CORRELATION ANALYSIS

    Ioan TRENCA; Eva DEZSI

    2010-01-01

    The financial theory predicts that gains can be achieved through international portfolio diversification, if the different markets are not correlated. As we can see the level of interaction or independence between markets has an important impact of the investments, in means of risk and return. International portfolio diversification can lead to efficient asset allocation and reduce risk, assets associated with similar levels of risk are anticipated to have similar levels of return in integrat...

  13. The highly intelligent virtual agents for modeling financial markets

    Yang, G.; Chen, Y.; Huang, J. P.

    2016-02-01

    Researchers have borrowed many theories from statistical physics, like ensemble, Ising model, etc., to study complex adaptive systems through agent-based modeling. However, one fundamental difference between entities (such as spins) in physics and micro-units in complex adaptive systems is that the latter are usually with high intelligence, such as investors in financial markets. Although highly intelligent virtual agents are essential for agent-based modeling to play a full role in the study of complex adaptive systems, how to create such agents is still an open question. Hence, we propose three principles for designing high artificial intelligence in financial markets and then build a specific class of agents called iAgents based on these three principles. Finally, we evaluate the intelligence of iAgents through virtual index trading in two different stock markets. For comparison, we also include three other types of agents in this contest, namely, random traders, agents from the wealth game (modified on the famous minority game), and agents from an upgraded wealth game. As a result, iAgents perform the best, which gives a well support for the three principles. This work offers a general framework for the further development of agent-based modeling for various kinds of complex adaptive systems.

  14. Building credibility in international banking and financial markets

    Jørgensen, Poul Erik Flyvholm; Isaksson, Maria

    2008-01-01

    Purpose - The research draws a detailed picture of how international corporate banks and financial institutions approach image advertising to enhance impressions of their credibility. The purpose of the work is twofold, namely to demonstrate (1) how corporate credibility can be conceptualised and...... appeal forms. A corpus of 74 print adverts was then analysed in order to establish how financial marketers use the appeal forms to strengthen their corporate reputations. The patterns of credibility appeals obtained were then linked to the supporting visuals to provide a fuller picture of the industry...... results of the research are intended to bring increased attention to the rhetorical options for managing reputations and their potential effects on corporate credibility discourse. Originality/value - The study demonstrates how dimensions of credibility can be conceptualised at a level relevant both to...

  15. Financial overview of integrated community energy systems

    Croke, K. G.; Hurter, A. P.; Lerner, E.; Breen, W.; Baum, J.

    1977-01-01

    This report is designed to analyze the commercialization potential of various concepts of community-scale energy systems that have been termed Integrated Community Energy Systems (ICES). A case analysis of alternative ICES concepts applied to a major metropolitan development complex is documented. The intent of this study is twofold: (1) to develop a framework for comparing ICES technologies to conventional energy supply systems and (2) to identify potential problems in the commercialization of new systems approaches to energy conservation. In brief, the ICES Program of the ERDA Office of Energy Conservation is intended to identify the opportunities for energy conservation in the community context through analysis, development, and/or demonstration of: location and design of buildings, building complexes, and infrastructure links; engineering and systems design of existing, emerging, and advanced energy production and delivery technologies and systems; regulatory designs for public planning, administration, and regulation of energy-conserving community development and energy services; and financial planning for energy-conserving community development and energy supply systems.

  16. Dynamics of cluster structures in a financial market network

    Kocheturov, Anton; Batsyn, Mikhail; Pardalos, Panos M.

    2014-11-01

    In the course of recent fifteen years the network analysis has become a powerful tool for studying financial markets. In this work we analyze stock markets of the USA and Sweden. We study cluster structures of a market network constructed from a correlation matrix of returns of the stocks traded in each of these markets. Such cluster structures are obtained by means of the P-Median Problem (PMP) whose objective is to maximize the total correlation between a set of stocks called medians of size p and other stocks. Every cluster structure is an undirected disconnected weighted graph in which every connected component (cluster) is a star, or a tree with one central node (called a median) and several leaf nodes connected with the median by weighted edges. Our main observation is that in non-crisis periods of time cluster structures change more chaotically, while during crises they show more stable behavior and fewer changes. Thus an increasing stability of a market graph cluster structure obtained via the PMP could be used as an indicator of a coming crisis.

  17. Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

    William R. Latham; Bowers, Helen M.; Huijian Dong

    2013-01-01

    This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups....

  18. Integrating Ethics into the Marketing Curriculum.

    Martin, James H.

    1990-01-01

    Describes how John Carroll University successfully integrated ethics into existing marketing courses. Provides a summary of the current literature on marketing ethics, discusses the educational goals that are met by integrating ethics into the curriculum, examines available curricular options, and details the design and implementation of a segment

  19. Financial Inclusion and the Linkages to Stability, Integrity and Protection : Insights from the South African Experience

    CGAP

    2012-01-01

    International Standard-Setting Bodies (SSBs) and national policy makers-including financial regulators-pursue the core objectives of financial stability, financial integrity and financial consumer protection. These advances challenge financial regulators to consider how to optimize the linkages among the four distinct policy objectives financial inclusion, financial stability, financial in...

  20. Integrating gas and electric markets and regulation

    The issues determining what energy companies must do to compete in an increasingly competitive energy market and what regulators must do to ensure fairness in competition were discussed. The similarities of gas and electric markets, and the factors driving their integration were highlighted. The importance of communications and customer service in the energy market and the nature of market power in the gas and electric industries was described. Three reasons were given why gas/electric mergers will be beneficial: (1) operating efficiency, (2) applying gas experience to electric markets, and (3) opportunity to exercise market power. Potential regulatory problems were also reviewed