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Towards a European integrated financial markets  

Directory of Open Access Journals (Sweden)

Full Text Available Financial markets around the world are undergoing similar experiences of innovation and conglomeration. This paper reviews those trends and considers the policy implications and the movement towards the integration of the world's capital markets. In particular, the risks and how they can be contained are examined. This leads to an examination of the issues raised by the liberalisation of capital transactions and the implications for the prospects of greater integration of financial markets in Europe.

L. DINI

2013-12-01

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FEATURES AND EFFECTS OF INTERNATIONAL INTEGRATION OF THE FINANCIAL MARKETS/ ??????????? ? ??????????? ????????????? ?????????? ?? ?????????? ??????  

Directory of Open Access Journals (Sweden)

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.

A.A. Kotova

2013-04-01

3

How has the European Monetary Integration Process Contributed to Regional Financial Market Integration?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

European monetary integration was one element in the process of financial market integration but by far not the only one. The paper traces the development of financial markets and systems in Europe from the beginnings of the euromarkets in the 1950s over early exchange rate arrangements and the establishment of the Single Market program to the launch of the euro and its effects. Not surprisingly, the contribution of the common currency to financial integration has been the stronger the more n...

Reszat, Beate

2003-01-01

4

Financial development and investment market integration: An approach of underlying financial variables & indicators for corporate governance growth empirical approach  

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Full Text Available Financial development is correlated with several underlying regulatory variables (such as indicators of investor protection, market transparency variables for corporate governance growth and rules for capital market development, which are under the control of national legislators and EU directives. This paper provides estimates of the relationship between financial market development and corporate growth and assesses the impact of financial market integration on this relationship with reference to European Union (EU countries. The regression results obtained using this panel support the hypothesis that financial development promotes growth particularly in industries that are more financially dependent on external finance. For policy purposes, analyzing changes in these regulatory variables may be a more interesting exercise than analyzing integration of the financial systems themselves. Since assuming that EU countries will raise its regulatory and legal standards to the U.S. standards appears unrealistic, in this case we examine a scenario where EU countries raise their standards to the highest current EU standard.

Vojinovi? Borut

2005-01-01

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Regional Financial Integration in Sub-Saharan Africa - An Empirical Examination of its Effects on Financial Market Development  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper examines the effects of political agreements on regional financial integration (RFI) on financial market development and access to and cost of finance in Sub-Saharan Africa. Our results suggest that RFI positively affects financial development - measured very broadly as the size of the financial sector, including the liabilities of the central banks - when combined with a sufficient level of institutional quality. If institutional quality is below a threshold level, RFI apparently ...

Frey, Leo; Volz, Ulrich

2011-01-01

6

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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. ...

European Central Bank ; Center for Financial Studies (CFS)

2008-01-01

7

Financial markets - OECD  

... Sovereign debt and financial stability In-depth analysis from the OECD addresses the financial market dimension of sovereign debt challenges to assist policy makers in ... Blundell-Wignall, sovereign debt, bond markets, financial markets, monetary policy, basel III, banking regulations Financial markets - OECD Français ...Financial and Enterprise Affairs › Financial markets, insurance and pensions ›  Financial markets › Sovereign debt and financial stability Financial markets Competition Corporate affairs Bribery in ...Financial markets Financial education Insurance Private pensions Public debt management International investment Sovereign debt and financial stability Send Print Tweet   In-depth analysis ...

8

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

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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.

Madalina Antoaneta RADOI

2011-12-01

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STOCK EXCHANGE MARKETS INTEGRATION – A CAUSE OF QUASI-SIMULTANEOUS TRANSMISSION OF FINANCIAL CRISIS  

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Full Text Available Financial mondialization designate the enlargement movement and the opening of capital markets at a global level which began at the beginning of the ´70s. Because of the capital markets integration, the economies are more and more exposed to the common im

SABAU-POPA CLAUDIA DIANA

2009-05-01

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 empirical findings. The findings of this study are as follows. First, the Northeast Asian stock market remains independent from the European and global stock market movements during the sample period. Second, the European stock market shows an increasing trend of joint integration with Northeast Asian stock market. However, the level of integration is not economically significant. Third, the level of market integration between European and global stock markets had temporally increased during the GFC. However, the level returned to its pre-crisis level in the post-crisis era. The overall empirical evidence suggests that, for either European or global stock market portfolio, constructing a portfolio with Northeast Asian stock market would result in a more efficient portfolio. The results in this paper do not support the view of previous empirical studies which suggested the increased level of integration since the GFC. An increased integration is found to be only unique to the crisis period. In sum, the market integration is a dynamic process, and the financial crisis did not uniformly affect the level of stock market integration.

Geesun Lee

2014-01-01

11

Time series analysis of the developed financial markets' integration using visibility graphs  

Science.gov (United States)

A time series representing the developed financial markets' segmentation from 1973 to 2012 is studied. The time series reveals an obvious market integration trend. To further uncover the features of this time series, we divide it into seven windows and generate seven visibility graphs. The measuring capabilities of the visibility graphs provide means to quantitatively analyze the original time series. It is found that the important historical incidents that influenced market integration coincide with variations in the measured graphical node degree. Through the measure of neighborhood span, the frequencies of the historical incidents are disclosed. Moreover, it is also found that large "cycles" and significant noise in the time series are linked to large and small communities in the generated visibility graphs. For large cycles, how historical incidents significantly affected market integration is distinguished by density and compactness of the corresponding communities.

Zhuang, Enyu; Small, Michael; Feng, Gang

2014-09-01

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

Directory of Open Access Journals (Sweden)

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.

Morosan Danila Lucia

2010-12-01

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EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The global financial crisis has revealed the weaknesses of the European financial market, which triggered the European Union (EU) work on further integration of this market. The aim of this article is to present the direction of changes concerning the integration of the EU financial market. These changes are mainly related to the issue of supervising the EU financial market, regulating the institutions operating in this market, protecting customers, improving the effectiveness of the market, ...

Ma?gorzata Mikita

2012-01-01

14

ANALYSIS OF FINANCIAL MARKETS INTEGRATION OF IRAN WITHIN THE MIDDLE EAST AND WITH THE REST OF THE WORLD  

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Full Text Available It is universally argued that Iranâ??s financial markets are effectively isolated from the rest of the world. However, in the last three years, privatization increased in Iranian financial markets as well as capitalization, Foreign Direct Investment (FDI and equity prices, albeit with suspicion of reaching the bubble level. Questions are raised whether Iran is still isolated from the rest of the world. To see whether argument in relation to isolation of Iranian financial markets is true and to better understand Iranâ??s financial development, we estimate financial interdependencies of Iran within the Middle East and with the rest of the world based on the important recycling of petrodollars. For this analysis monthly financial data from equity, money and foreign exchange markets are applied over 12 years. Integration of each of these markets are analysed in turn for Iran within the region and with the rest of the world. Auto-Regressive Distributed Lag (ARDL cointegration method is conducted to analyse the interdependencies among the financial markets after the application of unit root test in presence of structural breaks. We found that Iran has fairly independent and isolated foreign exchange market. However, its equity and money markets are integrated within the Middle East and with the rest of the world. Iran is neither completely segregated nor fully integrated with the rest of the world; it is still controversial whether Iran should be considered as a good choice for international portfolio diversification based on its segregated nature.

Parinaz Ezzati

2013-01-01

15

The Impact of the Global Financial Crisis on the Integration of the Chinese and Indonesian Stock Markets  

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Full Text Available 800x600 The study investigates the integration of Chinese stock market with Indonesian stock market after the 2008 global financial crisis, by considering volatility spillover between the two countries. The study also considers the volatility spillovers effects of Japan and the U.S on Indonesian and Chinese stock markets. Exponential generalized autoregressive conditional heteroskedasticity model is employed for analyzing data series covering January 4, 2002 to December 20, 2011. The results indicate that Indonesian and Chinese stock markets have bidirectional return spillover effects before and after the 2008 global financial crisis. The results of volatility spillover effects provide evidence that Chinese stock market has unidirectional effect on Indonesia stock market after the financial crisis. We also found evidence of volatility spillover effect of the Japanese stock market on Indonesian stock market before and after the crisis, but we do not find volatility spillover evidence from the U.S to Indonesian stock market after the financial crisis. This finding indicates that besides Japan, China has increased its influence on Indonesian stock market after the global financial crisis, whereas the U.S has become less influential than before the crisis. This strong integration of the Chinese stock market in Indonesia market implies limited gains for portfolio diversification from the international portfolio investors.  Normal 0 false false false EN-US X-NONE X-NONE

James Manuel Kenani

2013-08-01

16

ECONOMIC NATURE OF FINANCIAL MARKET IN INTEGRATED SYSTEMS INSTITUTE TRANSITIONAL ECONOMIES  

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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. 

?.?. ??????

2011-03-01

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

Directory of Open Access Journals (Sweden)

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 Italy’s 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.  

M. SARCINELLI

2013-12-01

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Communication impacting financial markets  

CERN Document Server

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...

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

2014-01-01

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EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES  

Directory of Open Access Journals (Sweden)

Full Text Available The global financial crisis has revealed the weaknesses of the European financial market, which triggered the European Union (EU work on further integration of this market. The aim of this article is to present the direction of changes concerning the integration of the EU financial market. These changes are mainly related to the issue of supervising the EU financial market, regulating the institutions operating in this market, protecting customers, improving the effectiveness of the market, its transparency and liquidity, as well as improving management in crisis situations.

Ma?gorzata Mikita

2012-04-01

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ECONOMY CRISES AND FINANCIAL MARKET  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis covers the financial market, the financial crisis in the years 2007-2009 and the great depression that followed the stock market collapse in 1929. The division of the financial market to the capital and monetary market, financial instruments that are used by monetary and non-monetary institutions on the financial market and the central bank, which leads the monetary politics and should have control over all these institutions. I have described the two crises, their beginning, how ...

Z?igon, Mihela

2010-01-01

 
 
 
 
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Communication impacting financial markets  

Science.gov (United States)

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.

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

2014-10-01

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PROSPECTS OF POLISH COOPERATIVE BANKS IN FINANCIAL MARKET INTEGRATION AND GLOBALISATION CONDITIONS  

Digital Repository Infrastructure Vision for European Research (DRIVER)

National markets, when opening, expose their local financial institutions to international competition. Economic agents encounter both opportunities and threats in the new circumstances. The relative weakness of cooperative banks in Poland stemming from the historical and structural background needs to be shortly overcome. Surprisingly, the performance o f these financial institutions in Poland over the last four years has proved more effective than that of commercial banks. ...

Szembelan?czyk, Jan

2004-01-01

23

Financial Market Stabilization Package  

Science.gov (United States)

The Korean Ministry of Finance and Economy site contains details of The Financial Market Stabilization Package aimed at solving the financial crisis announced on November 19, 1997. The beginning of the financial crisis in South Korea can be traced to the collapse of Hanbo Steel Corp., the first in a string of large corporate failures in South Korea. This was followed by the decline in the value of the Korean won against the dollar in October 1997, which persisted until November when the Central Bank of Korea stopped intervening to support the won. The continued decline in won forced the Korean government to seek financial assistance from the International Monetary Fund (IMF). On December 3, the IMF announced a $55 billion aid package for South Korea.

1997-01-01

24

Reconfiguring the Financial Markets  

Directory of Open Access Journals (Sweden)

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.

Ion Bucur

2009-12-01

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Markets for financial transmission rights  

International Nuclear Information System (INIS)

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

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market and financial risks  

Directory of Open Access Journals (Sweden)

Full Text Available The paper focuses on debt management, and examines the concept of debt sustainability as defined by different authors and applied by the IMF. However, proposes a new definition and a different approach. Assessment procedures for the new approach are suggested as also some actions to develop a government securities market. In the last part, it proposes an interpretation of Mexico?s 1982 and 1994-95 crises, as a result of two factors, the overlooking of basic financial risks and a poor conception of debt sustainability.

Luis Foncerrada

2005-01-01

27

77 FR 45907 - Financial Market Utilities  

Science.gov (United States)

...that a few financial institutions will be perceived...improve overall market transparency...participating financial institutions and to the market as a whole...plausible market conditions...base its financial resources...financial institutions'' as...

2012-08-02

28

The Nordic financial electricity market  

Energy Technology Data Exchange (ETDEWEB)

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

2010-11-15

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76 FR 18445 - Financial Market Utilities  

Science.gov (United States)

...which the financial markets and the broader...function effectively. Financial institutions, such as banks...spreading among financial institutions or markets and thereby threaten...stability of the financial system of the...

2011-04-04

30

78 FR 76973 - Financial Market Utilities  

Science.gov (United States)

...which the financial markets and the broader...systems in which financial institutions, such as banks...spreading among financial institutions or markets and thereby threaten...stability of the financial system of the...

2013-12-20

31

Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock market is evidenced segmented from the group of GCC markets. It is indicated that there is bivariate nonlinear cointegrating relationship linking Kuwait stock market with each of Saudi, and Dubai markets....

Onour, Ibrahim

2008-01-01

32

Social Knowledge for Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available Financial literacy is an important issue today, but it is directed/limited to improve the practical skills of people taking financial markets and their present working for granted. However, financial markets are social institutions and social processes involving network relations as well as rules and norms. Globalization has resulted in a dominating role of financial markets over the economy with importance for the transformation of capitalistic society. The sociological perspectives on financial markets have relevance also for the present crisis for which several explanations have been suggested. Most explanations overlook, however, the process of disembedding of the financial markets from the societal context, which is represented by the reliance on a specific kind of knowledge. To illustrate the need for reintegrating financial markets in the economy and making them more responsive to societal concerns, financial knowledge requires to be embedded into social knowledge about the function of financial markets for society, the importance of norms and the social character of markets.Finanzerziehung ist ein wichtiges Anliegen in der Gegenwart, aber die „finanzielle Alphabetisierung“ beschränkt sich auf die Vermittlung praktischen Wissens, ohne die Finanzmärkte und ihr Funktionieren zu hinterfragen. Aber Finanzmärkte sind soziale Institutionen und soziale Prozesse, die Netzwerkbeziehungen sowie Regeln und Normen umfassen. Die Globalisierung resultierte in einer dominierenden Rolle des Finanzsystems im Verhältnis zur Wirtschaft und mit Implikationen für die Transformation der kapitalistischen Gesellschaft. Die soziologischen Perspektiven auf Finanzmärkte sind auch für die gegenwärtige Krise relevant, die verschieden zu erklären versucht wird. Diese Erklärungen übersehen jedoch vielfach den Prozess der Entbettung der Finanzmärkte aus den gesellschaftlichen Kontexten, der sich auch durch die Betonung einer spezifischen Art von Wissen darstellt. Um die Notwendigkeit für die Reintegration der Finanzmärkte in die Wirtschaft und für ihre Verantwortlichkeit für gesellschaftliche Belange verständlich zu machen, bedarf es der Einbettung des finanztechnischen Wissens in soziales Wissen über die Funktion der Finanzmärkte in der Gesellschaft, die Bedeutung von Normen und den sozialen Charakter von Märkten.

Gertraude Mikl-Horke

2010-08-01

33

Financial Intermediation, Markets, and Alternative Financial Sectors  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 d...

Allen, Franklin; Carletti, Elena; Qian, Jun Qj; Valenzuela, Patricio

2012-01-01

34

Market free lunch and large financial markets  

CERN Document Server

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].

Klein, I

2006-01-01

35

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

Directory of Open Access Journals (Sweden)

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.

Adwin Surja Atmadja

2009-01-01

36

Time Varying International Market Integration  

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Full Text Available The objective of this paper is to test financial integration for a sample of 15 developed financial markets and 7 emerging markets between December 1987 and December 2004 by using Conditional International CAPM. The results of the test of International CAPM with time-varying moments provide evidence that the world portfolio is conditionally mean–variance efficient for the group of G7 countries. For emerging markets, we reject the hypothesis of integrated capital markets and we find evidence of time-varying segmentation.  

Dhouha Hadidane Chkioua

2013-10-01

37

Fractal properties of financial markets  

Science.gov (United States)

We present an analysis of the USA stock market using a simple fractal function. Financial bubbles preceding the 1987, 2000 and 2007 crashes are investigated using the Besicovitch-Ursell fractal function. Fits show a good agreement with the S&P 500 data when a complete financial growth is considered, starting at the threshold of the abrupt growth and ending at the peak. Moving the final time of the fitting interval towards earlier dates causes growing discrepancy between two curves. On the basis of a detailed analysis of the financial index behavior we propose a method for identifying the stage of the current financial growth and estimating the time in which the index value is going to reach the maximum.

Budinski-Petkovi?, Lj.; Lon?arevi?, I.; Jakši?, Z. M.; Vrhovac, S. B.

2014-09-01

38

Mesoscopic Modelling of Financial Markets  

Science.gov (United States)

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 (Levy et al. in Econ. Lett. 45:103-111, 1994; Levy et al. in Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena, Academic Press, San Diego, 2000) 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.

Cordier, Stephane; Pareschi, Lorenzo; Piatecki, Cyrille

2009-01-01

39

Detecting anchoring in financial markets  

CERN Document Server

Anchoring is a term used in psychology to describe the common human tendency to rely too heavily (anchor) on one piece of information when making decisions. A trading algorithm inspired by biological motors, introduced by L. Gil\\cite{Gil}, is suggested as a testing ground for anchoring in financial markets. An exact solution of the algorithm is presented for arbitrary price distributions. Furthermore the algorithm is extended to cover the case of a market neutral portfolio, revealing additional evidence that anchoring is involved in the decision making of market participants. The exposure of arbitrage possibilities created by anchoring gives yet another illustration on the difficulty proving market efficiency by only considering lower order correlations in past price time series

Andersen, Jorgen Vitting

2007-01-01

40

Integrated Financial Management Program  

Science.gov (United States)

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.

Pho, Susan

2004-01-01

 
 
 
 
41

International financial markets and development  

Directory of Open Access Journals (Sweden)

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.

How to cite this article: Wahl, P., 2009, ‘International financial markets and development’, HTS Teologiese Studies/Theological Studies 65(1, Art. #284, 4 pages. DOI: 10.4102/hts.v65i1.284

Peter Wahl

2009-11-01

42

Financial frictions, financial shocks and labour market fluctuations in Canada  

Digital Repository Infrastructure Vision for European Research (DRIVER)

What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) - a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions - with Canadian data for the period 1984Q2-2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada. She finds that the estimated value of the elasticity of external finance, t...

Zhang, Yahong

2011-01-01

43

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Simplice A, Asongu

2011-01-01

44

International financial markets and development  

Scientific Electronic Library Online (English)

Full Text Available SciELO South Africa | Language: English Abstract in english 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.

Peter, Wahl.

45

Relationship Service Marketing and Investment in Financial Market of Iran  

Directory of Open Access Journals (Sweden)

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.

Mehrdad Alipour

2012-08-01

46

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

Directory of Open Access Journals (Sweden)

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.

Raghavendra Rao Rentala

2012-10-01

47

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Metzger, Martina; Taube, Gu?nther

2010-01-01

48

“Lamfalussy Architecture” – A Model for Consolidating the Financial Markets’ Supervision  

Directory of Open Access Journals (Sweden)

Full Text Available The enhancement of convergence in the supervisory practices, both by increasing the quality of the legal framework and of the regulations in the field of financial services and by improving the consultation process, represents a prerequisite for setting up the Single Market for financial services at EU level. In order to reach this goal a new approach, known as “Lamfalussy Architecture”, has been developed. The implementation of this model will increase the efficiency of the regulatory and supervisory framework within the financial markets, by removing the obstacles in the way of their integration into the Single Market. At the same time, setting up an EU Single Market implies a thorough monitoring of the financial stability through a constant review of the regulatory and supervisory framework.

Nicolae Dardac

2008-08-01

49

Relationship Service Marketing and Investment in Financial Market of Iran  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 marketin...

Mehrdad Alipour; Reza Ahmadi; Hamed Abasi Nami

2012-01-01

50

Financial Stability and Market Structure: International Evidence  

Directory of Open Access Journals (Sweden)

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.

Marcos Soares da Silva

2012-04-01

51

The Economic Efficiency of Financial Markets  

Science.gov (United States)

In this paper, we investigate the economic efficiency of markets and specify its applicability to financial markets. The statistical expressions of supply and demand of a market are formulated in terms of willingness prices. By introducing probability of realized exchange, we also formulate the realized market surplus. It can be proved that only when the market is in equilibrium the realized surplus can reach its maximum value. The market efficiency can be measured by the ratio of realized surplus to its maximum value. For a financial market, the market participants are composed of two groups: producers and speculators. The former brings the surplus into the market and the latter provides liquidity to make them realized.

Wang, Yougui

52

Algorithmic Complexity of Real Financial Markets  

CERN Document Server

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 intervals when no financial turbulence is observed. The connection between our results and The Efficient Market Hypothesis is discussed.

Mansilla, R

2000-01-01

53

Algorithmic complexity of real financial markets  

Science.gov (United States)

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.

Mansilla, R.

2001-12-01

54

Algorithmic Complexity in Real Financial Markets  

CERN Document Server

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 no financial turbulence is observed. The connection between our results and The Efficient Market Hypothesis is discussed.

Mansilla, R

2001-01-01

55

MEASURING INTEGRATED MARKETING COMMUNICATION  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 fo...

Jerman, Damjana; Zavrs?nik, Bruno

2011-01-01

56

THE FINANCIAL CRISIS AND THE EMERGING MARKETS  

Directory of Open Access Journals (Sweden)

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.

LORENA POPESCU DUDUIAL?

2014-06-01

57

Corporate social responsibility and financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Dam, Lammertjan

2008-01-01

58

Networks of equities in financial markets  

CERN Document Server

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.

Bonanno, G; Lillo, F; Micciché, S; Vandewalle, N; Mantegna, R N

2004-01-01

59

Networks of equities in financial markets  

Science.gov (United States)

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.

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

2004-03-01

60

Network Topologies of Financial Market During the Global Financial Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

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

2013-01-01

 
 
 
 
61

A MARKET OF LONG-TERM FINANCIAL CAPITALS WITHIN THE STRUCTURE OF FINANCIAL CAPITALS MARKET  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The systematic of financial capital markets is not homogeneous. Contemporarily used in Polish literature criteria of disaggregation of financial market into-money market and capital market seem to be too enigmatic. Classic literature of the subject, as well Polish as world-wide, strays from such a canon division. Some of classifications presented in the article are rather artificial, however a majority of them is based on monitoring changes that do constitute circulation money ...

Gruszczyc?ska-broz?bar, Elz?bieta

1999-01-01

62

Degree of correlation inside a financial market  

Science.gov (United States)

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).

Mantegna, Rosario Nunzio

1997-05-01

63

Herd Behavior in Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper provides a rational microstructure model in which informed traders have private information on multi-dimensional uncertainties and it is possible for the herd behavior to occur. In the herd phase, informed traders choose to trade in the same direction regardless of their private signals. In addition, we find that there always exists a transitional phase between the normal phase and the herd phase. The market enters a transition phase when some informed traders’ expectation on the risky asset value is within the bid-ask spread. In the transition phase, the market liquidity deteriorates, marked by larger spread and stronger price impact power of incoming orders. The research in the multiple markets situation shows that what happens in the transition phase in one market could affect not only that market but also related markets. It provides the stage for the market crash and the herd behavior to be contagious among multiple assets whose values are correlated.

Wenjin Kang

2013-05-01

64

Regulation of Banking and Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Pacces, A. M.; Heremans, D.

2011-01-01

65

Financial derivatives in power marketing: The basics  

International Nuclear Information System (INIS)

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

66

Career concerns in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

What are the equilibrium features of a market where a sizeable portion of traders face career concerns? This question is central to our understanding of Þnancial markets that are increasingly dominated by institutional investors. We construct a model of delegated portfolio management that captures key features of the US mutual fund industry and we embed it into an asset pricing set-up. Fund managers differ in their ability to understand market fundamentals, and in every period investors choo...

Dasgupta, Amil; Prat, Andrea

2004-01-01

67

MARKETING STRATEGIES OF FINANCIAL PRODUCTS IN INDIA  

Directory of Open Access Journals (Sweden)

Full Text Available The Indian economy has a large number of investors in financial products. Many firms with claims to their cash flows regularly trade in the active secondary security market. In addition to these investors and firms, there are also a number of financial intermediaries contributing to the market efficiency through financial products created to satisfy specialized investors demands. The liabilities of the intermediaries are covered in the secondary markets for the firm's securities, with transaction and marketing costs, prohibiting investors from directly creating these products. Mutual Funds and Financial Derivatives are the two important aspects of the Indian financial sector. Mutual fund is such an avenue, which offers good investment opportunities to investors. Like all investments, mutual funds also carry certain risks. Investors should compare the risks and expected fields after adjustment of tax on various instruments while taking investment decisions. In this regard, the investors may require advice from experts and consultants including agents and distributors of mutual fund schemes while making investment decisions. Therefore, investors prefer to avail the advisory services of the marketing personnel free of charge, rather than hiring the expert and paying a handsome amount.

A. K. Mohideen

2014-04-01

68

Could short selling make financial markets tumble?  

CERN Document Server

It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss the role of traditional market players of long only mutual funds versus hedge funds which take both short and long positions. It will be argued that financial markets since their very origin and only till very recently, have been in a state of ``broken symmetry'' which favored long term growth instead of contraction. The reason for this ``broken symmetry'' into a long term ``bull phase'' is the historical almost complete dominance by long only players in financial markets. Dangers connected to short trading are illustrated by the appearence of long term bearish trends seen in analytical results and by simulation results of an agent based market model. Recent short trade data of the Nasdaq Composite index show an increase in the short activity prior to or at the same time as d...

Andersen, J V

2003-01-01

69

Cohesiveness in financial news and its relation to market volatility.  

Science.gov (United States)

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

Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozeti?, Igor; Gr?ar, Miha; Vodenska, Irena; Smuc, Tomislav

2014-01-01

70

Cohesiveness in Financial News and its Relation to Market Volatility  

Science.gov (United States)

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.

Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozeti?, Igor; Gr?ar, Miha; Vodenska, Irena; Šmuc, Tomislav

2014-05-01

71

Pareto Improving Financial Innovation in Incomplete Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we develop a differential technique for investigating the welfare effects of financial innovation in incomplete markets. Utilizing this technique, and after parametrizing the standard competitive, pure-exchange economy by both endowments and utility functions, we establish the following (weakly) generic property: Let S be the number of states, I be the number of assets and H be the number of households, and consider a particular financial equilibrium. Then, provided that the deg...

Cass, David; Citanna, Alessandro

1998-01-01

72

Financial Innovation, Market Participation, and Asset Prices  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risk. The introduction of non-redundant assets endogenously modifies the participation set, reduces the covariance between dividends and participants' consumption and thus leads to lower risk premia. In multisector economies, financial innovation spreads accross markets through the diversified portfolio of new entrants, and has rich effects on the cross-sect...

Gonzalez-eiras, Martin; Calvet, Laurent; Sodini, Paolo

2004-01-01

73

Agent-based Models of Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 l...

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

2007-01-01

74

Financial methods in competitive electricity markets  

Science.gov (United States)

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.)

Deng, Shijie

75

Scaling Exponents in Financial Markets  

Science.gov (United States)

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.

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

2007-03-01

76

Financial innovation, market participation and asset prices  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation. Investors receive heterogeneous random incomes determined by a finite number of macroeconomic factors. They can freely borrow and lend, but must pay a fixed entry cost to invest in risky assets. Securit...

Calvet, Laurent; Gonzalez-eiras, Marti?n; Sodini, Paolo

2001-01-01

77

News Cohesiveness: an Indicator of Systemic Risk in Financial Markets  

CERN Document Server

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.

Piškorec, Matija; Novak, Petra Kralj; Mozeti?, Igor; Gr?ar, Miha; Vodenska, Irena; Šmuc, Tomislav

2014-01-01

78

Characteristics of networks in financial markets  

Science.gov (United States)

We investigate the financial network of the Korea Stock Exchange (KSE) using numerical simulations and scaling arguments. The frequency of degree and the edge density for a real stock market graph are mainly discussed from a numerical point of view. In particular, our frequency of degree follows approximately the power law distribution.

Kim, Kyungsik; Kim, Soo Yong; Ha, Deock-Ho

2007-07-01

79

Financial markets: the recent experience of a developing economy  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Adam, Mustafa Hassan Mohammad

2009-01-01

80

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

Directory of Open Access Journals (Sweden)

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.

Igor Masten

2011-12-01

 
 
 
 
81

Agent-based models of financial markets  

International Nuclear Information System (INIS)

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 ma 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

82

Canonical momenta indicators of financial markets and neocortical EEG  

CERN Document Server

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.

Ingber, L

1996-01-01

83

76 FR 44763 - Authority To Designate Financial Market Utilities as Systemically Important  

Science.gov (United States)

...would have on critical markets, financial institutions, or the broader financial...Would Have on Critical Markets, Financial Institutions or the Broader Financial...would have on critical markets, financial institutions, or the broader...

2011-07-27

84

Financial development, labor and market regulations and growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the importance that market regulation and financial 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 beneficial effects of financial development, a firm will get less financing, and thus investless, in a weak financial market (finance effect), the strictness of product and labor market regulations also affect firm growth (labor effec...

Utrero Gonza?lez, Natalia

2005-01-01

85

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

CERN Document Server

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 characterization of semimartingale functions.

Zitkovic, Gordan

2006-01-01

86

Business Cycle Fluctuations and International Financial Integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Theoretical research on the determinants of business-cycle fluctuations implies that the degree of international financial integration can have important implications for the propagation of, e.g., macroeconomic policy shocks in an open economy. An important assumption underlying this research is that the degree of financial integration can be taken as exogenously given. Because recent empirical research has demonstrated that financial integration may change over time, we use data for the G7 c...

Kizys, Renatas; Pierdzioch, Christian

2004-01-01

87

Theory and the market after the crisis: the endogeneity of financial governance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The inheritance of contemporary financial economics invites us to consider financial stability as integral to a liberal market setting. The crisis however demonstrated that financial markets may prove highly dysfunctional in the absence of adequate mechanisms of regulation and governance. This implies that economic theory requires an enhanced understanding of the intersection of economic rationality with the rationality of governance. This article extends the insights of institutional economi...

Underhill, G. R. D.

2010-01-01

88

Intermediaries, Financial Markets and Growth: Some more International Evidence  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Afonso, Anto?nio; Ferreira, Raquel; Freitas, Edmund; No?brega, Celso; Pinheiro, Jose?

2003-01-01

89

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 alleviate...

Li, Mei; Milne, Frank; Qui, Junfeng

2013-01-01

90

The Financial Innovation and the Development of Capital Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In the last decades, the financial instruments developed very quickly, the world economy becoming “a paper economy”. The financial innovation transformed the financial system, offers for the financial intermediaries and investors’ new opportunities, but also brings new risks. The financial supervisory authorities passed from the regulation and deregulation process again to the re-regulation process in the intent to insure the stability in the financial markets and a development without ...

OVIDIU STOICA

2006-01-01

91

A brief essay on the financialization of agricultural commodity markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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.

Girardi, Daniele

2012-01-01

92

The stability of financial market networks  

Science.gov (United States)

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.

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

2014-08-01

93

Technical Trading Rules in Australian Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999 to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded in the Australian financial markets, and test for profitability relative to a buy-and-hold strategy. Size distortions due to data-snooping are avoided by using the Reality Check test of White (2000 and the Superior Predictive Ability test of Hansen (2005. We find no evidence that technical trading rules provide trading profits in excess of those available from a simple buy-and-hold strategy.

Jung Soo Park

2014-09-01

94

Describing the Current Situation of the Financial Market in Ghana  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis describes the current situation of the financial market in Ghana with a more thorough description and analysis in order to make investors, especially foreign investors to know where to invest their capital in order to profit. It also provides instantaneous feedback to policy makers and the Ghanaian government on how the financial market is developing. The objectives of this thesis is to describe the current situation of the financial market in Ghana; that is to determine whether t...

Mensah, David

2012-01-01

95

Basic trends of the global financial market development  

Directory of Open Access Journals (Sweden)

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

Luchian Ivan

2013-01-01

96

An index of financial market stress for the United Kingdom  

Directory of Open Access Journals (Sweden)

Full Text Available 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.

Shaen Corbet

2014-06-01

97

Integration of European Bond Markets  

DEFF Research Database (Denmark)

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 members and stronger for old than new EU members. The integration is weaker for the sovereign debt crisis countries than for other countries. The integration of the EU bond markets is decreasing over time and this appears not to be caused by the recent …nancial and sovereign debt crisis.

Christiansen, Charlotte

2012-01-01

98

Internal and external market orientation as organizational resources - consequences for market and financial performance  

Directory of Open Access Journals (Sweden)

Full Text Available The concept of internal marketing has been discussed in marketing literature for over 30 years. Despite this fact there is little theoretical and empirical evidence of the way in which the internal market orientation impacts market and financial performance. On the other hand, there is considerable empirical evidence concerning the impact of the external market orientation on market and financial performance. Consequently, very few research projects have dealt with the impact of both market orientations on the performance of companies. In this paper a structural model was constructed, consisting of the internal market orientation, external market orientation, market performance and financial performance. With the help of the structural equation model the hypothesis that the internal market orientation is a significant predecessor of the external market orientation was confirmed. The external market orientation was found to significantly influence market as well as financial performance.

Boris Snoj

2010-11-01

99

Carbon flows, financial markets and climate change mitigation  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

Mol, A. P. J.

2012-01-01

100

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

Directory of Open Access Journals (Sweden)

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."

Min-Hsien Chiang

2004-01-01

 
 
 
 
101

A marketing perspective on the impact of financial and non-financial measures on shareholder value  

Scientific Electronic Library Online (English)

Full Text Available SciELO South Africa | Language: English Abstract in english The pressure for financial accountability contributed to widespread concern about the function of marketing within the company. Consequently, marketers have become preoccupied with measuring the performance of marketing activity. Diverse financial and non-financial methods have been developed to pro [...] vide evidence of how marketing activity impacts on the bottom line. This article proposes an approach whereby financial and non-financial performance measures are combined to measure the contribution of marketing to sales. Secondary data from two retail brands within the same industry were analysed whereby actual accounting data were adjusted to examine the link between marketing expenditures, specifically with regard to the 4Ps (typical non-financial measures), and sales. The results of the time series regression showed that the nature of the relationship between marketing expenditures and sales is dependent largely on the product characteristics. The link between marketing and sales depicted serves as a starting point from which to build a more robust measurement tool incorporating financial and non-financial marketing performance measures that will serve to justify investment in the marketing of a brand.

Nic S, Terblanche; Charlene, Gerber; Pierre, Erasmus; Delia, Schmidt.

102

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

CERN Document Server

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 ...

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

2006-01-01

103

Variety and Volatility in Financial Markets  

CERN Document Server

We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days subsequent to these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments are fluctuating in time and are stochastic processes themselves. We characterize the statistical properties of ensemble return distribution central moments by investigating their probability density functions and temporal correlation properties. In general, time-averaged and portfolio-averaged price returns have different statistical ...

Lillo, F; Lillo, Fabrizio; Mantegna, Rosario N.

2000-01-01

104

When Can Social Media Lead Financial Markets?  

Science.gov (United States)

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.

Zheludev, Ilya; Smith, Robert; Aste, Tomaso

2014-02-01

105

Integration of financial and non-financial reports under management conditions  

Directory of Open Access Journals (Sweden)

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.

Prodanciuk Mihail

2013-02-01

106

INTEGRATION OF FINANCIAL AND NON-FINANCIAL REPORTS UNDER MANAGEMENT CONDITIONS  

Directory of Open Access Journals (Sweden)

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.

Mihail PRODANCIUK

2013-02-01

107

Quantifying the relationship between financial news and the stock market.  

Science.gov (United States)

The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2(nd) January 2007 until 31(st) December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company's stock both on the day before the news is released, and on the same day as the news is released. Our results provide quantitative support for the suggestion that movements in financial markets and movements in financial news are intrinsically interlinked. PMID:24356666

Alanyali, Merve; Moat, Helen Susannah; Preis, Tobias

2013-01-01

108

Quantifying the Relationship Between Financial News and the Stock Market  

Science.gov (United States)

The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company's stock both on the day before the news is released, and on the same day as the news is released. Our results provide quantitative support for the suggestion that movements in financial markets and movements in financial news are intrinsically interlinked.

Alanyali, Merve; Moat, Helen Susannah; Preis, Tobias

2013-12-01

109

Financial  

Financial Report 2007 ...des Dépôts to become a major player in the financial markets, through its specialised subsidiaries subject to ...business in France and abroad in the financial, real estate and service industries.These activities are

110

Deepening Association of Southeast Asian Nations' financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper discusses the financial landscape of the Association of Southeast Asian Nations (ASEAN), a region engaged in building an economic community (a "single market and production base") by 2015. In particular, it reviews where ASEAN's financial markets and institutions now stand and suggests possible ways in which they might be developed further to meet the aspirations of the region. Diversity characterizes the ASEAN financial landscape today. While some countries have relatively develop...

Lee, Choong Lyol; Takagi, Shinji

2013-01-01

111

Financial Derivatives Market for Grid Computing  

CERN Document Server

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...

Aubert, David; Lindset, Snorre; Huuse, Henning

2007-01-01

112

Financial Integration and Financial Crisis: Croatia Approaching the EMU  

Directory of Open Access Journals (Sweden)

Full Text Available The breakdown of command economies has significantly increased growth potentials all over Europe and opened up prospects for economic development. Encouraged by that, the EU embarked on the process of deeper economic integration. Its main aspects – economic liberalization and monetary integration – coincided with the worldwide globalization of trade and capital flows. As a laggard country in the process of economic integration, Croatia is in a particularly difficult position – besides soaring trade deficit, it is highly indebted and strongly dependant upon foreign capital. Appreciating theoretical inferences and empirical evidence on monetary integration, while taking reference to the realized level of international financial integration and external vulnerability, the aim of the paper is to find out if Croatia fulfils the criteria for successful monetary integration.

Dražen Derado

2009-09-01

113

Financial sector regulation and reforms in emerging markets: An overview  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Prasad, Eswar S.

2010-01-01

114

Managing Financial Instability in Emerging Markets: A Keynesian Perspective  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The Keynesian analysis of financial stability as developed by Hyman Minsky, provides considerable insights into understanding the nature and dynamics of boom-bust cycles driven by international capital flows in emerging markets. Its main policy conclusion that financial control rather than macroeconomic policy holds the key to financial stability is equally valid. There is however, need to develop a new approach to financial control and place greater emphasis on managing capital inflows than ...

Akyuz, Yilmaz

2008-01-01

115

75 FR 79982 - Authority To Designate Financial Market Utilities as Systemically Important  

Science.gov (United States)

...problems spreading among financial institutions or markets and thereby threaten...problems spreading among financial institutions or markets and thereby threaten...would have on critical markets, financial institutions, or the broader...

2010-12-21

116

76 FR 17047 - Authority To Designate Financial Market Utilities as Systemically Important  

Science.gov (United States)

...problems spreading among financial institutions or markets and thereby threaten...problems spreading across financial institutions and markets and thereby threaten...would have on critical markets, financial institutions, or the broader...

2011-03-28

117

77 FR 9592 - Defining Larger Participants in Certain Consumer Financial Product and Service Markets  

Science.gov (United States)

...Consumer Financial Protection...of certain markets, the activities...depository institutions or insured...the Federal Financial Institutions Examination...collection market. As the...geographic markets, and taking...consumer financial products...which such institutions are...

2012-02-17

118

The Adoption of Digital Marketing in Financial Services under Crisis  

Directory of Open Access Journals (Sweden)

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.

Daj A.

2009-12-01

119

The Adoption of Digital Marketing in Financial Services under Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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.

Daj A.; Chirca A.

2009-01-01

120

Taxing the Financially Integrated Multinational Firm  

DEFF Research Database (Denmark)

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 to resolve the tension between standard theory predicting zero capital taxes and the casual observation that countries tend to employ corporate taxes at fairly high rates.

Johannesen, Niels

2010-01-01

 
 
 
 
121

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Scha?fer, Dorothea

2013-01-01

122

BANKS AND FINANCIAL INTERMEDIATIONS’ GLOBAL ROLE OF IN MARKETS’ GENERAL EQUILIBRIUM  

Directory of Open Access Journals (Sweden)

Full Text Available Due to globalization factors, financial intermediations still create many problems to national economies as far as the markets’ general equilibrium is concerned. Although the world is divided into more than 200 nations with unequal power, there is less than half a dozen key currencies to go round to facilitate the international financial transactions. Considering that the combinations between the flexible exchange rates and the free circulation of capital and information have made the financial system be strongly interconnected internationally, however, some national economies preserve financial circuits that are not indirectly integrated in the world system.These aspects have led to the analysis of the relations between the financial intermediaries on domestic and foreign markets, the banks and financial intermediations’ global role in national economies and internationally.

Madalina-Antoaneta RADOI

2010-12-01

123

Macroeconomic Determinants of Commodity Returns in Financialized Markets  

Directory of Open Access Journals (Sweden)

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 non-financialized 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 between 1970 and 2013.

Adam Zaremba

2014-04-01

124

Eroding market stability by proliferation of financial instruments  

Science.gov (United States)

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

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

2009-10-01

125

ROMANIAN INSURANCE MARKET- ROAD TO RECOVERY AFTER FINANCIAL CRISIS  

Directory of Open Access Journals (Sweden)

Full Text Available The paper aims to present the Romanian insurance market size and her place in the international insurance trade, comparing our market with markets of different countries from the major regions of the world, using different indicators for sizing and comparison. Then will be presented some solutions for insurers to overcome after the financial crisis and recovery their activity.

GHEORGHE MATEI

2012-10-01

126

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

Directory of Open Access Journals (Sweden)

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.

JAHMANE Abderrahman

2011-10-01

127

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 exchange being the one mostly affected. It was, also, found increased variability of performances following the start of the financial crisis, a fact that is indicative of the presence of conditional heteroscedasticity. As far as the Greek market is concerned, the recent financial crisis has not affected in general the credit expansion towards enterprises and households; however, it has affected the credit expansion to enterprises and households on a case-to-case basis.

Apostolos G. Christopoulos

2011-05-01

128

Strategic Opportunities Afforded by Integrated Marketing  

Directory of Open Access Journals (Sweden)

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.

CONSTANTIN SASU

2006-01-01

129

Strategic Opportunities Afforded by Integrated Marketing  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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.

CONSTANTIN SASU

2006-01-01

130

INTEGRATED MARKETING COMMUNICATION IN POLITICS?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The current study has practical applicability in politic al domain and theoretical involvement at politicalmarketing communication level. The type of the research is a qualitative one, using as survey methods scientificobservation and documentary search. The aim of the research is to prove the applicability of marketing communicationconcept integrated in political marketing and global marketing communication. There are also exceptions, justanalyzing the industry – politics, in which integra...

Ghiut?a?, Ovidiu-aurel

2009-01-01

131

On utility maximization in discrete-time financial market models  

CERN Document Server

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.

Rasonyi, M; Rasonyi, Miklos; Stettner, Lukasz

2005-01-01

132

Repo funding and internal capital markets in the financial crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Du?wel, Cornelia

2013-01-01

133

Forms of Information Efficiency of the Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available The goal of the article lies in the study of forms of efficient information support of functioning of the financial market. Analysing, systemising and generalising scientific works of many scientists, the article considers the financial market as a system phenomenon. The article offers, by analogy with technical sciences, a market model that consists of the servicing system (in the form of information and support system (waiting of participants, combination of which makes the management system. Information in this model is the main driving force: it is at the inlet of the system, is transformed into participants waiting inside the system, and arrives to the outlet as the price of the financial asset. This movement is continuous and, consequently, market efficiency depends on information and degree of its perception by the market. The article characterises three hypotheses about forms of market efficiency, identifies their advantages and shortcomings from the position of fundamental and technical analysis, and provides a practical example of assessment of information in the quasi-strong form of information efficiency of the market. The article identifies the reasons, pursuant to which, while market participants have similar information, each might or might not obtain income from its use. The prospect of further studies in this direction is identification of the degree of information efficiency of the domestic market, volume, quality and needs in a certain range of information, which influences price formation of financial assets that circulate in the market.

Krasnova Iryna V.

2014-03-01

134

Derivatives, Hedge Accounting Disclosure And Impact On Indian Financial Market  

Directory of Open Access Journals (Sweden)

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

Prabhakara T

2013-09-01

135

A Knowledge-Based Consultant for Financial Marketing  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Kastner, John; Apte, Chidanand; Griesmer, James

1986-01-01

136

ANALYSIS OF COURT PRACTICE ON THE FINANCIAL INSTRUMENTS MARKET  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Diploma paper is based on an analysis of a court practice in Republic of Slovenia, in which the author focuses on a territory, which has been developing side by side as the country itself- financial instruments market. While foreign countries were developing their legislation and establishing institutions on financial instruments market during decades, Republic of Slovenia did not have much time for that. Instead we had to make a quick adjustment and learn quickly. With the analysis of cour...

Malajner, Jasmina

2012-01-01

137

Interconnections and market integration in the Irish Single Electricity Market  

International Nuclear Information System (INIS)

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%.

138

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Raghavendra Rao Rentala

2012-01-01

139

Dissecting financial markets: Sectors and states  

Digital Repository Infrastructure Vision for European Research (DRIVER)

By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be identified with market states. The distribution of frequencies of market states shows scale-free properties and the memory of the market state process extends to ...

Marsili, Matteo

2002-01-01

140

The Values Distribution in a Competing Shares Financial Market Model  

CERN Document Server

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.

Ponzi, A

1999-01-01

 
 
 
 
141

FINANCIAL RATIOS AND STOCK PRICES ON DEVELOPED CAPITAL MARKETS  

Directory of Open Access Journals (Sweden)

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.

BOGDAN DIMA

2013-03-01

142

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

Directory of Open Access Journals (Sweden)

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.

Bojana Olgi? Draženovi?

2005-06-01

143

Pareto improving financial innovation in incomplete markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 p...

Turner, Sergio

2005-01-01

144

Testing the Informational Efficiency on the Romanian Financial Market  

Directory of Open Access Journals (Sweden)

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.

Aurora Murgea

2006-03-01

145

Financial Market Models for the Grid  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The existing network of computing devices around the world created by the Internet gives the possibility of establishing a global market for computing power, where anybody connected to this network can acquire computing power or sell his own spare computing resources in exchange for real money. This potential global market for computing power, which does not exist yet, is what we study in this thesis. Specifically, we study the market with both analytic and simulated models. Th...

Marti?nez Ortuno, Fernando

2011-01-01

146

Classical and quantum randomness and the financial market  

CERN Document Server

We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for financial market than the classical one. A part of our analysis is devoted to study the possibility of application of the quantum probabilistic model to agents of financial market. We show that, although the direct quantum (physical) reduction (based on using the scales of quantum mechanics) is meaningless, one may apply so called quantum-like models. In our approach quantum-like probabilistic behaviour is a consequence of contextualy of statistical data in finances (and economics in general). However, our hypothesis on "quantumness" of financial data should be tested experimentally (as opposed to the conventional description based on the noncontextual classical probabilistic approach). We present a new statistical test based on a generalization of the well known in quantum phys...

Khrennikov, Andrei

2007-01-01

147

Complex systems: from nuclear physics to financial markets  

International Nuclear Information System (INIS)

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.

148

FBIH financial market segmentation on the basis of image factors  

Directory of Open Access Journals (Sweden)

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.

Arnela Bevanda

2008-12-01

149

Networks in financial markets based on the mutual information rate  

Science.gov (United States)

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.

Fiedor, Pawe?

2014-05-01

150

“Lamfalussy Architecture” – A Model for Consolidating the Financial Markets’ Supervision  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The enhancement of convergence in the supervisory practices, both by increasing the quality of the legal framework and of the regulations in the field of financial services and by improving the consultation process, represents a prerequisite for setting up the Single Market for financial services at EU level. In order to reach this goal a new approach, known as “Lamfalussy Architecture”, has been developed. The implementation of this model will increase the efficiency of the regulatory an...

Nicolae Dardac; Elena Georgescu

2008-01-01

151

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

Science.gov (United States)

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.…

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

1980-01-01

152

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

Directory of Open Access Journals (Sweden)

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.

Igor Stubelj

2014-03-01

153

Schumpeterian dynamics and financial market anomalies  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we try to put together both the dynamics of the endogenous evolution of an industry and the corresponding dynamics on the capital market. The first module of our modelling efforts is the endogenous evolution of the industry based on the micro-behaviour of boundedly rational agents. They strive to undertake entrepreneurial actions and found new firms. Thereby, the role of knowledge diffusion is emphasized. The second module, the capital market module, will also be represented by ...

Merey, Esther; Hanusch, Horst; Grebel, Thomas

2004-01-01

154

A threshold Potts model of financial markets  

CERN Document Server

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.

Sieczka, PaweÅ?

2007-01-01

155

Individual impact of agent actions in financial markets  

CERN Document Server

We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics which apply uniformly to all trades and suggests that rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.

Bladon, Alex J; Galla, Tobias

2011-01-01

156

Subprime crisis and instability of global financial markets  

Directory of Open Access Journals (Sweden)

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.

Radonji? Ognjen

2010-01-01

157

Financial Liberalization, Private Investment and Portfolio Choice: Financialization of Real Sectors in Emerging Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Using firm level panel data, we analyze the impacts of rates of return gap between financial and fixed investments under uncertainty on real investment performance in three emerging markets, Argentina, Mexico and Turkey. Employing a portfolio choice model to explain the low fixed investment rates in developing countries during the 1990s, we suggest that rather than investing in irreversible long term fixed investments, firms may choose to invest in reversible short term financial investments ...

Demir, Firat

2008-01-01

158

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

Science.gov (United States)

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.

Yu, Nanpeng

159

Governance, regulation and financial market instability: the implications for policy  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Just as the 1929 Stock Market Crash discredited Classical economic theory and policy and opened the way for Keynesianism, a consequence of the collapse of confidence in financial markets and the banking system – and the effect that this has had on the global macro economy – is currently discrediting the ‘conventional wisdom’ of neo-liberalism. This paper argues that at the heart of the crisis is a breakdown in governance that has its roots in the co-evolution of political and econo...

Konzelmann, Suzanne J.; Wilkinson, F.; Fovargue-davies, M.; Sankey, D.

2009-01-01

160

Essays on trading behavior in financial markets and economic *growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis includes three essays that examine issues on two different topics: (1) trading behavior in financial markets, and (2) economic growth. In Essay 1, we report the results of an experiment designed to study the role of speculation in the formation of bubbles and crashes in laboratory asset markets. In a setting in which speculation is not allowed, the bubble-crash phenomenon as well as systematic errors in decision making are observed. These results suggest that bubbles are caused by...

Lei, Wen-chieh

2000-01-01

 
 
 
 
161

Herding and Contrarian Behavior in Financial Markets: An Internet Experiment  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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,...

Drehmann, Mathias; Oechssler, Jo?rg; Roider, Andreas

2002-01-01

162

Herding and Contrarian Behavior in Financial Markets: An Internet Experiment  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

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

2005-01-01

163

Herding and Contrarian Behavior in Financial Markets - An Internet Experiment  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Drehmann, Mathias; Oechssler, Jo?rg; Roider, Andreas

2004-01-01

164

Herding and Contrarian Behavior in Financial Markets - An Internet Experiment  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

2004-01-01

165

Modelling extreme financial returns of global equity markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices ...

Cotter, John

2004-01-01

166

The balance sheet approach to financial crises in emerging markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper contrasts the conventional balance sheet approach to the analysis of economic disturbances in emerging markets with the alternative balance sheet approach that applies and extends Minsky’s Financial Instability Hypothesis to (open) emerging market economies. Earlier balance sheet studies are found to be flawed because of a failure to disaggregate firms’ balance sheets. Examination of such balance sheets in Thailand, Malaysia, Indonesia, Singapore, and Hong Kong suggests...

Cozzi, Giovanni; Toporowski, Jan

2006-01-01

167

Using transfer entropy to measure information flows between financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to determine, measure and test for information transfer without being restricted to linear dynamics. In our empirical application, we examine the importance of the credit default swap market relative to the corporat...

Dimpfl, Thomas; Peter, Franziska J.

2012-01-01

168

FBIH financial market segmentation on the basis of image factors  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 se...

Arnela Bevanda

2008-01-01

169

Endogenous versus Exogenous Crashes in Financial Markets  

CERN Document Server

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...

Johansen, A

2002-01-01

170

Electrodynamical model of quasi-efficient financial market  

CERN Document Server

The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications \\cite{Cuthbertson}, whilst the practical side of the problem has clear relevance to portfolio management \\cite{Elton} and derivative pricing \\cite{Hull}. Up till now all market models contain "smart money" traders and "noise" traders whose joint activity constitutes the market \\cite{DeLong,Bak}. On a short time scale this traditional separation does not seem to be realistic, and is hardly acceptable since all high-frequency market participants are professional traders and cannot be separated into "smart" and "noisy". In this paper we present a "microscopic" model with homogenuous quasi-rational behaviour of traders, aiming to describe short time market behaviour. To construct the model we use an analogy between "screening" in quantum electrodynamics and an equilibration process in a mar...

Ilinskii, K N; Ilinski, Kirill N.; Stepanenko, Alexander S.

1998-01-01

171

On entropy, financial markets and minority games  

Science.gov (United States)

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.

Zapart, Christopher A.

2009-04-01

172

Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Interconnections can be an effective way to increase competition in wholesale electricity markets in particular for smaller markets with few actors. This paper quantitatively examines the potentials for interconnections 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. The results indicate a low degree of market in...

Nepal, Rabindra; Jamasb, Tooraj

2011-01-01

173

IBM announces global Grid computing solutions for banking, financial markets  

CERN Multimedia

"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)."

2003-01-01

174

Cointegration-based financial networks study in Chinese stock market  

Science.gov (United States)

We propose a method based on cointegration instead of correlation to construct financial complex network in Chinese stock market. The network is obtained starting from the matrix of p-value calculated by Engle-Granger cointegration test between all pairs of stocks. Then some tools for filtering information in complex network are implemented to prune the complete graph described by the above matrix, such as setting a level of statistical significance as a threshold and Planar Maximally Filtered Graph. We also calculate Partial Correlation Planar Graph of these stocks to compare the above networks. Last, we analyze these directed, weighted and non-symmetric networks by using standard methods of network analysis, including degree centrality, PageRank, HITS, local clustering coefficient, K-shell and strongly and weakly connected components. The results shed a new light on the underlying mechanisms and driving forces in a financial market and deepen our understanding of financial complex network.

Tu, Chengyi

2014-05-01

175

Strategic financial innovation in segmented markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market segments. We endogenize the asset structure as the outcome of a security design game played by the arbitrageurs. The equilibrium asset structure depends realistically upon considerations such as depth and gains from trade. It is neither complete nor socially optimal in general; the degree of inefficiency depends upon the heterogeneity of invest...

Rahi, Rohit; Zigrand, Jean-pierre

2007-01-01

176

Regulation versus Competition on European Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Horobet, Alexandra; Ilie, Livia

2007-01-01

177

Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The repercussions of the recent financial crisis were felt over different parts of the world causing much calamity to different markets, economies and investors. The capital markets, in particular, took a severe hit during the crisis plummeting to all-time lows. However, before the crisis, the significant rise in commodity prices since 2002 and their subsequent fall since July 2008 have revived the debate on the role of commodities in the strategic and tactical asset allocation process. There...

Khan, Aftab; Masih, Mansur

2014-01-01

178

Financial Networks in the Korean Stock Exchange Market  

CERN Document Server

We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean stock exchange market, where all companies are fully connected via weighted links, by introducing a weighted random graph. The degree distribution and the edge density are discussed numerically from the market graph, and the statistical analysis for the degree distribution of vertices is particularly found to approximately follow the power law.

Yoon, S M; Yoon, Seong-Min; Kim, Kyungsik

2005-01-01

179

Micro and Macro Benefits of Random Investments in Financial Markets  

CERN Document Server

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.

Biondo, Alessio Emanuele; Rapisarda, Andrea

2014-01-01

180

Micro and macro benefits of random investments in financial markets  

Science.gov (United States)

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.

Biondo, A. E.; Pluchino, A.; Rapisarda, A.

2014-10-01

 
 
 
 
181

Sector strength and efficiency on developed and emerging financial markets  

Science.gov (United States)

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.

Fiedor, Pawe?

2014-11-01

182

Business Process Management Integration Solution in Financial Sector  

Directory of Open Access Journals (Sweden)

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.

2009-01-01

183

Limit theorems in financial market models  

Science.gov (United States)

Invariance principle states that a scaled simple random walk converges to the standard Brownian motion. In this article, we present a discrete time stochastic process, which reflects a microstructure of market dynamics, and prove a convergence to a scaling limit process with a drift term and a jump term. These terms are derived from a macroscopic condition on volumes traded in some time intervals. The mathematical tools for obtaining our results are Dobrushin-Hryniv theory and the method of cluster expansion developed in mathematical studies of statistical mechanics.

Kuroda, Koji; Murai, Joshin

2007-09-01

184

76 FR 38059 - Defining Larger Participants in Certain Consumer Financial Products and Services Markets  

Science.gov (United States)

...any Federal consumer financial law applicable to...the relevant product markets and geographic markets.'' \\11\\ The factors...involving consumer financial products or services...the extent to which institutions are subject to...

2011-06-29

185

Adaptive Markets Hypothesis: Evidencefrom Asia-Pacific Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper we investigate the profitability of the moving average strategyon six Asian capital markets considering the episodic character of linear and/or nonlineardependencies, the period under study being 1997-2008. For each market, the most profitablestrategy from 15000 alternatives is selected. The main conclusion is that profitability ofmoving average strategies is not constant in time; it is episodic showing when sub-periods oflinear and non-linear correlation appear. Thus, one can thus say that the degree of marketefficiency varies through time in a cyclical fashion over time and these statistical features arein line with those postulated by Adaptive Markets Hypothesis (AMH of Lo (2004, 2005.

Maria Ulici

2009-12-01

186

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

Directory of Open Access Journals (Sweden)

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.

Seyed Komail Tayebi

2011-01-01

187

Financial Restatements, Information Asymmetry, and Market Liquidity  

Directory of Open Access Journals (Sweden)

Full Text Available This paper examine whether firms experience different liquidity effects from earnings restatements before and after the implementation of the Sarbanes-Oxley Act (SOX by analyzing various measures of liquidity surrounding the announcement day in the period of 1997-2005.  The study is based on the premise that SOX was intended to improve the transparency and reliability of reported information. We find that the spreads measured in cents detect an abnormality in liquidity due to a general downward trend in the spreads during the period. Dividing the period into three sub-periods because the SOX reinforce more accountability and more confidence for public financial information, we find virtually all declines in liquidity come from the pre-SOX period, which conversely explains that, no significant change in liquidity in the post-Sox period. Decrease in liquidity is influenced by restatements due to revenue recognition, those prompted by party other than auditors. The results show that firms experience more severe liquidity consequences following restatements announced before SOX. Therefore, information asymmetry should be less problematic, and liquidity should be less adversely affected, for restatements announced after SOX.

KwangJoo Koo

2014-07-01

188

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

Directory of Open Access Journals (Sweden)

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.

Fatma Kchir Jedidi

2011-10-01

189

THE FINANCIAL INSTRUMENTS FOR RISK MANAGEMENT ON THE INTERNATIONAL FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available 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 producing a risk can generate a chain reaction, and producing other risks. As aconsequence, these operations and procedures can permanently generate an exposure to the risk.The risk management is the key function of the financial institution, which act on the internationalfinancial market. For doing this, it must be used some important instruments that can conduce to avoiding risksor dimensioning them.

Alina Hagiu

2008-05-01

190

Inflation and deflation in financial markets  

Science.gov (United States)

The aim of this paper is to show new empirical results on the statistical properties of absolute log returns, defined as the absolute value of the log return, in a stock market. We used the daily data of the Nikkei 225 index of the 28-year period from January of 1975 to December of 2002, and compared the statistical properties of the return and absolute log returns in the inflationary (bubble) period with those in the deflationary (anti-bubble) period. Our results show that the distribution of absolute log returns is approximated by the q-exponential distribution where q=1.14, that is, a power-law distribution, in the inflationary period from January of 1975 to December of 1989, and it is accurately described by the q-exponential distribution where q=1, that is, an exponential distribution, in the deflationary period from January of 1990 to December of 2002.

Kaizoji, Taisei

2004-11-01

191

Integrated marketing communications at solar energy equipment market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ?nergy equipment in an information economy. The author's definition of the concept of IMC is giv...

?????????, ?.

2013-01-01

192

DEEPENING SERVICES MARKET INTEGRATION - A CRITICAL ASSESSMENT  

Directory of Open Access Journals (Sweden)

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.

Jacques Pelkmans

2007-12-01

193

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

Directory of Open Access Journals (Sweden)

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.

Florian Hartmann

2013-12-01

194

Mitigating corporate water risk: Financial market tools and supply management  

Directory of Open Access Journals (Sweden)

Full Text Available A decision framework for business water-risk response is proposed that considers financial instruments and supply management strategies. Based on available and emergent programmes, companies in the agricultural, commodities, and energy sectors may choose to hedge against financial risks by purchasing futures contracts or insurance products. These strategies address financial impacts such as revenue protection due to scarcity and disruption of direct operations or in the supply chain, but they do not directly serve to maintain available supplies to continue production. In contrast, companies can undertake actions in the watershed to enhance supply reliability and/or they can reduce demand to mitigate risk. Intermediate strategies such as purchasing of water rights or water trading involving financial transactions change the allocation of water but do not reduce overall watershed demand or increase water supply. The financial services industry is playing an increasingly important role, by considering how water risks impact decision making on corporate growth and market valuation, corporate creditworthiness, and bond rating. Risk assessment informed by Conditional Value-at-Risk (CVaR measures is described, and the role of the financial services industry is characterised. A corporate decision framework is discussed in the context of water resources management strategies under complex uncertainties.

Wendy M. Larson

2012-10-01

195

Nonlinear Stock Market Integration in Emerging Countries  

Directory of Open Access Journals (Sweden)

Full Text Available This article investigates the stock market integration hypothesis of two emerging countries (the Philippines and Mexico into the world capital market over the last three decades. To check this hypothesis in the short and long run, we use the nonlinear cointegration techniques. Our results show that both stock markets are nonlinearly integrated into the world market, although the degree of integration is higher for Mexico. Furthermore, we show that the stock market integration process is nonlinear, asymmetric and time-varying.

Mohamed El Hedi AROURI

2010-10-01

196

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

Directory of Open Access Journals (Sweden)

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.? ?????? ?????? ??????????? ???????? ?????????? ?????? ?????????? ???????? ??????????? ? ????????? ?????? ??? ??????? ???????, ????????? ?? ????????????? ????. ? ?????? ????? ?????????? ???????? ?? ??????????? ?????????? ?????? ???????????? ?? ???????? ??????????? ???????? ?????? ? ?? ????????????????. ??????? ??????? ?????? ?????? ???????? ?????? ?????? ????? ? ??????? ??????????? ? ????????? ?????? ? ????????? ?? ???????????? ????????????? ????? ??? ???????, ????????????? ? ????????????, ??????? ??????? ?????????? ? ????????????? ????? ???????? ? ????????? ????????????? ?????????????? ? ????????? ????????? ????????–??????? ???????????? ?????. ????? ? ???? ?????? ??????????? ???????? ?????????? ? ???????? ???????? ?????????? ?????? ? ???? ????????????, ???????? ??????????? ?? ???????? ? ????????????? ??????.

Kasiyan Yevgeniy V.

2013-05-01

197

Critical Analysis of Electronic Simulation of Financial Market Fluctuations  

CERN Document Server

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 analysis of the power law fluctuation generator in connection with the electronic components and their parameters. From our studies one can conclude that the proposal is not adequate to provide a confident experimental scheme to follow the fluctuations of the financial market due to both electronic implementation and to difficulties in parameter tuning.

Fanchiotti, H; Martínez, N

2002-01-01

198

Market risk stress testing for internationally active financial institutions  

Directory of Open Access Journals (Sweden)

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.

Markovi? Petar

2011-01-01

199

Benefits of an integrated European electricity market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyses the benefits of further market integration of European wholesale electricity markets. Major gains from trade are sill left unrealized due to (1) uncomplete market coupling of national wholesale markets, (2) isolated national regulation of capacity and reserve mechanisms (CRM) and (3) a lack of harmonization of national support schemes for renewable energies.

Bo?ckers, Veit; Haucap, Justus; Heimeshoff, Ulrich

2013-01-01

200

Self-fulfilling Ising Model of Financial Markets  

CERN Document Server

We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we test within the same model the hypothesis that agents are rational versus irrational. We find that the stylized facts of financial markets are reproduced only when agents are over-confident and mis-attribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the critical point.

Zhou, W X; Zhou, Wei-Xing; Sornette, Didier

2005-01-01

 
 
 
 
201

A New Approach to Spreadsheet Analytics Management in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Sentence, Brian

2008-01-01

202

Nonstationary increments and variable diffusion processes in financial markets  

Science.gov (United States)

Fat tailed returns distributions and Hurst exponent scaling for financial markets have been reported for more than a decade. The sliding interval technique used in those analyses implicitly assumes that the increments are stationary, an assumption that generally contradicts the facts that the increments are uncorrelated. We show that the data exhibit nonstationary, uncorrelated increments, implying diffusive dynamics with a variable diffusion coefficient, but there is no evidence for either fat tails or Hurst exponent scaling in daily FX returns.

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H.

2008-03-01

203

The value of social networks in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Social contacts influence decisions and economic outputs in a variety of contexts. Does social network matter also in financial markets? In this paper I investigate the effect of social networks on mutual funds performance by exploiting data on the education of U.S. fund managers. The results show that performance is better for fund managers with many social connections. Furthermore, positional advantages in the social network generate superior performance. This evidence suggests that social...

Rancan, Michela

2013-01-01

204

Market risk stress testing for internationally active financial institutions  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 det...

Markovi? Petar; Uroševi? Branko

2011-01-01

205

DERIVATIVE MARKET: AN INTEGRAL PART OF THE ZIMBABWE STOCK EXCHANGE  

Directory of Open Access Journals (Sweden)

Full Text Available The study assesses the need for a derivative market as an integral of Zimbabwe Stock Exchange. It also aims to evaluate the feasibility of establishing a derivative market as an essential element of Zimbabwe Stock Exchange. The research identifies factors that need to be addressed to facilitate such a market. Views of various fund managers, financial analysts and dealers drawn from asset management firms were used. Changes in market trends are influenced by hyper inflation and acute financial policies increase the level of unpredictability in fund growth and return. Asset managers need to be in a market where they are able to actively manage and devise mechanisms that promote fund growth and managing the risks they are exposed to. The study revealed that there are many institutional arrangements lacking to facilitate this financial innovation. A thorough analysis of the research findings was made and it concluded that there is need for a derivative market as it can be an efficient vehicle for improving investment performance.

KOSMAS NJANIKE

2010-01-01

206

Integrated Marketing Communication plan for GSK Nordic  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Savelius, Sanna

2013-01-01

207

Approaches to 'markets': the development of Shanghai as an international financial centre  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis opens up the black box of ‘markets’ by scrutinising the process of market formation and examining its complexities in the context of Shanghai’s development as an international financial centre. The financial markets in Shanghai are framed, understood and acted upon differently by the Chinese local and central governments, regulatory institutions, local and foreign financial institutions and transnational interests. The construction of a financial centre in Shanghai is thus n...

Lai, Karen P. Y.

2007-01-01

208

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Von Bernstorff, Alexandra

2004-01-01

209

Coupled effects of market impact and asymmetric sensitivity in financial markets  

CERN Document Server

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...

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

2012-01-01

210

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

Directory of Open Access Journals (Sweden)

Full Text Available 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, namely trade openness and trade intensity index. Indicators such as the interest rates co-movement and the asset share of foreign-owned banks were chosen to calculate financial integration. We highlight the fact that the crisis events hinder the process of CEECs' integration into the EU, deepening the economic gaps between more and less developed EU members.

Claudiu T. Albulescu

2011-03-01

211

Economic integration, market power and technological change  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We examine a common market which expands by integrating new regions. Capitalists are strategically interdependent through the goods market and they improve their productivity through R&D. Production and R&D employ unionized workers. The purpose of integration is to maximize a weighed average of workers' and capitalists' utilities. The main findings are as follows. Integration benefits capitalists more than workers. If labour unions are strong enough, then the common market can expand indefini...

Palokangas, Tapio

2005-01-01

212

Financial transmission rights meet Cournot: How TCCs curb market power  

International Nuclear Information System (INIS)

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

213

Multi-agent-based Order Book Model of financial markets  

Science.gov (United States)

We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our Order Book Model.

Preis, T.; Golke, S.; Paul, W.; Schneider, J. J.

2006-08-01

214

Market Integration, Return and Volatility Dynamics: Empirical Evidence from African Stock Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This study examines the extent of integration of liberalized African equity markets with the US, the world, the BRIC countries, and other emerging markets. Specifically, we examine the relationship between seven African markets, namely those of Kenya, South Africa, Mauritius, Tunisia, Egypt, Zambia, and Morocco with the World market index and the US market index. In addition, the relationship between the African markets and the BRIC countries, and the Emerging Market Index is analyzed. We investigate, whether there are pure contagion effects in the markets under consideration during the (US financial crisis of 2008. A bivariate VAR–GARCH–BEKK model is used in the analysis. Our empirical findings support the notion that these markets are still green for investment and provide portfolio benefits. Diversification benefits with African stock markets are dwindling over the years, but these benefits do not disappear entirely. Furthermore, the increased correlations between the African and the developed markets are still small, in comparison with correlations found between developed markets

Kashif Saleem

2014-08-01

215

Financial overview of integrated community energy systems  

Energy Technology Data Exchange (ETDEWEB)

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.

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

1977-01-01

216

Dynamics of cluster structures in a financial market network  

Science.gov (United States)

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.

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

2014-11-01

217

Specialization in the presence of trade and financial integration : explorations of the integration-specialization nexus  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we investigate the economic integration - industrial specialization nexus and unravel the relationship between trade and financial openness and industrial specialization. For a panel of 31 countries over the period 1970 to 2005, we find that trade integration relates negatively to specialization, while financial integration relates positively to specialization. Furthermore, the relationship between trade (financial) integration and specialization is further deepened by the level...

Bos, Jaap W. B.; Economidou, Claire; Zhang, Lu

2011-01-01

218

Capital Market Integration in ASEAN Countries: Special Investigation of Indonesian Towards the Big Four  

Directory of Open Access Journals (Sweden)

Full Text Available ASEAN already proposed financial integration through capital market integration based on ASEAN Economics Community (AEC 2020 treaty in order to aim comprehensive ASEAN economic integration. The objective of this study is to occur the capacity of Indonesian in terms of integrating its capital market towards the big four i.e., Singaporean, Malaysian, Philippines, and Thailand. Vector Auto-regression (VAR analysis is utilized to investigate Indonesian market returns co-movement and dynamic link with ASEAN 4. The conclusion of this study, there is neither co-movement nor strong dynamic link between Indonesian capital market with those of Singaporean, Malaysian, Philippines, and Thailand.

Barli Suryanta

2011-12-01

219

Characterization of large price variations in financial markets  

CERN Document Server

Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) of returns. Previous results have shown that the vast majority of drawdowns occurring on the major financial markets have a distribution which is well-represented by a stretched exponential, while the largest drawdowns are occurring with a significantly larger rate than predicted by the bulk of the distribution and should thus be characterized as outliers. In the present analysis, the definition of drawdowns is generalised to coarse-grained drawdowns or so-called epsilon-drawdowns and a link between such epsilon-outliers and preceding log-periodic power law bubbles previously identified is established.

Johansen, A

2002-01-01

220

Characterization of large price variations in financial markets  

Science.gov (United States)

Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher (> two) order correlations, they offer a better measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) of returns. Previous results have shown that the vast majority of drawdowns occurring on the major financial markets have a distribution which is well represented by a stretched exponential, while the largest drawdowns are occurring with a significantly larger rate than predicted by the bulk of the distribution and should thus be characterized as outliers (Eur. Phys. J. B 1 (1998) 141; J. Risk 2001). In the present analysis, the definition of drawdowns is generalized to coarse-grained drawdowns or so-called ?-drawdowns and a link between such ?- outliers and preceding log-periodic power law bubbles previously identified (Quantitative Finance 1 (2001) 452) is established.

Johansen, Anders

2003-06-01

 
 
 
 
221

Block & Comovement Effect of Stock Market in Financial Complex Network  

Science.gov (United States)

In the work, we present a method to analyze block & comovement effect of stock market by finding out the community structure in the financial complex network. We choose the stocks from Shanghai and Shenzhen 300 Index as data source and convert them into the complex network in matrix format which is based on the measurements of correlation we proposed in this paper. The classical GN algorithm and the NetDraw tool are applied to obtain the modularity and draw all the community structures. The results of our work can offer not only the internal information about the capital flows in the stock market but also the prediction of variation and trend line of some stocks with delay-correlation.

Du, Chongwei; Wang, Xiong; Qiu, Liyin

222

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence  

Directory of Open Access Journals (Sweden)

Full Text Available The financial markets across globe have become distinctly integrated owing to liberalization and globalsiationpolicy as well as advancement of information technology. The contagion effect of macroeconomic disturbancesor financial crisis, internally and externally, is rapidly disseminating across various economies. The recent globalrecession of 2007-09 started with US subprime crises and subsequently followed by Lehman brother crisisaffected all most all major economies of the world. In this contenxt, the present paper explores the stock marketintegration of leading stock exchanges across various countries during pre and post economic crisis of 2007-09.Thus for empirical analysis, it uses the data since 2004-2012. It attempts to find out the breaks point, if any, inthe pattern of stock price movements endogenously. Further efforts have also been made to examine changingpattern of relationship among stock prices using bivariate and multivariate cointegration techniques. The studysuggests that although stock markets are integrated globally, the integration is very weak. This proposes thatstock prices as well as returns are not strongly interrelated across markets. The Granger casualty results alsoprovides mixed evidences, although some changes are noticed about the causality between stock prices frompre-recession to post recession period in Chinese stock markets.

Purna Chandra Padhan

2013-03-01

223

Evidence of market manipulation in the financial crisis  

CERN Document Server

We provide direct evidence of market manipulation at the beginning of the financial crisis in November 2007. The type of manipulation, a "bear raid," would have been prevented by a regulation that was repealed by the Securities and Exchange Commission in July 2007. The regulation, the uptick rule, was designed to prevent manipulation and promote stability and was in force from 1938 as a key part of the government response to the 1928 market crash and its aftermath. On November 1, 2007, Citigroup experienced an unusual increase in trading volume and decrease in price. Our analysis of financial industry data shows that this decline coincided with an anomalous increase in borrowed shares, the selling of which would be a large fraction of the total trading volume. The selling of borrowed shares cannot be explained by news events as there is no corresponding increase in selling by share owners. A similar number of shares were returned on a single day six days later. The magnitude and coincidence of borrowing and r...

Misra, Vedant; Bar-Yam, Yaneer

2011-01-01

224

Impact of global financial crisis on stylized facts between energy markets and stock markets  

Science.gov (United States)

Understanding the stylized facts is extremely important and has becomes a hot issue nowadays. However, recent global financial crisis that started from United States had spread all over the world and adversely affected the commodities and financial sectors of both developed and developing countries. This paper tends to examine the impact of crisis on stylized facts between energy and stock markets using ARCH-family models based on the experience over 2008 global financial crisis. Empirical results denote that there is long lasting, persists and positively significant the autocorrelation function of absolute returns and their squares in both markets for before and during crisis. Besides that, leverage effects are found in stock markets whereby bad news has a greater impact on volatility than good news for both before and during crisis. However, crisis does not indicate any impact on risk-return tradeoff for both energy and stock markets. For forecasting evaluations, GARCH model and FIAPARCH model indicate superior out of sample forecasts for before and during crisis respectively.

Leng, Tan Kim; Cheong, Chin Wen; Hooi, Tan Siow

2014-06-01

225

Product Market Integration, Comparative Advantages and Labour Market Performance  

DEFF Research Database (Denmark)

In this paper, we set up a two-country general equilibrium modelwhere trade unions have wage bargaining power. We show that adecrease in trade distortions inducing further product market integrationgives rise to specialization gains as well as a labour market reformeffect. The implications of the specialization gains are similar to anincrease in labour productivity, whereas the labour market reform effectis similar to an increase in the degree of competition in the labourmarket. Wages, employment and welfare increase as a result of furtherproduct market integration. It is interesting to note that the labourmarket reform effect of product market integration is achieved despitean increase in the wage level.JEL Classification: F15, J30, J50.Keywords: Trade frictions, wage formation, employment, welfaregains.

Rose Skaksen, Jan

2004-01-01

226

Product market integration, rents and wage inequality  

DEFF Research Database (Denmark)

Globalization in the form of product market integration affects labour markets and produces winners and losers. While there are aggregate gains, it is in general ambiguous how inequality is affected. We explore this issue in a Ricardian model and show that it depends on the balance between "protection" and "specialization" rents. In particular, wage inequality among similar workers (residual wage inequality) may be U-shaped, at first decreasing and then increasing in the process of product market integration. Consequently, there may be gains in both the efficiency and the equity dimension until integration reaches a certain level at which a trade-off arises.

Andersen, Torben M.; SØrensen, Allan

2010-01-01

227

HERDING BEHAVIOR UNDER MARKETS CONDITION: EMPIRICAL EVIDENCE ON THE EUROPEAN FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available This study presents four main contributions to the literature of behavior herding. Firstly, it extends the behavioral researches of herding of the investors on a developed market and mainly on a European market as a whole. Secondly, we are interested in examination of herding behavior at the level of sectors by using data at the levels of companies. Thirdly, this document estimates the implications of herding behavior in terms of returns, volatility and volume of transaction. Fourthly, the herding behavior is revealed as well during the period of the recent global financial crisis in 2007-2008 and of Asian crisis. Our results reveal a strong evidence of herding behavior sharply contributed to a bearish situation characterized by a strong volatility and a trading volume. The repercussion of herding during the period of the recent financial crisis is clearly revealed for the sectors of the finance and the technology.

Moatemri Ouarda

2013-01-01

228

Integrating Strategic Marketing on an Institutional Level.  

Science.gov (United States)

Higher education differs from other service enterprises in its social responsibility and the context for decision making. An integrated marketing strategy based on the identified positioning of the institution plays a crucial role in successful enrollment and long-term institutional development. Marketing can make a significant contribution to…

Liu, Sandra S.

1998-01-01

229

Integrating historical clinical and financial data for pharmacological research  

Directory of Open Access Journals (Sweden)

Full Text Available Abstract Background Retrospective research requires longitudinal data, and repositories derived from electronic health records (EHR can be sources of such data. With Health Information Technology for Economic and Clinical Health (HITECH Act meaningful use provisions, many institutions are expected to adopt EHRs, but may be left with large amounts of financial and historical clinical data, which can differ significantly from data obtained from newer systems, due to lack or inconsistent use of controlled medical terminologies (CMT in older systems. We examined different approaches for semantic enrichment of financial data with CMT, and integration of clinical data from disparate historical and current sources for research. Methods Snapshots of financial data from 1999, 2004 and 2009 were mapped automatically to the current inpatient pharmacy catalog, and enriched with RxNorm. Administrative metadata from financial and dispensing systems, RxNorm and two commercial pharmacy vocabularies were used to integrate data from current and historical inpatient pharmacy modules, and the outpatient EHR. Data integration approaches were compared using percentages of automated matches, and effects on cohort size of a retrospective study. Results During 1999-2009, 71.52%-90.08% of items in use from the financial catalog were enriched using RxNorm; 64.95%-70.37% of items in use from the historical inpatient system were integrated using RxNorm, 85.96%-91.67% using a commercial vocabulary, 87.19%-94.23% using financial metadata, and 77.20%-94.68% using dispensing metadata. During 1999-2009, 48.01%-30.72% of items in use from the outpatient catalog were integrated using RxNorm, and 79.27%-48.60% using a commercial vocabulary. In a cohort of 16304 inpatients obtained from clinical systems, 4172 (25.58% were found exclusively through integration of historical clinical data, while 15978 (98% could be identified using semantically enriched financial data. Conclusions Data integration using metadata from financial/dispensing systems and pharmacy vocabularies were comparable. Given the current state of EHR adoption, semantic enrichment of financial data and integration of historical clinical data would allow the repurposing of these data for research. With the push for HITECH meaningful use, institutions that are transitioning to newer EHRs will be able to use their older financial and clinical data for research using these methods.

Deshmukh Vikrant G

2011-11-01

230

An investigation on the effects of perception and marketing expenditure, financial and non-financial promotions on brand equity  

Directory of Open Access Journals (Sweden)

Full Text Available This paper presents a study to investigate the effects of perception and marketing expenditures as well as financial and non-financial promotions on brand equity. The proposed study of this paper prepares a questionnaire in Likert scale and distributes it among regular customers of three types of Shampoo in city of Tehran, Iran. The implementation of structural equation modeling for the proposed study of this paper has been accomplished based on LISREL software. The results of the survey on testing various hypotheses indicate that perception on marketing expenditure, financial as well as non-financial promotion and word of mouth advertisement influence positively on brand awareness and negatively on non-financial promotions (?=0.01. In addition, brand awareness influences positively on perception quality (?=0.01. Brand awareness as well as brand associate also influence on brand loyalty (?=0.01.

Abbas Ataheryan

2013-09-01

231

Data Mining for Customer Segmentation in Personal Financial Market  

Science.gov (United States)

The personal financial market segmentation plays an important role in retail banking. It is widely admitted that there are a lot of limitations of conventional ways in customer segmentation, which are knowledge based and often get bias results. In contrast, data mining can deal with mass of data and never miss any useful knowledge. Due to the mass storage volume of unlabeled transaction data, in this paper, we propose a clustering ensemble method based on majority voting mechanism and two alternative manners to further enhance the performance of customer segmentation in real banking business. Through the experiments and examinations in real business environment, we can come to a conclusion that our model reflect the true characteristics of various types of customers and can be used to find the investment preferences of customers.

Wang, Guoxun; Li, Fang; Zhang, Peng; Tian, Yingjie; Shi, Yong

232

Is oil supply choked by financial market pressures?  

International Nuclear Information System (INIS)

Since the late 1990s, financial analysts have focused strongly on short-term profitability for benchmarking and valuation of international oil and gas companies. The increasing pressure for strict capital discipline among oil and gas companies may have reduced their willingness to invest for future reserves and production growth. The current high oil price is partly due to low exploration activity in the oil industry the last decade. We present and discuss the background for this development-based on previous academic research, industry trends and current valuation practices. An estimated econometric model of stock market valuation among oil and gas companies suggests that analysts and companies have put exaggerate weight on short-term earnings and accounting profitability. We therefore expect that the attention will shift back to long-term reserve and production growth

233

Municipal solar utilities in California: marketing, financial and legal issues  

Energy Technology Data Exchange (ETDEWEB)

A Municipal Solar Utility, a municipal-level organization, designed to promote the use of solar technologies within the local marketplace is discussed. Over the past 14 months, the cities of Bakersfield, Oceanside, Palo Alto, San Dimas, Santa Monica and Ukiah have worked on implementation plans to develop MSUs for their respective communities. An analysis of specific marketing, financial, and legal issues associated with the development of Municipal Solar Utilities is presented. Three service delivery packages are analyzed: (1) full service or direct model; (2) low-interest loan; and (3) facilitation or brokerage model. These models represent a variety of potential organizational and program initiatives ranging from consumer education, capitalization and financing methods, to consumer protection from liabilities of owning, installing, and leasing solar equipment. The feasibility of local-level Municipal Solar Utility programs is demonstrated and the capability of communities to successfully initiate total energy programs is addressed.

Sanger, J.M.; Epstein, P.B.

1980-12-01

234

Agent-based simulation of a financial market  

CERN Document Server

This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a given finite portfolio of assets. There is no money-creation process; the total available cash is conserved in time. In each period, agents make random buy and sell decisions that are constrained by available resources, subject to clustering, and dependent on the volatility of previous periods. The model herein proposed is able to reproduce the leptokurtic shape of the probability density of log price returns and the clustering of volatility. Implemented using extreme programming and object-oriented technology, the simulator is a flexible computational experimental facility that can find applications in both academic and industrial research projects.

Raberto, M; Focardi, S M; Marchesi, M; Raberto, Marco; Cincotti, Silvano; Focardi, Serigo M.; Marchesi, Michele

2001-01-01

235

Effects of Participation in a Simulation Game on Marketing Students' Numeracy and Financial Skills  

Science.gov (United States)

The need to endow marketing graduates with skills relevant to employability grows ever more important. Marketing math and elementary financial understanding are essential employability skills, particularly given the contemporary emphasis on marketing metrics, but the evidence is that marketing graduates are often relatively weak in such skills.…

Brennan, Ross; Vos, Lynn

2013-01-01

236

Marketing Need-Based Financial Aid Programs: An Institutional Case Study  

Science.gov (United States)

Colleges and universities represent one of the most utilized sources of need-based financial aid information for students and families, and yet most research in access marketing is focused at the national and state levels. There is sparse published information about the effects of financial aid marketing observed through quantitative analysis, in…

Knight, Mary Beth

2010-01-01

237

Markets in Financial Instruments Directive (MiFID) | EurActiv  

...Markets in Financial Instruments Directive (MiFID) | EurActiv EU news & policy debates- across languages - en fr Click here ... Financial education Enlargement and the euro Markets in Financial Instruments Directive (MiFID) 'Europe 2020': Green growth and jobs? Europe's ... Markets in Financial Instruments Directive (MiFID) New skills and jobs: Mind the gap 'Europe 2020': Green growth and jobs?...MEPs will not be the only ones to perform a game of musical chairs: 2014 will also bring about change in many of ...

238

Exploring segmentation in rural financial markets : an application in El Salvador  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Understanding the segmentation in rural financial markets is of major importance for the identification of feasible relationships between clients and financial institutions. In this article we combine different insights into segmentation in rural financial markets into a two-dimensional analysis, with the supply of credit by types of lenders and the demand for credit by types of borrowers as the dimensions. Within the grid formed by these two dimensions the existing credit relationships indic...

Moll, H. A. J.; Ruben, R.; Mol, E. W. G.; Sanders, A. A.

2000-01-01

239

Agricultural Financial Market In Uzbekistan, Its Condition And Perspectives For Small And Medium Size Businesses  

Directory of Open Access Journals (Sweden)

Full Text Available The aim of this paper is to analyze the relationship between financial market development and agricultural sector in Uzbekistan. Research tries to answer these questions an empirical way and tries to clear questions in a role of financial development as also other variables in agrarian sector. Results of this research show that the financial market in agrarian sector has some weak places. 

Dilbar Khalmirzaeva

2013-09-01

240

Pricing Theory of Derivatives in Financial Engineering and the Problems on the Application to Electricity Markets  

Science.gov (United States)

Recently, the wholesale electric power exchange has been founded in Japan. With the progress of the electricity market, some management schemes of electricity price risk will be necessary. In financial markets or the preceding electricity markets, various “derivatives" on assets in the markets are often used as management tools to hedge the price risk. This paper gives a short commentary on some fundamental concepts of the derivatives and the pricing theory in the financial engineering, and discusses the problems on the financial engineering approach to electricity derivatives.

Misawa, Tetsuya

 
 
 
 
241

Capital Market Integration and Consumption Risk Sharing over the Long Run  

DEFF Research Database (Denmark)

We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher capital market integration forecasts more consumption risk sharing in the future. This finding is robust is to controlling for trade openness and exchange rate volatilities. Hence, financial integration seems to drive consumption risk sharing whereas we find no evidence that risk sharing forecasts market integration. We also calculate the welfare costs of imperfect capital market integration and risk sharing and find that these costs vary a lot over time. Finally, we show that consumption risk sharing is higher during times of crises, i.e. at times when marginal utility is high and risk sharing is most valuable.

Rangvid, Jesper; Santa-Clara, Pedro

242

The impact of financial market frictions on trade flows, capital flows and economic development  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We introduce financial frictions in a two sector model of international trade with heterogeneous agents. The level of specialization in the economy (economic development) depends on the quality of financial institutions. Underdeveloped financial markets prohibit an economy to specialize in sectors where finance is important. Capital flows and international trade are complements when countries differ in the degree of development of their financial sectors. Capital flows to countries with more ...

Bougheas, Spiros; Falvey, Rod

2011-01-01

243

Imperfect Competition in Financial Markets and Capital Controls: A Model and a Test.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper explores the implications of financial repression, specifically, imperfect competition in the financial sector and capital controls for equilibrium interest rates and current account imbalances; and the implications of liberalization. I find that (1) interest differentials between home and foreign markets exist and are higher the fewer the number of domestic financial institutions (2) liberalization of the domestic financial sector - i.e. increasing the number of players - exace...

Pasricha, Gurnain Kaur

2008-01-01

244

The impact of financial market imperfections on trade and capital flows  

Scientific Electronic Library Online (English)

Full Text Available SciELO Mexico | Language: English Abstract in english We introduce financial frictions in a two sector model of international trade with heterogeneous agents. The level of specialization in the economy (economic development) depends on the quality of financial institutions. Underdeveloped financial markets prohibit an economy to specialize in sectors w [...] here finance is important. Capital flows and international trade are complements when countries differ in the degree of development of their financial sectors. Capital flows to countries with more robust financial institutions which in turn allow their economies to develop sectors that are financially dependent.

Spiros, Bougheas; Rod, Falvey.

245

PARAMETRIC YIELD CURVE MODELING IN AN ILLIQUID AND UNDEVELOPED FINANCIAL MARKET  

Directory of Open Access Journals (Sweden)

Full Text Available This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available market data. The use of the yield curve models is limited compared to the developed markets and the interpretation of the resulting yield curves requires much more cautiousness. However this paper clearly shows that the yield curve model is able to capture changes in the business cycle according to the macroeconomic theory and therefore provide valuable information to the financial industry and other economic subjects. It also suggests that the Svensson model which is an extension of the Nelson-Siegel model (and is therefore often preferred over the Nelson-Siegel model in the developed markets suffers from overparameterization in the illiquid and undeveloped Croatian financial market.

Silvije Orsag

2013-12-01

246

Integrated marketing communications at solar energy equipment market  

Directory of Open Access Journals (Sweden)

Full Text Available 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 ?nergy equipment in an information economy. The author's definition of the concept of IMC is given, including the achievement of synergies. The reasons for the transition to the use of modern enterprises IMC in marketing activities are explored, as well as the tendencies of their distribution. The results of the analysis. The article identified the following reasons for the transition to the concept of IMC: reducing the efficiency of the individual instruments of marketing communications policy, the rapid growth of the flow of information and the development of technology marketing communications under the influence of the Internet, and the transition to the individualization of consumption and, consequently, to a two-way interactive marketing communication; glut similar services and products. The study identified the following reasons for the transition to the concept of IMC: reducing the efficiency of the individual instruments of marketing communications policy, the rapid growth of the flow of information and the development of technology marketing communications under the influence of the Internet, and the transition to the individualization of consumption and, consequently, to a two-way interactive marketing communication; glut similar services and products. Trends of the present stage of development of the IMC are demonstrated. The factors that influence formation of the IMC complex of enterprise in the market of solar energy equipment are identified. They are the goals of the firm and its strategies are used , the type of product or market, target audience and its characteristics (readiness to buy, the specific behavior of consumers, national and cultural, stage of the life cycle of the advertised goods; traditions found in communication policy of the company and its major competitors. In accordance with the results of theoretical studies carried out by us, the concept of IMC was adapted to the market of solar power equipment companies, which was formed by a set of marketing tools included in IMC. Conclusions and directions of further researches. The authors proposed a list of marketing activities, which form the IMC for this market such as personal selling and direct marketing; PR; sales promotion; in the Internet space: contextual and banner advertising, social networks, organization of forums, portals, webinars; exhibition activities; customer club organization, training and tours. The directions of further researches are to study the approaches to the formation of IMC for different types of markets, the impact of Internet technology on the strategy of IMC, calculation of proportionality use of marketing funds within the IMC.

I.L. Litovchenko

2013-12-01

247

Impact of the Financial Crisis on the Romanian Capital Market in the European Context  

Directory of Open Access Journals (Sweden)

Full Text Available This paper aims at analyzing the impact of financial crisis on the capital market in Romania in order to establish the main financial developments. There is clearly a phenomenon of contagion leading to different manifestations of the global capital markets. Our objective is to highlight by statistical linear regression the factors that influence the evolution of capital market. Surprisingly, the results will show that investors are not always rational and do not react according to statistics.

Leonardo BADEA

2012-03-01

248

Impact of the Financial Crisis on the Romanian Capital Market in the European Context  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper aims at analyzing the impact of financial crisis on the capital market in Romania in order to establish the main financial developments. There is clearly a phenomenon of contagion leading to different manifestations of the global capital markets. Our objective is to highlight by statistical linear regression the factors that influence the evolution of capital market. Surprisingly, the results will show that investors are not always rational and do not react according to statistics.

Badea, Leonardo

2012-01-01

249

Anomalous fluctuations in Minority Games and related multi-agent models of financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are currently used to model financial markets. One of the most prominent examples is here the Minority Game (MG), which we address in some more detail. After a brief discussion of its basic setup and general phenomenology we summarise the main finding...

Galla, Tobias; Mosetti, Giancarlo; Zhang, Yi-cheng

2006-01-01

250

Overconfidence, Risk Aversion and Individual Financial Decisions in Experimental Asset Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We investigate the influence of overconfidence and risk aversion on individual financial decision making in the experimental asset markets of the Smith, Suchanek and Williams (1988) type, with no informational asymmetries. Subjects, based on their pre-experimental overconfidence scores, were assigned to the two types of markets: least overconfident subjects formed five “rational” markets and most overconfident subjects formed five “overconfident” markets. The asset market experiment w...

Michailova, Julija

2010-01-01

251

Global integration of European tuna markets  

Science.gov (United States)

This paper evaluates the degree of integration between the world market and the major European marketplaces of frozen and canned tuna through both vertical and horizontal price relationships. Spatial linkages are investigated horizontally in order to estimate the connection between the European market and the world-wide market on the primary stage of the value chain. One of the key results is the high level of market integration at the ex-vessel stage, and the price leadership of yellowfin tuna over skipjack tuna. The same approach is applied at the ex-factory level. Basically, the European market for final goods appears to be segmented between the Northern countries consuming low-priced canned skipjack tuna imported from Asia (mainly Thailand) and the Southern countries (Italy, Spain) processing and importing yellowfin-based products sold at higher prices. France appears to be an intermediate market where both products are consumed. The former market is found to be well integrated to the world market and can be considered to be competitive, but there is a suspicion of market power being exercised on the latter. Price relationships are therefore tested vertically between the price of frozen tuna paid by the canneries and the price of canned fish in both Italy and France. The two species show an opposite pattern in prices transmission along the value chain: price changes along the chain are far better transmitted for the “global” skipjack tuna than for the more “European” yellowfin tuna. The results are discussed, along with their implications for the fishing industry.

Jiménez-Toribio, Ramòn; Guillotreau, Patrice; Mongruel, Rémi

2010-07-01

252

Key Financials Performance Independent versus Integrated: Empirical Evidence from Indonesia Financial Service Industry (2001-2011  

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Full Text Available The aims of the paper are to study the financial performance between the independent finance companies and the integrated finance companies over the period 2001-2011. From total 194 finance companies in the industry, the finance companies who affiliate with bank or automotive manufacturer are 65 companies that contribute to 71% of total asset of the industry. The banking industry that provides majority of funding, has made finance companies as part of their integration business model. The automotive manufacturers and dealers that provide the products of financing, have the similar strategy. The acquisition of finance companies has reached more than 30 transactions from 2002 until 2012. We analyzed seven micro key financial ratios (profitability, efficiency, growth, firm size, liquidity, solvability and risk. We use non parametric Mann Whitney and parametric Panel Data Dummy Regression. Our sample consists of 100 finance companies which continuously published their financial statement from 2001 until 2011. The empirical results show that the integrated finance companies are better in efficiency, profitability, size and growth. However, the integrated finance company has higher reserve policy and lower liquidity. On the other side, we also compare between the backward integration with bank and the forward integration with automotive manufacturer.

Suwinto Johan

2012-11-01

253

Analysis of the real estate market in Ukraine from the point of view of financial market theories ?????? ????? ???????????? ??????? ? ????? ?????? ?????? ??????????? ?????  

Directory of Open Access Journals (Sweden)

Full Text Available The article analyses the real estate market in Ukraine from the point of view of the concept of financial markets on the basis of the dynamics of average prices on housing habitations, profitability and chain indices with the annual lag. It reveals that there is no sufficient basis for the real estate market to accept the efficient market hypothesis or fractal market hypothesis; ignoring this fact could lead to unsatisfactory results of forecasting due to availability of dynamics of different types. The article provides quantitative and informative justification of performance of the coherent market hypothesis.??????????????? ????? ???????????? ??????? ? ????? ?????? ????????? ?????????? ?????? ?? ?????? ???????? ??????? ??? ?? ?????, ??????????? ? ?????? ???????? ? ??????? ?????. ????????, ??? ??? ????? ???????????? ???????????? ????????? ??? ???????? ?? ???????? ???????????? ?????, ?? ???????? ???????????? ?????; ????????????? ???? ?????? ????? ???????? ? ???????????????????? ??????????? ??????????????? ?? ??????? ??????? ???????? ??????? ????. ????????? ?????????????? ? ?????????????? ??????????? ?????????? ???????? ???????????? ?????.

Shapovalova Victoria O.

2013-02-01

254

Stylized facts of financial markets and market crashes in Minority Games  

CERN Document Server

We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows with the amount of information that producers inject into the market. Transitions between equilibrium and out of equilibrium behavior are observed when the relative number of speculators to the complexity of information or to the number of producers are changed. When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. Without speculators, the price follows a random walk; this implies that stylized facts arise because of the presence of speculators. Furthermore, if speculators abandon price taking behavior, stylized facts disappear.

Challet, D; Zhang, Y C; Challet, Damien; Marsili, Matteo; Zhang, Yi-Cheng

2001-01-01

255

Export market exit, financial pressure and the crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Using firm-level data for the UK, we investigate the link between firms? financial health, borrowing ratio and export exit, paying special attention to the recent financial crisis. Our results show that deterioration in the financial position of firms has increased the hazard of export exit during the crisis. We also find that the sensitivity of export exit to changes in firms? financial condition is higher during the crisis for those firms which face increases in loan spreads associated wi...

Go?rg, Holger; Spaliara, Marina-eliza

2013-01-01

256

Strings and brane world scenarios in financial market data  

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Full Text Available In the paper, we study the projections of the real exchange rate dynamics onto the string-like topology. Our approach is inspired by the contemporary movements in the string theory. The string map of data is defined here by the boundary conditions, characteristic length, real valued and the method of redistribution of information. As a practical matter, this map represents the detrending and data standardization procedure. We introduced maps onto 1-end-point and 2-end-point open strings that satisfy the Dirichlet and Neumann boundary conditions. The questions of the choice of extra-dimensions, symmetries, duality and ways to the partial compactification are discussed. Subsequently, we pass to higher dimensional and more complex objects. The 2D-Brane was suggested which incorporated bid-ask spreads. The systematic way which allows one suggest more structured maps suitable for a simultaneous study of several currency pairs was analyzed by means of the Gâteaux generalized differential calculus. The effect of the string and brane maps on test data was studied by comparing their mean statistical characteristics. The possible utilizations of the string theory approach in financial market are slight.

Richard Pincak

2013-05-01

257

Newly developed integrated model to reduce risks in the electricity market  

International Nuclear Information System (INIS)

A new model which integrates hydro-scheduling and financial hedging has been developed in cooperation with Norsk Hydro. We believe the new tool will be useful for owners of hydropower plants that want to reduce risks in the power market. The model development started in 1997 and was financed by Norsk Hydro. As of 1998, the main financial contributor has been the Research Council of Norway through a project in the Strategic Institute Programme. (author)

258

Analysis of Financial Products of Capital Market in Bangladesh: Present Status and Future Development  

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Full Text Available The performance of existing financial products is an important issue in the capital market to increase the new products for reducing the risk of dependency on common stocks. The research aims are to evaluate the growth and development of existing financial instruments and to recommend for introducing new financial instruments in the capital market of Bangladesh. The data are taken from the Dhaka stock exchange for the year 1977 to 2010 for interpretation of development and the data from 2003 to 2010 are taken for analysis and hypothesis test. There are only five products traded including three types of bonds. The average growth rate of market capitalization of common stocks, treasury bonds, mutual funds, corporate bonds & debentures are 71.02%, 124.74%, 99.85% and 105.41% respectively. The growth of market capitalization of all products is high. There is lot of scope in the market for absorbing the new products. The share of common stocks, treasury bond, corporate bond, debentures, mutual funds to total market capitalizations are 87.73%, 12.25%, 0.24%,0.17% and  0.83% respectively. The market is common stock based. The corporate bond market is very small. So, there should be increased new financial instruments in the capital market to reduce the dependency on share only. The proposed financial instruments are various types of preferred stock, bond, SWAP, option, futures, and forwards as recommendation.

Mohammad Shahidul Islam

2012-09-01

259

Financial Distress Prediction in Emerging Market: Empirical Evidences from Iran  

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Full Text Available In this article the ability of financial ratios for prediction of financial distress of the listed companies in Tehran Stock Exchange (TES was investigated. For this reason, the multiple regression models were used and a model was presented for prediction of financial distress in listed companies in TES. The assessment of the model was done by utilizing the data of two groups. The first group contained 30 companies which don't have any financial distress, and the second group, similarly, contained 30 companies which have financial distress. The presented model was according to five the ratios, namely; ratios indicate liquidity, profitability, managing of debt and managing of property. The statistical results of the model indicate the validity of that model and the selected ratios. The results of the test of the ability of model prediction indicate the reality that the model designed four years before financial distress in companies; present a correct prediction about the financial distress.

Mahdi Salehi

2009-08-01

260

Strengthening financial infrastructure  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This study provides comparative perspectives on the current and prospective situation of financial market development in ASEAN, the PRC, and India, identifies key priorities for strengthening financial infrastructure to promote financial development and regional integration, and produces policy recommendations at the national, sub-regional and regional levels. The four priority areas covered by the study are: market development, opening, and efficiency; financial inclusion; achievement of fin...

Morgan, Peter J.; Lamberte, Mario

2012-01-01

 
 
 
 
261

An Investigation of the Integrity of Internet Financial Reporting  

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Full Text Available Since the mid 1990s, large companies have increasingly used the Internet to disclose business and financial information. Internet technology is regularly claimed to facilitate greater relevance and timeliness of business information. The integrity of information disclosed on corporate websites has, however, been subject to comparatively little scrutiny. This study focuses on the integrity of Internet Financial Reporting (IFR by reference to the adequacy of underlying corporate governance procedures. Using a sample of 100 large European companies, a questionnaire survey was used to identify whether or not governance procedures that specifically address the distinguishing features of web-based financial reporting are used by large companies. The results confirm the trend identified in prior research of increasing Internet usage to replicate paper-based financial information. Responses to the questionnaire also suggest that concerns about the integrity of IFR are justified. Erroneous assumptions and assertions by respondents regarding the security of IFR, in addition to knowledge of work undertaken by external auditors indicate limited engagement with IFR by management of large European companies. The conclusion of this study is that the governance framework surrounding IFR has received insufficient managerial attention.

Barry Smith

2005-04-01

262

Theoretical Aspects of the Formation of Financial Solutions in the Current Market Environment ????????????? ??????? ???????????? ?????????? ??????? ? ??????????? ???????? ?????  

Directory of Open Access Journals (Sweden)

Full Text Available In the article reasons of necessity of forming of financial decisions of management subjects at the different levels of the financial state are considered. Description of levels of the financial states, which will allow to define strategic aims in the financial states and trajectory of orientation on the maintainance of all of computer-integrated production potential is resulted. The theoretical aspects of forming of financial decisions in the system managements, which will be basis for achievement of desirable results at planning of financially-economic activity, choice of strategic alternatives of development of enterprise, providing of positive results are grounded.? ?????? ??????????? ??????? ????????????? ???????????? ?????????? ??????? ????????? ?????????????? ??? ?????? ??????? ??????????? ?????????. ????????? ?????????????? ??????? ?????????? ?????????, ??????? ????????? ?????????? ?????????????? ???? ? ?????????? ?????????? ? ?????????? ?????????????? ?? ?????????? ????? ???????????????? ????????????????? ??????????. ?????????? ????????????? ??????? ???????????? ?????????? ??????? ? ??????? ???????????, ??????? ????? ??????? ??? ?????????? ??????????? ??????????? ??? ???????????? ?????????-????????????? ????????????, ?????? ?????????????? ??????????? ???????? ??????????? ? ??????????? ????????????? ???????????.

Petrenko Marina V.

2013-03-01

263

Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress  

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Full Text Available This paper investigates the cointegration properties of major capital markets indices during the September, 2008 / August, 2009 episode of the financial and banking crises originated in U.S markets. Based on daily closing prices of international stock markets indices, the analysis shows that three set of indices of economies (OECD group, Pacific group and Asia group have at least one cointegrating vector. Contrary to former studies that concluded on the independencies of Asian markets, this paper reveals that during the deeper financial crisis period, Asian major markets indices were cointegrated. This finding suggests that local investors in Asian capital markets cannot avoid any influence from outside capital markets even if some local markets are still entirely not opened to international investors.

Komlavi Elubueni Assidenou

2011-04-01

264

Financial Institution’s Media Strategy : With respect to the Swedish financial market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial experts from various financial institutions are often seen in media. Media’s objec-tive towards the society is to report occurring events of interest to its audience. Media ap-pearances through giving expert opinions, is for financial institutions costless and a reason-ably effective way of promoting their top analysts and strategically position their firms. For the financial institutions, there exists competition for being allowed to participate and give expert reports when media...

Johansson, Markus; Arvidsson, Ola; Zerihoun, John

2008-01-01

265

Bank rescues and bailout expectations: The erosion of market discipline during the financial crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We show that market discipline, defined as the extent to which firm specific risk characteristics are re ected in market prices, eroded during the recent financial crisis in 2008. We design a novel test of changes in market discipline based on the relation between firm specific risk characteristics and debt-to-equity hedge ratios. We find that market discipline already weakened after the rescue of Bear Stearns before disappearing almost entirely after the failure of Lehman Brothers. The effec...

Hett, Florian; Schmidt, Alexander

2013-01-01

266

Dynamical model of financial markets fluctuating `temperature' causes intermittent behavior of price changes  

CERN Document Server

We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential, where the `temperature' fluctuates slowly. The model generally yields a fat-tailed distribution of the price change. Specifically a Tsallis distribution is obtained if the inverse temperature is $\\chi^{2}$-distributed, which qualitatively agrees with intraday data of foreign exchange market. The so-called `volatility', a quantity indicating the risk or activity in financial markets, corresponds to the temperature of markets and its fluctuation leads to intermittency.

Kozuki, N; Kozuki, Naoki; Fuchikami, Nobuko

2002-01-01

267

Assessing the Preconditions in Establishing an Independent Regulatory and Supervisory Agency in Globalized Financial Markets: The Case of Turkey  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Recent financial crises highlight weaknesses in financial markets and the need for regulatory and supervisory bodies (RSB) to improve the stability of financial markets. Currently, international institutions like the IMF and the World Bank place the independent RSB among their principle policy recommendations to developing countries. This paper acknowledges the importance of independent RSB for the proper functioning of financial markets. However, this paper also points out the preconditions ...

Aysan, Ahmet Faruk; Al, Huseyin

2006-01-01

268

The effects of globalisation of financial services on banking industry and stock market: an Algerian case study  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Since the mid-1980s, Algeria has embarked on a programme of comprehensive financial liberalisation to establish a market-oriented financial system, and to develop the role of the Algiers Stock Exchange in the mobilisation of financial resources. The transition from a centrally planned to a market-oriented economy meant fewer regulatory barriers towards local and foreign banks. This study demonstrates that financial liberalisation is the main force that drives the globalisation of financial se...

Benamraoui, Abdelhafid

2003-01-01

269

How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?  

Directory of Open Access Journals (Sweden)

Full Text Available The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavior and interdependence through the study of the intraday volatility transmission. This paper investigates the patterns of linkage dynamics among three European stock markets—France, Germany, and the UK—during the global financial crisis, by analyzing the intraday dynamics of linkages among these markets during both calm and turmoil phases. We apply a VAR-EGARCH (Vector Autoregressive Exponential General Autoregressive Conditional Heteroscedasticity framework to high frequency five-minute intraday returns on selected representative stock indices. We find evidence that interrelationship among European markets increased substantially during the period of crisis, pointing to an amplification of spillovers. In addition, during this period, French and UK markets herded around German market, possibly explained by behavior factors influencing the stock markets on or near dates of extreme events. Germany was identified as the hub of financial and economic activity in Europe during the period of study. These findings have important implications for both policymakers and investors by contributing to better understanding the transmission of financial shocks in Europe.

Faten Ben Slimane

2013-08-01

270

Market failures and regulatory failures: Lessons from past and present financial crises  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper analyzes the financial crisis of through the lens of market failures and regulatory failures. We present a case that there were four primary failures contributing to the crisis: excessive risk-taking in the financial sector due to mispriced government guarantees; regulatory focus on individual institution risk rather than systemic risk; opacity of positions in financial derivatives that produced externalities from individual firm failures; and runs on the unregulated banking sector ...

Acharya, Viral V.; Cooley, Thomas; Richardson, Matthew; Walter, Ingo

2011-01-01

271

Quantitative marketing research on the use of specialised financial advice by the segment of SMEs  

Directory of Open Access Journals (Sweden)

Full Text Available The article presents the results of a survey conducted among small and medium companies in Bra?ov County, on the frequency of using specialized financial advisory services. It highlights the typology and content of financial advisory services used by companies in the SME sector in Romania. The study results will underpin the construction of a marketing mix for financial advisory firms who intend to adapt their offer of services according to client profile.

Nicolae, C. M.

2013-12-01

272

The Impact of Corporate Governance on the Market Value of Financial Institutions - Empirical Evidences from Italy  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyses how the quality of the corporate governance system impacts on the market value of the financial institutions listed on the Italian Stock Exchange. Implementing a good corporate governance is costly, therefore verifying whether the investment is worth its cost is a relevant issue. Despite the central role that financial institutions play in the real economy, there are few studies that focus specifically on the financial industry; filling this gap in literature is especiall...

Bubbico, Rossana; Giorgino, Marco; Monda, Barbara

2012-01-01

273

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study ...

Karkowska, Renata

2013-01-01

274

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we argue that commodit...

Zeno Adams; Thorsten Glück

2014-01-01

275

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we argue that commodit...

Adams, Zeno; Glu?ck, Thorsten

2013-01-01

276

Mitigating corporate water risk: Financial market tools and supply management  

Digital Repository Infrastructure Vision for European Research (DRIVER)

A decision framework for business water-risk response is proposed that considers financial instruments and supply management strategies. Based on available and emergent programmes, companies in the agricultural, commodities, and energy sectors may choose to hedge against financial risks by purchasing futures contracts or insurance products. These strategies address financial impacts such as revenue protection due to scarcity and disruption of direct operations or in the supply chain, but they...

Larson, Wendy M.; Freedman, Paul L.; Viktor Passinsky; Edward Grubb; Peter Adriaens

2012-01-01

277

Solitary wave solutions of nonlinear financial markets: data-modeling-concept-practicing  

Science.gov (United States)

This paper seeks to solve the difficult nonlinear problem in financial markets on the complex system theory and the nonlinear dynamics principle, with the data-model-concept-practice issue-oriented reconstruction of the phase space by the high frequency trade data. In theory, we have achieved the differentiable manifold geometry configuration, discovered the Yang-Mills functional in financial markets, obtained a meaningful conserved quantity through corresponding space-time non-Abel localization gauge symmetry transformation, and derived the financial solitons, which shows that there is a strict symmetry between manifold fiber bundle and guage field in financial markets. In practical applications of financial markets, we have repeatedly carried out experimental tests in a fluctuant evolvement, directly simulating and validating the existence of solitons by researching the price fluctuations (society phenomena) using the same methods and criterion as in natural science and in actual trade to test the stock Guangzhou Proprietary and the futures Fuel Oil in China. The results demonstrate that the financial solitons discovered indicates that there is a kind of new substance and form of energy existing in financial trade markets, which likely indicates a new science paradigm in the economy and society domains beyond physics.

Ma, Jin-Long; Ma, Fei-Te

2007-07-01

278

Graduates’ integration on the labour market  

Directory of Open Access Journals (Sweden)

Full Text Available This paper contains a research study about the integration of 1st cycle graduates on the labour market. Marketing research was carried out among university graduates, emphasising their career path after graduating, taking into account that graduates’ job placement has acquired great importance in higher education. The conclusion drawn in the paper is that career counselling and orientation should be fostered for students, while more weight should be given to practical placements in the study programs’ curriculum, in order to build specific competences for students, which make them capable to obtain a better job position after graduation.

Palade, A.

2013-12-01

279

Transaction of the Derivated Financial Products on the Romanian Capital Market. Advantages and Risks  

Directory of Open Access Journals (Sweden)

Full Text Available The volatility and the uncertainty are extended in the global world, being favorised of the vast proportion of the internet and by the IT development. The volatility and the uncertainty are contributing to the apperance of the speculative movements that increase the posibilities of the price overestimation of some financial actives on the new markets. The overestimated and optimistic foretell on the flow of some stock exchange deeds, on the new markets, lead to the collapse of the flow and to the fast migration of the capital on the other markets, reason for which the economy of some countries or big areas could be destroied. Taking all this into account the development of the opperations with derivated financial instruments have offerd for the market participants bothe the posibility of hedging and a way of speculation. There are advantages and also disadvantages resulted from the derivated use. The derivated market, similar with the financial markets, either creates welfare, or destroies it, because provides a way to transfer the risk. The derivated help the financial markets to become more eficient and also offers better opportunities for the risk management. There is the posibility that the failure of some big transactions with derivates to lead at the appearance of a systemic risk that could spread inside the financial system.

Dalia Simion

2007-12-01

280

Risks in China’s Financial Market for Derivatives at the Post- Sub-prime Mortgage Period and the Prevention  

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Full Text Available Since the US sub-prime mortgage crisis, especially at the post-sub-prime mortgage crisis period, financial derivatives are always the focus of attentions. Frequently-happened astonishing events associated with financial derivatives trade trigger out people’s focuses and rethinking on big risks in financial market for derivatives. This paper tries to analyze the relationship between sub-prime mortgage crisis and risks in financial market for derivatives, advances risks in China’s financial market for derivatives at the post-sub-prime mortgage crisis period, and probe into the countermeasures for preventing risks of financial derivatives.

Mengchun Ding

2009-10-01

 
 
 
 
281

Comparison of Bank-Oriented or Market-Oriented Financial System and Inspiration  

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Full Text Available In order to get benefits from trade, financial system plays an important role. Without financial system, commodities are traded in spot market. Every family collects capitals by self resources. To collect capitals by the internal financing to build railways is just as the words said by Marx in Capital: “I am afraid of no railways till today.” In present economic system, financial system has two kinds of structures, namely the market-oriented one and the bank intermediary-oriented one. By comparing the two structures, we can get useful experiences for references.

Shumei Wang

2009-07-01

282

Market Rower; Banking and Financial Mediation: an Approach from the Industrial Organization  

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Full Text Available This article provides an exploratory analysis of the process for determining intermediation margins in the Peruvian banking system. In the period between 2001 and 2010, this process was influenced primarily by two occurrences: the international financial crises towards the end of the 1990s, and the application of the Financial System Consolidation Program (Programa de Consolidación del Sistema Financiero in Peru. The analysis delivers some evidence that in the case of Peruvian banking, market power and, specifically, the existence of market power-related inequalities between banks may be relevant factors in the process of determining financial intermediation margins.

Guillermo Jopen Sánchez

2013-06-01

283

The social construction of real estate market risk. The case of a financial investments cluster in Mexico City  

Directory of Open Access Journals (Sweden)

Full Text Available This article contributes to the study of the geographical concentration of financial investments in real estate markets. It demonstrates the social construction process at work in the evolution of real estate market risks. The objective is to highlight the conditions that allow or impede the implementation of ‘opportunistic’ and ‘conservative’ risk strategies. By analyzing the market entry of financial investors in the Cuautitlan industrial real estate market - an ‘emerging’ real estate market in Mexico City - this paper demonstrates that, due to the joint action of land developers, non-financial as well as financial real estate investors, this market moved from being ‘too risky’ to becoming an opportunistic market, and then a conservative one. There were two important phases in the transformation process. First, the contribution of land developers was fundamental to the transformation of the market from being too risky to being opportunistic from the perspective of financial investors. Two different types of land developers are evident: some are not willing to help financial investors’ entry in the market while others developed a business plan designed to facilitate financial investments. In the second phase of the market’s risks transformation, opportunistic financial investors enabled the conditions for the arrival of conservative financial investors, thanks to their presence in emerging markets and the diffusion of information.

Louise David

2012-11-01

284

How Should Financial Institutions and Markets be Structured? Analysis and Options for Financial System Design  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyzes the consequences of alternative financial structures for financial efficiency and stability. The focus is on the organizational structure of banks. Alternative bank structures range from `narrow banks` to broad `universal banks. ` Each banking structure is assessed in its ability to satisfy the objectives of efficiency and stability in the financial system stability, economies of scale and scope, competition, avoiding regulatory capture, conflicts of interest and political...

Kaufman, George G.; Kroszner, Randall S.

1997-01-01

285

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

Bojana Olgi? Draženovi?; Zdenko Prohaska

2005-01-01

286

Quantitative marketing research on behavior of the small and medium companies on financial advisory services  

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Full Text Available This paper presents the results of quantitative marketing research conducted among small and medium enterprises in Bra?ov County. The research identified organizational elements of the consumer behavior in the use of the financial advisory services. The objective is to determine whether there is association between firm size and the number of financial advice services outsourced. Results of the study will be based construction of the price policy for financial advisory firms, tailored to the financial constraints faced by small and medium enterprises in Romania.

Duguleana, L.

2013-12-01

287

A quantile-based Time at Risk: A new approach for assessing risk in financial markets  

Science.gov (United States)

In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial asset, probability level and time horizon, gives a critical value such that the likelihood of loss on the asset over the time horizon exceeds this value is equal to the given probability level, our concept of Time at Risk (TaR), using a probability distribution function of return intervals, provides a critical time such that the probability that the return interval of a critical event exceeds this time equals the given probability level. As an empirical application, we applied our model to data from the Tehran Stock Exchange Price Index (TEPIX) as a financial asset (market portfolio) and reported the results.

Bolgorian, Meysam; Raei, Reza

2013-11-01

288

The Global Financial Crisis and the Performance of Capital Markets of Developing Economies: Lessons from Nigeria  

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Full Text Available In recent times, economies worldwide are believed to be interrelated. This led to the interdependence of financial institutions such that developments in any part of the world, affects other parts as well. Thus, this study examines the extent to which the recent global financial crisis influenced the performance of capital markets in developing economies, with emphasis on the Nigerian Capital Market. The cointegration technique with its implied Error Correction Model was adopted. The results of the parsimonious ECM revealed amongst others that the recent global financial crisis does not have a severe negative impact on the performance of the Nigerian capital market. Based on the above, it was recommended amongst others that efforts must be made by the CBN and other regulatory bodies to ensure that reforms are made to reduce the over dependence on foreign borrowing by financial institutions in Nigeria as this will help to cushion the effect of credit crunch in advanced countries on the Nigerian economy.

Edirin Jeroh

2013-04-01

289

EFFECT OF THE WORLD FINANCIAL CRISIS ON REAL ESTATE MARKET IN TERMS OF POLAND AND UKRAINE  

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Full Text Available The article studies the world financial crisis effect on real estate markets in Poland and Ukraine. It will help to deepen learning laws and peculiarities of real estate markets performance in the countries and to develop events which foster both stabilizing and their future progress.

JANUSZ RYBAK

2013-09-01

290

The changing trend in marketing of financial services: an empirical study on bank performance in Nigeria  

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Full Text Available The long years of marketing practices in the Nigerian banking industry has recorded low level standards relative to global standard practice. The effect on the overall industry performance measurable basically in terms of customer satisfaction, customer loyalty and brand equity has been on the negativity. In some cases, banks overall performance level was never assessed based on customer orientation, value and other customer related measures rather on some quick financial indicators. This poor orientation towards marketing has rather become a forgone especially in the banking area of financial services in Nigeria. This study was therefore conducted to examine the changing trend towards embracing marketing philosophy and the extent of the banks’ performance level in response to changing expectations of customers. Theoretical issues relating marketing, customer philosophy, financial marketing, customer loyalty, satisfaction, and brand equity were explored to establish the key performance variables and the existing relationships amongst them. Empirical study was equally carried out with the use of questionnaire, administered on randomly selected banks’ customers and management staff. Data collected were analyzed on the basis of critical measures which include customer awareness, market sensitivity to financial delivery, customer profile and sophistication through the use of Spearman Rank Correlation Coefficient. The result among other things shows that there is a significant relationship between the new trend towards marketing orientation, financial services in the banking industry and performance level. Based on this study, we recommend improved marketing performance and training to enhance service delivery, customer satisfaction, and customer loyalty across all banks in the geographical places of the Nigerian financial markets.

Abiodun Eniola Alao

2014-07-01

291

European Integration, Labour Market Dynamics and Migration Flows  

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Full Text Available The paper has two objectives. Firstly, we wish to evaluate whether a greater economic integration has effects, and of what type, on migration flows from Central and Eastern Europe (New Member States of the EU, NMS towards the fifteen countries of the European Union (EU-15. Secondly, we wish to understand what effect the migration flows from the NMS have on the labour market of the receiving countries in the EU-15. The most suitable theoretical context that seems to summarise European labour market characteristics is that of the insider/outsider model by Layard, Nickell and Jackman (Layard et al., 1991. We have modified the above mentioned model by introducing two innovations. Firstly, we constructed three measures that act as a proxy for economic integration: the Intra Regional Trade Index (IRTI, Global Trade Index (GTI and Financial Market Integration (FMI. Then we placed the three indicators into the insider/outsider model to arrive at a modified version of Layard, Nickell and Jackman (Layard et al., 1991. The second innovative contribution was the introduction of an equation modelling migration flows. The creation of this equation is inspired by the neo-classical approach to migration theory (Harris-Todaro, 1970. The theoretical model, based on rational expectations, has been solved to find the equilibrium solution and the impact multipliers. We then carried out an empirical analysis, which involved estimating a Structural Vector Autoregression Model (SVAR. The aim of this estimation was to evaluate, on the one hand, the effect that greater European integration (a positive shock to the integration indicators has on migration flows, and, on the other, to measure the type of effect that migration flows could have on the labour market of the EU-15 countries, considered as a single entity. The results of our empirical evidence show that economic integration does generate significant effects on migration flows from the enlargement countries towards the EU-15 countries. It also emerges that migration flows do generate an effect on the European labour market.

Martinoia, Michela

2011-06-01

292

Appraisal of The Effect of The Global Financial Meltdown on The Nigerian Money Market  

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Full Text Available This study looked at the effect of the global financial meltdown on the Nigerian money market. To start with, it identified the major problems associated with the Global financial crisis and its effects on the Nigeria economy. As the crisis affect trade and investment flows, the Nigerian money market have so far triggered a rebound and allayed panic about the systemic financial collapse. The Ordinary Least Square (OLS technique of regression analysis was adopted in analyzing the empirical data for Non-crisis period from 2000-2005 and the crisis period from 2006-2009 after necessary adjustment were carried out on the relevant data. Money supply/Gross Domestic Product (which stands as proxy for the impact of the Global financial meltdown serves as the dependent variable while other money market indicators (TBs, CPs, Bas, CDs, BLR and INF serve as the explanatory variables in the first and second models. The findings from the empirical analysis showed that in the non-crisis era (2000-2005 the explanatory variables all met apriori expectation. However, in the crisis era, only the coefficient of inflation retained its apriori sign. This implies that economic activities were adversely affected by the global financial meltdown as seen in the adverse effect on financial deepening. This in turn has a corresponding effect on the Nigerian money market, thus dis-stabilizing its indicators. This can be attributed to the failure of the Nigerian money market regulator to fulfill its primary responsibilities of supplying needed funds to critical sectors where such funds are needed during the period of financial crisis. This study therefore recommends that adequate procedures for handling systemic crisis should be drawn up promptly in preparation for contingencies. Monetary authorities should identify the vulnerabilities of the money market and safeguard its effectiveness as a means of reducing the further effects of the financial meltdown on Nigerian economy at large.

Mayowa Gabriel AJAO

2011-08-01

293

THE PROCESS OF EVALUATING PRIMARY FINANCIAL ASSETS ON THE CAPITAL MARKET  

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Full Text Available The capital market is where supply meets demand and stocks, bonds, future contracts and other stock products are circulated. This study intends to argue for the importance of financial instruments on the capital market, and especially their evaluating process. On such a market, the moment when an investor decides to buy or sell a portfolio is very important. Hence the numerous questions that an investor is faced with: should I buy today? Should I wait? What will be the price trend the following days? In order to be able to handle any situation, it is necessary to carry out calculations on the evaluation indicators of financial instruments.

Ionel Eduard Ionescu

2013-12-01

294

Stock Market Financial Risk Prevention and Portfolio Optimization Based on MATLAB 7  

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Full Text Available Investment decision of stock market is the important content researched in the fields of economic management. Aiming at the problem of Financial Risk in Stock Market and Investment Portfolio Optimization, it was researched start from the stock market financial risk measurement and management theory, by making use of the expectation and variance of the proceeds, it was measured that the portfolio expected return and financial risk. Based on this, it was built that the stock market portfolio to optimize the target model, finally it was called that the minimize constraints function to resolve the most optimal solution with MATLAB 7. It can provide investors with a more scientific portfolio construction method in order to gain maximum benefit under a certain risk, or to minimize risks under a certain income.

Wen Jing-hua

2013-02-01

295

The impact of state financial incentives on market deployment of solar technology  

International Nuclear Information System (INIS)

Many states have adopted financial incentives to encourage market deployment of solar energy technology. This paper employs a cross-sectional time-series approach to evaluate the extent to which state solar financial incentives systematically encouraged market deployment of solar photovoltaic (PV) technology from 1997 to 2009. The results demonstrate that states offering cash incentives such as rebates and grants experienced more extensive and rapid deployment of grid-tied PV technology than states without cash incentives over the study period. The analysis also finds that the presence of state renewable energy portfolio standards and specific solar carve-out provisions within them heavily influenced the market deployment of grid-tied solar PV technology through 2009. - Highlights: ? We evaluate the impact of state financial incentives on solar technology adoption. ? Cash incentives and renewable portfolio standards strongly influenced deployment. ? The impact of cash incentives and RPS grew significantly over time. ? Tax incentives had little systematic effect on solar market deployment.

296

Financial Crisis from the Trust and Loss Aversion Perspective in Emerging Romanian Capital Market  

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Full Text Available In this paper we synthesized a study of financial crisis from the trust and loss aversion perspective on a particular case, Romanian emerging capital market. In a relative recent study we stopped with our data series at the level of 2008, November, but in this paper we continue our research until 2009, December. In a world-wide financial crisis and a global financial depreciation of stocks the emergent markets are much more affected that the lack of money and investors aversion. We study, based on efficient market theory, the evolution of portfolio structure in balanced funds. We are interesting to make an evaluation of present sentiment of investing money in capital markets and especially in stocks. Also, is necessary to determine which are the most important problems in this situation and seek an adequate stimulus for future development of direct investment.

Antoniade-Ciprian ALEXANDRU

2011-07-01

297

Do households benefit from financial deregulation and innovation? The case of the mortgage market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The U.S. mortgage market has experienced phenomenal change over the last 35 years. Most observers believe that the deregulation of the banking industry and financial markets generally has played an important part in this transformation. One issue that has received particular attention is the role that the housing Government Sponsored Enterprises (GSEs), Fannie Mae and Freddie Mac, have played in the development of a secondary market in mortgages. This paper develops and implements a technique...

Gerardi, Kristopher; Rosen, Harvey S.; Willen, Paul

2006-01-01

298

Organizational Performance, Marketing Strategy, and Financial Strategic Alignment: an Empirical Study on Iranian Pharmaceutical Firms  

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Full Text Available Background:Strategic Functional-level planning should be aligned with business level and other functional strategies of a company. It is presumed that assimilating the strategies could have positive contribution to business performance, in this regard alignment between marketing strategy and financial strategy seems to be the most important strategies being studied. An empirical work in generic pharmaceutical manufacturing companies for evaluating effect of alignment between these two functions on organizational performance was developed in this paper.Methods:All Iranian pharmaceutical generic manufactures listed in Tehran stock market have been tested for period of five years between 2006--2010 and their marketing strategies were determined by using Slater and Olson taxonomy and their financial strategies have been developed by calculating total risk and total return of sample companies for five years based on rate of risk and return in the frame of a 2 x 2 matrix. For the business performance three profitability indices including Q-Tubin (Rate of market value to net asset value, ROA (Return on Asset, ROE (Return on Equity have been tested. For analysis, a series of one-way ANOVAs as a collection of statistical models within marketing strategies considering financial strategy as independent variable and the three performance measures as dependent variables was used.Results:Results show strategic alignment between financial and marketing has significant impact on profitability of company resulting in arise of all three profitability indices. Q tubing's rate were 2.33,2.09,2.29,2.58 and rate of ROA were 0.21,0.194,0.25,0.22 and rate of ROE were 0.44,0.46,0.45,0.42 for matched strategy types, respectively the rates shown here are more than average meaning that specific type of marketing strategy is fitted with specific type of financial strategy.Conclusion:Managers should not consider decisions regarding marketing strategy independently of their financial strategy.

Mehdi Mohammadzadeh

2013-08-01

299

Organizational performance, Marketing strategy, and Financial strategic alignment: an empirical study on Iranian pharmaceutical firms  

Science.gov (United States)

Background Strategic Functional-level planning should be aligned with business level and other functional strategies of a company. It is presumed that assimilating the strategies could have positive contribution to business performance, in this regard alignment between marketing strategy and financial strategy seems to be the most important strategies being studied. An empirical work in generic pharmaceutical manufacturing companies for evaluating effect of alignment between these two functions on organizational performance was developed in this paper. Methods All Iranian pharmaceutical generic manufactures listed in Tehran stock market have been tested for period of five years between 2006–2010 and their marketing strategies were determined by using Slater and Olson taxonomy and their financial strategies have been developed by calculating total risk and total return of sample companies for five years based on rate of risk and return in the frame of a 2 × 2 matrix. For the business performance three profitability indices including Q-Tubin (Rate of market value to net asset value), ROA (Return on Asset), ROE (Return on Equity) have been tested. For analysis, a series of one-way ANOVAs as a collection of statistical models within marketing strategies considering financial strategy as independent variable and the three performance measures as dependent variables was used. Results Results show strategic alignment between financial and marketing has significant impact on profitability of company resulting in arise of all three profitability indices. Q tubing’s rate were 2.33,2.09,2.29,2.58 and rate of ROA were 0.21,0.194,0.25,0.22 and rate of ROE were 0.44,0.46,0.45,0.42 for matched strategy types, respectively the rates shown here are more than average meaning that specific type of marketing strategy is fitted with specific type of financial strategy. Conclusion Managers should not consider decisions regarding marketing strategy independently of their financial strategy. PMID:23915467

2013-01-01

300

THE IMPACT OF EUROPEAN INTEGRATION AND FINANCIAL GLOBALIZATION ON PRUDENTIAL SUPERVISION  

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Full Text Available As a result of the financial market globalization during the last two decades, the conventional barriers between financial activities have diminished. This led to the emergence of financial holdings that operate both in the banking sector and on the stock

Filip Angela Maria

2009-05-01

 
 
 
 
301

Financial innovations and the organisation of stock market trading  

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Full Text Available Economists have never been overly interested in either the institutions comprising markets or the process of price formation in them, having instead chosen to study the possibility of the existence of “equilibrium” prices under competitive conditions. In light of the recent stock market crash, however, it is clear that the New York Stock Exchange is not a competitive market in the sense of engaging a sufficiently large number of buyers and sellers so that no individual transaction has a permanent impact on the determination of prices. This work suggests that it is the recent changes in competitive market structure which have increased the volatility of prices and made it difficult, if not impossible, for the “specialist” system of price formation to work. Proposals for change in the organisation of market trading should thus be judged relative to the prevailing imperfectly competitive conditions, rather than the ideal perfect market.

J.A. KREGEL

2013-12-01

302

Prospecting for Sustainable Investment Possibilities in Financial Markets  

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Full Text Available The main objective of the paper is to analyse the author's proposed model, which is adequate for stock prices and currency exchange rates markets stochasticity, as well as discuss its application to investor's possibilities research in those markets. The paper is grounded on the hypothesis of stratification of stock profitability ratios, traded on the market. In other words, the concept of stratification means concentration into certain groups in risk-profitability plane. If the hypothesis proved overall, then a constructive scheme for investor's possibilities research in exchange and capital markets would appear, as well as efficient investment strategies would develop.

Aleksandras Vytautas Rutkauskas

2009-06-01

303

Application of MACD and RVI indicators as functions of investment strategy optimization on the financial market  

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Full Text Available The determination of trends and prediction of stock prices is one of the main tasks of the MACD (Moving Average Convergence Divergence and the RVI (Relative Volatility Index indicators of the technical analysis. The research covers the sample representing stocks which are continually traded on the financial market of the Republic of Serbia. Subject of this research is to determine the possibility of MACD and RVI indicators application in investment decision making processes on the financial market of the Republic of Serbia. The main goal of the research is to identify the most profitable parameters of the MACD and RVI indicators as functions of investment strategy optimization on the financial market. The main hypothesis of the research is that the application of the MACD and RVI indicators of technical analysis significantly contributes to investment strategy optimization on the financial market. The applied methodology during the research includes analyses, synthesis and statistical/ mathematical methods with special focus on the method of moving averages. Research results indicate significant possibilities in application of MACD and RVI indicators of technical analysis as functions of making optimum decisions on investment. According to the obtained results it is concluded that the application of the optimized MACD and RVI indicators of technical analysis in decision making process on investing on the financial market significantly contributes maximization of profitability on investments.

Srdjan Redzepagic

2009-06-01

304

Financial services liberalization and international integration in South Eastern Europe  

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Full Text Available The first part of this paper analyses the regulatory framework for international trade in financial services within the auspices of the World Trade Organization (WTO, with special attention paid to the open issues including the scope of prudential measures and capital mobility limitations. The process of the international integration of the South Eastern Europe (SEE countries is mainly dictated by their goal of EU integration. With regard to the services' sectors, a major liberalization step on the way is WTO accession. Of the countries in the region only Serbia, Bosnia and Herzegovina and Montenegro are still not WTO members and in order to become members significant liberalization commitments will be demanded of them. For this reason the second part of the paper deals with concrete financial liberalization commitments undertaken by the original WTO members in SEE and the newly WTO acceded SEE member countries. The last part of the paper provides a quantitative analysis of these commitments by means of the measurement of liberalization indices in the banking sectors in SEE countries. This is to provide a general idea of the scope of liberalization that may be required from a SEE country in order to achieve WTO membership on the road to EU integration.

Prica Ivana

2008-01-01

305

Development of Capital Markets in Turkey and Analysis of Financial Structure of the Intermediary Institutions  

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Full Text Available Capital markets, where demand and supply for medium to long term finance meet, are more active and efficient in higher income countries. Capital markets are insufficiently developed in emerging countries such as Turkey that have the structural and institutional obstacles and lack of capital. The first market with securities was established in 19th century in the Ottoman Empire; the Turkish capital markets have gone through the reform programmes as a part of liberalization started in 1980; but the banking sector constitutes the biggest part of the financial sector. The paper presents the development of capital markets in Turkey and analyzes the intermediary institutions by using the financial statements and ratios for the period December 2007-December 2011.

Fikret Kartal

2013-08-01

306

A mini-review on econophysics: Comparative study of Chinese and western financial markets  

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We present a review of our recent research in econophysics, and focus on the comparative study of Chinese and western financial markets. By virtue of concepts and methods in statistical physics, we investigate the time correlations and spatial structure of financial markets based on empirical high-frequency data. We discover that the Chinese stock market shares common basic properties with the western stock markets, such as the fat-tail probability distribution of price returns, the long-range auto-correlation of volatilities, and the persistence probability of volatilities, while it exhibits very different higher-order time correlations of price returns and volatilities, spatial correlations of individual stock prices, and large-fluctuation dynamic behaviors. Furthermore, multi-agent-based models are developed to simulate the microscopic interaction and dynamic evolution of the stock markets.

Zheng, Bo; Jiang, Xiong-Fei; Ni, Peng-Yun

2014-07-01

307

IMPACT OF FINANCIAL CRISIS UPON THE ROMANIAN CAPITAL MARKET AND PROPOSED MEASURES FOR ITS RELAUNCHING  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Having in consideration that the entire world has changed itself in a globalized economy, characterized by a more and more integrated and connected financial system, it becomes pretty difficult that a financial crisis from a certain economy not to be spre

Milos Laura Raisa; Corduneanu Carmen

2009-01-01

308

Spread of risk across financial markets: better to invest in the peripheries  

Science.gov (United States)

Risk is not uniformly spread across financial markets and this fact can be exploited to reduce investment risk contributing to improve global financial stability. We discuss how, by extracting the dependency structure of financial equities, a network approach can be used to build a well-diversified portfolio that effectively reduces investment risk. We find that investments in stocks that occupy peripheral, poorly connected regions in financial filtered networks, namely Minimum Spanning Trees and Planar Maximally Filtered Graphs, are most successful in diversifying, improving the ratio between returns' average and standard deviation, reducing the likelihood of negative returns, while keeping profits in line with the general market average even for small baskets of stocks. On the contrary, investments in subsets of central, highly connected stocks are characterized by greater risk and worse performance. This methodology has the added advantage of visualizing portfolio choices directly over the graphic layout of the network. PMID:23588852

Pozzi, F.; Di Matteo, T.; Aste, T.

2013-01-01

309

Probe into Reasons of Financial & Statistical Accountings Integration and Discussion of Conception  

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Full Text Available As national economy’s accounting system improves and perfects day by day, financial accounting and statistical accounting, two of the three major accounting components, communicate with each other more and more tightly. To probe into how to strengthen the communication between financial and statistical accountings and seek for the establishment of integrated pattern for financial and statistical accountings will largely improve economic accounting efficiency, reduce economic accounting cost and increase the service value of economic accounting achievements. In this paper the authors analyzes the necessities and conditions of financial and statistical accountings and propose of constructive conception for improving financial and statistical accountings integration based on the exploration and definition of financial and statistical accountings integration with the help of discussion over relationship between financial and statistical accountings.
Key Words: Financial Accounting; Statistical Accounting; Integration

Hong-jie HUANG

2010-08-01

310

Integrative smart market concept for system integration of decentralized generators and as a trading platform for grid operators; Integratives Smart Market Konzept zur Systemintegration dezentraler Erzeuger und als Handelsplattform fuer Netzbetreiber  

Energy Technology Data Exchange (ETDEWEB)

The E-Energy-Project eTelligence built and evaluated an energy market with low admission barriers. This market allowed different actors from the smart grid domain to trade electricity products. During a one year field trial the market was operated with real financial transactions between market participants taking place. To this end, it was necessary to completely integrate the market into energy trading processes currently in place. In addition to the field trial, simulations were carried out in order to demonstrate participation of a distribution system operator and to evaluate intraday-transactions with a high number of simulated market participants. This paper describes the market and gives information about the results attained during its operation. (orig.)

Schmedes, Tanja [EWE AG, Oldenburg (Germany); Stadler, Michael [BTC AG, Oldenburg (Germany); Klose, Thomas [energy and meteo systems GmbH, Oldenburg (Germany); Hollinger, Raphael [Fraunhofer ISE, Freiburg im Breisgau (Germany); Ruettinger, Hannes [Fraunhofer AST, Ilmenau (Germany); Koch, Matthias [Oeko-Institut e.V., Freiburg im Breisgau (Germany); Rosinger, Christine [OFFIS - Institut fuer Informatik, Oldenburg (Germany)

2012-07-01

311

Grouping characteristics of industry sectors in financial markets  

Science.gov (United States)

We investigated the grouping coefficients of industrial sectors in the stock network based on stock data for the U.S. and Korean stock markets. These complex networks were modeled using the minimal spanning tree (MST) method. We propose a novel approach based on the shortest path length (SPL) between stocks to quantify the grouping characteristics of the industrial sectors. We find that the grouping coefficients for the industrial sector in the U.S. are larger than those of the Korean stock market. In particular, for the Korean stock market the conglomerates, comprised of a diverse of industrial companies, have a significant grouping coefficient.

Oh, Gabjin

2014-02-01

312

Scaling and criticality in a stochastic multi-agent model of a financial market  

Science.gov (United States)

Financial prices have been found to exhibit some universal characteristics that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the question of whether scaling in finance emerges in a similar way - from the interactions of a large ensemble of market participants. However, such an explanation is in contradiction to the prevalent `efficient market hypothesis' in economics, which assumes that the movements of financial prices are an immediate and unbiased reflection of incoming news about future earning prospects. Within this hypothesis, scaling in price changes would simply reflect similar scaling in the `input' signals that influence them. Here we describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants. Although the `news arrival process' in our model lacks both power-law scaling and any temporal dependence in volatility, we find that it generates such behaviour as a result of interactions between agents.

Lux, Thomas; Marchesi, Michele

1999-02-01

313

Preventing endogenous extreme events in herding dominant agent-based financial market  

CERN Document Server

A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social cooperation) and undesirable (e.g. mass panic, financial "bubbles" or "crashes"). Abundance of the empirical data as well as general insights into the trading behavior enables the creation of simple agent-based models reproducing sophisticated statistical features of the financial markets. In this contribution we consider a possibility to prevent self-organized extreme events in artificial financial market setup built upon a simple agent-based herding model. We show that introduction of agents with predefined fundamentalist trading behavior helps to significantly reduce the probability of the extreme price fluctuations events. We also test random trading control strategy, which was previously found to be promising, and find that its impact on the market is rather ambiguous. Though...

Kononovicius, Aleksejus

2014-01-01

314

A consentaneous agent based and stochastic model of the financial markets  

CERN Document Server

We consider a three state agent based herding model of the financial markets. From this agent based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a source of the short term fluctuations. The resulting model of the return in the financial markets with the same set of parameters reproduces empirical probability and spectral densities of absolute return observed in New York, Warsaw and NASDAQ OMX Vilnius Stock Exchanges. Our result confirms the prevalent idea in behavioral finance that herding interactions may be dominant over agent rationality and contribute towards bubble formation.

Gontis, V

2014-01-01

315

Self-organizing Ising model of artificial financial markets with small-world network topology  

Science.gov (United States)

We study a self-organizing Ising-like model of artificial financial markets with underlying small-world (SW) network topology. The asset price dynamics results from the collective decisions of interacting agents which are located on a small-world complex network (the nodes symbolize the agents of a financial market). The model incorporates the effects of imitation, the impact of external news and private information. We also investigate the influence of different network topologies, from regular lattice to random graph, on the asset price dynamics by adjusting the probability of the rewiring procedure. We find that a specific combination of model parameters reproduce main stylized facts of real-world financial markets.

Zhao, Haijie; Zhou, Jie; Zhang, Anghui; Su, Guifeng; Zhang, Yi

2013-01-01

316

Financial risks for green electricity investors and producers in a tradable green certificate market  

International Nuclear Information System (INIS)

This paper analyzes financial risks in a market for tradable green certificates (TGC) from two perspectives; existing renewable producers and potential investors in new renewable electricity generation capacity. The equilibrium pricing mechanism for a consumer-based TGC market is described and a market with wind turbines as the sole renewable technology is analyzed. In this framework, TGC prices and fluctuations in production from wind turbines will be negatively correlated and, as a result, TGC price fluctuations can actually help decrease the total financial risk. Based on this recognition, analytical expressions for revenue-variance-minimizing trading strategies are derived and an analysis of the demand and supply for financial hedging is used to show that forward contracts will be traded at a risk premium

317

EVOLUTION OF THE ROMANIAN RESIDENTIAL MARKET AFTER OUTBREAK OF THE CURRENT ECONOMIC AND FINANCIAL CRISIS  

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Full Text Available The residential market is one of the market sectors seriously affected by the current economic and financial crisis. This is mirrored both in the fall of real estate trading prices and in the decreased number of transactions and cutback of newly built constructions. This trend is applicable to the entire spectrum of the residential market (luxury properties and homes destined to average-income customers. Romania is no exception from this European and world-wide state of affairs. This paper aims to briefly outline the trends on the Romanian residential market in the aftermath of the current crisis.

?teliac Nela

2013-04-01

318

An analysis of the early-warning system in emerging markets for reducing the financial crisis  

Science.gov (United States)

The large number of financial crises in emerging markets over the past ten years has left many observers, both from academia and financial institutions, puzzled by an apparent lack of homogenous causal relations between endogenous economic variables and the bursting of large financial shocks. The frequency of financial crises in the last 20 years can be attributed to the lack of a comprehensive theory of financial regulation to guide policy makers. Existing theories fail to define the range of regulatory models, the causes of regulatory failure, and how to measure and prevent it. Faulty design of regulatory models, and the lack of ongoing performance monitoring incorporating early warning systems, is disrupting economic and social development. The main aim of this article is to propose an early warning system (EWS) which purposes issuing warning signal against the possible financial crisis in the emerging market, and makes the emerging market survived the first wave of the crisis be able to continue their operation in the following years.

Shen, Xiangguang; Song, Xiaozhong

2009-07-01

319

Modified multidimensional scaling approach to analyze financial markets  

Science.gov (United States)

Detrended cross-correlation coefficient (?DCCA) and dynamic time warping (DTW) are introduced as the dissimilarity measures, respectively, while multidimensional scaling (MDS) is employed to translate the dissimilarities between daily price returns of 24 stock markets. We first propose MDS based on ?DCCA dissimilarity and MDS based on DTW dissimilarity creatively, while MDS based on Euclidean dissimilarity is also employed to provide a reference for comparisons. We apply these methods in order to further visualize the clustering between stock markets. Moreover, we decide to confront MDS with an alternative visualization method, "Unweighed Average" clustering method, for comparison. The MDS analysis and "Unweighed Average" clustering method are employed based on the same dissimilarity. Through the results, we find that MDS gives us a more intuitive mapping for observing stable or emerging clusters of stock markets with similar behavior, while the MDS analysis based on ?DCCA dissimilarity can provide more clear, detailed, and accurate information on the classification of the stock markets than the MDS analysis based on Euclidean dissimilarity. The MDS analysis based on DTW dissimilarity indicates more knowledge about the correlations between stock markets particularly and interestingly. Meanwhile, it reflects more abundant results on the clustering of stock markets and is much more intensive than the MDS analysis based on Euclidean dissimilarity. In addition, the graphs, originated from applying MDS methods based on ?DCCA dissimilarity and DTW dissimilarity, may also guide the construction of multivariate econometric models.

Yin, Yi; Shang, Pengjian

2014-06-01

320

The predictive power of zero intelligence in financial markets  

Science.gov (United States)

Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where constraints imposed by market institutions dominate strategic agent behavior. We use data from the London Stock Exchange to test a simple model in which minimally intelligent agents place orders to trade at random. The model treats the statistical mechanics of order placement, price formation, and the accumulation of revealed supply and demand within the context of the continuous double auction and yields simple laws relating order-arrival rates to statistical properties of the market. We test the validity of these laws in explaining cross-sectional variation for 11 stocks. The model explains 96% of the variance of the gap between the best buying and selling prices (the spread) and 76% of the variance of the price diffusion rate, with only one free parameter. We also study the market impact function, describing the response of quoted prices to the arrival of new orders. The nondimensional coordinates dictated by the model approximately collapse data from different stocks onto a single curve. This work is important from a practical point of view, because it demonstrates the existence of simple laws relating prices to order flows and, in a broader context, suggests there are circumstances where the strategic behavior of agents may be dominated by other considerations. double auction market | market microstructure | agent-based models

Doyne Farmer, J.; Patelli, Paolo; Zovko, Ilija I.

2005-02-01

 
 
 
 
321

The global financial crisis: Is there any contagion between real estate and equity markets?  

Science.gov (United States)

This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the global financial crisis by the Forbes-Rigobon, coskewness and cokurtosis tests. In particular, this is the first study to use the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find that the cokurtosis test shows a highly significant evidence of contagion between the equity and real estate markets in both directions. In particular, the contagion between US's equity and real estate markets is the most significant. This reflects that US is the centre of shock of the global financial crisis.

Hui, Eddie Chi-man; Chan, Ka Kwan Kevin

2014-07-01

322

New IMF Lending Facilities and Financial Stability in Emerging Markets  

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Full Text Available In the light of the current global financial and economic crisis, the International Monetary Fund (IMF has undertaken some major reforms of its lending facilities. The new Flexible Credit Line and the High Access Precautionary Arrangements differ from what has been in place so far, by allowing for ex ante conditionality. This paper summarizes preconditions for effective last resort lending and evaluates the newly introduced measures, concluding that the Flexible Credit Line comes very close to what has been called an International Lender of Last Resort. The main obstacles are the low demand and slow progress in complementary reforms.

Jari John

2011-09-01

323

Financial instruments help producers hedge gas deals in volatile market  

International Nuclear Information System (INIS)

The Natural Gas Policy Act (NGPA) of 1978 and more recently the U.S. Federal Energy Regulatory Commission's Order 636 have changed gas marketing from a totally regulated industry to one that responds to free-market forces. The stable but controlled market in which producers once sold gas has become highly competitive and more efficient. Consequently, prices have become more volatile; they respond more quickly than they did before to changes in supply of and demand for natural gas. Prior to deregulation of the natural gas industry, producers had fewer marketing options than they do today. Under a typical gas sales contract, producers sold gas to the nearest pipeline at regulated prices, which remained relatively stable along the interstate distribution chain. The system, however, failed to generate adequate supply of gas. In an effort to realign supply and demand, Congress initiated the deregulation of natural gas with NGPA, which phased out most wellhead price controls. A series of FERC actions culminating in Order 636 extended the process. Now, independent producers can sell gas directly to end users. Under Order 636, interstate pipelines no longer offer merchant services to gas customers. The paper discusses the change in risk profiles, price protection, futures and options, hedged exposure, setting price floors, off-exchange contracts, risk considerations, types of risks, business controls, back office controls, and credit monitoring

324

First Significant Digits and the Credit Derivative Market During the Financial Crisis  

Directory of Open Access Journals (Sweden)

Full Text Available The Credit Default Swap (CDS market has both been lauded for its ability to stabilize the financial system through credit risk transfers and been the source of regulatory concern due to its size and lack of transparency. As a decentralized over-the-counter market, detailed information about pricing mechanisms is rather scarce. To investigate reported CDS prices (spreads more closely, we make use of empirical First Significant Digit (FSD distributions and analyze daily CDS prices for European and US entities during the financial crisis starting in 2007. We find that on a time-aggregated level, the European and US markets obey empirical FSD distributions similar to the theoretical ones. Surprising differences are observed in the development of the FSD distributions between the US and European markets. Whereas the FSD distribution of the US derivative market behaves nearly constantly during the last financial crisis, we find huge fluctuations in the FSD distribution of the European market. One reason for these differences might be the possibility of strategic default for US companies due to Chapter 11 and avoided contagion effects.

Paul Hofmarcher

2013-06-01

325

Analysis of cross-correlations between financial markets after the 2008 crisis  

Science.gov (United States)

We analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients arise from randomness. We show that the eigenvector of the largest deviating eigenvalue of C represents a global market itself. We reveal that high volatility of financial markets is observed at the same times with high correlations between them which lowers the risk diversification potential even if one constructs a widely internationally diversified portfolio of stocks. We identify and compare the connection and cluster structure of markets before and after the crisis using minimal spanning and ultrametric hierarchical trees. We find that after the crisis, the co-movement degree of the markets increases. We also highlight the key financial markets of pre and post crisis using main centrality measures and analyze the changes. We repeat the study using rank correlation and compare the differences. Further implications are discussed.

Sensoy, A.; Yuksel, S.; Erturk, M.

2013-10-01

326

An analysis of the financial crisis in the KOSPI market using Hurst exponents  

Science.gov (United States)

Recently, the study of the financial crisis has progressed to include the concept of the complex system, thereby improving the understanding of this extreme event from a neoclassical economic perspective. To determine which variables are related to the financial event caused by the 2008 US subprime crisis using temporal correlations, we investigate the diverse variables that may explain the financial system. These variables include return, volatility, trading volume and inter-trade duration data sets within the TAQ data for 27 highly capitalized individual companies listed on the KOSPI stock market. During 2008 and 2009, the Hurst exponent for the return time series over the whole period was less than 0.5, and the Hurst exponents for other variables, such as the volatility, trading volume and inter-trade duration, were greater than 0.5. Additionally, we analyze the relationships between the variation of temporal correlation and market instability based on these Hurst exponents and the degree of multifractality. We find that for the data related to trading volume, the Hurst exponents do not allow us to detect changes in market status, such as changes from normal to abnormal status, whereas other variables, including the return, volatility and weekly inter-trade duration, indicate a significant change in market status after the Lehman Brothers' bankruptcy. In addition, the multifractality and the measurement defined by subtracting the Hurst exponent of the return time series from that of the volatility time series decrease sharply after the US subprime event and recover approximately 50 days after the Lehman Brothers' collapse. Our findings suggest that the temporal features of financial quantities in the TAQ data set and the market complexity perform very well at diagnosing financial market stability.

Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

2014-09-01

327

Integration of the North American energy market  

International Nuclear Information System (INIS)

The US energy policy of President Bush administration proposes to develop a North American energy framework with a greater energy integration between Canada, the USA and Mexico in the respect of the sovereignty of each country. This article tries to evaluate the integration status of the energy sector in Northern America with respect to the North American free-exchange agreement and to the deregulation process observed in the natural gas and electric power sectors. The commercial energy fluxes between Canada, Mexico and the US show that the integration is a reality and that it is in constant progress. This integration is particularly important in the case of Canada and the USA while major constraints remain in Mexico where the property and exploitation of natural resources is a government monopoly. For this reason, Mexico could never exploit the full potentialities of its resources and suffers from a chronical under-investment in its energy infrastructures which limits the energy trade. Despite this, there is a strong will from the Mexican authorities to ensure the modernization of its energy sector and to contribute more to the integration process of the north American energy market. A series of reforms, and in particular the fiscal reform started by the government should reduce the excessive dependence of the government incomes with the dividends from the energy sector. This should allow the different government companies to reinvest more its benefits in order to improve the existing infrastructures and to increase the capacities (in particular in the gas and electricity sectors). Finally, the recent will of the government to open the gas sector should allow the development of this energy source. (J.S.)

328

ASEAN-5 + 3 and US Stock Markets Interdependence Before, During and After Asian Financial Crisis  

Directory of Open Access Journals (Sweden)

Full Text Available The issues of international stock markets linkages had been investigated over the time. Since the Asian financial crisis in 1997, many economists are concerned about the relationship between Asian stock markets and others in the world. The main objective of this paper is to examine the linkages between ASEAN-5+3 namely Malaysia, Singapore, the Philippines, Thailand, Indonesia, China, Japan and Korea and US stock markets. The data consists of weekly stock indices data. The total samples are separated into three sub-periods. All the indices applied are expressed in local currencies. In conclusion, we found that ASEAN-5+3 and US stock markets are interdependence during crisis and post-crisis periods and the impact of US stock market is effective in ASEAN-5+3 stock markets only for pre- and during-crisis periods.

R.C. Royfaizal

2009-07-01

329

Spatial and temporal structures of four financial markets in Greater China  

Science.gov (United States)

We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected through the random matrix theory. Meanwhile, we observe that the Taiwan and Hong Kong stock markets show a negative return-volatility correlation, i.e., the so-called leverage effect. The Shanghai and Shenzhen stock markets are more complicated. Before the year 2000, the two markets exhibited a strong positive return-volatility correlation, which is called the anti-leverage effect. After 2000, however, it gradually changed to the leverage effect. We also find that the recurrence interval distributions of both the trading volume volatilities and price volatilities follow a power law behavior, while the exponents vary among different markets.

Ouyang, F. Y.; Zheng, B.; Jiang, X. F.

2014-05-01

330

Spatial and temporal structures of four financial markets in Greater China  

CERN Document Server

We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected through the random matrix theory. Meanwhile, we observe that the Taiwan and Hongkong stock markets show a negative return-volatility correlation, i.e., the so-called leverage effect. The Shanghai and Shenzhen stock markets are more complicated. Before the year 2000, the two markets exhibit a strong positive return-volatility correlation, which is called the anti-leverage effect. After 2000, however, it gradually changes to the leverage effect. We also find that the recurrence interval distributions of both the trading volume volatilities and price volatilities follow a power law behavior, while the exponents vary among different markets.

Ouyang, F Y; Jiang, X F

2014-01-01

331

The Impact of The Stock Market Game on Financial Literacy and Mathematics Achievement: Results from a National Randomized Controlled Trial  

Science.gov (United States)

The Stock Market Game[TM] is an educational program supported by the Securities Industry and Financial Markets Association (SIFMA) Foundation for Investor Education. The program is designed to teach students the importance of saving and investing by building their financial literacy skills. The primary focus of the study was to measure the impact…

Hinojosa, Trisha; Miller, Shazia; Swanlund, Andrew; Hallberg, Kelly; Brown, Megan; O'Brien, Brenna

2010-01-01

332

CLUSTERING TECHNIQUES IN FINANCIAL DATA ANALYSIS APPLICATIONS ON THE U.S. FINANCIAL MARKET  

Directory of Open Access Journals (Sweden)

Full Text Available In the economic and financial analysis, the need to classify companies in terms of categories, thedelimitation of which has to be clear and natural occurs frequently. The differentiation of companies bycategories is performed according to the economic and financial indicators which are associated to the above.The clustering algorithms are a very powerful tool in identifying the classes of companies based on theinformation provided by the indicators associated to them. The last decade imposed to the economic andfinancial practice the use of economic value added as an indicator of synthesis of the entire activity of acompany. Our study uses a sample of 106 companies in four different fields of activity; each company isidentified by: Economic Value Added, Net Income, Current Sales, Equity and Stock Price. Using the ascendinghierarchical classification methods and the partitioning classification methods, as well as Ward’s method and kmeansalgorithm, we identified on the considered sample an information structure consisting of 5 rating classes.

ALEXANDRU BOGEANU

2013-08-01

333

STUDY OF STOCK MARKET INTEGRATION OF INDIA WITH USA  

Directory of Open Access Journals (Sweden)

Full Text Available Previous studies give contradictory results on whether Indian stock market is integrating with that of US stock market. We applied the diverse methodology such as Granger Casualty, Johnson co integration test and Impulse response to find consistent results that USA stock market affect Indian stock market. The results are consistent in both crisis and post crisis period. Investors are not diversifying their risk profile, when they are investing into global markets. They are equally vulnerable to any crisis, whether they are investing in Indian stock market or in USAmarket

Vipin Kumar

2014-09-01

334

City Marketing: Towards an Integrated Approach  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This PhD thesis deals with city marketing: cities making use of marketing ideas, concepts and tools. Marketing has proved its value in the business environment, but what about applying marketing in the context of cities? How can cities make effective use of the potential of marketing? The first contribution of this study is the development of a clear concept of city marketing that is based on a customer-oriented perspective, acknowledges the important of perceptions of places in the decis...

Braun, E.

2008-01-01

335

An Examination of Home Advantage (Bias Argument in the Indian Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available

In this paper we examine if Domestic Financial Institutional Investors (DFIs have any home advantage (Bias compared to Foreign Institutional Investors (FIIs for both the equity and debt segments of the Indian capital market. We find that both the DFIs and FIIs follow a positive feedback trading mechanism chasing stock market returns. However, FIIs seem to be reacting faster compared to DFIs in case of equity market. This may be owing to the fact that the former have international expertise and greater resources and play a dominant role in this segment of capital market as shown by their share in the trading volume. In contrast, the DFIs lead the market returns which in turn attract the FIIs thus supporting home advantage (bias argument. Interestingly, the DFIs, unlike in equity market, play a more important role in debt market trading activities. Our results point at greater debt market inefficiency in the Indian context, which may be a reflection of the relatively underdeveloped nature of this market. 

 

Key Words:  Home advantage (bias, Domestic Financial Institutional Investors, Foreign Institutional Investors, Market returns, Equity market, Debt Market.

JEL Classifications: G100, G140

 


Neeta Tripathi

2010-06-01

336

THE DYNAMIC MODEL OF DEVELOPMENT OF THE FINANCIAL MARKET IN THE ECONOMIC SYSTEMS OF DEPRESSIVE TYPE  

Directory of Open Access Journals (Sweden)

Full Text Available The dynamic model of E. Lorenz, in detail describing the phenomenon of bifurcation is analyzed. Based on the analysis of approaches by E. Lorenz, taking into account the results by V. Zhang, we built a similar model for the local financial market to the regional economic system of depressive type

Ushakov A. S.

2014-01-01

337

Financial Integration and Real Exchange Rate Volatility: Evidence from South and South East Asia  

Directory of Open Access Journals (Sweden)

Full Text Available Real exchange rate fluctuations take a central place in the discussions over the choices of economic policies in developing economies. It is essentially the dependence with respect to imports and the specialization in exports that account for real exchange rate fluctuations on the economic performances of developing countries. The accessibility to the world financial market also plays an important role in helping to smooth out consumption in financing trade balance disequilibrium. Identifying the sources of real exchange rate fluctuations enables one to measure, on the one hand, the consequences of economic policies implemented by the government on the real exchange rates, and on the other, the room policy makers have at their disposal to deal with possible real exchange rate movements harmful to economic activity. In this perspective, we address in the paper the main question: does financial liberalization contribute to real exchange rate fluctuations in South and South East Asia?Our study suggests that openness helps to reduce real exchange rate fluctuations but financial integration increases real exchange rate volatility. We encourage the countries of South and South East Asia to improve the flexibility of their exchange system and to pursue the sequential liberalization policy.

Thouraya H. Amor

2009-02-01

338

The Role of Accounting Information in the Stock Market: An Examination on ISE-Financial Sector  

Directory of Open Access Journals (Sweden)

Full Text Available The purpose of the study is to explore relationship level between accounting information and market value of firms. Ohlson approach modeling firm value as a function of reported accounting information has been used in the study. In this approach, variables explaining firm’s market value per share are book value per share and earnings per share. 2005-2011 period has been determined as the study period. Istanbul Stock Exchange (ISE-Financial Sector firms’ financial statements at the end of December have been used as explanatory variables while the price data at the end of April have been used as response variable. Findings of the study, whose analyses have been diversified on the basis of industry and year, confirm the importance of accounting information. Value relevance of accounting information has been supported empirically in the basis of ISE-Financial Index firms.

Koray KAYALIDERE

2013-03-01

339

Non-arbitrage in financial markets: A Bayesian approach for verification  

Science.gov (United States)

The concept of non-arbitrage plays an essential role in finance theory. Under certain regularity conditions, the Fundamental Theorem of Asset Pricing states that, in non-arbitrage markets, prices of financial instruments are martingale processes. In this theoretical framework, the analysis of the statistical distributions of financial assets can assist in understanding how participants behave in the markets, and may or may not engender arbitrage conditions. Assuming an underlying Variance Gamma statistical model, this study aims to test, using the FBST - Full Bayesian Significance Test, if there is a relevant price difference between essentially the same financial asset traded at two distinct locations. Specifically, we investigate and compare the behavior of call options on the BOVESPA Index traded at (a) the Equities Segment and (b) the Derivatives Segment of BM&FBovespa. Our results seem to point out significant statistical differences. To what extent this evidence is actually the expression of perennial arbitrage opportunities is still an open question.

Cerezetti, F. V.; Stern, Julio Michael

2012-10-01

340

Reinterpretation of Sieczka-Ho{\\l}yst financial market model  

CERN Document Server

In this work we essentially reinterpreted the Sieczka-Ho{\\l}yst (SH) model to make it more suited for description of real markets. For instance, this reinterpretation made it possible to consider agents as crafty. These agents encourage their neighbors to buy some stocks if agents have an opportunity to sell these stocks. Also, agents encourage them to sell some stocks if agents have an opposite opportunity. Furthermore, in our interpretation price changes respond only to the agents' opinions change. This kind of respond protects the stock market dynamics against the paradox (present in the SH model), where all agents e.g. buy stocks while the corresponding prices remain unchanged. In this work we found circumstances, where distributions of returns (obtained for quite different time scales) either obey power-law or have at least fat tails. We obtained these distributions from numerical simulations performed in the frame of our approach.

Denys, Mateusz; Kutner, Ryszard

2013-01-01

 
 
 
 
341

The Predictive Power of Zero Intelligence in Financial Markets  

CERN Document Server

Standard models in economics are based on intelligent agents that maximize utility. However, there may be situations where constraints imposed by market institutions are more important than intelligent agent behavior. We use data from the London Stock Exchange to test a simple model in which zero intelligence agents place orders to trade at random. The model treats the statistical mechanics of the interaction of order placement, price formation, and the accumulation of stored supply and demand, and makes predictions that can be stated as simple expressions in terms of measurable quantities such as order arrival rates. The agreement between model and theory is excellent, explaining 96% of the variance of the bid-ask spread across stocks and 76% of the price diffusion rate. We also study the market impact function, describing the response of prices to orders. The nondimensional coordinates dictated by the model collapse data from different stocks onto a single curve, suggesting a corresponding understanding of ...

Farmer, J D; Zovko, I I; Patelli, Paolo; Zovko, Ilija I.

2003-01-01

342

Dynamics of the return distribution in the Korean financial market  

CERN Document Server

In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market.

Yang, J S; Jung, W S; Kwon, O; Moon, H T; Chae, Seungbyung; Jung, Woo-Sung; Kwon, Okyu; Moon, Hie-Tae; Yang, Jae-Suk

2005-01-01

343

Credit Legal System Research of Chinese Market Economy – Based on the Financial Crisis Brought by the United States’ Subprime Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The financial crisis brought by the United States’ subprime crisis is in fact serious problems occurred in financial debt credit basis of the financial market. This paper particularly investigates credit, explores current status of the credit legal system in Chinese market economy, analyzes the United States’ credit legal system and its important inspiration to China, and then proposes some ideas in constructing Chinese credit legal system and suggestions for its perfection in order to...

Yu, Haibin

2012-01-01

344

The predictive power of zero intelligence in financial markets.  

Science.gov (United States)

Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where constraints imposed by market institutions dominate strategic agent behavior. We use data from the London Stock Exchange to test a simple model in which minimally intelligent agents place orders to trade at random. The model treats the statistical mechanics of order placement, price formation, and the accumulation of revealed supply and demand within the context of the continuous double auction and yields simple laws relating order-arrival rates to statistical properties of the market. We test the validity of these laws in explaining cross-sectional variation for 11 stocks. The model explains 96% of the variance of the gap between the best buying and selling prices (the spread) and 76% of the variance of the price diffusion rate, with only one free parameter. We also study the market impact function, describing the response of quoted prices to the arrival of new orders. The nondimensional coordinates dictated by the model approximately collapse data from different stocks onto a single curve. This work is important from a practical point of view, because it demonstrates the existence of simple laws relating prices to order flows and, in a broader context, suggests there are circumstances where the strategic behavior of agents may be dominated by other considerations. PMID:15687505

Farmer, J Doyne; Patelli, Paolo; Zovko, Ilija I

2005-02-01

345

Random walks, liquidity molasses and critical response in financial markets  

CERN Document Server

Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged fluctuations in liquidity, with an otherwise permanent market impact, challenging the scenario proposed in Quantitative Finance 4, 176 (2004), where the impact is *transient*, with a power-law decay in time. The exponent of this decay is precisely tuned to a critical value, ensuring simultaneously that prices are diffusive on long time scales and that the response function is nearly constant. We provide new analysis of empirical data that confirm and make more precise our previous claims. We show that the power-law decay of the bare impact function comes both from an excess flow of limit order opposite to the market order flow, and to a systematic anti-correlation of the bid-ask motion between trades, two effects that create a `liquidity molasses' which dampens market volatility.

Bouchaud, J P; Potters, M

2004-01-01

346

Integral representation of martingales and endogenous completeness of financial models  

CERN Document Server

Let $\\mathbb{Q}$ and $\\mathbb{P}$ be equivalent probability measures and let $\\psi$ be a $J$-dimensional vector of random variables such that $\\frac{d\\mathbb{Q}}{d\\mathbb{P}}$ and $\\psi$ are defined in terms of a weak solution $X$ to a $d$-dimensional stochastic differential equation. Motivated by the problem of \\emph{endogenous completeness} in financial economics we present conditions which guarantee that any local martingale under $\\mathbb{Q}$ is a stochastic integral with respect to the $J$-dimensional martingale $S_t \\set \\mathbb{E}^{\\mathbb{Q}}[\\psi|\\mathcal{F}_t]$. While the drift $b=b(t,x)$ and the volatility $\\sigma = \\sigma(t,x)$ coefficients for $X$ need to have only minimal regularity properties with respect to $x$, they are assumed to be analytic functions with respect to $t$. We provide a counter-example showing that this $t$-analyticity assumption for $\\sigma$ cannot be removed.

Kramkov, Dmitry

2011-01-01

347

International Product Market Integration, Rents and Wage Formation  

DEFF Research Database (Denmark)

International product market integration enhances both export possibilities through easier access to foreign markets, but also the import threat arising from foreign firms penetrating into the domestic market. These mechanisms affect wage formation and employment creation through many channels including product market rents and the possibility that jobs may be relocated across national labour markets. Possibilities and threats, however, will not in general be uniformly distributed across firms and therefore groups in the labour market. These issues are explored in a Ricardian trade model with imperfect competition, heterogeneity in the labour market, and decentralized wage-bargaining. The Paper analyses how product market integration affects wage formation, and identifies characteristics of winners and losers in the integration process.

SØrensen, Allan

2003-01-01

348

Financial risk management in a competitive electricity market  

International Nuclear Information System (INIS)

This paper proposes solutions for electricity producers in the field of financial risk management for electric energy contract evaluation. The efficient frontier is used as a tool to identify the preferred portfolio of contracts. Each portfolio has a probability density function for the profit. For important scheduling policies, closed form solutions are found for the amount of futures contracts that correspond to the efficient frontier. Production scheduling must consider resource constraints. It is found that, without resource constrains, the portfolio with the highest expected profit can be preferred--even for a risk-averse decision-maker. When resource constraints are present, portfolios not corresponding to the maximum expected profit criteria will more frequently be preferred

349

Emergence of Financial Intermediaries in Electronic Markets: The Case of Online P2P Lending  

Directory of Open Access Journals (Sweden)

Full Text Available We analyze the role of intermediaries in electronic markets using detailed data of more than 14,000 originated loans on an electronic P2P (peer-to-peer lending platform. In such an electronic credit market, lenders bid to supply a private loan. Screening of potential borrowers and the monitoring of loan repayment can be delegated to designated group leaders. We find that these market participants act as financial intermediaries and significantly improve borrowers' credit conditions by reducing information asymmetries, predominantly for borrowers with less attractive risk characteristics. Our findings may be surprising given the replacement of a bank by an electronic marketplace.

Sven C. Berger

2009-05-01

350

Geli?mekte Olan Piyasalarda Finansal Piyasa ?stikrar?n?n Kantil Regresyon Yöntemiyle Test Edilmesi = Tests for Financial Market Stability in Emerging Markets by Using Quantile Regression  

Directory of Open Access Journals (Sweden)

Full Text Available In this study, the financial market stability is investigated for the emerging market countries of Morgan Stanley Capital International (MSCI, Europe, the Middle East and Africa index by using quantile regression based new empirical test proposed by Baur and Schulze (2009. The daily logarithmic return dataset covers the period of June 1, 2002 to February 17, 2011. The results show that Poland and Morocco exhibit financial market stability among the investigated countries.

Cüneyt AKAR

2013-01-01

351

Energie-Nederland. Financial and economic impact of a changing energy market  

Energy Technology Data Exchange (ETDEWEB)

A detailed study of the Dutch power market has been carried out, including an assessment of the financial implications for conventional power plants. This study is to provide insight into the potential implications of the 16% RES (renewable energy sources) target without prescribing a particular scenario or outcome, or suggesting possible solutions. The study focuses on the potential financial and economic impact of meeting the RES target under different market scenarios. Also, the potential impact on security of supply and the need for flexible back-up capacity in the period 2013-2020 are assessed. Furthermore, an analysis is performed of potential market prices that are required for the economic feasibility of flexible back-up generation capacity with a very limited load factor. For the assessment of the financial impact of a changing energy market, the Dutch power market is modelled under various scenarios. Use has been made of a detailed model of Northwest Europe, in which all power stations, interconnections, and constraints (i.e. RES potential) are accounted for. In all scenarios, the 16% RES target is a binding constraint in that model. This means the model determines the least-cost option to meet this target, including wind onshore and offshore (up to the limit estimated by ECN), dedicated biomass and co-firing of biomass, and other sources such as solar.

NONE

2013-03-15

352

Investment strategies used as spectroscopy of financial markets reveal new stylized facts.  

Science.gov (United States)

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions, and (iii) real traders to random strategies with respect to timing that share otherwise all other characteristics. We find in general that more trading results in smaller net return due to trading frictions, with the exception that the net return is independent of the trading frequency for A-share individual traders. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by traders. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets. PMID:21935403

Zhou, Wei-Xing; Mu, Guo-Hua; Chen, Wei; Sornette, Didier

2011-01-01

353

A queueing theory description of fat-tailed price returns in imperfect financial markets  

Science.gov (United States)

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of price thresholds to simulate agent behavior over much longer timescales than are currently used in models of order-books. We show that many phenomena, routinely ignored in efficient market theory, can be systematically introduced into an otherwise efficient market, resulting in models that robustly replicate the most important stylized facts. We then demonstrate a close link between such threshold models and queueing theory, with large price changes corresponding to the busy periods of a single-server queue. The distribution of the busy periods is known to have excess kurtosis and non-exponential decay under various assumptions on the queue parameters. Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions.

Lamba, H.

2010-09-01

354

Integration of financial and management accounting systems : the mediating influence of a consistent financial language on controllership effectiveness  

Digital Repository Infrastructure Vision for European Research (DRIVER)

To provide accounting information for management control purposes, two fundamental options exist: (a) The financial records can be used as a database for management accounting (integrated accounting system design), or (b) the management accounting system used by controllers can be based upon a so-called third set of books besides the financial and tax accounting records. Whereas the latter approach had been typical for firms in German-speaking countries until the 1980s, since then an increasi...

Weißenberger, Barbara E.; Angelkort, Hendrik

2009-01-01

355

Retaining Customers through Relationship Marketing in an Islamic Financial Institution in Malaysia  

Directory of Open Access Journals (Sweden)

Full Text Available Questions on ways to retain loyal customers and attract potential future customers in an Islamic financial institution led to a study on customer relationship marketing (CRM strategies at the Pilgrims Fund Corporation or Tabung Haji (TH. This study aims to determine whether customer relationship marketing (CRM influenced by the variables - customers’ satisfaction, employees’ commitment, customers’ trust and customers’ loyalty. Questionnaires and personal interviews with the respondents were used. 152 registered Tabung Haji depositors were selected as sample size. It was found that there is a significant relationship between customer relationship marketing- the four dependent variables. Findings from this study showed strong positive relationship between customer relationship marketing and customers’ satisfaction (81%, customers’ trust (77.8%, employees’ commitment (76.2% and customers’ loyalty (69.5%. Findings from this study will help Tabung Haji to utilize appropriate customer relationship marketing strategies to retain the loyalty of existing customers. Simultaneously, Tabung Haji should make the most of its customer relationship marketing strategies (CRM to attract future potential customers. It is hoped that Tabung Haji will be a progressive, dynamic and innovative financial institution through the utilization of appropriate strategies in customer relationship marketing (CRM.

Kamsol Mohamed Kassim

2009-04-01

356

Testing International Momentum Strategies between Chinese and Australian Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper tests international momentum effects between Chinese Shanghai Composite Index and Australian resource stocks. If markets were efficient, there would be no profits from momentum strategies. Two momentum strategies are examined; index tracking and enhanced indexing. The enhanced indexing strategy is more profitable than the index tracking strategy, although the index tracking strategy had a higher Sharpe Ratio. Small capitalised stocks exhibit strong momentum effects. Using a newly developed partial adjustment model, support is provided for Chan et al (1996 who demonstrate that under-reaction to economic news explains momentum profits and Rouwenhorst (1998 who finds evidence of momentum effects in emerging countries.

Santosh Mon Abraham

2014-01-01

357

Multifractal Analysis of Asian Foreign Exchange Markets and Financial Crisis  

Science.gov (United States)

We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we also estimate the multifractal spectra of limited series before and after the crisis. We find that the Korean and Thai foreign exchange markets experienced a significant increase in multifractality compared to Hong-Kong and Japan. We also show that the multifractality is stronge related to the presence of high values of returns in the series.

Oh, Gabjin; Kwon, Okyu; Jung, Woo-Sung

2012-02-01

358

Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis: Evidence from Major Financial Institutions  

Directory of Open Access Journals (Sweden)

Full Text Available This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. Surprisingly, only very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is to address this issue and provide insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices. A multivariate GARCH is applied to the data of four large US banks over the period ranging from January 01, 2006 to December 31, 2009. With the commonly known shortcomings of credit ratings, the demand for market-based indicators has risen as they can help to assess the creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of crisis. This is particularly evident with respect to the variances of stock returns and CDS spread changes. Furthermore, correlations and covariances are time-varying and also increased in absolute values after the outbreak of the crisis, indicating stronger dependency among the examined variables. Specific events which have a huge impact on the financial markets as a whole (e.g., the collapse of Lehman Brothers are also visible in the (covariances and correlations as strong movements in the respective series.

Ansgar Belke

2014-06-01

359

The dynamics of interacting markets. First results.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 is then used to investigate feedback effects between the coupled markets. In particular, the influence of the financial market on product development is demonstrated. The types of traders present in the financial market is shown to have a large effect on firm behavior and product development. In a financial mar...

Sallans, Brian; Dorffner, Georg; Karatzoglou, Alexandros

2002-01-01

360

Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (1/3)  

CERN Document Server

Abstract: An introduction to the mathematics and practicalities of market trading and risk management for financial derivatives, the course will focus on examples from the short-term and long term Foreign Exchange (FX) and Interest Rate (IR) derivatives markets. Topics: - Government Bonds and IR Curves - Stochastic FX, Black-Scholes Vanilla FX Options and Martingales - Risk Management and Market Trading for Vanilla FX Options, Market Implied Volatility, Valuation and Risk Management, Market Trading Strategies - Stochastic IR Curves and Implied Volatility, IR Derivatives - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR Vanilla Foreign Exchange (FX) Options - $ Government Bonds, Interest Rate (IR) Curves, Continuous IR - Domestic ($) and Foreign (Yen) Government Bonds, IR curves - Stochastic Spot FX, Forward FX: Ito processes for $ and Yen Investors - Black-Scholes Vanilla FX Options, Connection to Heat/Diffusion Equation - Stochastic Differential Equations with Mart...

CERN. Geneva; Coffey, Brian

2009-01-01

 
 
 
 
361

When Risks and Market Inefficiency Shake Hands – An Empirical Analysis of Financial CDS  

Directory of Open Access Journals (Sweden)

Full Text Available This paper examines the relation between absolute CDS premium and the market efficiency of financial institutions. We test the random-walk hypothesis on 3-years CDS data set using: Q-statistics portmanteau tests by Box and Pierce, variance ratio tests by Lo and MacKinlay, variance ratio tests using ranks and signs by Wright, and wild bootstrapping variance ratio tests by Kim. We find that CDSs with the highest means and the highest standard deviations tend to fail the random-walk hypothesis. These CDSs have the highest potential to trade in an inefficient market with the highst potential for speculation and market manipulation (i.e. by hedge funds. This inefficiency negates the original function of hedging. To reconstitute the function of hedging and to overcome a CDS market that is driven by speculation our research concludes that it is necessary to adopt further regulations for the CDS market.

Florian Meller

2013-03-01

362

The Influence of Capital Market Integration on Production and Market Structures  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper analyzes the effects of increasing capital market integration on production and market structures, trade and capital flows as well as national and global welfare. In order to facilitate the analysis of the integration process, three stages of capital market integration are defined. First, capital is internationally immobile, secondly, capital is partly mobile, and finally perfect capital mobility is considered. The analysis is carried by means of a general equilibrium model of inter...

Koop, Michael J.

2001-01-01

363

Research document no. 24. The integration of european electric markets: from the national markets juxtaposition to the establishment of a regional market  

International Nuclear Information System (INIS)

After the transcription of the electricity directive in national legislations, the European electricity market appears to be a vast set of juxtaposed markets which are weakly connected at the level of their wholesale contracts compartment. Referring to the technological peculiarities of electricity as a commodity, the paper identifies the direct conditions of regional integration of the electricity markets, those which would favour cross-border trade and allow to be near the normal functioning of a regional commodity market. The infrastructure network dependence and the need of a stringent technical coordination necessitate to unify the operation of the different systems and the rules of access, or at the least to come near this unification by strong coordination. A second major condition, which is not fully debated, is the increasing connexion of short-term markets, via daily physical trade and emergence of a European financial market, which could trade various standardised contracts referring to a single hourly spot price, or to prices in various delivery points. To reach such an integration, two paths are possible: either concentration into one single organised power exchange as the Nordic pool, or rules harmonization of the various power exchanges which would be a minimal requirement to allow arbitrations between them. (author)

364

Brand Role in Organization of the Integrated Marketing Communications ???? ?????? ? ??????????? ??????????????? ????????????? ????????????  

Directory of Open Access Journals (Sweden)

Full Text Available Article is devoted to definition of a role of a brand in the organization of the integrated marketing communications. Classification groups of marketing communications which influence a choice of the consumer for a certain trademark are allocated. The most effective types of marketing communications depending on a stage of life cycle of a brand are analyzed.?????? ????????? ??????????? ???? ?????? ? ??????????? ??????????????? ????????????? ????????????. ???????? ????????????????? ?????? ????????????? ????????????, ??????? ????????? ??????? ?? ????? ??????????? ? ?????? ???????????? ???????? ?????. ???????????????? ???????? ??????????? ???? ????????????? ???????????? ? ??????????? ?? ????? ?????????? ????? ??????.

Bykhova Elena N.

2012-06-01

365

An Integrated Architecture for Enhanced Structuring of Mobile Market Place  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper aims at presenting an integrated architecture for mobile marketplace for efficient transaction and marketing using mobile devices and related infrastructure. This architecture deals with different components of mobile marketplace and it considering a new way of integrating different functionalities of mobile market place. .

Amer Ali Sallam; Udgata, Siba K.

2011-01-01

366

An Integrated Architecture for Enhanced Structuring of Mobile Market Place  

Directory of Open Access Journals (Sweden)

Full Text Available This paper aims at presenting an integrated architecture for mobile marketplace for efficient transaction and marketing using mobile devices and related infrastructure. This architecture deals with different components of mobile marketplace and it considering a new way of integrating different functionalities of mobile market place. .

Amer Ali Sallam

2011-02-01

367

The impact of the financial crisis on the Romanian advertising market  

Directory of Open Access Journals (Sweden)

Full Text Available The financial crisis reduces the efficiency of advertising rather than its quantum. Many institutions fail to realize that reducing the quantity of advertisement will not save them from the financial crisis. When companies cut their marketing and advertising budgets, they reduce the exposure of goods and services to the consumers. This is the reason why they see their sales going down significantly. Companies should focus on introducing promotional campaigns and build a long term relationship with their consumers. Throughout the article, the author will present a few favourable solutions to get out of advertising crises.

Radbâ??, A.

2010-12-01

368

Essence and Principles of Realisation of Integrated Marketing Communications ???? ? ???????? ?????????? ??????????????? ????????????? ????????????  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The article states that due to changes of marketing strategies of companies, the issues of application of integrated marketing communications, directed at provision of succession of messages and use of additional mass media means, are not yet properly described in educational and professional literature. All these confirm urgency of the topic, which justified selection of the direction of the study. The article considers and schematically presents a process of integrated marketing communicati...

Kozhukhovskaya Raisa B.

2013-01-01

369

The changing nature of financial intermediation and the financial crisis of 2007-09  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the shadow banking system, which grew out of the securitization of assets and the integration of banking with capital market developments. This trend was most pronounced in the United States, but it also had a profound influence on the global financial system as a whole. In a market-based financial system, banking and capital market developments are inseparable, and funding co...

Adrian, Tobias; Shin, Hyun Song

2010-01-01

370

Developing integrated marketing communication campaign for CoreFinland Ltd  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The aim of this study is to develop marketing communication campaign for a small-sized snacks- producing company CoreFinland Ltd using the integrated approach. The research question defines what kind of marketing activities the case company needs in order to improve the interaction with consumers and raise brand awareness. The first part of the research is a qualitative study of relevant marketing literature that concentrates on comparison between traditional and modern marketing. An...

Kucher, Kristina

2012-01-01

371

The Direct Results of Integrated Marketing  

Science.gov (United States)

Discussions among college and university administrators on improving marketing efforts often revolve around questions about whether the marketing function should be centralized or decentralized. An impetus of these discussions is the increased marketing sophistication of many boards. Many trustees are strongly urging their institutions to apply…

Sevier, Robert A.

2004-01-01

372

Contributions to the financial mathematics of energy markets  

International Nuclear Information System (INIS)

mi-parametric model for fitting the implied volatility surface, incorporating the simplicity of a parametric method and the flexibility of a non-parametric method. Such a model can capture the smile, skew or smirk shape and can deal with limited amount of option price data. A basket option is a convenient market risk management tool for a company whose portfolio consists of several assets. The difficulty in valuing basket options is that the weighted sum of log-normal random variables is not log-normally distributed anymore, which is the key assumption in the famous Black-Scholes model. Moreover, a basket may have negative values (if some basket weights are negative). Hence, the Black-Scholes model cannot be applied. To solve this problem, we introduce a so-called GLN (Generalized log-normal) distribution which we can use to approximate a general basket distribution. We propose the so-called GLN approach to valuation and hedging a basket option. The main attractions of this approach are: it is easy to implement since it provides closed form expressions for the basket options price and the greeks, can deal with basket of several assets with negative weights. The GLN approach also allows to obtain the implied correlation between assets in the basket by inverting the closed formula of the basket option's price. We extend the GLN approach for pricing and hedging of Asian basket options.

373

Financial institutions, financial contagion, and financial crises  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper financial contagion and crises are endogenized through the interactions among corporations, banks and the interbank market. We show that the lack of financial disciplines in a single-bank-financing economy generates informational problems and thus the malfunction of the interbank market, which constitutes a mechanism of financial contagion and may lead to a financial crisis. In contrast, financial disciplines in an economy with diversified financial institutions lead to timel...

Huang, H.; Xu, C.

2000-01-01

374

High-resolution path-integral development of financial options  

CERN Document Server

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic volatility. Daily Eurodollar futures prices and implied volatilities are fit to determine exponents of functional behavior of diffusions using methods of global optimization, Adaptive Simulated Annealing (ASA), to generate tight fits across moving time windows of Eurodollar contracts. These short-time fitted distributions are then developed into long-time distributions using a robust non-Monte Carlo path-integral algorithm, PATHINT, to generate prices and derivatives commonly used by option traders.

Ingber, L

2000-01-01

375

Pros and cons of exposing renewables to electricity market risks-A comparison of the market integration approaches in Germany, Spain, and the UK  

International Nuclear Information System (INIS)

The article examines how renewable electricity (RES-E) producers are integrated into the electricity market under the support legislations and regulatory frameworks of Germany, Spain, and the UK. Focus is on wind power, which faces the highest market integration challenge of all RES-E. The analysis shows that the three countries follow contrasting approaches of exposing RES-E producers to the market risks of forward electricity markets, balancing markets and system planning requirements. Risk exposure is highest in the UK and lowest in Germany. From a policy maker's perspective, there is a trade-off between a 'high risk' and a 'low risk' approach. When RES-E face high market risks, a higher level of financial support is required to stimulate RES-E development than in a low risk environment, but the exposure to market risks may also give an incentive to make efficient use of the respective market, thus limiting the indirect costs to society. The special characteristics of wind energy, however, put natural limits to the response of wind power plants to market prices and locational price signals and will increasingly influence electricity markets and grid infrastructure. These interdependencies should be recognised in the design of RES-E policies and market regulations

376

Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays  

CERN Document Server

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each class of investor is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P500 index, which is characterized by excess kurtosis, volatility clustering and long memory

Garofalo, G; Garofalo, Giuseppe; Sansone, Alessandro

2006-01-01

377

Asset price dynamics in a financial market with heterogeneous trading strategies and time delays  

Science.gov (United States)

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process market information with different time delays. Each class of investors is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P 500 index, which is characterized by excess kurtosis, volatility clustering and long memory.

Sansone, Alessandro; Garofalo, Giuseppe

2007-08-01

378

Efficient Marketing Strategies in the Financial-Banking Field in Crisis Conditions  

Directory of Open Access Journals (Sweden)

Full Text Available Financial-banking marketing will have to radically reform. The specialists in this field will needto give up the classic and aggressive tactics totally not transparent. They will sit in front of the clients withnon sophisticated products dressed up in strident colours. The change of the marketing tactics inside avisionary, unitary strategy will be the key to launch again the loaning on a healthy market. The bankingsystem will have to keep up with Europe, not only for the services offered to clients, but also for themarketing and promotion strategies afferent to the banking segment found in a continuous change during thelast decade. The social marketing will have to leave for always the theory sphere and all the adoptedstrategies must go through social responsibility: precise developing objectives with tangible results over time.

Mitran Paula Cornelia

2009-06-01

379

Application of spectral methods for high-frequency financial data to quantifying states of market participants  

CERN Document Server

Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it is found that the similarities among currency pairs fluctuate with the rotation of the earth, and that the similarities among best quotation rates are associated with those among quotation frequencies. Furthermore it is shown that the Jensen-Shannon spectral divergence is proportional to a mean of the Kullback-Leibler spectral distance both empirically and numerically. It is confirmed that these spectral distances are connected with distributions for behavioral parameters of the market participants from numerical simulation. This concludes that spectral distances of representative quantities of financial markets are related into diversification of behavioral parameters of the market participants.

Sato, Aki-Hiro

2007-01-01

380

THE INDONESIAN STOCK MARKET PERFORMANCE DURING ASIAN ECONOMIC CRISIS AND GLOBAL FINANCIAL CRISIS  

Directory of Open Access Journals (Sweden)

Full Text Available Volatility in the stock market had strongly affected by the movement of publicly or even inside information. The movements of this information will generate the perspectives and expectations of investors in decision-making. How strong is the level of market efficiency in determining the movement of stock market, especially to achieve stability in the stock market during the economic crisis? How effective are the policies of central banks in controlling the movement of the stock market? This study aims to measure the factors that influence changes in the movement of stock price in Indonesian stock market in terms of market efficiency hypothesis. This research also aims to investigate the effectiveness of central bank policy in controlling and stabilizing the movement of stocks in Indonesia. The research will focus on the economic crisis in 1997 and the global crisis in 2008 as case studies. Thepaperutilizesthe vector error-correction model, impulse responses and variance decomposition in measuring the contribution of the factors that affect the movement of stock and determine the effectiveness of central bank policy. The findings are beneficialto central banks, governments, companies and investors in strengthening the Indonesian Stock Market particularly in facing the threat of financial crisis.

MARIA PRAPTININGSIH

2011-04-01

 
 
 
 
381

Analyzing Systemic Risk in CEE Markets in 2007–2008 Financial Crisis  

Directory of Open Access Journals (Sweden)

Full Text Available The purpose of the article is to attempt to answer the question ofhow the crisis affected the banking systems of cee countries, withspecial emphasis on liquidity risk. It seems that this problem hasparticularly affected emerging economies. First, the liquidity riskbegan to exert considerable influence on the functioning bankingsystem and, indirectly, the whole economy. In this paper authorwanted to answer the following questions: What are the channelsof transmission systemic risk on cee markets? What is the role ofbig world banking groups in these financial systems? This conceptis applied to ten Central Eastern European countries, whichexperienced a financial crisis. In the research author hypothesizedabout interconnectedness of liquidity in financial systemsand solvency problems of big banking groups operating in CEE.

Renata Karkowska

2013-01-01

382

Effects of global financial crisis on network structure in a local stock market  

Science.gov (United States)

This study considers the effects of the 2008 global financial crisis on threshold networks of a local Korean financial market around the time of the crisis. Prices of individual stocks belonging to KOSPI 200 (Korea Composite Stock Price Index 200) are considered for three time periods, namely before, during, and after the crisis. Threshold networks are constructed from fully connected cross-correlation networks, and thresholds of cross-correlation coefficients are assigned to obtain threshold networks. At the high threshold, only one large cluster consisting of firms in the financial sector, heavy industry, and construction is observed during the crisis. However, before and after the crisis, there are several fragmented clusters belonging to various sectors. The power law of the degree distribution in threshold networks is observed within the limited range of thresholds. Threshold networks are fatter during the crisis than before or after the crisis. The clustering coefficient of the threshold network follows the power law in the scaling range.

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

2014-08-01

383

Impact of Global Financial Crisis on Stock Market Volatility: Evidence from India  

Directory of Open Access Journals (Sweden)

Full Text Available This paper studies the global financial crisis and the effect of the crisis on stock market volatility by employing the GJR GARCH model. Daily closing price of indices in the National Stock Exchange (NSE and the Mumbai Stock Exchange (BSE from March 1st, 2005 to December 30th 2012 were considered for the analysis. The study covers two periods: pre-crisis (from March 01, 2005 to January, 30 2008 and post-crisis (from February 01, 2008 to December 30, 2012. To demonstrate the influence of crisis on stock returns volatility, a dummy variable was introduced in the GJR GARCH model. It is found that the volatility of mean returns had increased during the post crisis period as compared to the pre-crisis period. The findings also suggest that the recent financial crisis had an adverse impact on mean returns and the volatility in the Indian stock market.

P Sakthivel

2014-04-01

384

An interacting-agent model of financial markets from the viewpoint of Nonextensive statistical mechanics  

CERN Document Server

In this paper we present an interacting-agent model of financial markets. We describe a financial market through an Ising model to formulate the tendency of agents getting influenced by the other agents' investment attitude [8]. We formulate the agents' decision making on investment as the {\\it minimum energy principle for Tsallis entropy [11]}, and demonstrate that the equilibrium probability distribution function of the investment attitude of interacting-agents is the {\\it q-exponential distribution}. We also show that the power-law distribution of volatility of price fluctuations, which is often demonstrated in the empirical studies [17], can be explained naturally by our model that have their origin in the collective crowd behavior of many interacting-agents.

Kaizoji, T

2006-01-01

385

Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process  

Directory of Open Access Journals (Sweden)

Full Text Available We adapt the general conditions of the weak convergence for the sequence of processes with discrete time to the diffusion process towards the weak convergence for the discrete-time models of a financial market to the continuous-time diffusion model. These results generalize a classical scheme of the weak convergence for discrete-time markets to the Black-Scholes model. We give an explicit and direct method of approximation by a recurrent scheme. As an example, an Ornstein-Uhlenbeck process is considered as a limit model.

Yuliya Mishura

2015-01-01

386

Investigating the change of causality in emerging property markets during the financial tsunami  

Science.gov (United States)

In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.

Hui, Eddie C. M.; Chen, Jia

2012-08-01

387

Financial claims and product market competition: An explanation for permitting banks to hold equity in firms  

Directory of Open Access Journals (Sweden)

Full Text Available This paper examines financial claims for lending if banks are permitted to hold equity in productive firms. We demonstrate that in situations where an oligopolistic product market has relatively high competition, e.g., quasi-competitive behavior, equity holding by banks is likely to do little damage. However, where the product market has relatively high collusion, e.g., corporative behavior, equity holding by banks are very unlikely to hold equity in firms. Our findings provide an alternative argument that lifting the Glass-Steagall Act restricting banks from holding equity in firms should give little cause for concern.

Pao Shin-Heng

2008-01-01

388

Market Orientation Critical Success Factors of Malaysian Manufacturers and Its Impact on Financial Performance  

Directory of Open Access Journals (Sweden)

Full Text Available Normal 0 false false false EN-US X-NONE X-NONE MicrosoftInternetExplorer4 /* 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-qformat:yes; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin:0in; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:"Times New Roman"; mso-fareast-theme-font:minor-fareast; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:"Times New Roman"; mso-bidi-theme-font:minor-bidi;} The study examines critical success factors of market orientation in the context of Malaysian firms. Besides, the study also investigates the relationship between market orientation and financial performance. Malaysian manufacturing firms represent the sample of the study. Data was collected using mail questionnaire survey approach. One hundred and fifty eight Malaysian manufacturing organizations participated in this study. Results of this study indicated that there were five critical success factors of market orientation practices in the context of Malaysian manufacturing firms: market focus, market action, market planning, market feedback and market coordination. The results also revealed that market action and market planning were positively related to financial performance. Results of individual relationship between market orientation dimensions and performance of Malaysian manufacturing in this study supported previous studies carried out in other developing countries as not all market orientation variables have a direct effect on organisational performance. The outcome of this study provides vital information from a developing country perspective on the impact of market orientation practices on manufacturing organisations’ performance.

Sany Mokhtar

2009-04-01

389

Monetary equilibria in a cash-in-advance economy with incomplete financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The general equilibrium model with incomplete financial markets (GEI) is extended by adding fiat money, fiscal and monetary policy and a cash-in-advance constraint. The central bank either pegs the interest rate or money supply while the fiscal authority sets a Ricardian or a non-Ricardian fiscal plan. We prove the existence of equilibria in all four scenarios. In Ricardian economies, the conditions required for existence are not more restrictive than in standard GEI. In non- Ricardian econom...

Bai, Jinhui H.; Schwarz, Ingolf

2005-01-01

390

Stability under learning of equilibria in financial markets with supply information  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In a recent paper Ganguli and Yang [2009] demonstrate, that there can exist multiple equilibria in a financial market model á la Grossman and Stiglitz [1980] if traders possess private information regarding the supply of the risky asset. The additional equilibria differ in some important respects fromthe usual equilibrium of the GrossmanStiglitz type which still exists in this model. This note shows that these additional equilibria are always unstable under learning. This is true for both ed...

Heinemann, Maik

2009-01-01

391

The nuclear industry and its markets in Europe. 1996, strategic and financial future prospects. Synthesis  

International Nuclear Information System (INIS)

This synthesis report assesses the strategic and financial future prospects of the nuclear industry. It includes in particular the future prospects of the nuclear energy demand increase in the world and compares the nuclear power production with the electric power production due to other energy sources. The different markets of the nuclear industry are detailed. At last are given the main European manufacturers of the nuclear sector. (O.M.)

392

Private Investment, Portfolio Choice and Financialization of Real Sectors in Emerging Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Using micro level panel data, we analyze the impacts of rates of return gap between fixed and financial investments under uncertainty on real investment performance in three emerging markets, Argentina, Mexico and Turkey. Employing a portfolio choice model to explain the low fixed investment rates in developing countries during the 1990s, we suggest that rather than investing on risky and irreversible long term fixed investment projects, firms may choose to invest on reversible short term fin...

Demir, Firat

2007-01-01

393

Market integration of Virtual Power Plants  

DEFF Research Database (Denmark)

We consider a direct control Virtual Power Plant, which is given the task of maximizing the profit of a portfolio of flexible consumers by trading flexibility in Energy Markets. Spot price optimization has been quite intensively researched in Smart Grid literature lately. In this work, however, we develop a three stage market model, which includes Day-Ahead (Spot), Intra-Day and Regulating Power Markets. This allows us to test the hypothesis that the Virtual Power Plant can generate additional profit by trading across several markets. We find that even though profits do increase as more markets are penetrated, the size of the profit is strongly dependent on the type of flexibility considered. We also find that penetrating several markets makes profits surprisingly robust to spot price prediction errors.

Petersen, Mette Kirschmeyer; Hansen, Lars Henrik

2013-01-01

394

L’innovation et les marchés financiers aux États-Unis depuis les années 1970 : une approche contrastée Financial Innovation in the U.S.: Playing with the Markets?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

It seems particularly relevant to talk about financial innovation in the United States because this country can be considered as a major engine of innovation given the size of the financial markets and the wide variety of financial products available. Financial innovation is analysed through the lens of a genetic mutation which turns an existing financial product into a mutant under certain conditions [Merton Miller's 'seed beneath the snow']. The conditions which favour financial innovation ...

Christine Zumello

2009-01-01

395

L’innovation et les marchés financiers aux États-Unis depuis les années 1970 : une approche contrastée Financial Innovation in the U.S.: Playing with the Markets?  

Directory of Open Access Journals (Sweden)

Full Text Available It seems particularly relevant to talk about financial innovation in the United States because this country can be considered as a major engine of innovation given the size of the financial markets and the wide variety of financial products available. Financial innovation is analysed through the lens of a genetic mutation which turns an existing financial product into a mutant under certain conditions [Merton Miller's 'seed beneath the snow']. The conditions which favour financial innovation as well as the role of regulation are considered in this paper. An insight into the potential negative market spin that can spring from financial innovation is also offered.

Christine Zumello

2009-10-01

396

Educational Blogging: Integrating Technology into Marketing Experience  

Science.gov (United States)

The major challenge of marketing education is that the discipline continually reinvents itself. Marketing approaches and practices once new rapidly become old and many texts grow outdated in a short period of time, increasing the pressure on the instructors to provide the students with the latest knowledge. The changing environment of business…

Kaplan, Melike Demirbag; Piskin, Burak; Bol, Beste

2010-01-01

397

Financial links between the stock market and the debt securities market  

Directory of Open Access Journals (Sweden)

Full Text Available The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identi?cation through heteroskedasticity. Both coef?cients were found to be negative which is consistent with the notion that, given an opportunity cost of capital, the returns move in opposite directions in order to promote the equilibrium of the capital ?ow. However, only the coef?cient that measures the impact of bond market over stock markets was signi?cantly different from zero. Thus, the intensity of this relationship also depends on the relative size of the markets under study.

Francisco Eduardo de Luna e Almeida Santos

2008-07-01

398

Are Investors Reluctant to Realize Their Losses during Financial Crises? Evidence form Taiwanese and Chinese Stock Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper utilizes the disposition coefficient to verify whether disposition effect exhibits in Taiwan and Chinese stock markets during the periods of financial crises, and to discuss the differences of the disposition effect between appreciation and depreciation periods. The empirical results show that during the 1997 Asian financial crisis, disposition effect significantly exhibits in the both markets, but during the 2008 global financial crisis, disposition effect only exhibits in Chinese stock market. Nevertheless, there are no significant differences of disposition effect between A-shares and B-shares in Chinese stock market. This paper further concludes that disposition effect would significantly exist in appreciation period, but not in depreciation period no matter when the financial crisis comes into being.

Huei-Wen Lin

2012-05-01

399

Bank rescues and bailout expectations: the erosion of market discipline during the financial crisis : [version august 2013  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We show that market discipline, defined as the extent to which firm specific risk characteristics are reflected in market prices, eroded during the recent financial crisis in 2008. We design a novel test of changes in market discipline based on the relation between firm specific risk characteristics and debt-to-equity hedge ratios. We find that market discipline already weakened after the rescue of Bear Stearns before disappearing almost entirely after the failure of Lehman Brothers. The effe...

Hett, Florian; Schmidt, Alexander

2013-01-01

400

Similarity, Clustering, and Scaling Analyses for the Foreign Exchange Market ---Comprehensive Analysis on States of Market Participants with High-Frequency Financial Data---  

Science.gov (United States)

This article proposes mathematical methods to quantify states of marketparticipants in the foreign exchange market (FX market) and conduct comprehensive analysis on behavior of market participants by means of high-frequency financial data. Based on econophysics tools and perspectives we study similarity measures for both rate movements and quotation activities among various currency pairs. We perform also clustering analysis on market states for observation days, and find scaling relationship between mean values of quotation activities and their standard deviations. Using these mathematical methods we can visualize states of the FX market comprehensively. Finally we conclude that states of market participants temporally vary due to both external and internal factors.

Sato, A.; Sakai, H.; Nishimura, M.; Holyst, J. A.

 
 
 
 
401

Short-term versus long-term market opportunities and financial constraints  

International Nuclear Information System (INIS)

This presentation discusses gas developments in Europe, the European Gas Directive, short term vs. long term, and Snam's new challenges. The European gas market is characterized by (1) The role of gas in meeting the demand for energy, which varies greatly from one country to another, (2) A growing market, (3) Decreasing role of domestic production, and (4) Increasing imports. Within the European Union, the Gas Directive aims to transform single national markets into one integrated European market by introducing third party access to the network for eligible clients as a means of increasing the competition between operators. The Gas Directive would appear to modify the form of the market rather than its size, and in particular the sharing of responsibility and risk among operators. The market in the future will offer operators the possibility to exploit opportunities deriving mainly from demands for increased flexibility. Opportunities linked to entrepreneurial initiatives require long-term investments characteristic of the gas business. Risks and opportunities must be balanced evenly between different operators. If everyone takes on their own risks and responsibilities, this means a wider distribution of the risks of long-term vs. short-term, currently borne by the gas companies that are integrated, into a market that tends to favour the short-term. A gradual liberalization process should allow incumbent operators to gradually diversify their activities in new gas market areas or enter new business activities. They could move beyond their local and European boundaries in pursuit of an international dimension. The market will have to make the transition from the national to the European dimension: as an example, Snam covers 90% of the Italian market, but its share of an integrated European market will be about 15%

402

Real-Time Enterprises’Financial Information Integration Based on the Internet Environment  

Digital Repository Infrastructure Vision for European Research (DRIVER)

With the development of IT, Internet has been applied to every field of enterprises’financial information management. The computer network and the database technologies are the basis of the achievement of the RTE. The RTE integrates the financial information of enterprise and utterly reconstruct the business process. Moreover, it converts the key part of financial process from measurement to management and provides accurate data for executives’decisions of the enterprise.

Qiwen Jiang; Dongbing Cao

2009-01-01

403

Probe into Reasons of Financial & Statistical Accountings Integration and Discussion of Conception  

Digital Repository Infrastructure Vision for European Research (DRIVER)

As national economy’s accounting system improves and perfects day by day, financial accounting and statistical accounting, two of the three major accounting components, communicate with each other more and more tightly. To probe into how to strengthen the communication between financial and statistical accountings and seek for the establishment of integrated pattern for financial and statistical accountings will largely improve economic accounting efficiency, reduce economic account...

Huang, Hong-jie; Li, Kan-wei

2010-01-01

404

THE SAVING AND INVESTING CONSUMER BEHAVIOR ANALYSES ON THE ROMANIAN FINANCIAL MARKET.  

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Full Text Available This article aims to provide an analysis of the saving and investing consumer behavior, that where researched in a time of changes after a severe financial crisis. The analyses purpose was to determine the reasons, or the way that the reasons would change, for buying different financial instruments, and also the way that the consumer perceives investing and saving. Different demographical characteristics and their influence on the financial behavior of the consumers were also studied. The investor behavior on the developed markets is being studied carefully for many years. The need to create financial products for each customer type, such as Generation Y, intensely investigated by various research teams, in different ways, resulting in different characteristics such as general proclivity to the marketing, advertising, consumerism, branding, environmental issues, fashion and even anxiety, begins to be felt also on the Romanian market. So, to better understand the actual degree of knowledge that the consumer have on the concepts of saving and investing and on that activities involved into this concepts is a very important step of the research. The research method is a survey based on a sample chosen with the simple random method undertaken in 2010. There were gathered 480 questionnaires. Research is not a statistical nationwide representative because of the lack of the financial and human capabilities. The developed questionnaire summarized 22 questions, in order to illustrate the way that saving and investing were seen, to see actual investing behavior and to measure the degree of trust given to the most known investing means. We expect that the methods of 'investing' that are most known and used to be bank deposits because in Romania the risk appetite is a low one. The people's appetite for saving activities we expect to be motivated by the need for purchasing consumer goods, and eventually buying a car or a house but not the desire to accumulate capital by making real investments such as those in financial assets. An important factor for the decision to invest should be a higher income and also the family structure. Study could be interesting for researchers because it offers an opportunity to view an analysis of the customer behavior on the financial market. The research instrument is complex, the mix and the large number of question should provide an accurate image of the way the Romanian consumer of financial products think and act on this market. The study also helps to understand consumers' needs for practitioners, because this field is not a largely researched one. The originality of this article is given by the manner in which the questionnaire was made. The battery of questions, including a series of likert question, it should provide an accurate mirror of the know-how the Romanian consumer of financial products actually possess, the reasons on with their behavior is based on, and what are the most important characteristics that influence the purchase behavior.

Tanase (Rosca Laura Daniela

2011-12-01

405

Financial, Environmental and Energy Analysis of Various Micro-CHP Systems within the UK Domestic Market  

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Full Text Available Widespread uptake of decentralized energy production has the potential to reduce carbon emissions whilst making the energy market more affordable, sustainable and robust. The application of micro-CHP systems in the domestic market has the potential to alleviate pressure on the national grid by displacing electrical and heating demands, and also through the export of excess electricity. Initial market support for this has been shown by the UK’s Feed-in-tariff scheme which is currently incentivizing efficient micro-CHP systems (<2kW by providing a financial return for every unit of electrical energy produced and further reward for every unit exported to the grid. It is the aim of this research to attempt to identify those m-CHP systems available on the market and to quantify the expected benefits in terms of cost, CO2 savings and overall energy efficiency when feeding a typical domestic property in the UK.In an attempt to maximize financial income from the FIT scheme an operating strategy of constant supply, at the maximum rated output, is compared against the conventional heat led approach most often used in CHP applications. Overall results indicate that the heat-to-power ratio for a given m-CHP has a direct impact on all of the performance factors being measured and also determines the preferred operating strategy that should be followed.

T. S. Doyle

2013-04-01

406

Dynamics of real financial markets: A reply to Frank’s comment  

Science.gov (United States)

This reply addresses the assertion in the comment of T.D. Frank [T.D. Frank, Physica A 387 (2008) 773] on our paper [K.E. Bassler, G.H. Gunaratne, J.L. McCauley, Physica A 369 (2006) 343] that the approach to modeling financial markets that we propose is unrealistic. In our paper, we considered variable diffusion processes that have a diffusion coefficient that varies with both position (return in finance) and time, and used them to show that measuring a Hurst exponent H?1/2 in a time series does not necessarily imply correlations between increments. We also proposed that such a variable diffusion process is the underlying stochastic process governing the dynamics of financial markets. Frank asserts that this is unrealistic because variable diffusion processes with H?1/2 are driven with a “force” that varies in time as a power law. He claims, instead, that markets obey nonextensive thermostatistics. We discuss evidence from a recently published empirical study of the Euro-Dollar exchange rate [K.E. Bassler, J.L. McCauley, G.H. Gunaratne, PNAS 104 (2007) 17287] that shows that the market can be described with a variable diffusion process, but is inconsistent with nonextensive thermostatistics. This evidence demonstrates that our modeling approach is realistic and accurate.

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L.

2008-05-01

407

Strategies used as spectroscopy of financial markets reveal new stylized facts  

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We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising l...

Zhou, Wei-Xing; Chen, Wei; Sornette, Didier

2011-01-01

408

Multifractality and thermodynamics on financial markets - Continuous-Time Random Walk approach  

International Nuclear Information System (INIS)

We thoroughly study the thermodynamic properties of the anomalous multifractal structure of random interevent (or intertransaction) times for futures contracts by using Continuous-Time Random Walk (CTRW) formalism of Montroll-Weiss, as well as Scher and Lax. Although the approach is quite general (and can be applied to any inter-human communication having nontrivial priority) we consider it in the context of the financial market where heterogeneous agent activities can occur within a wide spectrum of time scales. We found as the main, general consequence that within this extended formalism the scaling power-dependent partition function, Z(q), diverges for any negative scaling powers q (which justify the name anomalous), while for the positive ones it possesses scaling with exponent ?(q) which is a non-analytic (singular) function of q. In the definition of the partition function we used the pausing-time distribution as the central one, which has the form of a convolution (or superstatistics used, e.g., for the description of turbulence as well as a speculative market). Its integral kernel is given by the stretched exponential distribution (often used in disordered systems). This is an intermediate one between the exponential distribution assumed in the original version of the CTRW formalism (for description of the transient photocurrent measured in amorphous glossy material) and the Gaussian one sometimes used in this context (e.g. for discussion of hydrogen in amorp(e.g. for discussion of hydrogen in amorphous metals and for aging effects in glasses). A more refined but heuristic analytical prediction was also considered. We argue that this superstatistics defines a kind of non-geometric random multiplicative cascadic process (while the geometric one was used, e.g., in the fully developed turbulence) which says how the investor activities are spreading among different scales ruled by fluctuations. As the most important result we found (by using the saddle-point approximation) the third- and higher-order phase transitions which can be roughly interpreted as transitions between the phase in which high frequency trading is most visible and the phase defined by the low frequency trading; the order of the phase transition depends directly on exponent ? defining the stretched exponential distribution. (authors)

409

Essence and Principles of Realisation of Integrated Marketing Communications ???? ? ???????? ?????????? ??????????????? ????????????? ????????????  

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Full Text Available The article states that due to changes of marketing strategies of companies, the issues of application of integrated marketing communications, directed at provision of succession of messages and use of additional mass media means, are not yet properly described in educational and professional literature. All these confirm urgency of the topic, which justified selection of the direction of the study. The article considers and schematically presents a process of integrated marketing communications (IMC. It specifies main factors that influence the process of introduction of the IMC concept and also main factors that are solved in the process of their use. It is established that the synergy plays an important role in realisation of the strategy of integrated marketing communications. Its essence is in common application of several marketing communication measures. It is established that the main infological principles of IMC are integration of choice, integration of positioning and integration of schedule. The article analyses their essence and provides a schematic model. It offers improvement of some elements of integrated marketing communications by means of complex use of organisational and economic, advertisement and information, and interpersonal and communicative measures.? ????? ? ??????????? ????????????? ????????? ???????????, ??????? ?????????? ??????????????? ????????????? ????????????, ???????????? ?? ??????????? ?????????????????? ????????? ? ????????????? ?????????????? ??????? ???????? ??????????, ? ????????? ????? ??? ???????????? ??????? ? ??????????????? ? ???????????????? ??????????. ??? ??? ???????????? ???????????? ????, ? ?????? ?????????? ????? ??????????? ????????????. ? ?????? ?????????? ? ???????????? ??????????? ??????? ??????????????? ????????????? ???????????? (???. ???????? ???????? ???????, ???????? ?? ??????? ????????? ????????? ???, ? ????? ???????? ????????, ??????? ???????? ? ???????? ?? ?????????????. ??????????, ??? ?????? ???? ??? ?????????? ????????? ??????????????? ????????????? ???????????? ?????? ?????? ????????. ??? ???????? ??????????? ? ?????????? ?????????? ?????????? ????????????? ???????????????? ???????????. ???????????, ??? ????????? ??????????????? ?????????? ??????????????? ????????????? ???????????? (??? ???????? ?????????? ??????, ?????????? ???????????????? ? ?????????? ?????-???????. ???????????????? ?? ???????? ? ?????????? ????????????? ??????. ? ?????? ?????????? ?????????????????? ????????? ????????? ??????????????? ????????????? ???????????? ????? ???????????? ????????????? ??????????????-?????????????, ????????-?????????????? ? ?????????????-??????????????? ???????????.

Kozhukhovskaya Raisa B.

2013-03-01

410

Corporate Advertising Web Sites as Integrated Relationship Marketing Media  

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Over the last decade corporate advertising web sites have evolved from simple advertising content carriers to advanced interactive multimedia applications that incorporate multiple promotional, advertising and communication strategies. This study focuses on their role as integrated relationship marketing mediums. Specifically, communication, feedback and customer service are examine as key relationship marketing policies of this unique advertising format. Data from 160 undergraduate and gradu...

Fotini Patsioura; Maro Vlachopoulou; Eleonora-Ioulia Malama

2008-01-01

411

A study of a diffusive model of asset returns and an empirical analysis of financial markets  

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A diffusive model for market dynamics is studied and the predictions of the model are compared to real financial markets. The model has a non-constant diffusion coefficient which depends both on the asset value and the time. A general solution for the distribution of returns is obtained and shown to match the results of computer simulations for two simple cases, piecewise linear and quadratic diffusion. The effects of discreteness in the market dynamics on the model are also studied. For the quadratic diffusion case, a type of phase transition leading to fat tails is observed as the discrete distribution approaches the continuum limit. It is also found that the model captures some of the empirical stylized facts observed in real markets, including fat-tails and scaling behavior in the distribution of returns. An analysis of empirical data for the EUR/USD currency exchange rate and the S&P 500 index is performed. Both markets show time scaling behavior consistent with a value of 1/2 for the Hurst exponent. Finally, the results show that the distribution of returns for the two markets is well fitted by the model, and the corresponding empirical diffusion coefficients are determined.

Alejandro Quinones, Angel Luis

412

Financial market volatility and contagion effect: A copula-multifractal volatility approach  

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In this paper, we propose a new approach based on the multifractal volatility method (MFV) to study the contagion effect between the U.S. and Chinese stock markets. From recent studies, which reveal that multifractal characteristics exist in both developed and emerging financial markets, according to the econophysics literature we could draw conclusions as follows: Firstly, we estimate volatility using the multifractal volatility method, and find out that the MFV method performs best among other volatility models, such as GARCH-type and realized volatility models. Secondly, we analyze the tail dependence structure between the U.S. and Chinese stock market. The estimated static copula results for the entire period show that the SJC copula performs best, indicating asymmetric characteristics of the tail dependence structure. The estimated dynamic copula results show that the time-varying t copula achieves the best performance, which means the symmetry dynamic t copula is also a good choice, for it is easy to estimate and is able to depict both the upper and lower tail dependence structure. Finally, with the results of the previous two steps, we analyze the contagion effect between the U.S. and Chinese stock markets during the subprime mortgage crisis. The empirical results show that the subprime mortgage crisis started in the U.S. and that its stock market has had an obvious contagion effect on the Chinese stock market. Our empirical results should/might be useful for investors allocating their portfolios.

Chen, Wang; Wei, Yu; Lang, Qiaoqi; Lin, Yu; Liu, Maojuan

2014-03-01

413

Energy markets and European Integration: The World Energy Council role  

International Nuclear Information System (INIS)

Energy market reform brings many benefits. Central and East Europe's challenge is to establish such markets when, at list in the case of electricity, the established market economies are still wrestling with how to apply competitive principles to this market. Design challenges include the natural monopoly elements within the electricity supply chain and the fact that it is, in practical terms, as essential social service. There is no one single model suitable to all markets at all stages of development. At the same time, there is a need for sustainable energy pricing, which means prices should cover all costs, with transparent and time-limited subsidies bringing the afford ability gap. Cross-border integration extends the benefits available from market reform by overcoming constraints at the national level and by broadening the geographical limits of a market. The World Energy Council works with its Central and East European members to analyse, understand and meet these challenges. (author)

414

Effects of top management involvement in integrated marketing communications  

Digital Repository Infrastructure Vision for European Research (DRIVER)

There is scarce empirical evidence in the academic literature of how top management involvement influences the degree of integrated marketing communications. At the same time, some authors believe that this relationship should be explored more extensively.In this paper we present one possible approach to investigating the relationship between top management involvement and the degree of integrated marketing communications. Our research established that a greater involvement of top management ...

Nina Ho?evar; Vesna Žabkar; Damijan Mumel

2007-01-01

415

Information-theoretic approach to lead-lag effect on financial markets  

Science.gov (United States)

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both types of analysis are concentrated mostly on Pearson's correlation coefficient and consequently intraday lead-lag relationships (where one of the variables in a pair is time-lagged) are also associated with them. Under the Efficient-Market Hypothesis such relationships are not possible as all information is embedded in the prices, but in real markets we find such dependencies. In this paper we analyse lead-lag relationships of financial instruments and extend known methodology by using mutual information instead of Pearson's correlation coefficient. Mutual information is not only a more general measure, sensitive to non-linear dependencies, but also can lead to a simpler procedure of statistical validation of links between financial instruments. We analyse lagged relationships using New York Stock Exchange 100 data not only on an intraday level, but also for daily stock returns, which have usually been ignored.

Fiedor, Pawe?

2014-08-01

416

48 CFR 252.209-7007 - Prohibited Financial Interests for Lead System Integrators.  

Science.gov (United States)

...have any direct financial interest in the development or construction of any individual system or element of any system of systems while performing lead system integrator functions in the acquisition of a major system by the Department of...

2010-10-01

417

Credit Legal System Research of Chinese Market Economy – Based on the Financial Crisis Brought by the United States’ Subprime Crisis  

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Full Text Available The financial crisis brought by the United States’ subprime crisis is in fact serious problems occurred in financial debt credit basis of the financial market. This paper particularly investigates credit, explores current status of the credit legal system in Chinese market economy, analyzes the United States’ credit legal system and its important inspiration to China, and then proposes some ideas in constructing Chinese credit legal system and suggestions for its perfection in order to contribute to Chinese credit legal system research and legal practice.Key words: Credit; Credit crisis; Protection of rights; Risk prevention

Haibin YU

2012-12-01

418

Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets  

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Recent financial crises have shown the importance of determining the directionality of the influence between financial assets in order to identify the origin of market instabilities. Here, we analyze the correlation between Japan’s Nikkei stock average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The asymmetric feature of the metric reveals which asset is more influential than the other. As a result, this method allows us to unveil the directionality of the correlation effect, which could not be observed from the standard correlation analysis. Furthermore, we present a theoretical model that reproduces the results observed in empirical analysis.

Ochiai, Tomoshiro; Nacher, Jose C.

2014-01-01

419

Organization of Marketing Management of Integrated Corporate Structures Activity ??????????? ?????????????? ?????????? ????????????? ??????????????? ????????????? ????????  

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Full Text Available The article defines the main directions of transformation of the system of integrated corporate structures activities on the basis of marketing. It defines the specific principles of marketing management organization and gives the components of the corresponding to them transformation of paradigm section of marketing management. The peculiarity of the propositions is the orientation of the management process and contours of feedbacks at proactive creation of consumer values which in its turn is viewed as the main backbone factor for emergence and adjustment of vital activity parameters of the integrated formation.? ?????? ?????????? ???????? ??????????? ????????????????? ??????? ?????????? ????????????? ??????????????? ????????????? ???????? ?? ??????? ??????????. ?????????? ????????????? ???????? ??????????? ?????????????? ?????????? ? ????????? ???????????? ??????????????? ?? ????????????? ??????????????? ????? ?????????????? ??????????. ???????????? ??????????? ???????? ?????????????? ??????????????? ???????? ? ???????? ???????? ?????? ?? ?????????? ???????? ??????????????? ????????, ???????, ? ???? ???????, ??????????????? ??? ??????? ????????????????? ?????? ??? ????????????? ? ??????????????? ?????????? ????????????????? ???????????????? ???????????.

Goncharenko Natalia Grigorievna

2012-05-01

420

FINANCIAL-ACCOUNTING INFORMATION: A GENUINE FACTOR OF POWER IN THE CAPITAL MARKET INVESTMENT GAIN-LOSS RATIO  

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Full Text Available The main objective of accounting is to provide information to ensure a true and fair view of the financial position, financial performance and changes in financial position of the entity, for the use of such information by internal and external users, in order to sustain economic decisions. To achieve this objective, it is necessary that current accounting work to periodically synthesize generalized information that would be relevant to characterize the activity carried out by an entity within a certain time period. Globalization of capital markets has resulted in the need for consistent information, becoming stronger, understanding and comparing financial information to various corporations.

BONI MIHAELA STR?OANU

2014-05-01