WorldWideScience
1

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

2

Recent policies for financial market integration in Indonesia  

OpenAIRE

In most developing countries financial markets are still highly fragmented and dualistic (Nunnenkamp 1985, p. 20). This is considered as a hindering factor to economic development. The rationale behind this is the view shared by most economists that a higher level of financial integration c.p. lowers intermediation costs, encourages competition and improves the allocation of loanable funds throughout the economy.

Sell, Friedrich L.

1987-01-01

3

Financial Market Integration of South Asian Countries: Panel Data Analysis  

OpenAIRE

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

Hasan Muhammad Mohsin; Rivers, Patrick A.

2011-01-01

4

How integrated are the European retail financial markets? A cointegration analysis  

OpenAIRE

With the introduction of the euro, a single European money market has emerged. Further wholesale financial markets are considered to be highly integrated within the European Union. However, integration in retail financial markets is less advanced. For measuring financial market integration this distinction between wholesale and retail markets becomes crucial. There is a wide literature relating to integration of wholesale financial markets but just a few studies that try to measure integratio...

Heinemann, Friedrich; Schu?ler, Martin

2002-01-01

5

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

OpenAIRE

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

6

Financial Market Integration in a Wider European Union  

OpenAIRE

EU enlargement rests on the proven success of European unification. European monetary integration and the introduction of euro are probably the best examples of integration. The EU financial sector has been going through a large restructuring program in the last decades. There was a continuous wave of deregulation since the late 1980s, when the Single Market programme with minimal harmonisation and home country control was implemented in successive periods for banking, insurance and the secur...

Stirbu, Corneliu

2004-01-01

7

Protecting Financial Market Integrity: Roles and Responsibilities of Auditors  

OpenAIRE

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

Diekman, P. A. M.

2008-01-01

8

Integration of financial markets and national price levels: the role of exchange rate volatility  

OpenAIRE

How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets. It is shown that the effect of financial integration, i.e. moving from segmented to complete asset markets, is regime-dependent. Under managed exchange rates, financial integration raises the national price level. Under floating exchange rates, however, financial integration lo...

Hoffmann, Mathias; Tillmann, Peter

2008-01-01

9

Financial markets  

OpenAIRE

This paper provides a brief exposition of financial markets in Post Keynesian economics. Inspired by John Maynard Keynes's path-breaking insights into the role of liquidity and finance in monetary production economies Post Keynesian economics offers a refreshing alternative to mainstream (mis)conceptions in this area. We highlight the importance of liquidity - as provided by the financial system - to the proper functioning of real world economies under fundamental uncertainty, contrasting sta...

Bibow, Jo?rg

2011-01-01

10

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

OpenAIRE

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

11

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

OpenAIRE

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

Geesun Lee; Jinho Jeong

2014-01-01

12

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

13

Financial market crisis and financial market channel  

OpenAIRE

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

Braasch, Bernd

2010-01-01

14

Financial and real integration  

OpenAIRE

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

Baier, Scott L.; Dwyer, Gerald P.

2008-01-01

15

Financial Integration at Times of Financial Instability  

OpenAIRE

This article analyzes the phenomenon of financial integration on both the theoretical and empirical levels, focusing primarily on assessing the impacts of the current financial crisis. In the theoretical section writers look at the definition of financial integration and summarize the benefits and costs associated with this process. The subsequent empirical section provides an analysis of the speed and level of integration of the Czech financial market and the markets of selected inflation-ta...

Koma?rek, Lubos?; Koma?rkova?, Zlatus?e

2014-01-01

16

EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES  

OpenAIRE

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

17

The determinants of increasing equity market comovement: economic or financial integration?  

OpenAIRE

Abstract This paper investigates to what extent the substantial increase in exposures of local European equity market returns to global shocks is mainly due to a convergence in cash flows (“economic integration”), to a convergence in discount rates (“financial integration”), or to both. We find that this increased exposure is nearly entirely due to increasing discount-rate betas. This finding is robust to alternative ways of calculating discount-rate and cash-flow shocks.

Baele, Lieven; Soriano, Pilar

2010-01-01

18

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

19

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

Directory of Open Access Journals (Sweden)

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

20

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

Directory of Open Access Journals (Sweden)

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

21

Financial Integration and the Cost of Capital: A Study of the Brazilian Equity Market  

Directory of Open Access Journals (Sweden)

Full Text Available This study analyzes the effect of financial integration on the cost of equity capital of Brazilian listed firms. According to the relevant literature, foreign capital flows are expected to increase stock returns, the so-called revaluation effect. For standard valuation models, higher stock prices imply a lower cost of equity capital, as expected returns fall as stock prices rise. Two analyses are conducted: first, a statistical analysis based on a partial general equilibrium model as suggested by Henry (2003 and Stulz (1999 provides insights that the cost of equity capital in Brazil reduced following the integration with the Global equity market in the period between 1996 and 2013, as expected returns decreased over time. In the second part of the study, a regression analysis is conducted, by estimating the effect of foreign portfolio capital flows on the Brazilian stock market returns using a Global CAPM with an additional parameter for foreign portfolio capital flows. The results of the regression analysis provide evidence that foreign portfolio capital flows are associated to an increase in excess returns on the Brazilian stock market (after controlling for systematic risk. Also, in a second regression estimated between the dividend yield (a direct measure of the cost of equity and net foreign portfolio capitals, the partial effect of net foreign capitals on the Dividend Yield was negative. These findings are in line with the revaluation effect hypothesis and also support the argument that financial globalization reduces the cost of capital for a previously segmented equity market.

Tiago Loncan

2015-02-01

22

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

23

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

24

Financial Market Integration in Asia: Empirical Analysis on Selected Asian Stock Index Futures Markets  

OpenAIRE

This study investigates the long run and short run relationships among selected Asian stock index futures markets namely (Malaysia, Singapore, Taiwan and Hong Kong). Johansen`s cointegration test is used to study the long run relationships. The study found the existence of a long run equilibrium relationship among the four stock index futures markets. Hence, the potential for risk reduction from diversifying across these markets is minimal for investors with long holding periods. However, the...

Geeta Krishnasamy; Solucis Santhapparaj, A.; Malarvizhi, C. A.

2006-01-01

25

Financial Market Integration in Asia: Empirical Analysis on Selected Asian Stock Index Futures Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This study investigates the long run and short run relationships among selected Asian stock index futures markets namely (Malaysia, Singapore, Taiwan and Hong Kong. Johansen`s cointegration test is used to study the long run relationships. The study found the existence of a long run equilibrium relationship among the four stock index futures markets. Hence, the potential for risk reduction from diversifying across these markets is minimal for investors with long holding periods. However, the error correction term and impulse response analysis revealed that when there is disequilibrium in the short run, the stock index futures series exhibit slow convergence towards the long run equilibrium. This posits that there is avenue for the short-term investors to diversify portfolio risks effectively across these markets. The Taiwan stock index futures market plays the leading role in driving the movements of the other markets towards the long run equilibrium. This posits that the Taiwan stock index futures market can be used to predict the movements of the other three markets (namely, Malaysia, Singapore and Hong Kong.

Geeta Krishnasamy

2006-01-01

26

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

27

Who Leads Financial Markets?  

OpenAIRE

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and provides a solution to the simultaneity problem of identifying the contemporaneous impacts between the daily variables. Structural mean equations can therefore give answers to the question of financial mar...

Weber, Enzo

2007-01-01

28

Financial Integration and Capital Accumulation  

OpenAIRE

How does financial integration impact capital accumulation when countries differ in the efficacy of internal financial markets? We examine this question within a two-country incompletemarkets model featuring a specific financial friction: agents face uninsurable idiosyncratic risk in their investment, or entrepreneurial, opportunities. Under financial autarchy, the South (the country with the least developed risk-sharing possibilities) features a higher precautionary motive for...

Panousi, Vasia

2009-01-01

29

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

30

Financial Services and Emerging Markets  

OpenAIRE

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

Karreman, B.

2011-01-01

31

Social Knowledge for Financial Markets  

OpenAIRE

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 finan...

Gertraude Mikl-Horke

2010-01-01

32

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

33

Financial markets and stochastic growth  

OpenAIRE

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

Schenk-hoppe?, Klaus Reiner; Mirman, Leonard J.

2000-01-01

34

Financial intermediaries, markets and growth  

OpenAIRE

We build a model in which financial intermediaries provide insurance to households against a liquidity shock. Households can also invest directly on a financial market if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. This can be beneficial because intermediaries invest less in the productive technology when they provide more risk-sharing. Our model predicts that bank-oriented economies should grow slower than more market-oriented ec...

Fecht, Falko; Huang, Kevin; Martin, Antoine

2005-01-01

35

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

36

Energy economics and financial markets  

Energy Technology Data Exchange (ETDEWEB)

Deals with the upcoming theme of energy issues. Links energy issues with economics and financial markets. Combines global focus with specific regional and local examples. Unites theoretical insights with timely data and practical insights. Specialized author team from all over the world. Energy issues feature frequently in the economic and financial press. Specific examples of topical energy issues come from around the globe and often concern economics and finance. The importance of energy production, consumption and trade raises fundamental economic issues that impact the global economy and financial markets. This volume presents research on energy economics and financial markets related to the themes of supply and demand, environmental impact and renewables, energy derivatives trading, and finance and energy. The contributions by experts in their fields take a global perspective, as well as presenting cases from various countries and continents.

Dorsman, Andre [Vrije Univ. Amsterdam (Netherlands). Dept. of Finance; Simpson, John L. [Curtin Univ., Perth, WA (Australia). School of Economics and Finance; Westerman, Wim (eds.) [Groningen Univ. (Netherlands). Faculty of Economics and Business Economics, Econometrics and Finance

2013-10-01

37

Financial Intermediation, Markets, and Alternative Financial Sectors  

OpenAIRE

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

38

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

39

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

OpenAIRE

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

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

2014-01-01

40

Collective behavior in financial markets  

Science.gov (United States)

The financial market is an example of a complex system characterized by a highly intricate organization and the emergence of collective behavior. In this paper, this emergent dynamics in the financial market is quantified by using concepts of network synchronization. We consider networks constructed by the correlation matrix of asset returns and study the time evolution of the phase coherence among stock prices. It is verified that during a financial crisis a synchronous state emerges in the system, defining the market's direction. Furthermore, the paper proposes a statistical regression model able to identify the topological features that mostly influence such an emergence. The coefficients of the proposed model indicate that the average shortest path length is the measurement most related to network synchronization. Therefore, during an economic crisis, the stock prices present a similar evolution, which tends to shorten the distances between stocks indicating a collective dynamics.

Dal'Maso Peron, T. K.; Rodrigues, F. A.

2011-11-01

41

Agricultural commodities and financial markets  

OpenAIRE

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

Modena, Matteo

2011-01-01

42

Conditional dynamics driving financial markets  

CERN Document Server

We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the DJIA database from 1900 to 2002 as well as more than 50 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all of the above cases, we find a double dynamics driving the financial evolution depending on whether the previous price went up or down. We conjecture that this effect is universal and intrinsic to all markets and, thus, it could be included as a new stylized fact of the market.

Boguna, M

2003-01-01

43

Practical .NET for financial markets  

CERN Document Server

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

Shetty, Vivek

2006-01-01

44

Detecting anchoring in financial markets  

OpenAIRE

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, ...

Andersen, Jorgen Vitting

2007-01-01

45

Communication impacting financial markets  

OpenAIRE

Contexte : Depuis l'attribution du prix Nobel en 2002 pour Kahneman pour la théorie de la perspective, la finance comportementale est devenue un sous-champ de plus en plus importante. Toutefois, les parties principales de la finance comportementale, la théorie des perspectives inclus, essaie de comprendre les marchés financiers grâce à un comportement d'investissement individuel. La finance comportementale ne tient pas compte de ce fait toute interaction entre les participants. Méthodol...

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

2014-01-01

46

Financial Market Regulation  

OpenAIRE

Das Ziel der umfassenden Finanzmarktreform "Financial Big Bang" in Japan war die Bildung eines international wettbewerbsfähigen Finanzsektors unter den drei Prinzipien frei, fair und global bis 2001. Politiker standen dabei zwei Herausforderungen gegenüber: die Wettbewerbsfähigkeit langfristig zu stärken und kurzfristig strukturelle Probleme zu lösen. Fünf Jahre nach dem Start der Reform scheint das Land mehr Fortschritte in Bezug auf die langfristige Zielsetzung denn auf die kurzfristi...

Nabor, Andreas

2001-01-01

47

78 FR 76973 - Financial Market Utilities  

Science.gov (United States)

...generally sound financial condition'' includes maintenance of sufficient working capital and cash flow...generally sound financial condition, including maintenance of sufficient working capital and cash flow...designated financial market...

2013-12-20

48

Essays on Financial Markets and Macroeconomics  

OpenAIRE

This thesis consists of three papers, which address different aspects of financial markets and institutions. Equities and Inequality studies the relationship between investor protection the development of financial markets and income inequality. In the presence of market frictions, investor protection promotes financial development by raising confidence and reducing the costs of external financing. Developed financial systems spread risks among financiers and firms, allocating them to the age...

Bonfiglioli, Alessandra

2005-01-01

49

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

50

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

OpenAIRE

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

Bhattacharyay, Biswa

2010-01-01

51

Sovereign credit ratings, emerging market risk and financial market volatility  

OpenAIRE

This study has investigated to which extent rating events influence sovereign bond yield spreads and overall financial market volatility. While rating agencies are part and parcel of today?s financial markets, the study succeeds in tracing some independent effect that ratings exert on financial market prices. First, our Granger causality test cautions against overestimating the independent longrun impact that sovereign credit ratings exert on the financial-market assessment of sovereign risk,...

Reisen, Helmut; Von Maltzan, Julia

1998-01-01

52

Commodity Futures & Financial Market Charts  

Science.gov (United States)

This site, a product of TFC Commodity Charts, provides daily, monthly and weekly price charts for various commodity and financial futures. These include grains, meats, energy, metals, exchange rate and interest rate futures. There is also a short course introducing beginners to commodity market trading. The course covers topics from the origins of commodity trading to the operations of a commodity market. Beginners will be interested in the glossary of commodity futures terms provided at the site as well. Note that these are not realtime charts.

53

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

54

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

OpenAIRE

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

55

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

56

The natural instability of financial markets  

OpenAIRE

This paper contrasts the economic incentives implicit in the Keynes-Minsky approach to inherent financial market instability with the incentives behind the traditional equilibrium approach leading to market stability to provide a framework for analyzing the stability induced by the recent changes in bank regulation to modernize financial services and the evolution of financial engineering innovations in the U.S. financial system. It suggests that the changes that have occurred in the profit i...

Kregel, Jan

2007-01-01

57

MARKETING STRATEGIES OF FINANCIAL PRODUCTS IN INDIA  

OpenAIRE

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 securiti...

Mohideen, A. K.; Arun, R. S.

2014-01-01

58

Financial transaction tax contributes to more sustainability in financial markets  

OpenAIRE

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

Scha?fer, Dorothea

2012-01-01

59

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.

60

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

OpenAIRE

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

61

“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

62

Relationship Service Marketing and Investment in Financial Market of Iran  

OpenAIRE

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

63

Financial Markets, Financial Intermediation, and Bailout Policy  

OpenAIRE

The 1980s and 1990s have been marked with a series of financial and banking crises all over the world. This turned the attention of economists to such questions as how a financial system should be structured in order to reduce the vulnerability of an economy to the risk of a crisis, or what policy should regulators follow in order to prevent the crises, and what regulatory measures would help in reduction of harmful effects of the crises? This dissertation studies relative advantages of a ba...

Vinogradov, Dmitri V.

2006-01-01

64

Fraudulent agents in an artificial financial market  

CERN Document Server

The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics. Recently, interesting conclusions were drawn thanks to a computer-simulated market where agents had different pieces of information about the future dividend cash flow of exchanged securities. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM), the more specific problem of fraudulent behaviour in a financial market is studied. A simplified model of fraudulent behaviour is implemented and the action of fraudulent agents on the statistical properties of simulated prices and the...

Scalas, E; Dose, C; Raberto, M; Scalas, Enrico; Cincotti, Silvano; Dose, Christian; Raberto, Marco

2003-01-01

65

Financial instability from local market measures  

International Nuclear Information System (INIS)

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

66

Financial instability from local market measures  

Science.gov (United States)

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

Bardoscia, Marco; Livan, Giacomo; Marsili, Matteo

2012-08-01

67

A stochastic model for the financial market with discontinuous prices  

Directory of Open Access Journals (Sweden)

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

Leda D. Minkova

1996-01-01

68

MEASURING INTEGRATED MARKETING COMMUNICATION  

Directory of Open Access Journals (Sweden)

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

Damjana JERMAN

2011-01-01

69

MEASURING INTEGRATED MARKETING COMMUNICATION  

OpenAIRE

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

70

Telegraph models of financial markets  

Scientific Electronic Library Online (English)

Full Text Available SciELO Colombia | Language: English Abstract in spanish En este artículo introducimos un modelo de mercado financiero basado en movimientos aleatorios con la alternancia de velocidades y con saltos que ocurren cuando la velocidad se cambia. Este modelo es libre del arbitraje si las direcciones de saltos están en cierta correspondencia con las direcciones [...] de velocidades del movimiento subyacente. Suponemos que la tasa de interés depende del estado de mercado. Las estrategias reproducibles para opciones son construidas en detalles. Se obtienen las fórmulas de forma cerrada para los precios de opción. Abstract in english In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain correspondence with the velocity directions of the underlying random motion with r [...] espect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.

NIKITA, RATANOV.

2007-10-29

71

Building an integrated capital market in East Asia  

OpenAIRE

This paper takes stock of the state of financial integration in East Asia. It contrasts the international integration of equity markets, the regional integration of the markets for bonds and syndicated loans denominated in US dollars, and the insularity of most local currency bond markets. In the last, it finds that the regional issuance in the Japanese foreign bond ('Samurai') and euroyen markets did not recover from the shocks during and after the Asian financial crisis. However, it finds a...

Mccauley, Robert N.

2007-01-01

72

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

73

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

74

Corporate social responsibility and financial markets  

OpenAIRE

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

75

Global risk minimization in financial markets  

OpenAIRE

Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes rational decisions that would absolutely minimize the risk. Here we show that, for any given expected return, investors can overcome this complexity and globally minimize their financial risk in portfolio selection models, which is mathemati...

Lisewski, Andreas Martin

2009-01-01

76

Financial Geographies and Emerging Markets in Europe  

OpenAIRE

This study examines the contemporary financial geographies in Central and Eastern Europe and argues how these may affect the established European finacial centre network in the future. As the development of the financial sector in Europe’s emerging markets is largely dependent on foreign investments, explicit attention is directed to determine which emerging centres exhibit sufficient power to attract multinational financial service firms. In addition, it is empirically assessed form which ...

Karreman, B.

2008-01-01

77

Money market integration  

OpenAIRE

We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast with previous research indicating that these two markets are segmented, showing them to be well integrated even at high (intraday) frequency. We document several patterns in the behavior of federal funds-Eur...

Bartolini, Leonardo; Hilton, Spence; Prati, Alessandro

2005-01-01

78

International financial integration and entrepreneurship  

OpenAIRE

We explore the relation between international financial integration and the level of entrepreneurial activity in a country. Using a unique data set of approximately 24 million firms in nearly 100 countries in 1999 and 2004, we find suggestive evidence that international financial integration has been associated with higher levels of entrepreneurial activity. Our results are robust to using various proxies for entrepreneurial activity such as entry, size, and skewness of the firm-size distribu...

Alfaro, Laura; Charlton, Andrew

2006-01-01

79

Network Topologies of Financial Market During the Global Financial Crisis  

OpenAIRE

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

80

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

81

Solvable stochastic dealer models for financial markets  

Science.gov (United States)

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

Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako

2009-05-01

82

Solvable Stochastic Dealer Models for Financial Markets  

CERN Document Server

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

Yamada, Kenta; Ito, Takatoshi; Takayasu, Misako

2008-01-01

83

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

84

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

85

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

OpenAIRE

This papers 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 ...

Brezigar-masten, Arjana; Coricelli, Fabrizio; Masten, Igor

2010-01-01

86

Game complete analysis for financial markets stabilization  

OpenAIRE

The aim of this paper is to propose a methodology to stabilize the financial markets using Game Theory and in particular the Complete Study of a Differentiable Game, introduced in the literature by David Carfì. Specifically, we will focus on two economic operators: a real economic subject and a financial institute (a bank, for example) with a big economic availability. For this purpose we will discuss about an interaction between the two above economic subjects: the Enterprise, our first pla...

Carfi?, David; Musolino, Francesco

2011-01-01

87

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

88

International Trade and Financial Integration : a Weighted Network Analysis  

OpenAIRE

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

Fagiolo, Giorgio; Reyes, Javier; Schiavo, Stefano

2007-01-01

89

International financial markets and development  

OpenAIRE

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...

Peter Wahl

2009-01-01

90

The financial crisis: A wake-up call for strengthening regional monitoring of financial markets and regional coordination of financial sector policies?  

OpenAIRE

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

Winkler, Adalbert

2010-01-01

91

Integrated Marketing Communications  

Science.gov (United States)

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

Black, Jim

2004-01-01

92

Temporal Evolution of Financial Market Correlations  

CERN Document Server

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

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

2010-01-01

93

Temporal evolution of financial-market correlations.  

Science.gov (United States)

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007-2008 credit and liquidity crisis. PMID:21929066

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

2011-08-01

94

Temporal Evolution of Financial Market Correlations  

OpenAIRE

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consid...

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

2010-01-01

95

Covered bonds, core markets, and financial stability  

OpenAIRE

We examine the financial stability implications of covered bonds. Banks issue covered bonds by encumbering assets on their balance sheet and placing them within a dynamic ring fence. As more assets are encumbered, jittery unsecured creditors may run, leading to a banking crisis. We provide conditions for such a crisis to occur. We examine how different over-the-counter market network structures influence the liquidity of secured funding markets and crisis dynamics. We draw on the framework to...

Anand, Kartik; Chapman, James; Gai, Prasanna

2012-01-01

96

Volatility and conditional distribution in financial markets  

OpenAIRE

There are various parametric models to analyse the volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns with the help of nonparametric methods. We use kernel estimators for conditional quantiles resulting from a kernel estimation of conditional distributions.

Abberger, Klaus

1995-01-01

97

Financial markets: the recent experience of a developing economy  

OpenAIRE

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

98

An index of financial market stress for the United Kingdom  

OpenAIRE

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; Cian Twomey

2014-01-01

99

News Cohesiveness: an Indicator of Systemic Risk in Financial Markets  

OpenAIRE

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 o...

Pis?korec, Matija; Antulov-fantulin, Nino; Novak, Petra Kralj; Mozetic?, Igor; Grc?ar, Miha; Vodenska, Irena; S?muc, Tomislav

2014-01-01

100

Multi-scaling modelling in financial markets  

Science.gov (United States)

In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of the generalized Hurst exponent H(q). In particular we have considered H(q) for price data, absolute returns and squared returns of different empirical financial time series. We have computed H(q) for the simulated data based on the MSM models with Binomial and Lognormal distributions of the volatility components. The results demonstrate the capacity of the multifractal (MF) models to capture the stylized facts in finance, and the ability of the generalized Hurst exponents approach to detect the scaling feature of financial time series.

Liu, Ruipeng; Aste, Tomaso; Di Matteo, T.

2007-12-01

101

DERIVATIVE MARKET: AN INTEGRAL PART OF THE ZIMBABWE STOCK EXCHANGE  

OpenAIRE

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...

KOSMAS NJANIKE

2010-01-01

102

Perturbative Approach on Financial Markets  

CERN Document Server

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

Scotti, Simone

2008-01-01

103

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

104

Financial Crises in Emerging Markets  

Science.gov (United States)

This project, from the National Bureau of Economic Research (NBER), studies "the causes of currency crises in emerging market countries as well as the policies that can reduce the risk of future crises and the adverse effects when such crises occur." Along with a extensive collection of downloadable NBER research papers on this subject, the site also lists upcoming conferences on emerging markets and reports on past conferences. Chapters from forthcoming books authored by NBER associates as well as other authors affiliated with the World Bank, the Federal Reserve System, and numerous universities are also available for download. Those just beginning to learn about this topic will want to read the list of questions that the project is attempting to answer.

105

Study of Stylized Facts in Indian Financial Markets  

Directory of Open Access Journals (Sweden)

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

Chitrakalpa Sen

2011-01-01

106

Financial Symmetry and Moods in the Market  

Science.gov (United States)

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

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

2015-01-01

107

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

108

International financial integration and crisis intensity  

OpenAIRE

This paper analyzes the causes of the 2008 - 2009 global financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. The analysis is conducted on a cross-section of 85 countries. It is found that more financially integrated countries do not seem to have suffered more during the most serious macroeconomic crisis in decades. This strengthens the case for international financial integration; if the costs of international financial integration were ...

Rose, Andrew K.

2012-01-01

109

Federal reserve policies and financial market conditions during the crisis  

OpenAIRE

During the recent financial crisis, the Federal Reserve implemented a series of extraordinary and unconventional policies to alleviate the impact of the crisis on financial markets and the economy. In this paper, we examine the effects of these policies on broad financial market conditions, explicitly taking into account that policy was endogenously determined in response to prevailing financial market and economic conditions. We find that the Fed was more likely to initiate or expand new pro...

Brave, Scott A.; Genay, Hesna

2011-01-01

110

Intermediaries, Financial Markets and Growth: Some more International Evidence  

OpenAIRE

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

111

Network Topologies of Financial Market During the Global Financial Crisis  

CERN Document Server

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

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

2013-01-01

112

Adaptive Control Applied to Financial Market Data.  

Czech Academy of Sciences Publication Activity Database

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

Šindelá?, Jan; Kárný, Miroslav

113

Optimal investment in incomplete financial markets  

OpenAIRE

We give a review of classical and recent results on maximization of expected utility for an investor who has the possibility of trading in a financial market. Emphasis will be given to the duality theory related to this convex optimization problem. For expository reasons we first consider the classical case where the underlying probability space is finite. This setting has the advantage that the technical diffculties of the proofs are reduced to a minimum, which allows for a clearer insight i...

Schachermayer, Walter

2002-01-01

114

Agent-based Models of Financial Markets  

CERN Document Server

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 ...

Samanidou, E; Stauffer, D; Lux, T

2008-01-01

115

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

116

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. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries.

Christiansen, Charlotte

2014-01-01

117

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

OpenAIRE

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 finan...

Igor Masten; Fabrizio Coricelli; Arjana Brezigar-Masten

2009-01-01

118

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

OpenAIRE

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

El Ghini, Ahmed; Saidi, Youssef

2013-01-01

119

Strategic Investment and Market Integration  

OpenAIRE

The competitive effect of international market integration in industries with imperfect competition is of great policy interest. This paper focuses on the link between monopolization and market segmentation. It presents a model of multi-market entry deterrence with or without market commitments. We derive sufficient conditions for entry deterrence with productive capacity in the multi-market game. It is shown that to deter entry in the multi-market game, the first-mover installs productions c...

Ganslandt, Mattias

2001-01-01

120

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

121

THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH  

Directory of Open Access Journals (Sweden)

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

Mester Ioana Teodora

2008-05-01

122

The Financial Innovation and the Development of Capital Markets  

Directory of Open Access Journals (Sweden)

Full Text Available 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 the (hidden dangers that sometimes transformed in financial crisis of financial intermediaries’ bankruptcy.

OVIDIU STOICA

2006-01-01

123

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

124

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

OpenAIRE

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 ...

Min-Hsien Chiang; Rung-Ho Lai; Hsiao-Ching Lee

2004-01-01

125

Analysis of Spin Financial Market by GARCH Model  

OpenAIRE

A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GARCH model. It is found that volatility determined by the GARCH model exhibits "volatility clustering" also observed in the real financial markets. Using volatil...

Takaishi, Tetsuya

2014-01-01

126

Describing the Current Situation of the Financial Market in Ghana  

OpenAIRE

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

127

Technical Trading Rules in Australian Financial Markets  

OpenAIRE

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 tr...

Jung Soo Park; Chris Heaton

2014-01-01

128

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

129

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

OpenAIRE

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

Heinemann, Maik; Clemens, Christiane

2013-01-01

130

The realism of assumptions does matter: Why Keynes-Minsky theory must replace efficient market theory as the guide to financial regulation policy  

OpenAIRE

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

Crotty, James

2011-01-01

131

CHALLENGES OF FINANCIAL AUDIT - THE IMPACT OF INTRODUCING UNIQUE REGULATION OF FINANCIAL MARKETS IN ROMANIA  

Directory of Open Access Journals (Sweden)

Full Text Available The theme of our research is related to the new type of relationship between financial audits (statutory and unique regulation of financial markets in Romania.The Romanian authorities have decided as from 2013 regulation of financial markets, capital market, insurance market and private pensions market to achieve by a single entity, this situation will also lead to a number of challenges in the relationship between the auditor and the new regulatory regime. The main elements of our study are: the relationship between the audit committee and regulatory authority; quality of financial reporting for financial market entities. The auditor plays an important role in financial markets because it certifies the financial statements in accordance with European Union practice . It is also interesting to note potential interference that can occur in single regulation between compliance audit and financial stability and return on investment between performance audit and financial markets.In this case, financial regulation can coexist with compliance audit. EU legislation recommends that the auditor discuss with the audit committee the quality and acceptability of the financial reporting process.This recommendation is what should constitute a possible consensus to be highly unlikely between audit committees would align auditors in financial reporting disputes with management financial entities. In this regard, auditors should identify the factors we consider important in determining the quality of financial reporting. .We conducted this research in an effort to identify the possible divergence between the type of regulations that can emit single regulatory authority and the audit process. New regulator will operate on two levels, issue general regulations apply to all three categories of financial markets, capital market, insurance market and private pensions market, but in the same time and in greater extent will issue specific regulations of each market in part. We want to identify the extent to which audit the entities in these markets will be influenced by these changes. Interest is our largest to determine whether the audit can identify any changes in the new regulatory requirements on quality of financial statements.Our research results show the high importance of the audit committee in ensuring the high quality of financial reporting in the financial markets and seeks to identify potential points of conflict between audit conservatism and unique market regulation.

Mitica Pepi

2013-07-01

132

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

OpenAIRE

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

Asongu, Simplice

2013-01-01

133

The Impact Of Economic News On Financial Markets  

OpenAIRE

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

Parker, John

2007-01-01

134

Carbon flows, financial markets and climate change mitigation  

OpenAIRE

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

135

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

Directory of Open Access Journals (Sweden)

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

M?D?LINA R?DOI

2014-05-01

136

Precautionary credit lines: A means to contain contagion in financial markets?  

OpenAIRE

The liberalization of capital accounts and the integration of financial markets in recent years have helped to spur growth in many emerging markets and have allowed global investors to diversify risks internationally. Furthermore, increased capita! mobility has helped to tame governments in their fiscal and monetary policies. Nevertheless, the Asian currency and financial crisis and its aftermath have revealed structural problems on the national as well as on the international level and have ...

Golder, Stefan M.

1999-01-01

137

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

OpenAIRE

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

Christopoulos, Apostolos G.; John Mylonakis; Christos Koromilas

2011-01-01

138

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

139

Financial development and corporate growth in the EU single market.  

Czech Academy of Sciences Publication Activity Database

Split : University of Split, Faculty of Economics, 2009, s. 1-24. [ International Conference /8./ "Challenges of Europe: Financial Crisis and Climate Change". Split (HR), 21.05.2009-23.05.2009] Institutional research plan: CEZ:AV0Z70850503 Keywords : financial development * corporate growth * access to financial market s Subject RIV: AH - Economics

Bena, J.; Jurajda, Št?pán

140

Quantifying the Relationship Between Financial News and the Stock Market  

OpenAIRE

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 be...

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

2013-01-01

141

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

142

Hierarchical structure of stock price fluctuations in financial markets  

International Nuclear Information System (INIS)

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

143

The financial crisis of 2008 in fixed income markets  

OpenAIRE

We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created concerns about counterparty risk and ultimately created substantial uncertainty. The problems spread in ways that were hard to see in advance. The run on prime money market funds in September 2008 and t...

Dwyer, Gerald P.; Tkac, Paula

2009-01-01

144

The peculiarities of the financial market development in Ukraine  

OpenAIRE

This paper addresses the condition of savings and investments enviroment in the world economy and in particular regions. As a result of financial globalization there were formed promissory economies in a number of countries including the economically developed ones. It is necessary to investigate peculiarities of the financial market development in Ukraine comparing it to the countries with the same conditions of market growth, particularly, it is useful to compare the Ukrainian financial mar...

Shkolnyk, Inna; Kozmenko, Olha

2008-01-01

145

INCOMPLETE MARKETS AND FINANCIAL INSTABILITY. THE ROLE OF INFORMATION  

OpenAIRE

Considering the way that the world economy has evolved over the last 30-40 years, there was a transition from a predominant real economy to a predominant financial economy. Once, there were prevalent economic crises (when the real economy was important); today, the economies all around the world face prevalent financial crises; therefore, it is extremely important to study the role of financial markets, especially the incomplete markets feature (given by the imperfect information). The paper ...

CRISTIAN IONESCU

2012-01-01

146

Financial Markets Interactions between Economic Theory and Practice  

OpenAIRE

During the last decades many financial analysts, either theorists or practitioners, have dedicated their studies to the interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets are closely related, therefore a thorough analysis of one should includes considerations of the other two. The aim of this article is to demonstrate that, even if from the theoretical point of view financial markets present typical and strong co...

Nicolau, Mihaela

2010-01-01

147

Classical and quantum randomness and the financial market  

OpenAIRE

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 ...

Khrennikov, Andrei

2007-01-01

148

Practical volatility and correlation modeling for financial market risk management  

OpenAIRE

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions - in particular, real-time risk tr...

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis X.

2005-01-01

149

Deepening Association of Southeast Asian Nations' financial markets  

OpenAIRE

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

150

Financial Markets Barriers’ in Agricultural Sector: Empirical Evidence of Iran  

OpenAIRE

This paper aims to examine the relationship between financial market development and agricultural sector in Iran. The study attempts to answer these questions empirically and try to shed some light on the roles of financial development as well as other conditional variables in agricultural sector. The results of this study shows that the financial market in agricultural sector, however there is some weakness still. The authors come to conclusion that for improving this vital sector in Iran th...

Seyed Jalal Sadeghi Sharif; Mahdi Salehi; Mehrdad Alipour

2009-01-01

151

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

OpenAIRE

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

Karvonen, Vilma

2010-01-01

152

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

OpenAIRE

The accumulated experience of emerging markets over the last two decades has laid bare the tenuous links between external financial integration and faster growth on the one hand and the proclivity of such integration to fuel costly crises on the other. These crises have not gone without learning. During the 1990s and 2000s, emerging markets converged to the middle ground of the policy space defined by the macroeconomic trilemma, with growing financial integration, controlled exchange rate fle...

Aizenman, Joshua; Pinto, Brian

2011-01-01

153

Identifying States of a Financial Market  

CERN Document Server

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

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

2012-01-01

154

Financial market implications of the Federal debt paydown  

OpenAIRE

U.S. Treasury securities fill several crucial roles in financial markets: they are a risk-free benchmark, a reference and hedging benchmark, and a reserve asset to the Federal Reserve and other financial institutions. Many of the features that make the Treasury market an attractive benchmark and reserve asset are likely to be adversely affected by the paydown of the federal debt, and recent developments suggest that this may be happening already. Market participants are responding by moving a...

Fleming, Michael J.

2001-01-01

155

The Volatility in a Multi-share Financial Market Model  

OpenAIRE

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

Ponzi, Adam

2000-01-01

156

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

157

The Adoption of Digital Marketing in Financial Services under Crisis  

OpenAIRE

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

158

The consequence of financial crises in Albanian insurance market  

OpenAIRE

The Albanian insurance market is not influenced considerably from current financial crisis. Early yet phase of development with the very low penetration level explains steadiness of insurance market to exposure influence of global financial crisis. Another factor contributed to stability of insurance market is focusing insurance businesses more on the compulsory insurance segment which is not fully liberalized. Conservative investment policies of Albanian insurers also contributed to avoiding...

Edmira Cakrani; Filloreta Madani

2010-01-01

159

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

160

Electricity trade under financial market supervision; Der Stromhandel unter Finanzmarktaufsicht  

Energy Technology Data Exchange (ETDEWEB)

With the competitive opening of the electricity market at European and national level, the goods electricity became a freely traded commodity. The author of the contribution under consideration describes the legal consequences related to financial market for trading electricity in the context of the current Directive 2004/39/EC now under consideration of the commodity futures trading in its representational scope. The statements clearly indicate that the power market is a goods market with its own laws and not a classical financial market. It considers what characteristics exist in electricity trading and whether and how they are considered for regulatory purposes.

Hagena, Martin

2011-07-01

161

Foreign banks and financial stability in emerging markets: Evidence from the global financial crisis  

OpenAIRE

Foreign banks have increased their market share in many emerging markets since the mid-1990s. We examine whether this contributed to financial stability in the respective host countries in the global financial crisis. Our results suggest that the stabilizing impact of foreign banks was limited to the cross-border component of financial globalization and to two regions: Eastern Europe and Sub-Saharan Africa. Only in the latter region was this translated into more stable credit growth. Thus hop...

Vogel, Ursula; Winkler, Adalbert

2010-01-01

162

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

OpenAIRE

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

163

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

164

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

165

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

Directory of Open Access Journals (Sweden)

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

Vlasenko Marina A.

2013-03-01

166

Volatility, persistence, and survival in financial markets.  

Science.gov (United States)

We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empirical measurements of the normalized qth-order correlation functions fq(t), survival probability S(t), and persistence probability P(t) for several stock market dynamical sets. We analyze both minute-to-minute and higher-frequency stock market recordings (i.e., with the sampling time deltat of the order of days). We find that the fluctuating stock price is multifractal and the choice of deltat has no effect on the qualitative multifractal behavior displayed by the 1/q dependence of the generalized Hurst exponent Hq associated with the power-law evolution of the correlation function fq(t) approximately tHq. The probability S(t) of the stock price remaining above the average up to time t is very sensitive to the total measurement time tm and the sampling time. The probability P(t) of the stock not returning to the initial value within an interval t has a universal power-law behavior P(t) approximately t(-theta), with a persistence exponent theta close to 0.5 that agrees with the prediction theta=1-H2. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity. PMID:16383592

Constantin, M; Sarma, S Das

2005-11-01

167

Understanding the source of multifractality in financial markets  

Science.gov (United States)

In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multi-scaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is reproduced in several real financial data including stock market indices, exchange rates and interest rates. In order to understand the origin of this effect we investigate different simulated time series by means of the Markov switching multifractal model, autoregressive fractionally integrated moving average processes with stable innovations, fractional Brownian motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a consequence of the characteristic fat-tailed distribution of the returns and time-correlations have the effect to decrease the measured multifractality.

Barunik, Jozef; Aste, Tomaso; Di Matteo, T.; Liu, Ruipeng

2012-09-01

168

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

169

78 FR 14024 - Financial Market Utilities  

Science.gov (United States)

...maintain adequate capital to support...and working capital to cover its...Agency regarding financial resources...establishment and maintenance of a Reserve...establishment and maintenance of an account or provision of financial services...

2013-03-04

170

EVALUATION OF CONTRIBUTION OF DEBT MARKET IN INDIAN FINANCIAL MARKET: AN EMPIRICAL STUDY  

Directory of Open Access Journals (Sweden)

Full Text Available Indian Debt market is the financial market with two segment viz. the government securities market and corporate bond market, but the size of the latter is only about 14% of the total debt market. This is reflective of both, the relative recurrent fiscal deficits and the underdeveloped status of the corporate debt market. In spite of liberalization in stock market the share of debt market is still at bottom level when we compare it with equity market. Even in debt market the major portion is in the form of private placement.

K. Ekambaram

2014-12-01

171

Repo funding and internal capital markets in the financial crisis  

OpenAIRE

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

172

Testing the Informational Efficiency on the Romanian Financial Market  

OpenAIRE

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 Roma...

Aurora Murgea; Marilen Pirtea; Bogdan Dima

2006-01-01

173

Assymetric information in the financial market: Sequential move games  

OpenAIRE

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

Trifunovi? Dejan

2006-01-01

174

Financial Markets Interactions between Economic Theory and Practice  

Directory of Open Access Journals (Sweden)

Full Text Available During the last decades many financial analysts, either theorists or practitioners, have dedicated their studies to the interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets are closely related, therefore a thorough analysis of one should includes considerations of the other two. The aim of this article is to demonstrate that, even if from the theoretical point of view financial markets present typical and strong correlations between them, under economic turmoil the correlations change their signs. Both elementary rules of economic theory and examples with real time series are used in the demonstration. The results of our research emphasize that a simple theoretical analysis of financial markets’ behaviour through inflation and interest rates cannot define the real interactions of the markets and more robust research approaches are required.

Mihaela NICOLAU

2010-12-01

175

Global Financial Crisis: An EGARCH Approach to Examine the Spillover Effect on Emerging Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This study examines the spillover effect of US stock returns on emerging markets stock returns (China, India and Pakistan and the effect of volatility in US stock on the emerging stock market particularly during the period of global financial crisis. For the analysis, we have used the daily stock returns of these markets from the period of 1st January 2007 to 30th September 2011. We have divided our analysis into three parts (before, during and after financial crisis. The econometric technique such as EGARCH model is applied for examination. The results show a weak spillover effect on BSE whereas mean spillover for SSE is insignificant but it shows a volatility spillover from US financial market to China’s financial market. In case of KSE returns we find a spillover effect from the US stock returns to KSE stock returns.

Ghulam Mujtaba Kayani

2014-01-01

176

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

177

Integrating Europe's Securities Markets: The Way Forward  

Directory of Open Access Journals (Sweden)

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

Daniel Mark Azzopardi

2011-08-01

178

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

Czech Academy of Sciences Publication Activity Database

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

Horváth, Roman; Poldauf, P.

2012-01-01

179

A Knowledge-Based Consultant for Financial Marketing  

OpenAIRE

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

180

Limited financial market participation: A transaction cost-based explantation  

OpenAIRE

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

Paiella, Monica

2001-01-01

181

Subprime crisis and instability of global financial markets  

OpenAIRE

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. Min...

Radonji? Ognjen; Zec Miodrag

2010-01-01

182

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

183

Diffusion entropy analysis on the scaling behavior of financial markets  

CERN Document Server

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

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

2006-01-01

184

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

OpenAIRE

This article presents an analysis of the decision of investing in the capital market in Romania during 2009-2010, in the context of overcoming the global financial crisis. In the first part of the paper, we have made a brief presentation of the simplified model of market analysis introduced in the specialized literature by William Sharpe, the respective model representing the starting point in our study. The purpose of the present study is to emphasize how the evolutions of the financial secu...

Ciobanu, Radu; Munteanu, Sebastian Ma?da?lin; Iamandi, Irina-eugenia

2011-01-01

185

Interaction of formal and informal financial markets in quasi-emerging market economies  

OpenAIRE

The primary objective of this paper is to investigate the interaction of formal and informal financial markets and their impact on economic activity in quasi-emerging market economies. Using a four-sector dynamic stochastic general equilibrium model with asymmetric information in the formal financial sector, we come up with three fundamental findings. First, we demonstrate that formal and informal financial sector loans are complementary in the aggregate, suggesting that an increa...

Ngalawa, Harold; Viegi, Nicola

2013-01-01

186

Higher-order phase transitions on financial markets  

Science.gov (United States)

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

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

2010-08-01

187

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

188

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

OpenAIRE

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

189

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

Directory of Open Access Journals (Sweden)

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

Radu CIOBANU

2011-06-01

190

Current account adjustment and financial integration  

OpenAIRE

The paper investigates whether higher financial integration leads in general to slower current account adjustments. The study estimates theoretically founded trade balance reaction functions for a panel of seventy countries from 1970-2004. The empirical analysis finds that adjustment in integrated economies is slower. Consistent with the presented theory the trade balance of integrated economies is more persistent, responds less strongly to net foreign assets, and is more sensitive to fluctua...

Towbin, Pascal

2008-01-01

191

Phantastic objects and the financial market's sense of reality: a psychoanalytic contribution to the understanding of stock market instability.  

Science.gov (United States)

This paper sets out to explore if standard psychoanalytic thinking based on clinical experience can illuminate instability in financial markets and its widespread human consequences. Buying, holding or selling financial assets in conditions of inherent uncertainty and ambiguity, it is argued, necessarily implies an ambivalent emotional and phantasy relationship to them. Based on the evidence of historical accounts, supplemented by some interviewing, the authors suggest a psychoanalytic approach focusing on unconscious phantasy relationships, states of mind, and unconscious group functioning can explain some outstanding questions about financial bubbles which cannot be explained with mainstream economic theories. The authors also suggest some institutional features of financial markets which may ordinarily increase or decrease the likelihood that financial decisions result from splitting off those thoughts which give rise to painful emotions. Splitting would increase the future risk of financial instability and in this respect the theory with which economic agents in such markets approach their work is important. An interdisciplinary theory recognizing and making possible the integration of emotional experience may be more useful to economic agents than the present mainstream theories which contrast rational and irrational decision-making and model them as making consistent decisions on the basis of reasoning alone. PMID:18405290

Tuckett, David; Taffler, Richard

2008-04-01

192

A statistical physics perspective on criticality in financial markets  

International Nuclear Information System (INIS)

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

193

76 FR 18445 - Financial Market Utilities  

Science.gov (United States)

...learned during the recent financial crisis. The CPSS and IOSCO...not have a significant economic impact on a substantial...important to the U.S. financial system. Based on current...not have a significant economic impact on a...

2011-04-04

194

Models of Financial Markets with Extensive Participation Incentives  

OpenAIRE

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with several attractor behaviors resembling those of real markets emerge, reflecting the roles played by the arbitrageurs and trendsetters, and including a phase with irregular price trends and positive sums. The positive-sumness of the players' weal...

Yeung, C. H.; Wong, K. Y. Michael; Zhang, Yi-cheng

2007-01-01

195

The Market for Financial Derivatives: Removing Impediments to Growth  

OpenAIRE

This paper begins with an evaluation of the performance of the Malaysian market for financial derivatives. Despite a headstart, Malaysia appears to be lagging substantially when compared to the performance of other Asian derivative markets. While the other Asian markets though newer, have seen explosive growth in volume, trading volume in Malaysia appears to have shrunk. We examine why this has been the case and identify several macro and micro level impediments. Among macro level impedim...

Bacha, Obiyathulla I.

2004-01-01

196

News and correlations of CEEC-3 financial markets  

OpenAIRE

We investigate conditional correlations between six CEEC-3 financial markets estimated by DCC-MGARCH models. In general, the highest correlations exist between Hungary and Poland in foreign exchange and stock markets. Short-term money markets are rather isolated from each other. We find that the associations of CEEC-3 exchange rates versus the euro are weaker than those versus the US dollar. The persistence of the effect of shocks on the timevarying correlations is strongest for foreign excha...

Bu?ttner, David; Hayo, Bernd

2009-01-01

197

Credit Rating Agencies, Financial Regulations and the Capital Markets  

OpenAIRE

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

Shahzad, K.

2013-01-01

198

International stock market comovements: what happened during the financial crisis?  

OpenAIRE

We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the st...

Horvath, Roman; Poldauf, Petr

2011-01-01

199

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

200

FINANCIAL GLOBALIZATION AND THE LEVEL OF INTEGRATION INTO THE INTERNATIONAL FINANCIAL  

Directory of Open Access Journals (Sweden)

Full Text Available  The article contains detailed information on the impact of globalization on the development of the global financial market, discussed ways of understanding the essence of financial globalization.

?.?. ????????

2012-03-01

201

Integration of liberalised energy market  

International Nuclear Information System (INIS)

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

202

77 FR 45907 - Financial Market Utilities  

Science.gov (United States)

...separation of risk management and audit functions from day-to-day...enhanced risk management and financial stability and controlling the costs imposed...ensuring sound risk management by requiring...performance of PCS functions in addition...

2012-08-02

203

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

204

Models of financial markets with extensive participation incentives  

Science.gov (United States)

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

Yeung, C. H.; Wong, K. Y. Michael; Zhang, Y.-C.

2008-02-01

205

Financial market heterogeneity: Implications for the EMU  

OpenAIRE

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

Gareis, Johannes; Mayer, Eric

2012-01-01

206

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.

207

Global Financial Crisis: An EGARCH Approach to Examine the Spillover Effect on Emerging Financial Markets  

OpenAIRE

This study examines the spillover effect of US stock returns on emerging markets stock returns (China, India and Pakistan) and the effect of volatility in US stock on the emerging stock market particularly during the period of global financial crisis. For the analysis, we have used the daily stock returns of these markets from the period of 1st January 2007 to 30th September 2011. We have divided our analysis into three parts (before, during and after) fina...

Ghulam Mujtaba Kayani; Hui Xiaofeng; Saqib Gulzar

2014-01-01

208

Central bank communication in the financial crisis: Evidence from a survey of financial market participants  

OpenAIRE

In this paper, we study whether central bank communication has a positive effect on market participants' perception of central banks' (i) credibility, (ii) unorthodox measures, and (iii) independence. We utilise a survey of more than 500 financial market participants from around the world who answered questions in reference to the Bank of England (BoE), the Bank of Japan (BoJ), the European Central Bank (ECB), and the Federal Reserve (Fed). We find that market participants believe that the Fe...

Hayo, Bernd; Neuenkirch, Matthias

2014-01-01

209

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

OpenAIRE

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

Emira Kozarevic; Meldina Kokorovic Jukan; Beriz Civic

2014-01-01

210

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

211

Analysis of Spin Financial Market by GARCH Model  

International Nuclear Information System (INIS)

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

212

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

213

A coopetitive approach to financial markets stabilization and risk management  

OpenAIRE

The aim of this paper is to propose a methodology to stabilize the financial markets by adopting Game Theory, in particular, the Complete Study of a Differentiable Game and the new mathematical model of Coopetitive Game, proposed recently in the literature by D. Carfì. Specifically, we will focus on two economic operators: a real economic subject and a financial institute (a bank, for example) with a big economic availability. For this purpose we will discuss about an interaction between the...

Carfi?, David; Musolino, Francesco

2012-01-01

214

Why Do Financial Market Experts Misperceive Future Monetary Policy Decisions?  

OpenAIRE

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

Schmidt, Sandra; Nautz, Dieter

2010-01-01

215

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

216

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

217

Models of Financial Markets with Extensive Participation Incentives  

CERN Document Server

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

Yeung, C H; Zhang, Y -C

2007-01-01

218

Health care capital market and product market constraints and the role of the chief financial officer.  

Science.gov (United States)

To understand better the financial management practices and strategies of modern health care organizations, we conducted interviews with chief financial officers (CFOs) of several leading health care systems. The constraints imposed on health care systems by both capital and product markets has made the role of the CFO a challenge. PMID:11794753

Wheeler, J R; Smith, D G

2001-01-01

219

Volatility and causality in Asia Pacific financial markets  

OpenAIRE

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

Weber, Enzo

2007-01-01

220

Financial markets trend: ageing and pension system reform  

OpenAIRE

Ageing have prompted important changes in the structure of pension system with substantial differences across the most developed countries. Given that ageing populations are driving a growing need for private form of saving for retirement, the pension fund industry is like to exert an increasing influence in the financial markets. Much of the additional retirement related flows to capital markets will be intermediated by pension funds although their importance varies considerably across count...

Panetta, Ida Claudia

2006-01-01

221

Financial analysts and information flows in the markets  

OpenAIRE

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

Druz, Marina; Degeorge, Franc?ois

2010-01-01

222

Business groups in emerging markets: financial control and sequential investment  

OpenAIRE

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

Hainz, Christa

2006-01-01

223

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

Directory of Open Access Journals (Sweden)

Full Text Available This paper posits that the present global financial crisis is the sixth Kondratieff cycle and that the underlying cause of transactions-based financial capitalism points to this cycle as being the era of financial market instruments. The US subprime mortgage market having contributed to the present financial liquidity shock as a consequence of the derivative market instruments known as collateralised debt obligations (CDO is responsible for this cycle. The comparison between the subprime mortgage market in Australia and the US suggests that the Australian market should be less vulnerable but not entirely immune to the financial problems of the world liquidity shock.

Gregory Kenneth Laing

2011-09-01

224

Modelling Information Flows in Financial Markets  

CERN Document Server

This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The market filtration is generated by a set of information processes, each of which carries information about one of the X-factors, and eventually reveals the X-factor. Each information process has two terms, one of which contains a "signal" about the associated X-factor, and the other of which represents "market noise". The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market. When the market noise is modelled by a Brownian bridge one is able to construct explicit formulae for asset prices, as well as semi-analytic expressions for the prices and greeks of options and derivatives. In particular, op...

Brody, Dorje C; Macrina, Andrea

2010-01-01

225

75 FR 34530 - Analysis by the President's Working Group on Financial Markets on the Long-Term Availability and...  

Science.gov (United States)

...Group on Financial Markets: Terrorism Risk Insurance Analysis.'' [[Page 34531...Group on Financial Markets to perform an analysis and report to Congress...Group on Financial Markets is to conduct its analysis in consultation...

2010-06-17

226

The effects of a financial transaction tax in an artificial financial market  

OpenAIRE

We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their effects on liquidity need to be taken into account. We model an agent-based continuous double-auction, allowing for a continuum of investment strategies within the chartist/fundamentalist framework. F...

Fricke, Daniel; Lux, Thomas

2013-01-01

227

The structure and resilience of financial market networks  

Science.gov (United States)

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

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

2012-03-01

228

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

229

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

230

Understanding the source of multifractality in financial markets.  

Czech Academy of Sciences Publication Activity Database

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

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

2012-01-01

231

Coherent Patterns in Nuclei and in Financial Markets  

CERN Document Server

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

Drozdz, S; Speth, J

2010-01-01

232

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

233

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

OpenAIRE

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

Mengchun Ding; Hongxin Li

2009-01-01

234

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

Directory of Open Access Journals (Sweden)

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

Mengchun Ding

2009-07-01

235

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

236

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

237

Global Economic Crisis. Case Study on the Romanian Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available The first part of the present paper proposes to study the concept of global financial system and the issues that led to outline its approach frame, as well as what effects could have the actual economic crisis on the global financial system and which are the factors considered to be the causes that generated economic crises in the last few years.Moreover, in this paper we refer to the concept of financial instability, more precise we underline the fact that banks can represent the main financial instability stimulus.In the final part of this paper we analyze the Romanian capital market on the global economic crisis background being emphasized the fact that the effects of this crisis are felt also on our national economy.

Prof. Ph. D. Stelian Stancu

2009-05-01

238

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

239

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

240

Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets  

International Nuclear Information System (INIS)

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

241

Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets  

Science.gov (United States)

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

Ma, Shi-Hao

2009-02-01

242

Credit market imperfections, financial market regulation and business cycles in Eastern Europe  

OpenAIRE

Credit market imperfections give rise to boom-bust cycle episodes in emerging markets. In the present paper, we aim to provide a comprehensive analysis for Eastern Europe. We focus on documenting credit market imperfections, asymmetric financing opportunities across sectors, and business cycle fluctuations at the aggregate and sectoral level. The results will be discussed in the policy context of the re-regulation of the financial system. We will propose in an unconventional way to think abou...

Drechsel, Katja; Westermann, Frank

2009-01-01

243

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

244

Forecasting financial markets with artificial neural networks  

OpenAIRE

Artificial Neural Networks are exible nonlinear mathematical models widely used in forecasting. This work is intended to investigate the support these models can give to nancial economists predicting prices movements of oil and gas companies listed in stock exchanges. Multilayer Perceptron models with logistic activation functions achieved better results predicting the direction of stocks returns than traditional linear regressions and better performances in companies with lower market capit...

Vieira, Cristiano Ribeiro

2013-01-01

245

Regulation versus Competition on European Financial Markets  

OpenAIRE

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

246

Essays on the Economics of Financial Markets  

OpenAIRE

The first two chapters of this dissertation investigate whether some economically-neutral but psychologically-relevant factors can affect investors' decision-making and, in turn, their investment choices. The empirical analysis, conducted on Italian and US stock market data, provides some evidence consistent with the view that several psychological elements indeed play a role in the mental process that generates people's portfolio allocation choices. The third chapter consists in an examinati...

Lepori, Gabriele Mario

2007-01-01

247

An adaptive stochastic model for financial markets  

International Nuclear Information System (INIS)

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

248

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

249

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

250

Asymptotic arbitrage and num\\'eraire portfolios in large financial markets  

CERN Document Server

This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the num\\'eraire portfolios, related to the small markets. The obtained criteria can be expressed in terms of contiguity, entire separation and Hellinger integrals, provided these notions are extended to sub-probability measures. As examples we consider market models on finite probability spaces, semimartingale and diffusion models. Also a discrete-time infinite horizon market model with one log-normal stock is examined.

Rokhlin, D B

2007-01-01

251

Benefits of an integrated European electricity market  

OpenAIRE

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

252

Deducing the multi-trader population driving a financial market  

Science.gov (United States)

We have previously laid out a basic framework for predicting financial movements and pockets of predictability by tracking the distribution of a multi-trader population playing on an artificial financial market model. This work explores extensions to this basic framework. We allow for more intelligent agents with a richer strategy set, and we no longer constrain the distribution over these agents to a probability space. We then introduce a fusion scheme which accounts for multiple runs of randomly chosen sets of possible agent types. We also discuss a mechanism for bias removal on the estimates.

Gupta, Nachi; Hauser, Raphael; Johnson, Neil

2005-12-01

253

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

254

Volatility, Persistence, and Survival in Financial Markets  

CERN Document Server

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

Constantin, M

2005-01-01

255

Time Varying Market Integration and Expected Rteurns in Emerging Markets  

OpenAIRE

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

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

2001-01-01

256

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

257

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

258

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

OpenAIRE

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

Saiti, Buerhan; Bacha, Obiyathulla; Masih, Mansur

2014-01-01

259

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

260

Financial Friction and Multiplicative Markov Market Game  

CERN Document Server

We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal strategies and expected frictional losses of the friction parameter. We present one derivation in terms of invariant measures of drift-diffusion processes (Fokker- Planck approach), and one derivation using the Hamilton-Jacobi-Bellman equation of optimal control theory. We also show that a significant part of the results can be derived without computation by a kind of dimensional analysis. We comment on the extension of the method to other sources of uncertainty, and discuss what conclusions can be drawn about the growth-optimal criterion as such.

Aurell, E; Aurell, Erik; Muratore-Ginanneschi, Paolo

1999-01-01

261

Measuring Spatial Integration in Niger Grain Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper investigates the spatial integration of Niger cereal markets using monthly retail prices of four staple crops consumed daily in the country. We used co-integration techniques to analyze the price relationship between six main markets. The results revealed high co-integration in Millet and Maize market pairs. On the Contrary, the study indicates also high absence of co-integration in most of Rice and Sorghum markets. Many factors such as poor infrastructures, government interventions, may be major impediments to spatial integration between markets. Development of private grain marketing will help to improve trading between markets, thereby increasing competition and circulation of grain from surplus areas to supply deficit areas.

Seydou Zakari

2014-01-01

262

Integration and Convergence in European Electricity Markets  

OpenAIRE

In this paper we investigate wholesale electricity prices integration process in the main European markets. After reforms introduced in the last decades in Europe, wholesale electricity prices are now determined in regulated markets. However, while market institutional frameworks show several similarities, there are still differences in fuel mix, generation units technologies, market structure. Using multivariate cointegration techniques we test integration dynamics within four European marke...

Bollino, Carlo Andrea; Ciferri, Davide; Polinori, Paolo

2013-01-01

263

Integrated Marketing Communication plan for GSK Nordic  

OpenAIRE

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

264

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

OpenAIRE

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

265

Financial market pressure, tacit collusion and oil price formation  

International Nuclear Information System (INIS)

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

266

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

267

Financial market pressure, tacit collusion and oil price formation  

Energy Technology Data Exchange (ETDEWEB)

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

Aune, Finn Roar; Rosendahl, Knut Einar [Statistics Norway, box 8131 Dep., 0033 Oslo (Norway); Mohn, Klaus; Osmundsen, Petter [University of Stavanger, 4036 Stavanger (Norway)

2010-03-15

268

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

OpenAIRE

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

269

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

270

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

271

Determinants of banks' competitiveness in local financial markets  

OpenAIRE

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

Ryszard Kata

2012-01-01

272

A new financial metric for the art market  

OpenAIRE

This paper introduces a new financial metric for the art market. The metric, which we call Artistic Power Value (APV), is based on the price per unit of area (dollars per square centimeter) and is applicable to two-dimensional art objects such as paintings. In addition to its intuitive appeal and ease of computation, this metric has several advantages from the investor’s viewpoint. For example, it makes it easy to: (i) estimate price ranges for different artists; (ii) perform comparisons...

Charlin, Ventura; Cifuentes, Arturo

2013-01-01

273

Revenue diversification in emerging market banks: implications for financial performance  

OpenAIRE

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

Ben Gamra, Saoussen; Plihon, Dominique

2011-01-01

274

A New Approach to Spreadsheet Analytics Management in Financial Markets  

OpenAIRE

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

275

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

OpenAIRE

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

Mccoy, Megan A.; Bruce Ross, D.; Goetz, Joseph W.

2014-01-01

276

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

OpenAIRE

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...

Wen Jing-hua; Zhang Mei; Liu Qing-qing

2013-01-01

277

Financial News and Market Panics in the Age of Highfrequency Sentiment Trading Algorithms  

DEFF Research Database (Denmark)

Whether financial news may contribute to market panics is not an innocent question. A positive answer is easily used as a legitimation to limit the freedom of financial journalists. Long-term effects of news are moreover inconsistent with the Efficient Market Hypothesis (EMH), which maintains that new information gives immediately rise to a new equilibrium. The EMH is under discussion, however, as a result of the transformation of financial markets and of financial journalism due to new economic thoughts, new communication theories, high-frequency trading and high-frequency sentiment analysis. As a case study of a market panic we show the impact of US news, UK news and Dutch news on three Dutch banks during the financial crisis of 2007–9. To avoid market panics, financial journalists may strive for greater transparency, not only on asset prices and corporate philosophies, but also on network dependencies in the worldwide financial markets.

Kleinnijenhuis, Jan; Schultz, Friederike

2013-01-01

278

Global Stock Markets Development and Integration: with Special Reference to BRIC Countries  

OpenAIRE

In a country like India where the stock market is undergoing significant transformation with liberalization measures, and the analysis of the nature of integration with other developed and emerging markets would not only give an idea of the possible gains to be reaped out of portfolio diversification from Indian market, but may also provide some indication of the vulnerability of the country’s stock market in case of a regional financial crisis and consequent reversal of capital flows from ...

Chittedi, Krishna Reddy

2009-01-01

279

The Marketing-Finance Interface Towards Financial Services: with Special Reference to New Services Provided by Futures Exchanges  

OpenAIRE

The financial services industry is one of the fastest growing service industries. The financial services industry includes financial derivatives markets such as options and futures markets. In order to ensure survival, firms providing financial services show a rapid product innovation. However, for financial services the risk of failure is considerable. Argues that a synthesis between the financial approach and the marketing approach towards financial services provides a conceptual framework ...

Pennings, J. M. E.; Wetzels, M.G.M; Meulenberg, M. T. G.

1999-01-01

280

Modeling and simulation of a double auction artificial financial market  

Science.gov (United States)

We present a double-auction artificial financial market populated by heterogeneous agents who trade one risky asset in exchange for cash. Agents issue random orders subject to budget constraints. The limit prices of orders may depend on past market volatility. Limit orders are stored in the book whereas market orders give immediate birth to transactions. We show that fat tails and volatility clustering are recovered by means of very simple assumptions. We also investigate two important stylized facts of the limit order book, i.e., the distribution of waiting times between two consecutive transactions and the instantaneous price impact function. We show both theoretically and through simulations that if the order waiting times are exponentially distributed, even trading waiting times are also exponentially distributed.

Raberto, Marco; Cincotti, Silvano

2005-09-01

281

On the Modular Dynamics of Financial Market Networks  

CERN Document Server

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

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

2015-01-01

282

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

283

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

Science.gov (United States)

...are critical parts of the financial infrastructure for the economy...integral to the soundness of the financial system and overall economic performance. The importance...two world wars and the 2008 financial crisis--to lower risk to...

2010-12-21

284

Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises  

OpenAIRE

In this paper, we analyze time-varying correlations between commodity markets and S&P 500 index, employing a recent and novel technique: asymmetric dynamic conditional correlation (ADCC) model. Using weekly data from January 3, 1992 to December 27, 2013, we provide evidence of highly volatile correlations, which substantially increase after the 2007-2008 financial crisis. We also find that conditional correlations and variances are positively linked in overall, which implies deterioration in ...

Demiralay, Sercan; Ulusoy, Veysel

2014-01-01

285

Coherent Patterns in Nuclei and in Financial Markets  

Science.gov (United States)

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

Dro?d?, S.; Kwapie?, J.; Speth, J.

2010-07-01

286

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

287

Integrating gas and electric markets and regulation  

International Nuclear Information System (INIS)

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

288

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

Directory of Open Access Journals (Sweden)

Full Text Available This paper discusses development of financial derivatives markets in emerging market economies, focusing on the use of financial derivatives in risk management purposes of non-financial firms in Bosnia and Herzegovina. For achieving the research goals authors collected data on the derivatives market structure and types of derivative instrument traded, focusing commercial banks, because of the authors’ prior knowledge of the derivatives market. Additionally, in order to assess the current state and development perspectives of derivatives usage by the non-financial firms, authors conducted a research on the random sample of non-financial firms, using data from the Foreign Trade Chamber of Bosnia and Herzegovina as well as the information from lists of derivatives users-clients provided by some banks of Bosnia and Herzegovina. The research shows that derivatives market in the country exists as an over-the-counter market, where banks play dominant role and offer different types of derivative instruments. Three types of derivatives are being offered: currency forwards, currency swaps, and interest rate forwards. The main reason for the poor offer is low demand, lack of non-financial firms’ knowledge about benefits of derivatives, and low number of business operations on the global markets by the non-financial firms.

Emira Kozarevic

2014-03-01

289

Integration and Contagion in US Housing Markets  

OpenAIRE

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies statistical jumps in metropolitan house price returns as well as MSA contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of...

Cotter, John; Gabriel, Stuart A.; Roll, Richard

2011-01-01

290

Impact of Financial News Headline and Content to Market Sentiment  

Directory of Open Access Journals (Sweden)

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

Tan Li

2014-04-01

291

In which Financial Markets do Mutual Fund Theorems hold true?  

CERN Document Server

The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the num\\'eraire portfolio (i.e. the optimal portfolio for the log utility). If any path-independent option with maturity T written on the num\\'eraire portfolio can be replicated by trading \\emph{only} in N, then the (MFT) holds true for general utility functions, and the num\\'eraire portfolio may serve as mutual fund. This generalizes Merton's classical result on Black-Scholes markets. Conversely, under a supplementary weak completeness assumption, we show that the validity of the (MFT) for general utility functions implies the same replicability property for options on the num\\'eraire portfolio described above. 2) If for a given class of utility functions (i.e. investors) the (MFT) holds true in all complete Brownian financial markets S, then all investors use the same utili...

Schachermayer, Walter; Taflin, Erik

2007-01-01

292

Time series analysis for minority game simulations of financial markets  

Science.gov (United States)

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.

Ferreira, Fernando F.; Francisco, Gerson; Machado, Birajara S.; Muruganandam, Paulsamy

2003-04-01

293

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

294

Empirical evidence on financial spillovers and contagion to international stock markets  

OpenAIRE

In this thesis different definitions of financial contagion are explored. These definitions are applied to test for evidence of contagion on a number of stock markets and during several turbulent periods. First, we investigate the question whether emerging stock markets are more or less vulnerable to large financial shocks than developed capital markets. Second, this study analyzes how significant financial turmoil can change the direction and strength of spillovers between a mature calm mark...

Serwa, Dobromil

2005-01-01

295

The connexionnist nature of modern financial markets. Challenges and possible outcomes  

OpenAIRE

The recent financial crisis has triggered radical criticism against financial markets. In this paper, we propose to analyse this criticism in the perspective drawn by Boltanski and Thevenot (1991/2006) around the notion of justification. We see the main debate as opposing the critics and the defenders of what can be identified as a Market order (Boltanski and Thevenot, 1991/2006). While the former regret the consequences of deregulation in financial markets, the latter insist on the preservat...

Huault, Isabelle; Rainelli-le Montagner, He?le?ne

2010-01-01

296

How does the financial crisis affect volatility behavior and transmission among European stock markets?  

OpenAIRE

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...

Faten Ben Slimane; Mohamed Mehanaoui; Irfan Akbar Kazi

2013-01-01

297

Contagion effect of financial crisis on OECD stock markets  

OpenAIRE

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs from that in the pre-crisis period. The identification of break point due to the crisis is made by Bai-Perron (1998, 2003) s...

Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa

2011-01-01

298

Financial market liberalization, monetary policy and housing price dynamics  

OpenAIRE

This paper considers how monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector and whether the financial market liberalization of the early 1980’s influenced those dynamics. The analysis uses impulse response functions obtained from a large-scale Bayesian Vector Autoregression (LBVAR) model over the periods 1968:01 to 1982:12 and 1989:01 to 2003:12, including 21 housing-sector variables at the national and four census regions. Overall, the 100 b...

Gupta, Rangan; Miller, Stephen M.; Wyk, Dylan

2010-01-01

299

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

300

Computational modeling of collective human behavior: Example of financial markets  

CERN Document Server

We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information but lack local information from their social network, and a model in which the traders form a dynamically evolving social network but lack any decision-making based on global information. We show that a suitable combination of these two models -- in particular, a population of virtual traders with access to both global and local information -- produces results for the price return distribution which are closer to the reported stylized facts. We believe that this type of model can be applied across a wide range of systems in which collective human activity is observed.

Kirou, Andy; Walser, Markus; Johnson, Neil F

2008-01-01

301

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

302

Variety of Behavior of Equity Returns in Financial Markets  

Science.gov (United States)

The price dynamics of a set of equities traded in an efficient market is pretty complex. It consists of almost not redundant time series which have (i) long-range correlated volatility and (ii) cross-correlation between each pair of equities. We perform a study of the statistical properties of an ensemble of equities returns which is fruitful to elucidate the nature and role of time and ensemble correlation. Specifically, we investigate a statistical ensemble of daily returns of n equities traded in United States financial markets. 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 [1] with the exception of crash and rally days and of the days following to these extreme events [2]. We analyze each ensemble return distribution by extracting its first two central moments. We call the second moment of the ensemble return distribution the variety of the market. We choose this term because high variety implies a variated behavior of the equities returns in the considered day. We observe that the mean return and the variety are fluctuating in time and are stochastic processes themselves. The variety is a long-range correlated stochastic process. Customary time-averaged statistical properties of time series of stock returns are also considered. In general, time-averaged and portfolio-averaged returns have different statistical properties [1]. We infer from these differences information about the relative strength of correlation between equities and between different trading days. We also compare our empirical results with those predicted by the single-index model and we conclude that this simple model is unable to explain the statistical properties of the second moment of the ensemble return distribution. Correlation between pairs of equities are continuously present in the dynamics of a stock portfolio. Hence, it is relevant to investigate pair correlation in a efficient and original way. We propose to investigate these correlations at a daily and intra daily time horizon with a method based on concepts of random frustrated systems. Specifically, a hierarchical organization of the investigated equities is obtained by determining a metric distance between stocks and by investigating the properties of the subdominant ultrametric associated with it [3]. The high-frequency cross-correlation existing between pairs of equities are investigated in a set of 100 stocks traded in US equity markets. The decrease of the cross-correlation between the equity returns observed for diminishing time horizons progressively changes the nature of the hierarchical structure associated to each different time horizon [4]. The nature of the correlation present between pairs of time series of equity returns collected in a portfolio has a strong influence on the variety of the market. We finally discuss the relation between pair correlation and variety of an ensemble return distribution. References [1] Fabrizio Lillo and Rosario N. Mantegna, Variety and volatility in financial markets, Phys. Rev. E 62, 6126-6134 (2000). [2] Fabrizio Lillo and Rosario N. Mantegna, Symmetry alteration of ensemble return distribution in crash and rally days of financial market, Eur. Phys. J. B 15, 603-606 (2000). [3] Rosario N. Mantegna, Hierarchical structure in financial markets, Eur. Phys. J. B 11, 193-197 (1999). [4] Giovanni Bonanno, Fabrizio Lillo, and Rosario N. Mantegna, High-frequency cross-correlation in a set of stocks, Quantitative Finance (in press).

Bonanno, Giovanni; Lillo, Fabrizio; Mantegna, Rosario N.

2001-03-01

303

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

304

Forecasting Financial Market Annual Performance Measures: Further Evidence  

Directory of Open Access Journals (Sweden)

Full Text Available Problem statement: Forecasting is simple; producing accurate forecasts is the essential task. Experience suggests that financial managers often assume that because models used in forecasting are appropriate that they are effective. This study addresses this assumption. Effective is taken to mean forecasts where the Absolute Percentage Error (APE is equal to or less than 10%. It has been reported that forecasts of the CAPM-β using the Bloomberg heuristic did not provide effective forecasts. We were interested to determine if the lack of forecasting accuracy is peculiar to β or is more pervasive. Approach: We expanded the analysis to include three measures of Excess Market Return: Jensen’s α (Jα, the Sharpe Performance Index (SPI and the Treynor Performance Index (TPI and two measures of market risk: we once again consider β and also a measure of non-market risk called idiosyncratic Risk (iR. We used information on 58 firms continuously traded on the NYSE or the NASDAQ from 1980 to and including 2008 to evaluate the effectiveness of forecasts of: Jα, SPI, TPI, β and iR. Results: Using Exponential Smoothing or (1,0,0 ARIMA models, we found no evidence that effective forecasts of these five market measures can be derived from such forecasting models. Conclusion/Recommendations: The important implication is: Financial Managers should be aware that even though they are they are using appropriate models to generate forecasts of Jα, SPI, TPI, β and iR that is no guarantee that such forecasts are effective. Finally, the authors’ results are posted on Scholarly Commons.

Edward J. Lusk

2010-01-01

305

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

306

Dynamic effects of increasing heterogeneity in financial markets  

International Nuclear Information System (INIS)

Despite canonical behavioural financial market models [Day R, Huang W. Bulls, bears and market sheep. J Econ Behav Org 1990;14:299-329], that use different types of agents (i.e., fundamentalist vs. chartists), we develop a model in which the source of instability is the interaction of groups that are homogeneous in the strategy they use, but have heterogeneous beliefs about the fundamental value of the asset. Specifically, heterogeneity arises among two groups of fundamentalists that follow gurus. We show that an increasing distance between beliefs (the degree of heterogeneity), leads first (i) to a pitchfork bifurcation to arise secondly (ii) it generates, together with a larger reaction to misalignment of both market maker and agents, the appearance of a periodic, or even, chaotic, price fluctuation; (iii) finally a homoclinic bifurcation [Dieci R, Bischi GI, Gardini L. From bi-stability to chaotic oscillations in a macroeconomic model. Chaos, Solitons and Fractals 2001;12:805-22] transforms a two piece chaotic set into a one piece chaotic set that generates bull and bear markets.

307

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

308

Alternate entropy measure for assessing volatility in financial markets.  

Science.gov (United States)

We propose two alternate information theoretical approaches to assess non-Gaussian fluctuations in the return dynamics of financial markets. Specifically, we use superinformation, which is a measure of the disorder of the entropy of time series. We argue on theoretical grounds on its usefulness and show that it can be applied effectively for analyzing returns. A study of stock market data for over five years has been carried out using this approach. We show how superinformation helps to identify and classify important signals in the time series. The financial crisis of 2008 comes out very clearly in the superinformation plots. In addition, we introduce the super mutual information. Distinct super mutual information signatures are observed that might be used to mitigate idiosyncratic risk. The universality of our approach has been tested by carrying out the analysis for the 100 stocks listed in S&P100 index. The average superinformation values for the S&P100 stocks correlates very well with the VIX. PMID:23214848

Bose, Ranjan; Hamacher, Kay

2012-11-01

309

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

310

Branding and Integrating Marketing Communications to Strengthen Brand : case: Bank X  

OpenAIRE

In the market where many active competitors provide the same or similar products or services, branding is the strategic key indicator that facilitates a company in achieving its financial target, reputation and customer’s loyalty. This thesis concentrates on analyzing branding strategy and integrating marketing communications to strengthen brand with the case study of Bank X. Although the Bank has a long active history in both international and the Vietnamese markets, the brand is not y...

Nguyen Thanh, Thuy

2014-01-01

311

Merging Advertising and PR: Integrated Marketing Communications.  

Science.gov (United States)

Identifies and compares the perceived educational needs of advertising and public relations practitioners. Explores differences between practitioners in small versus large markets, and assesses practitioners' beliefs about integrated marketing communications (the merger of advertising and public relations under a single organizational unit). (SR)

Rose, Patricia B.; Miller, Debra A.

1994-01-01

312

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

313

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

314

Marketing and Languages: An Integrative Model.  

Science.gov (United States)

A framework is proposed for an integrated course in which knowledge of a language is consciously related to the processes of interpersonal communication and the cultural aspects of marketing and negotiation. (Editor)

McCall, Ian

1988-01-01

315

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

316

The impact of the new wave of financial regulation for European energy markets  

International Nuclear Information System (INIS)

As the financial and physical markets for energy have increasingly become intertwined, energy trade is also covered by financial legislation. The European Commission wishes to strengthen this financial regulation of energy trade. It has put forward a set of regulatory proposals aimed at stabilizing financial markets and limiting volatility of energy prices. The most noteworthy are EMIR, MAD, REMIT and the revised MiFID. Key elements are transparency, new trading venues, central clearing obligations and mandatory transaction reporting. This article evaluates the likely outcomes for energy markets, given the new incentives for market parties. It argues that although there is no ground to exempt particular energy market participants such as energy companies from financial legislation, increased regulation will not necessarily bring about the effects the Commission desires. The causal link between derivatives trading and volatility of energy prices is not known precisely and many of the economic effects of the proposed legislation are theoretically and empirically ambiguous. Moreover, potentially conflicting instruments and objectives risk policy inconsistency. - Highlights: ? The European Commission has put forward a set of financial legislation to stabilize both financial markets and energy prices. ? This article assesses the impact of this financial regulation on energy markets. ? It shows that the theoretical and empirical effects of key elements in this legislaects of key elements in this legislation are ambiguous. ? It argues that, if enacted, particular market parties such as energy companies should not be exempted. ? It concludes that this set of legislation will not necessarily bring about the effects the Commission desires.

317

Design of an Experiment to Test Quantum Probabilistic Behavior of the Financial market  

CERN Document Server

The recent crash demonstrated (once again) that the description of the financial market by present financial mathematics cannot be considered as totally satisfactory. We remind that nowadays financial mathematics is heavily based on the use of random variables and stochastic processes which are described by Kolmogorov's measure-theoretic model for probability ("classical probabilistic model"). I speculate that the present financial crises is a sign (a kind of experiment to test validity of classical probability theory at the financial market) that the use of this model in finances should be either totally rejected or at least completed. One of the best candidates for a new probabilistic financial model is quantum probability or its generalizations, so to say quantum-like (QL) models. Speculations that the financial market may be nonclassical have been present in scientific literature for many years. The aim of this note is to move from the domain of speculation to rigorous statistical arguments in favor of pr...

Khrennikov, Andrei

2009-01-01

318

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

319

Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity  

OpenAIRE

The subject of our study is market liquidity, which is an important element of the functioning of financial markets. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank. On the one hand, of all market segments an examination was made of the domestic forint-euro spot FX market, which is of key importance due to the openness of the country’s economy. On the other hand, an analysis was made of the market of forint denom...

Csa?va?s, Csaba; Erhart, Szila?rd

2005-01-01

320

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

OpenAIRE

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 da...

Ajao, Mayowa Gabriel; Festus, Babatunde Oshobuye

2011-01-01

321

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

OpenAIRE

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 ...

Mohammad Shahidul Islam; Shama Jahan

2012-01-01

322

Studying international spillovers in a New Keynesian continuous time framework with financial markets  

OpenAIRE

In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real economy seriously by developing a fully dynamic theoretical model. Starting from a standard New Keynesian framework, we reformulate and extend the model by means of stochastic differential equations so as to...

Hayo, Bernd; Niehof, Britta

2013-01-01

323

The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market  

CERN Document Server

We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior of the local fractal properties of the WIG time series and the crashes appearance on the financial market.

Grech, D

2007-01-01

324

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. (author)

325

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

326

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

327

Critical dynamics and global persistence exponent on Taiwan financial market  

CERN Document Server

We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $\\theta_{p}$ was defined for non-equilibrium critical phenomena \\cite{Janssen,Majumdar}, and describing dynamic behavior in an economic index \\cite{Zheng}. In recent numerical analysis studies of literatures, it is illustrated that the persistence probability has a universal scaling form $P(t) \\sim t^{-\\theta_{p}}$ \\cite{Zheng1}. In this work, we analyzed persistence properties of universal scaling behavior on Taiwan financial market, and also calculated the global persistence exponent $\\theta_{p}$. We found our analytical results in good agreement with the same universality.

Chen, I C; Li, P C; Chen, H J; Tseng, Hsen-Che; Li, Ping-Cheng; Chen, Hung-Jung

2006-01-01

328

Financial Market Regulation-Security Scams In India with historical evidence and the role of corporate governance  

OpenAIRE

The financial system consists of specialized and non specialized financial institutions, of organized and unorganized financial markets, of financial instruments and services, which facilitate transfer of funds. Procedures and practices adopted in the markets, and financial interrelationships are also parts of this system. In product or other service markets, purchasers part with their money in exchange for something now. In finance, money “now” is exchanged for a “promise to pay in the...

Narayanan, Supreena

2004-01-01

329

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

330

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

OpenAIRE

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...

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

2013-01-01

331

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

OpenAIRE

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

332

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

OpenAIRE

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

333

Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania  

Directory of Open Access Journals (Sweden)

Full Text Available This paper explores the financial linkages between the Romanian stock marketand the exchange market in the context of the global crisis. We investigate suchrelations for two periods of time: one from January 2006 to February 2008,when the Romanian financial markets were quite tranquil and the other fromMarch 2008 to September 2009, while the global crisis effects wereconsiderable for Romania. For the first period of time we could not provesignificant relations between the foreign exchange market and the stock market.Instead, for the second period of time we found a unidirectional causality fromthe exchange rates to the stock prices.

Razvan STEFANESCU

2009-01-01

334

The impact of financial market imperfections on trade and capital flows  

Scientific Electronic Library Online (English)

Full Text Available 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.

335

The global financial crisis: An analysis of the spillover effects on African stock markets  

OpenAIRE

This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. We examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar) spillovers to individual African countries evolve duri...

Sugimoto, Kimiko; Matsuki, Takashi; Yoshida, Yushi

2013-01-01

336

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

OpenAIRE

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

337

Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets  

OpenAIRE

We explore the informational value of credit default swaps and the extent to which they may be linked to financial crises. After developing a theoretical framework to model the relationship between credit default swap market and equity and currency markets, we apply an empirical study which uses logistic regressions and a panel data sample of emerging markets to assess the ability of these financial instruments to predict crises. Regarding them as reflections of future expectations of investo...

Neziri, Hekuran

2008-01-01

338

Reverse engineering financial markets with majority and minority games using genetic algorithms  

OpenAIRE

Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the similarity between the actual data and that generated by the reconstructed virtual stock market, we obtain parameters and strategies, which reveal some of the inner workings of the targ...

Wiesinger, Judith

2013-01-01

339

Cash-in-the-market pricing in a model with money and over-the-counter financial markets  

OpenAIRE

Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result, invest at a higher level. When financial markets are over-the-counter, the price that the entrepreneur receives for the assets that he sells depends on the amount of liquidity (cash) that is in the OTC mar...

Mattesini, Fabrizio; Nosal, Ed

2013-01-01

340

Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania  

OpenAIRE

This paper explores the financial linkages between the Romanian stock marketand the exchange market in the context of the global crisis. We investigate suchrelations for two periods of time: one from January 2006 to February 2008,when the Romanian financial markets were quite tranquil and the other fromMarch 2008 to September 2009, while the global crisis effects wereconsiderable for Romania. For the first period of time we could not provesignificant relations between the foreign exchange mar...

Stefanescu, Razvan; Dumitriu, Ramona

2009-01-01

341

The effectiveness of monetary policy in steering money market rates during the financial crisis  

OpenAIRE

The financial crisis has deeply affected money markets and thus, potentially, the proper functioning of the interest rate channel of monetary policy transmission. Therefore, we analyze the effectiveness of monetary policy in steering euro area money market rates looking at, first, the predictability of money market rates on the basis of monetary policy expectations, and second the impact of extraordinary central bank measures on money market rates. We find that during the crisis money market ...

Abbassi, Puriya; Linzert, Tobias

2012-01-01

342

Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market  

OpenAIRE

Though unambiguously outperforming all other financial markets in terms of liquidity, foreign exchange trading is still performed in opaque and decentralized markets. In particular, the two-tier market structure consisting of a customer segment and an interdealer segment to which only market makers have access gives rise to the possibility of price discrimination. We provide a theoretical foreign exchange pricing model that accounts for market power considerations and analyze a database of th...

Reitz, Stefan; Schmidt, Markus; Taylor, Mark P.

2009-01-01

343

THE EFFECT OF FINANCIAL INTEGRATION ON FINANCIAL DEVELOPMENT AND GROWTH: Pre-Crisis Assessment of the Euro Region  

OpenAIRE

While it is evident that the integration that European countries are involved in through the European Union (EU) is beneficial in terms of labour and trade opportunities, the effect of such integration on financial development is unclear. This paper implements an innovative approach that examines the impact of financial integration on financial development, and subsequently on economic growth within a sample of EU countries, pre-financial crisis of 2008. Traditionally monetary depth measure...

Lillian Kamal

2011-01-01

344

Assessing the readiness of BRICS grouping for mutually beneficial financial integration  

OpenAIRE

This paper assesses the extent of the transmission of equity market volatility shocks between BRICS (Brazil, Russia, India, China and South Africa) countries to infer the degree of risk sharing and the possibility of a beneficial financial integration between its member countries. The paper makes use of the spillover index methodology suggested by Diebold and Yilmaz (2012) to this end. Nonetheless, the paper extends this methodology by making use of ex ante volatility measures that account fo...

Bonga-bonga, Lumengo

2014-01-01

345

Capital flows and economic growth in the era of financial integration and crisis: 1990 - 2010  

OpenAIRE

We investigate the relationship between economic growth and lagged international capital flows, disaggregated into FDI, portfolio investment, equity investment, and short-term debt. We follow about 100 countries during 1990–2010 when emerging markets became more integrated into the international financial system. We look at the relationship both before and after the global crisis. Our study reveals a complex and mixed picture. The relationship between growth and lagged capital flows depends...

Aizenman, Joshua; Jinjarak, Yothin; Park, Donghyun

2011-01-01

346

Institutions for economic and financial integration in Asia: Trends and prospects  

OpenAIRE

Asian economic regionalism has emerged from a bottom-up process, driven by market forces in the absence of a grand plan for regional integration. While the financial crisis of 1997-98 triggered new regional cooperation initiatives, more recently several Asian political leaders have formulated proposals for the creation of a regional economic community, suggesting the possible start of a top-down approach. Based on the results of a survey of Asia's opinion leaders conducted by the Asian Develo...

Capannelli, Giovanni

2011-01-01

347

FEATURES OF THE CAPITAL MARKET’S EVOLUTION IN ROMANIA IN THE CONTEXT OF THE TURBULENCES PRODUCED BY THE FINANCIAL CRISIS  

Directory of Open Access Journals (Sweden)

Full Text Available The international financial markets, through the ampleness and speed with which envolve, are in an unprecedented process of change. Through their functioning, the stock markets have always been characterized by a high sensitivity degree to the changes that take place at investors’ level, on the developments and perspectives of the real economy and of the financial system. The international economy is in a continuous reorganization and transition process, with impact on all nations, these being under the necessity of adapting to the rapid changes that occur worldwide. This restructuring process is led by two dynamic and independent forces: the enhancement of the world’s economy globalization process and the emergence and development of the regional economic arrangements. Even if in 2007, through its membership to the European Union the local capital market benefited from substantial funds inflows, the signs of the global financial crisis initiated in the United States became obvious, 2008 being one of the most difficult years. Due to improper risk management, to the rating agencies’ failures in risk assessment, to inappropriate application of the regulation and control, the existing regulatory and supervisory framework failed to prevent the crisis’ occurence. In the context of globalization and integration into the unique capital market of the European Union, we achieved a blueprint of the internal capital market, in order to identify the main issues that it faces, as well as its developments and perspectives.

Carmen BOGHEAN

2014-12-01

348

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

349

Graduates’ integration on the labour market  

OpenAIRE

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 ...

Palade, A.; Constantin, C.

2013-01-01

350

Preconditions for creation and use of innovative financial instruments in Ukraine’s derivatives market  

Directory of Open Access Journals (Sweden)

Full Text Available This article explores evolution of domestic market of derivatives, its main stages and brief description. Preconditions for creation and use of innovative financial instruments in derivatives market of Ukraine are analysed. For each stage of derivatives markets evolution were defined main trends of its development.

I.M. Burdenko

2012-09-01

351

Consequences of the financial crisis for the insurance markets of the world and Ukraine  

OpenAIRE

The article presents analytical data regarding the influence of the global financial crisis on the activity of the insurance market of some countries. Special attention is given to the dynamics in the development of the insurance market of Ukraine, problems and perspectives of Ukrainian insurance market.

Kozmenko, Olha; Kravchuk, Hanna

2010-01-01

352

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

OpenAIRE

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 t...

Abbas Ataheryan; Masoumeh Sadat Abtahi; Ahmad Rahchamani

2013-01-01

353

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

354

Toward an integrative explanation of corporate financial performance  

CERN Document Server

This volume is a milestone on our journey toward developing a more comprehensive understanding of the underpinnings of corporate financial performance. Weare concerned with both the factors that cause the financial performance of some firms to be better than others at a point in time and those factors that influence the trajectory of firm financial performance over time. In addressing these issues, we consider theoretical and empirical work on financial performance, drawn from several literatures, as well as present the results from our own empirical study. The review of the theoretical and empirical work is contemporary; the major portion of data comprising the empirical study was collected in the early 1980s as part of the Columbia Business School project on corporate strategic planning, but some data sequences extend into the mid-1980s and early 1990s. Our goals are to improve understanding of firm financial performance by developing a more integrated framework and to develop a research agenda based on wha...

Capon, Noel; Hoenig, Scott

1996-01-01

355

The impact of financial crisis on financial supervision in the EU, the USA and the Czech Republic  

OpenAIRE

Globalization and financial integration allows a more efficient allocation of capital in economies. However, integrated financial markets contribute to the dissemination of financial contagion among the financially integrated states. The world financial crisis has uncovered the lack of an efficient system of financial supervision. The paper is focused on the analysis of the impact of the world financial crisis on the systems of financial supervision in the EU, the USA and the Czech Republic. ...

Kuc?erova?, Z.

2010-01-01

356

THE EFFECT OF FINANCIAL INTEGRATION ON FINANCIAL DEVELOPMENT AND GROWTH: Pre-Crisis Assessment of the Euro Region  

Directory of Open Access Journals (Sweden)

Full Text Available While it is evident that the integration that European countries are involved in through the European Union (EU is beneficial in terms of labour and trade opportunities, the effect of such integration on financial development is unclear. This paper implements an innovative approach that examines the impact of financial integration on financial development, and subsequently on economic growth within a sample of EU countries, pre-financial crisis of 2008. Traditionally monetary depth measures are used to assess the size and development of the financial sector. However due to the centralized control of monetary policy, these monetary depth measures lose their effectiveness in assessing financial development within the EU. This paper therefore looks at bank-based measures of financial development in an effort to establish whether a relationship exists between financial development and growth in the European Union countries, and if so, whether this relationship has been affected by financial integration. The paper focuses on the time period before the 2008 financial crisis to avoid the impact of capital flight, failed banking sectors and budgetary issues. The results support the hypothesis that the benefits of economic and financial integration are not uniform. Financial integration does not seem to have a very significant effect on growth where financial development has been controlled for.

Lillian Kamal

2011-10-01

357

Strengthening financial infrastructure  

OpenAIRE

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

358

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

Directory of Open Access Journals (Sweden)

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

359

Efficiency and integration in European banking markets  

OpenAIRE

This paper seeks to contribute to the relatively scarce published research on the relationship between bank efficiency and European integration in the wake of the recent financial crisis. Using Stochastic Frontier Analysis and Data Envelopment Analysis approaches, the study estimates bank efficiency for different panels of European Union countries during the time period 1994-2008. The main conclusions point to the persistence of inefficiencies, which decreased with the implementation of...

Ferreira, Ca?ndida

2011-01-01

360

In Depth Analysis of the Dually Listed Companies in Hong Kong and China Stock Markets Prior and Posterior to the Global Financial Turmoil  

Directory of Open Access Journals (Sweden)

Full Text Available Given the close economic and political activities in Hong Kong and China, we expect the share prices of the companies co-listed in the two financial markets to go in tandem. In this paper, we re-visit the study of co-integration of companies listed in Hong Kong (H-shares and in the Shanghai Stock Exchanges (A-shares, employing the Vector Error Correction Models (VECM and Johansen Trace Test prior and posterior to the global financial crisis. Our results showed consistent and significant co-integration among these A- and H- shares co-listed in these markets.

Olivia T. K. Choi

2013-09-01

361

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

Directory of Open Access Journals (Sweden)

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

362

Corporate market responsibility for orderly financial markets: systemic risk and regulation following Citigroup, sovereign funds, and the credit crunch  

OpenAIRE

How are companies responsible for helping to ensure orderly financial markets? In economic theory, the question is redundant, because orderly markets result from normal business activity, with support from regulators. Within the last few years, however, several episodes have suggested differently. Citigroup investment bank was fined for destabilising bond markets, despite being absolved of criminal conduct. Sovereign wealth funds were compelled to sign a code-of-conduct, to safeguard "free an...

Gomes, Rafael A. R. Pereira

2011-01-01

363

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

OpenAIRE

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

364

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

OpenAIRE

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...

Mengchun Ding; Hongxin Li

2009-01-01

365

Diagnosis and prediction of rebounds in financial markets  

Science.gov (United States)

We introduce the concept of “negative bubbles” as the mirror (but not necessarily exactly symmetric) image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with a hazard rate describing the collective buying pressure of noise traders. The price fall occurring during a transient negative bubble can be interpreted as an effective random down payment that rational agents accept to pay in the hope of profiting from the expected occurrence of a possible rally. We validate the model by showing that it has significant predictive power in identifying the times of major market rebounds. This result is obtained by using a general pattern recognition method that combines the information obtained at multiple times from a dynamical calibration of the JLS model. Error diagrams, Bayesian inference and trading strategies suggest that one can extract genuine information and obtain real skill from the calibration of negative bubbles with the JLS model. We conclude that negative bubbles are in general predictably associated with large rebounds or rallies, which are the mirror images of the crashes terminating standard bubbles.

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier

2012-02-01

366

GOVERNMENTAL FINANCIAL REPORTS: BETWEEN VARIETY AND INTEGRATION  

Directory of Open Access Journals (Sweden)

Full Text Available Governments in general provide two main types of financial information: Government Finance Statistics (GFS, used for macroeconomic analysis and General Purpose Financial Reports (GPFR, more or less according with International Public Sector Accounting Standards, used for making decisions in the public sector entities. The aim of this paper is to make a comparison between GFS and GPFR to extract the similarities and differences between them. The documents of GFS and GPFS will be compared row by row, relieving the common and the different components. Our proposal is to create a unique informational system which generates both GFS and GPFS. This system could bring significant benefits such as saving time or reducing costs.

Andrei R. CRI?AN

2014-06-01

367

A factor analysis approach to measuring European loan and bond market integration  

OpenAIRE

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sen...

Wagenvoort, Rien; Ebner, Andre?; Morgese Borys, Magdalena

2009-01-01

368

A factor analysis approch to measuring European loan and bond market integration  

OpenAIRE

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sen...

Wagenvoort, Rien; Ebner, Andre?; Morgese Borys, Magdalena

2009-01-01

369

The integration, the french market driving force  

International Nuclear Information System (INIS)

With the order of the 10 July 2007, the purchase tariffs of the photovoltaic electricity favors the development of integrated products and the particular market. The author analyzes the economical interest of this order and the impacts on the sector development. (A.L.B.)

370

Export Market Exit, Financial Pressure and the Crisis  

OpenAIRE

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 with...

Go?rg, Holger; Spaliara, Marina-eliza

2013-01-01

371

Financial Distress Prediction in Emerging Market: Empirical Evidences from Iran  

OpenAIRE

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, con...

Mahdi Salehi; Bizhan Abedini

2009-01-01

372

A numeraire-free and original probability based framework for financial markets  

CERN Document Server

In this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete markets in terms of martingale deflators, present a recent result of Kramkov and Schachermayer (1999, 2001) on portfolio optimization and give a review of utility-based approach to contingent claim pricing in incomplete markets.

Yan, J A

2003-01-01

373

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

OpenAIRE

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 ...

Komlavi Elubueni Assidenou

2011-01-01

374

Transmission of the Global Financial Crisis to the East Asian Equity Markets  

OpenAIRE

This paper investigates the transmission mechanism of the Global Financial Crisis originated in the United States to the East Asian equity markets, including the developed markets (Hong Kong, Japan and Singapore), emerging markets (Malaysia, Thailand and Taiwan) and frontier market (Vietnam). To test for the transmission, we employ the constant conditional correlation (CCC) and the dynamic conditional correlation (DCC) based on the MGARCH model to estimate the time-varying correlations betwee...

Tran Phuong Thao; Kevin Daly; Craig Ellis

2013-01-01

375

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

OpenAIRE

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

376

Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis  

OpenAIRE

This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used as a benchmark market. We employ a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model to identify the direction and magnitude of volatility spillovers. By using a sample of daily data from 1994 to 2009, we find eviden...

Dimitriou, Dimitrios; Mpitsios, Petros; Simos, Theodore

2011-01-01

377

The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries  

OpenAIRE

This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but most hardly affected market among the group of six markets was Dubai financial market in which portfolio loss reached about 42 per cent. This indicates that Dubai debt crisis, which emerged on surface i...

Onour, Ibrahim

2010-01-01

378

Impact of Terrorism on Financial Markets of Pakistan (2006-2008)  

OpenAIRE

The study is an effort to estimate the impact of terrorist activities on the financial markets in Pakistan over the period of two years i.e. 2006 to 2008. It also finds out the extent and direction of relationship between the terrorist activities and three financial markets of Pakistan, which are the Karachi Stock Exchange, the FOREX market and the Interbank market. After collection of the primary data for the terrorist activities on daily basis and the secondary data on the indicators of...

Gul, Tayyeba Gul; Hussain, Anwar Hussain; Bangash, Shafiqullah Bangash; Khattak, Sanam Waghma Khattak

2010-01-01

379

Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms  

CERN Document Server

Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the similarity between the actual data and that generated by the reconstructed virtual stock market, we obtain parameters and strategies, which reveal some of the inner workings of the target stock market. We validate our approach by out-of-sample predictions of directional moves of the Nasdaq Composite Index.

Wiesinger, J; Satinover, J

2010-01-01

380

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

381

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

382

A multifractality analysis of Ising financial markets with small world topology  

Science.gov (United States)

Following our preceding study [H. Zhao et al., Europhys. Lett. 101, 18001 (2013)], in which a self-organizing Ising-like model of artificial financial markets with underlying small world (SW) network topology was investigated, we continue to proceed a multifractal analysis of the price dynamics of the model in current paper. We find that the price return exhibits multifractal property. This suggests that our Ising-like model reproduces the major stylized facts of real world financial markets.

Zhang, Yi; Li, Xue

2015-03-01

383

Impulse Response Functions and Causality Test of Financial Stress and Stock Market Risk Premiums  

OpenAIRE

Using the vector autoregressive (VAR) framework, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis Financial Stress Index and excess returns on the CRSP value-weighted index from 1994:2 to 2012:5 shows that market risk premiums become negative in the first, second and third, fourth and twelfth months follo...

Vichet Sum

2012-01-01

384

Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model  

OpenAIRE

This heterogeneous interacting agents model of a financial market is a generalization of the model proposed by Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency Transaction Tax Harm More: Short-term Speculators or Long-term Investors?). Our research goals are, first, to study what consequences the introduction of heterogeneous...

Demary, Markus

2010-01-01

385

Sovereign rating news and financial markets spillovers: Evidence from the European debt crisis  

OpenAIRE

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However,...

Arezki, Rabah; Candelon, Bertrand; Sy, Amadou

2011-01-01

386

The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data  

Directory of Open Access Journals (Sweden)

Full Text Available The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns test for nonlinearity. Our estimation results suggest that a tick/volatility ratio threshold exists, beyond which the test results are biased. Further, tick/volatility ratios that exceed these thresholds are frequently observed in financial markets data, which suggests that the results of the BDS and CR test must be interpreted with caution.

Heather Mitchell

2011-05-01

387

Impact of changes in the global financial regulatory landscape on Asian emerging markets  

OpenAIRE

This paper discusses the relevance of Basel III to Asian emerging markets. It reviews some of the proposed regulations of Basel III in order to evaluate their likely implications for, and their ability to enhance, the stability of the banking and financial system. This is followed by a discussion on the challenges faced by the regulators of Asian emerging markets in effectively managing their financial regulations, given their capacity and institutional constraints. The paper concludes with p...

Watanagase, Tarisa

2012-01-01

388

Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil  

OpenAIRE

The financial crisis has revealed the dysfunction of all banking and financial regulatory mechanisms. Prudential regulation failed to prevent the meltdown. Market discipline neglected to send any warning signals. Internal control was seriously undermined by doubtful dealings, in France as elsewhere. Does the crisis call the big three into question? No regulation mechanism is omniscient, whether it be state, market or self-regulation. As such, none of three can operate without the other two, w...

Couppey-soubeyran, Je?zabel

2010-01-01

389

Financial crisis spillovers to the corporate sector: Bank-dependent borrowers versus bond market paticipants  

OpenAIRE

This paper provides empirical evidence on the impact that shocks to capital providers have on their borrowers’ performance. We use the recent financial crisis, which was originated in the U.S. mortgage market, as reasonably exogenous shock to the performance of European Union-based companies, therefore allowing us to disentangle credit supply and demand-side frictions. Our results show that bank-dependent firms were more adversely affected by the financial crisis in terms of stock market va...

Marques, Ana Catarina Henriques Simo?es

2013-01-01

390

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

OpenAIRE

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

391

What Drives Financial Complexity? A Look into the Retail Market for Structured Products  

OpenAIRE

We investigate the drivers of financial complexity by focusing on the highly innovative retail market for structured products. We perform a text analysis of the term sheets of 55,000 retail structured products issued in 17 European countries since 2002. We note that financial complexity has steadily increased, even after the recent financial crisis. We then show that product complexity is correlated with promised return salience, which is consistent with investors reaching for yield. We also ...

Ce?le?rier, Claire Myriam

2014-01-01

392

On the need for an international lender of last resort: Lessons from domestic financial markets  

OpenAIRE

The increasing incidence and intensity of crises in the international financial markets during the 1990s have given new impetus to the debate on reform of the international financial system. Much of the discussion focuses on the idea of an international lender of last resort which could provide liquidity to ensure the stability of the international financial system. This paper responds to the question of whether an international lender of last resort is necessary by presenting both the differ...

Winkler, Adalbert

2001-01-01

393

Model of possible cooperation in financial markets in presence of tax on speculative transactions  

OpenAIRE

In this paper, we propose an economic and mathematical model to protect the financial markets from speculative attacks, by introducing a tax on financial speculative transactions. By using Game Theory, we focus on the interaction between two general players: a real economic subject (we call Enterprise) acting with hedging scopes and a bank (we call Financial Institute) acting with speculative purposes. We find different equilibria of our game, by considering friendly, selfless, selfish, fearf...

Francesco Musolino; David Carfi'

2013-01-01

394

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

OpenAIRE

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...

Duguleana, L.; Nicolae, C. M.

2013-01-01

395

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

396

The role of the Polish Financial Supervision Authority in the new European architecture of supervision over the financial market  

Directory of Open Access Journals (Sweden)

Full Text Available The purpose of this paper is to analyze the main provisions of the regulation of European financial supervision from the perspective of the competencies and functions of the Polish Financial Supervision Authority (KNF. It was also considered necessary by the Authors to present the current tasks, aims and competencies of the KNF. The implementation of a new supervisory structure in the EU brought about changes to the functioning of the KNF. These changes are particularly visible in the regulatory functions as domestic supervisory authorities are obliged to introduce uniform supervisory standards defined on a European level. The current reform of the European financial markets has shown that the role of national supervisors in the financial safety net requires a new approach. It is obvious that in these times of financial crisis, national supervisors must incur significant costs, namely the functional reduction of regulatory independence in some matters. This paper is a contribution to the discussion on the course of the development of Polish and EU financial markets supervision.

Magdalena Fedorowicz

2012-12-01

397

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

Directory of Open Access Journals (Sweden)

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

398

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

399

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

400

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

Directory of Open Access Journals (Sweden)

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

401

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

Directory of Open Access Journals (Sweden)

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

402

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

Directory of Open Access Journals (Sweden)

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

403

Case Mix Management Systems: An Opportunity to Integrate Medical Records and Financial Management System Data Bases  

Science.gov (United States)

Due to previous systems selections, many hospitals (health care facilities) are faced with the problem of fragmented data bases containing clinical, demographic and financial information. Projects to select and implement a Case Mix Management System (CMMS) provide an opportunity to reduce the number of separate physical files and to migrate towards systems with an integrated data base. The number of CMMS candidate systems is often restricted due to data base and system interface issues. The hospital must insure the CMMS project provides a means to implement an integrated on-line hospital information data base for use by departments in operating under a DRG-based Prospective Payment System. This paper presents guidelines for use in selecting a Case Mix Mangement System to meet the hospital's financial and operations planning, budgeting, marketing, and other management needs, while considering the data base implications of the implementation.

Rusnak, James E.

1987-01-01

404

Prospect for the oil market as a consequence of the financial crisis  

International Nuclear Information System (INIS)

The Peak Oil Netherlands Foundation shines its light on the consequences of the financial crisis for the global oil market and the relation between oil prices and the credit crisis; short term supply and demand on the oil market; supply and demand of petroleum up to 2015; the volatility of the oil price and the meaning of volatility for the energy transition [mk

405

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

Directory of Open Access Journals (Sweden)

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

406

Market Integration, Choice of Technology and Welfare  

DEFF Research Database (Denmark)

This paper develops an international trade model where firms in a duopoly may diversify their technologies for strategic reasons. The firms face the same set of technologies given by a tradeoff between marginal costs and fixed costs, but depending on trade costs firms may choose different technologies. Market integration may induce a technological restructuring where firms either diversify their technologies or switch to a homogeneous technology. In general, market integration improves welfare. However, a small decrease of trade costs which induces a switch from heterogeneous technologies to a homogeneous technology may locally reduce global welfare. The model also shows that productivity differences lead to intra-industry firm heterogeneity in size and exports similar to the "new-new" trade models with monopolistic competition.

Hansen, JØrgen Drud; Nielsen, JØrgen Ulff-MØller

2010-01-01

407

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

Directory of Open Access Journals (Sweden)

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

408

Flexible reserve markets for wind integration  

Science.gov (United States)

The increased interconnection of variable generation has motivated the use of improved forecasting to more accurately predict future production with the purpose to lower total system costs for balancing when the expected output exceeds or falls short of the actual output. Forecasts are imperfect, and the forecast errors associated with utility-scale generation from variable generators need new balancing capabilities that cannot be handled by existing ancillary services. Our work focuses on strategies for integrating large amounts of wind generation under the flex reserve market, a market that would called upon for short-term energy services during an under or oversupply of wind generation to maintain electric grid reliability. The flex reserve market would be utilized for time intervals that fall in-between the current ancillary services markets that would be longer than second-to-second energy services for maintaining system frequency and shorter than reserve capacity services that are called upon for several minutes up to an hour during an unexpected contingency on the grid. In our work, the wind operator would access the flex reserve market as an energy service to correct for unanticipated forecast errors, akin to paying the generators participating in the market to increase generation during a shortfall or paying the other generators to decrease generation during an excess of wind generation. Such a market does not currently exist in the Mid-Atlantic United States. The Pennsylvania-New Jersey-Maryland Interconnection (PJM) is the Mid-Atlantic electric grid case study that was used to examine if a flex reserve market can be utilized for integrating large capacities of wind generation in a lowcost manner for those providing, purchasing and dispatching these short-term balancing services. The following work consists of three studies. The first examines the ability of a hydroelectric facility to provide short-term forecast error balancing services via a flex reserve market, identifying the operational constraints that inhibit a multi-purpose dam facility to meet the desired flexible energy demand. The second study transitions from the hydroelectric facility as the decision maker providing flex reserve services to the wind plant as the decision maker purchasing these services. In this second study, methods for allocating the costs of flex reserve services under different wind policy scenarios are explored that aggregate farms into different groupings to identify the least-cost strategy for balancing the costs of hourly day-ahead forecast errors. The least-cost strategy may be different for an individual wind plant and for the system operator, noting that the least-cost strategy is highly sensitive to cost allocation and aggregation schemes. The latter may also cause cross-subsidies in the cost for balancing wind forecast errors among the different wind farms. The third study builds from the second, with the objective to quantify the amount of flex reserves needed for balancing future forecast errors using a probabilistic approach (quantile regression) to estimating future forecast errors. The results further examine the usefulness of separate flexible markets PJM could use for balancing oversupply and undersupply events, similar to the regulation up and down markets used in Europe. These three studies provide the following results and insights to large-scale wind integration using actual PJM wind farm data that describe the markets and generators within PJM. • Chapter 2 provides an in-depth analysis of the valuable, yet highly-constrained, energy services multi-purpose hydroelectric facilities can provide, though the opportunity cost for providing these services can result in large deviations from the reservoir policies with minimal revenue gain in comparison to dedicating the whole of dam capacity to providing day-ahead, baseload generation. • Chapter 3 quantifies the system-wide efficiency gains and the distributive effects of PJM's decision to act as a single balancing authority, which means that it procures ancill

Fernandez, Alisha R.

409

Comparing two financial crises: the case of Hong Kong real estate markets  

OpenAIRE

Hong Kong is no stranger to bubbles or crisis. During the Asian Financial Crisis(AFC), the Hong Kong housing price index drops more than 50% in less than a year. The same market then experiences the Internet Bubble, the SARS attack, and recently the Global Financial Crisis (GFC). This paper attempts to provide some “stylized facts” of the real estate markets and the macroeconomy, and follow the event-study methodology to examine whether the markets behave differently in the AFC and GFC, a...

Leung, K. Y. Charles; Tang, C. H. Edward

2011-01-01

410

Regulations and monitoring of the financial part of the electricity market  

International Nuclear Information System (INIS)

The electricity derivatives market has grown significantly during the last few years. It refers to all commodity derivatives (options, futures and forwards) based on electricity and traded either on the Nord Pool Exchange or bilaterally between single parties. The growth of the derivatives market has also led to an increasing need for relevant regulation and monitoring. In this report ECON describes how the common financial regulations (e.g. Sweden's Securities Operations Act) affect power sector companies and how the electricity derivatives market is being monitored by the Swedish and the Norwegian financial supervisory authorities. The aim of the report is to give ideas about possible future research projects about the electricity derivatives market. In Sweden commodity derivatives based on electricity are generally considered to be 'financial instruments' according to The Trading in Financial Instruments Act. At least this seems to be the case with contracts traded on Nord Pool and bilateral contracts that can be subject to clearing by Nord Pool. In some cases, companies wanting to offer services regarding financial instruments in the Swedish market need a special licence and it comes from the Swedish Financial Supervisory Authority. The services that require a special permit are: trading financial instruments, in one's own name, on behalf of another party, brokering of contacts between purchasers and sellers, trading in financial instruments on one's own account, nancial instruments on one's own account, management of another party's financial instruments, and underwriting or other participation in issuances of securities or offers to purchase or sell financial instruments directly to the public. A licence to conduct a securities operation brings with it, among other things, certain mandatory capital requirements. Securities operations should also be conducted in such a manner that public confidence is maintained in the securities markets. Regulation should insure that for example, insider trading is not possible. Today less than ten Swedish power sector companies hold a licence to conduct securities operations, while another five or so have applied for a licence. The Swedish Financial Supervisory Authority is responsible for supervising the securities markets and monitoring compliance. So far, however, the authority seems to have given low priority to the financial part of the electricity market. The European Council Directive on investment services in the securities field does not apply to commodity derivatives. This means that the regulation of the electricity derivatives market differs between European countries. Norway, for instance, has a less strict regulation than Sweden. A major difference is that Norwegian companies that offer commodity derivatives don't need a special licence. ECON ends the report, by listing certain questions that we feel justify further investigation, for example: In what way is competition affected by the fact that different countries within the common Nordic electricity exchange area have different financial regulations? What are the costs of having different financial regulations, in different countries within the common Nordic electricity exchange area? Since Nord Pool in Norway soon will be authorised to act as a securities exchange: What differences are there between Swedish and Norwegian exchange regulations? How do these differences affect Nord Pool? Are there financial contracts traded bilaterally between single parties that are not considered to be financial instruments? If so, what are the consequences? Are there on the Swedish market actors without licences offering investment services of a kind that really should require a licence? Do the monitoring activities of the Swedish and the Norwegian financial supervisory authorities differ in any significant way?

411

Predicting Financial Markets: Comparing Survey,News, Twitter and Search Engine Data  

CERN Document Server

Financial market prediction on the basis of online sentiment tracking has drawn a lot of attention recently. However, most results in this emerging domain rely on a unique, particular combination of data sets and sentiment tracking tools. This makes it difficult to disambiguate measurement and instrument effects from factors that are actually involved in the apparent relation between online sentiment and market values. In this paper, we survey a range of online data sets (Twitter feeds, news headlines, and volumes of Google search queries) and sentiment tracking methods (Twitter Investor Sentiment, Negative News Sentiment and Tweet & Google Search volumes of financial terms), and compare their value for financial prediction of market indices such as the Dow Jones Industrial Average, trading volumes, and market volatility (VIX), as well as gold prices. We also compare the predictive power of traditional investor sentiment survey data, i.e. Investor Intelligence and Daily Sentiment Index, against those of t...

Mao, Huina; Bollen, Johan

2011-01-01

412

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

Directory of Open Access Journals (Sweden)

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

413

Market-based implementation of Kyoto commitments: how the financial/insurance sector can support industry  

International Nuclear Information System (INIS)

The implementation of the Kyoto Protocol in the context of the Framework Convention on Climate Change will probably lead to economic winners and losers in various sectors of the economy. Especially carbon intensive industries will need to develop hedging strategies to prevent potential negative effects and to optimise market opportunities. Such strategies can be based on technological innovation, market and product diversification, and on financial/legal offsets. The Kyoto Protocol has introduced new market-based instruments, which can, in a near future provide such hedging opportunities. These include joint implementation, the so-called clean development mechanism, and international emissions trading. The financial services and insurance sector are the natural partners of industry in designing tailored hedging strategies. It is recommended that industry, financial services and insurance companies take a more proactive role in further developing the market-based instruments established by the Kyoto Protocol. (Author)

414

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.

415

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

Directory of Open Access Journals (Sweden)

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

416

Are financial markets embedded in economics rather than society? A critical review of the performativity thesis  

OpenAIRE

DIIS Working Paper reviews a recent influential branch within the Social Studies of Finance literature which asserts that financial markets are embedded in economics rather than in soci-ety (as scholars of the New Economic Sociology would have it). Coming from actor-network theory, the literature contributes conceptually to an extended ontology of markets and agency and empirically to an improved understanding of the importance of economist's role in con-structing markets and assembling econo...

Henriksen, Lasse Folke

2009-01-01

417

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

OpenAIRE

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 c...

Mitran Paula Cornelia; Bebeselea Mihaela

2009-01-01

418

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

OpenAIRE

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

419

Stressed, not frozen: The federal funds market in the financial crisis  

OpenAIRE

This paper examines the impact of the financial crisis of 2008, specifically the bankruptcy of Lehman Brothers, on the federal funds market. Rather than a complete collapse of lending in the presence of a market-wide shock, we see that banks became more restrictive in their choice of counterparties. Following the Lehman bankruptcy, we find that amounts and spreads became more sensitive to a borrowing bank's characteristics. While the market did not contract dramatically, lending rates increas...

Afonso, Gara; Kovner, Anna; Schoar, Antoinette

2010-01-01

420

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

OpenAIRE

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 reduci...

Berger, Sven C.; Fabian Gleisner

2009-01-01

421

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

Directory of Open Access Journals (Sweden)

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

422

An Investigation of the Integrity of Internet Financial Reporting  

Directory of Open Access Journals (Sweden)

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

423

Regulation and electricity market integration: When trade introduces inefficiencies  

OpenAIRE

Electricity markets vary greatly across jurisdictions, in terms of regulatory institutions, cost levels and environmental impacts. Integrating such different markets can lead to significant changes. This paper considers two jurisdictions - one with a regulated monopoly selling at average cost and one with a competitive market - and compares three different institutional regimes: autarky, a mixed-market structure with trade and a fully integrated market, where electricity is sold at marginal c...

Billette Villemeur, Etienne; Pineau, Pierre-olivier

2012-01-01

424

Global Economic Crisis. Case Study on the Romanian Financial Market  

OpenAIRE

The first part of the present paper proposes to study the concept of global financial system and the issues that led to outline its approach frame, as well as what effects could have the actual economic crisis on the global financial system and which are the factors considered to be the causes that generated economic crises in the last few years.Moreover, in this paper we refer to the concept of financial instability, more precise we underline the fact that banks can represent the main financ...

Stelian Stancu, Prof Ph D.; Candidate Madalina Oana Predescu, Ph D.

2009-01-01

425

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

OpenAIRE

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

426

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

Directory of Open Access Journals (Sweden)

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

427

Financial markets meltdown: What can we learn from Minsky?  

OpenAIRE

In this new Public Policy Brief, Senior Scholar L. Randall Wray explains today's complex and fragile financial system, and how the seeds of crisis were sown by lax oversight, deregulation, and risky innovations such as securitization. He estimates that the combined losses throughout the entire financial sector could amount to several trillion dollars, and that the United States will feel the effects of the crisis for some time - perhaps a decade or more. Wray recommends enhanced oversight of ...

Wray, L. Randall

2008-01-01

428

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

Directory of Open Access Journals (Sweden)

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

429

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

Science.gov (United States)

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

430

Financial innovations and the organisation of stock market trading  

Directory of Open Access Journals (Sweden)

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

431

Integrated Marketing in Higher Education. Research Report 01-01.  

Science.gov (United States)

Integrated marketing deals with aspects often referred to as the "4 Ps": product, price, place, and promotion. These aspects have also been described as the "4 Cs": customer, cost, convenience, and communication. Integrated marketing has been defined as "a listening-first, database-dependent approach to marketing that includes both a willingness…

Morris, L. Michelle; Cejda, Brent D.

432

Self-organized model for information spread in financial markets  

OpenAIRE

A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on the market structure of this model, some stylized observations of real market can be reproduced, including the slow decay of volatility correlations, and the fat tail distribution of price returns which is found to cross over to an exponent...

Huang, Zhi-feng

2000-01-01

433

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

434

Model of possible cooperation in financial markets in presence of tax on speculative transactions  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper, we propose an economic and mathematical model to protect the financial markets from speculative attacks, by introducing a tax on financial speculative transactions. By using Game Theory, we focus on the interaction between two general players: a real economic subject (we call Enterprise acting with hedging scopes and a bank (we call Financial Institute acting with speculative purposes. We find different equilibria of our game, by considering friendly, selfless, selfish, fearful or aggressive behavior of players; we note that no equilibrium is good for both players, and each of them prevent at least one of the two economic subjects to obtain profits. So, we propose two different transferable utility solutions, in order to achieve a result satisfying both economic subjects and, at the same time, to achieve a condition promoting the stability of the financial markets in which our two players are interacting.

Francesco Musolino

2013-06-01

435

DEVELOPMENT FINANCIAL INSTITUTIONS AND THEIR ROLE IN SUPPORTING EMERGING MARKETS PRIVATE EQUITY FUNDS  

Directory of Open Access Journals (Sweden)

Full Text Available Development financial institutions have emerged in the last years as major investors in the private equity industry. Their main goals are to create new jobs, to foster innovation and to develop the private sector. The aim of the paper is to analyze the role played by the development financial institutions in the creation and development of emerging markets private equity funds in the light of financial crisis started in 2008. We found that many development banks have increased their financial support to the emerging markets private equity funds and have improved the standards and norms of the local industry. They played a countercyclical role during a difficult period when private investors proved reluctant in backing new private equity funds.

ANTON Sorin Gabriel

2013-12-01

436

Prospecting for Sustainable Investment Possibilities in Financial Markets  

Directory of Open Access Journals (Sweden)

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

437

Managing gas plant margins through the financial commodities market  

International Nuclear Information System (INIS)

Gas processors invest capital in gas plants to condition raw natural gas for market. They also attempt to upgrade the value of natural gas streams by removing gas liquids contained in these streams and selling them for a profit. Unfortunately, this is not always possible. Gas processing profit margins swing up and down in line with the volatility of the natural gas and gas liquids markets. Consequently the return on gas processors invested capital also swings up and down through ''good years'' and ''bad years''. Until recently, gas processors have had to bear the risk associated with these swings in margins. While an efficient market exists for products like crude oil on the New York Mercantile Exchange, no similar market has been available for gas liquids. The NYMEX propane contract has not developed sufficient liquidity for year round hedging of propane, much less the other gas liquids. Processors in regions without access to the Belvieu market encounter an even more difficult task attempting to use the NYMEX contract to hedge. Today this inability to manage risk is beginning to change. The natural gas markets have led the way since their deregulation with an actively traded over-the-counter forwards market firmly established. An over-the-counter forwards market for gas liquids has also started to emerge. It is through these new and emerging markets that a gas plant's profitability can be hedged

438

Transmission of the Global Financial Crisis to the East Asian Equity Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper investigates the transmission mechanism of the Global Financial Crisis originated in the United States to the East Asian equity markets, including the developed markets (Hong Kong, Japan and Singapore, emerging markets (Malaysia, Thailand and Taiwan and frontier market (Vietnam. To test for the transmission, we employ the constant conditional correlation (CCC and the dynamic conditional correlation (DCC based on the MGARCH model to estimate the time-varying correlations between the United States and East Asian equity markets. Our empirical findings suggest that the Global Financial Crisis transmitted to these markets vary over time, particularly to Hong Kong and Singapore during the pre-crisis period, and to Japan and Vietnam during the crisis period. In addition, the results show that almost all the East Asian markets reveal higher correlations to other markets in the region than the United States even during the crisis period. Finally, the crisis is attributed to enhancing the correlations between the frontier market towards regional and global markets.

Tran Phuong Thao

2013-04-01

439

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

440

Direct Contagion in Financial Networks with Mark-to-Market and Historical Cost Accounting Rules  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper we compare the effects of two accounting rules, the mark-to-market and the historical cost regimes, on the dynamics of direct, balance sheet contagion in financial networks. This is done using a flow-network representation of a financial system and of the propagation of losses that crosses it as a consequence of a negative shock. We show that, for any network and any shock, the flow of losses generated with the mark-to-market rule is larger than the one generated by accounting at historical cost. This implies that a financial network is more exposed to default contagion, both in terms of scope and threshold of contagion, under the marking-to-market accounting regime, than with the historical cost regime.

Mario Eboli

2010-10-01

441

Growth of Asian pension assets: Implications for financial and capital markets  

OpenAIRE

Pension assets have seen rapid growth world-wide over the past decades, although they suffered large losses during the global financial crisis of 2007 - 2008. Such growth is notably due to both structural and parametric pension reforms since the 1980s. In the Asian region too, the pension market has steadily expanded. This paper seeks to identify the impact of Asian pension funds on selected key transmission mechanisms from pension reform to financial development. Utilizing a panel error corr...

Hu, Yuwei

2012-01-01

442

Central bank communication and the perception of monetary policy by financial market experts  

OpenAIRE

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

Schmidt, Sandra; Nautz, Dieter

2010-01-01

443

Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions  

OpenAIRE

In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a global credit crunch. We then evaluate the short-term efficiency of these policies in the context of the UK, the US and the French financial markets using different modelling techniques. On the one hand, th...

Arouri, Mohamed El Hedi; Jawadi, Fredj; Nguyen, Duc Khuong

2010-01-01

444

High quality topic extraction from business news explains abnormal financial market volatility  

OpenAIRE

Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying how news of all possible types (geopolitical, environmental, social, financial, economic, etc.) affects trading and the pricing of firms in organized stock markets. In this article, we seek to address this issue by performing an analysis of more than 24 mill...

Hisano, Ryohei; Sornette, Didier; Mizuno, Takayuki; Ohnishi, Takaaki; Watanabe, Tsutomu

2012-01-01

445

Behavioral financial engineering in the fixed-income market: The influence of the coupon structure  

OpenAIRE

In this paper we investigate the influence of coupon structure on the financial behavior of Individual Investors in the fixed-income market. Examining circa 26 million decisions on 204 standard putable bonds with different coupon offerings our major findings are: (i) Products with a flat coupon structure and a high duration attract fewer investors and are significantly more often exercised early, whereas financially equal products with a steeply rising coupon structure arouse more interest am...

Eickholt, Mathias

2014-01-01

446

Financial and Currency Crises: Contagion and Welfare Costs in Emerging Markets  

OpenAIRE

Crises in emerging markets during the 1990’s pose a challenge to understand why economies with apparently strong fundamentals did face severe devaluations and severe disruption in their functioning. We study three different aspects of crises: i) Contagion is defined as the possibility of a domestic financial or currency crisis to spread to other countries. We study the 1990’s crises and introduce a new measure for defining financial crises and isolating their impact on currency crise...

Larios-martinez, Heriberto

2006-01-01

447

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

OpenAIRE

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...

Srdjan Redzepagic; Goran Andjelic; Dejan Eric

2009-01-01

448

The politics of financial markets and regulation : The United States, Japan, and Germany  

OpenAIRE

In the post-Bretton Woods era, the advent of ever-expanding capital markets beyond national borders led to a series of financial reforms in many industrial economies. In comparing reform cases across different time periods in the United States, Japan, and Germany, Sara Konoe stresses the role of dynamic interactions between institutions and political contexts in determining reform paths. In non-crisis periods, regulatory fragmentation is utilized by financial sectors to pursue their demands f...

Konoe, Sara

2013-01-01

449

The price and volatility transmission of international financial crises to the South African equity market / Ricardo Manuel da Câmara  

OpenAIRE

There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this co-movement is more prevalent over crisis periods and can be seen in returns and volatility transmission effects. The recent financial crisis demonstrated that no local market is immune to transmission effects from international markets. South African financial market particip...

Da Ca?mara, Ricardo Manuel

2011-01-01

450

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

Directory of Open Access Journals (Sweden)

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

451

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

452

The Integration of Corporate Non-Market and Market Strategies : Why, What and How  

DEFF Research Database (Denmark)

Purpose: This paper aims to systematically examine the key notion of integration of non-market and market strategies in the increasingly popular study of corporate non-market strategies. Design/methodology/approach: This paper is based on a brief literature review of the non-market strategy (NMS) research that shows the existing literature does not offer a clear and systematic account of the key notion of integration. It suggests any systematic account of integration should address at least three interrelated questions, i.e. why, what and how to integrate non-market and market strategies? Findings: For the why question, the authors use a formal model to demonstrate that the essence of the most important type of integration synergy lies in the positive spillover or externality from non-market to market strategies. For the what question, the authors identify the contents of integration at three levels, i.e. the level of non-market environment analysis, the level of NMS choice, and the level of non-market dynamic interactions. For the how question, the authors argue that the combination of non-market and market strategies should be seamless in terms of horizontal, vertical and intentional coordination. Overall, the authors argue, only when the right contents are combined and seamlessly coordinated will there be high synergies from integration of non-market and market strategies. Practical implications: Managers are advised to give non-market strategies full attention. Managers charged with non-market tasks should explore how to seamlessly coordinate non-market and market strategies in order to gain maximal synergies. Originality/value: This paper is the first to examine the key notion of integration in a systematic manner. It is the first to propose a three-question solution to systematic understanding of the notion and the first to propose the seamless coordination concept and its associated three aspects of seamless coordination.

Xie, Peihong; Li, Xin

2014-01-01

453

The Effects of the Subprime Crisis on the Latin American Financial Markets: An Empirical Assessment  

OpenAIRE

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC stock markets in the aftermath of the 2007/2008 crisis be explained by the worsening financial environment in the US markets? To this end, we rely on a time-varying transition probability Markov-switching model, in which "crisis" and "non-crisis" periods are identified endogenously. Using daily data from January 2004 to April 2009, our findings do not validate the "financial dec...

Dufre?not, Gilles; Mignon, Vale?rie; Peguin-feissolle, Anne

2011-01-01

454

Direct Contagion in Financial Networks with Mark-to-Market and Historical Cost Accounting Rules  

OpenAIRE

In this paper we compare the effects of two accounting rules, the mark-to-market and the historical cost regimes, on the dynamics of direct, balance sheet contagion in financial networks. This is done using a flow-network representation of a financial system and of the propagation of losses that crosses it as a consequence of a negative shock. We show that, for any network and any shock, the flow of losses generated with the mark-to-market rule is larger than the one generated by accounting a...

Mario Eboli

2010-01-01

455

Time evolution of financial cross-correlation coefficients across market crisis  

OpenAIRE

We investigate the time evolution of financial cross-correlation coefficients during financial crises and compare them to what is observed in periods of stability. We choose three main events, the Dot.Com Bubble, the market crisis which followed the attacks at the Twin Towers in 2001 and the recent subprime crisis. Each of them has a different nature and a different impact on the market, which we analyze by studying separately different economic sectors. As a general trend, we observe an incr...

Tacchella, Andrea; Cristelli, Matthieu; Zaccaria, Andrea; Pietronero, Luciano

2012-01-01

456

Integrating Renewables in Electricity Markets : Operational Problems  

DEFF Research Database (Denmark)

This addition to the ISOR series addresses the analytics of the operations of electric energy systems with increasing penetration of stochastic renewable production facilities, such as wind- and solar-based generation units. As stochastic renewable production units become ubiquitous throughout electric energy systems, an increasing level of flexible backup provided by non-stochastic units and other system agents is needed if supply security and quality are to be maintained. Within the context above, this book provides up-to-date analytical tools to address challenging operational problems such as: • The modeling and forecasting of stochastic renewable power production. • The characterization of the impact of renewable production on market outcomes. • The clearing of electricity markets with high penetration of stochastic renewable units. • The development of mechanisms to counteract the variability and unpredictability of stochastic renewable units so that supply security is not at risk. • The trading of the electric energy produced by stochastic renewable producers. • The association of a number of electricity production facilities, stochastic and others, to increase their competitive edge in the electricity market. • The development of procedures to enable demand response and to facilitate the integration of stochastic renewable units. This book is written in a modular and tutorial manner and includes many illustrative examples to facilitate its comprehension. It is intended for advanced undergraduate and graduate students in the fields of electric energy systems, applied mathematics and economics. Practitioners in the electric energy sector will benefit as well from the concepts and techniques explained in this book.

Morales González, Juan Miguel; Conejo, Antonio J.

2014-01-01

457

Effects of New Financial Reporting Standards on Value Relevance–A Study about Turkish Stock Markets  

Directory of Open Access Journals (Sweden)

Full Text Available Financial statement information that make the users to evaluate their decisions is value relevant. This paper aims to determine the value relevance of financial statement information in Turkish stock markets during the period of 1997-2011 by Ohlson Model (1995 and separate regressions. Starting from 2003, new regulations about financial reporting standards became effective. Consolidation and inflation accounting were put into action in 2003 annual financial statements. Afterwards in 2005, the revised translation of International Financial Reporting Standards (IFRS was applied. And finally in 2008, one by one translation of IFRS named as Turkish Financial Reporting Standards (TFRS became effective. So, we also aim to test whether the acceptance of new financial reporting standards made improvements on value relevance of accounting information or not in Turkish stock markets. Our results reveal that earnings and book values both together and separately are significantly value relevant. The explanatory power of book values are higher than the explanatory power of earnings. After new reporting standards, there is an increase in the value relevance of earnings and book values together and this increase is mainly due to the increase in the value relevance of book values.

F. Ayzer Bilgic

2013-09-01

458

Regulating financial conglomerates  

OpenAIRE

We investigate the optimal regulation of financial conglomerates which combine a bank and a non-bank financial institution. The conglomerate’s risk-taking incentives depend upon the level of market discipline it faces, which in turn is determined by the conglomerate’s liability structure. We examine optimal capital requirements for stand-alone institutions, for integrated financial conglomerates, and for financial conglomerates that are structured as holding companies. For a given risk...

Freixas, Xavier; Lo?ra?nth, Gyo?ngyi; Morrison, Alan D.

2005-01-01

459

Product Market Competition and Dividend Payouts of Listed Non-Financial Firms in Nigeria  

Directory of Open Access Journals (Sweden)

Full Text Available This study sought to examine the impact of product market competition on the dividend payout of non-financial firms listed on the Nigerian Stock Exchange. Data were collected on 76 non-financial firms for 11 years covering 1997–2007 and were analyzed using pooled OLS regression method with robust standard errors. Product market competition was measured by the reciprocal of market power. Our results showed that market power had a positive and significant impact on dividend payment suggesting that product market competition impact negatively on dividend payout of firms in Nigeria. Other factors that significantly and positively influenced dividend payment include profitability and size of firms while firms classified in the manufacturing sub-sector of the exchange paid significantly higher dividends than firms in the commercials and services’ sub-sectors. Finally firms that were financially constrained were found to pay significantly lower dividends compared with firms without financial constraints suggesting that Cash flow had a significant impact on dividend payout of firms in Nigeria.

Olufemi Obembe

2014-10-01

460

Rethinking Brands in the Emerging Financial Markets(Geli?mekte olan Finansal Piyasalarda Markay? Yeniden Dü?ünmek  

Directory of Open Access Journals (Sweden)

Full Text Available The aim of this research is to show the financial analysts’ point of view on brands and marketing disclosure in an emerging market context. The results are based on a questionnaire designed to measure the importance of brands for management decisions and to determine the metrics used by analysts to measure the brand equity according to marketing activities. Descriptive statistics and factor analysis is used in the analysis.Brand awareness is the most frequently used marketing metric by analysts to assess the brand equity followed by market share and consumer data. Brand and brand equity are very important for management decisions such as merger and acquisition, financial reporting and risk management.The findings assist marketing managers communicating the financial value of a brand to management, shareholders and investors. The focus on marketing disclosure to have financial attraction and maintain investor confidence in the long term is also emphasized.

Banu D?NCER

2010-01-01

461

Derivatives, Hedge Accounting Disclosure And Impact On Indian Financial Market  

OpenAIRE

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 encompa...

Prabhakara T

2013-01-01

462

Self-organized model for information spread in financial markets  

CERN Document Server

A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on the market structure of this model, some stylized observations of real market can be reproduced, including the slow decay of volatility correlations, and the fat tail distribution of price returns which is found to cross over to an exponential-type asymptotic decay in different dimensional systems.

Huang, Z F

2000-01-01

463

Modelling Time-Varying Volatility in Financial Returns : Evidence from the Bond Markets  

DEFF Research Database (Denmark)

The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and their implications for the capital markets. We contribute to this literature by using a modified version of the time-varying GARCH model of Amado and Teräsvirta (2013) to analyze whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into two time-varying conditional components: the first being captured by a stable GARCH(1,1) process and the second driven by the level of uncertainty in the financial market.

Amado, Cristina; Laakkonen, Helinä

2014-01-01

464

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

465

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

466

Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis  

OpenAIRE

Recently the world economy was confronted to the worst financial crisis since the great depression. This unprecedented crisis started in mid-2007 had a huge impact on the European government bond market. But, what are the main drivers of this "perfect storm" that since 2009 affects EU government bond market as well? To answer this question, we propose an empirical study of the determinants of the sovereign bond spreads of EU countries with respect to Germany during the period 2003-2010. Techn...

Matei, Iuliana; Cheptea, Angela

2012-01-01

467

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

OpenAIRE

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 respond...

Kamsol Mohamed Kassim; Anuar Bahari; Norizah Kassim; Nik Ramli Nik Abdul Rashid; Kamaruzaman Jusoff

2009-01-01

468

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

OpenAIRE

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...

Dalia Simion; Felicia Stancioiu; Iuliana Cetina

2007-01-01

469

In the Mind of the Market: Theory of Mind Biases Value Computation during Financial Bubbles  

OpenAIRE

The ability to infer intentions of other agents, called theory of mind (ToM), confers strong advantages for individuals in social situations. Here, we show that ToM can also be maladaptive when people interact with complex modern institutions like financial markets. We tested participants who were investing in an experimental bubble market, a situation in which the price of an asset is much higher than its underlying fundamental value. We describe a mechanism by which social signals computed ...

De martino, Benedetto; O’doherty, John p; Ray, Debajyoti; Bossaerts, Peter; Camerer, Colin

2013-01-01

470

Audit Market Regulation, Supplier Concentration, and the Quality of Audited Financial Statements  

OpenAIRE

In its recently published Green Paper, the European Commission 2010 discusses various reform proposals to enhance the reliability of audits and to re-establish trust in the financial market. The Commission primarily focuses on two topics: increasing auditor independence and reducing the high level of audit market concentration. However, these two topics and the reforms suggested are discussed entirely separately. This dissertation consists of three self-contained, but thematically and methodi...

Bleibtreu, Christopher

2012-01-01

471

Do changes in sovereign credit ratings contribute to financial contagion in emerging market crises?  

OpenAIRE

Credit rating changes for long-term foreign currency debt may act as a wake-up call with upgrades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerging market economies, where institutional investors' problems of asymmetric information are more present. This empirical study complements earlier research by explicitly examining cross-security and cross-country contagiou...

Kraeussl, Roman

2005-01-01

472