WorldWideScience
 
 
1

Financial Market Integration in a Monetary Union  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Buch, Claudia M.

2001-01-01

2

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

Directory of Open Access Journals (Sweden)

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

A.A. Kotova

2013-04-01

3

Recent policies for financial market integration in Indonesia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

4

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

International Financial Integration of the Indian Money Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The study investigates whether the financial liberalization undertaken in India has resulted in integration of Indian markets with global markets. First, we investigate covered interest rate parity (CIP) between India and the US using 3 month interbank interest rates and 1 year swap rates. The results show little evidence of a long term equilibrium relationship between the domestic interest rate and the covered interest rate. The mostly negative results indicate the presence of a country r...

Steven Buigut; Rao, Vadhindran K.

2011-01-01

6

TRENDS IN THE RUSSIAN FINANCIAL MARKET CONDITIONS AND INTEGRATION INTO THE GLOBAL FINANCIAL SYSTEM/????????? ??????????? ??????????? ????? ? ??????? ?????????? ? ??????? ?????????? ???????  

Directory of Open Access Journals (Sweden)

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

A.A. Kotova

2013-07-01

7

Financial Market Integration of South Asian Countries: Panel Data Analysis  

Directory of Open Access Journals (Sweden)

Full Text Available 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 1990’s. The estimates from (RIDs methodology showed that real interest rates differentials of South Asian countries are found to be stationary when compared with the United States, Canada, United Kingdom, Germany, Sweden, Netherlands, Australia, Malaysia, Indonesia, South Korea, Singapore, China and Japan. The empirical evidence of integration using both techniques is a unique finding in the literature. Even though the RIDs technique provides strong evidence of integration, correlation between savings and investment is still significant.

Hasan Muhammad Mohsin

2011-04-01

8

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Frey, Leo; Volz, Ulrich

2011-01-01

9

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

European Central Bank ; Center for Financial Studies (CFS)

2008-01-01

10

Labour market rigidities, financial integration and international risk sharing in the OECD  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Economic theory predicts that consumption growth rates should be highly correlated across countries. Empirical evidence overwhelmingly rejects this prediction. We examine whether increased financial integration and labour market rigidities can help explain this apparent contradiction between theory and empirics. Using data for OECD countries we show that although financial integration has a limited impact upon cross-country consumption correlations, labour market rigidities significantly incr...

Fidrmuc, Jarko; Foster, Neil; Scharler, Johann

2007-01-01

11

Banking Supervision in Integrated Financial Markets: Implications for the EU  

Digital Repository Infrastructure Vision for European Research (DRIVER)

I analyze the optimal design of banking supervision in the presence of cross-border lending. Cross-border lending could imply that an individual bank failure in one country could trigger negative spillover effects in another country. Such cross-border contagion effects could turn out to be important in the EU because national banking problems could easily spread via the highly integrated interbank market. I show that if benevolent supervisors are accountable only to their own jurisdiction, th...

Stolz, Ste?phanie

2002-01-01

12

Financial and real integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

13

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

14

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

15

Financial integration and systemic risk  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Recent empirical studies criticize the sluggish financial integration in the euro area and find that only interbank money markets are fully integrated so far. This paper studies the optimal regional and/or sectoral integration of financial systems given that integration is restricted to the interbank market. Based on Allen and Gale (2000)'s seminal analysis of financial contagion we derive the interbank market structure that maximizes consumers' ex-ante expected utility, i.e. that optimizes t...

Fecht, Falko; Gru?ner, Hans Peter

2005-01-01

16

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

Directory of Open Access Journals (Sweden)

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

M. SARCINELLI

2013-12-01

17

The Impact of the European Financial Integration Process and Other International Tendencies on the Romanian Stock Market  

Directory of Open Access Journals (Sweden)

Full Text Available The study presents in a comprehensive way the effects that deregulation, internationalisation, integration, financial innovation and the development of the institutional investors have had on the Romanian stock market. Using dates provided by several relevant sources on the field, like the Bucharest Stock Exchange or Intercapital, we have established in which extent these tendencies emerged on the Romanian stock market and if our stock market has already reached the point where it will be able to fully integrate itself in the European financial system.

Alina Sargu

2010-12-01

18

The Impact of the European Financial Integration Process and Other International Tendencies on the Romanian Stock Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The study presents in a comprehensive way the effects that deregulation, internationalisation, integration, financial innovation and the development of the institutional investors have had on the Romanian stock market. Using dates provided by several relevant sources on the field, like the Bucharest Stock Exchange or Intercapital, we have established in which extent these tendencies emerged on the Romanian stock market and if our stock market has already reached the point where it will be abl...

Alina Sargu

2010-01-01

19

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

20

Financial Integration and Economic Growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The following paper studies possible impacts of financial integration under different economic conditions, such as financial and equity market development and trade openness. It applies mixture of models, namely General Methods of Moments (GMM), Ordinary Least Squares (OLS), two-staged OLS, transformed OLS, and Panel data approach with 14 financial integration measures, including three new ones over 217 countries between 1970 and 2012. The results confirm that coun...

Juraev, Nosirjon

2013-01-01

 
 
 
 
21

Banking Crises and Financial Integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper explores whether the level of financial integration of banks in a country increases the incidence of systemic banking crises. The paper uses a de facto proxy for financial integration based on network statistics of banks participating in the global market of interbank syndicated loans. Specifically, the network statistics degree and betweenness are used to proxy for the de facto integration of the average bank in a country. The paper fits a count data model in the cross-section for...

Caballero, Julian

2012-01-01

22

Reconfiguring the Financial Markets  

Directory of Open Access Journals (Sweden)

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

Ion Bucur

2009-12-01

23

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

24

Financial intermediaries, markets and growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

25

Market free lunch and large financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asympto...

Klein, Irene

2007-01-01

26

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

27

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

28

Dynamics of financial markets in the context of globalization  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2008-01-01

29

Detecting anchoring in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

30

Financial markets and public information  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The last decades have seen dramatic changes in trading technology and the way that financial markets operate. As trading technology advances, news providers have kept pace and deliver news to market participants around the world within fractions of a second using electronic systems. Currently, most news is still interpreted by humans but news providers have started to offer newswire products with machine learning systems that specifically cater to algorithmic traders. In practice, newswire me...

Storkenmaier, Andreas

2011-01-01

31

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

32

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.

33

Hierarchical Structure in Financial Markets  

CERN Document Server

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

Mantegna, R N

1998-01-01

34

A Financial Market Model and Its Application  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Zheng Xing Chen

2014-01-01

35

Regional and Global Financial Integration in East Asia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We examine the degree of regional vs. global financial integration of East Asian countries in three ways; (1) comparing the size of cross-border assets such as securities and bank claims, (2) estimating the gravity model of bilateral financial asset holdings, and (3) estimating consumption risk sharing model. The results suggest that East Asian financial markets, particularly compared to the European ones, are relatively less integrated with each other than to global markets. We also find ...

Kim, Soyoung; Lee, Jong-wha; Shin, Kwanho

2006-01-01

36

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)

37

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

38

THE FINANCIAL CRISIS AND THE EMERGING MARKETS  

Directory of Open Access Journals (Sweden)

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

LORENA POPESCU DUDUIAL?

2014-06-01

39

Modelling financial crises of global equity markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Extreme asset price movements have major consequences for an economy’s financial stability and monetary policies. The recent equity price movements associated with financial crises appear to be more pronounced and policy makers need to make accurate predictions of the frequency and severity of these events. This paper investigates the extreme behaviour of equity market returns and quantifies the possible losses associated with financial crises. Extreme value theory that models tail realisat...

Cotter, John

2004-01-01

40

Global risk minimization in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

 
 
 
 
41

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

42

Financial regulation in the EU: Cross-border capital flows, systemic risk and the European Banking Union as reference points for EU financial market integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This is a chapter for a forthcoming volume Oxford Handbook of Financial Regulation (Oxford University Press 2014) (eds. Eilís Ferran, Niamh Moloney, and Jennifer Payne). It provides an overview of EU financial regulation from the first banking directive up until its most recent developments in the aftermath of the financial crisis, focusing on the multiple layers of multi-level governance and their characteristic conceptual difficulties. Therefore the paper discusses the need to accommodate ...

Haar, Brigitte

2014-01-01

43

Cohesiveness in Financial News and its Relation to Market Volatility  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2014-01-01

44

Financial panic and emerging market funds  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This article studies equity investment of emerging-market funds based on the 2003–2009 weekly data and compares the dynamics of flow and return between tranquil period and financial panic based on the experience of the latest 2008–2009 global financial crisis. First, we find that the well-documented positive feedback trading is a tranquil-period phenomenon such that it is more difficult in general for emerging-market funds to attract new investment in financial panic. Second, the predicti...

Jinjarak, Yothin; Zheng, Huanhuan

2010-01-01

45

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Gruszczyc?ska-broz?bar, Elz?bieta

1999-01-01

46

Quantum Bohmian model for financial market  

Science.gov (United States)

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

Choustova, Olga Al.

2007-01-01

47

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

Directory of Open Access Journals (Sweden)

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

Lin Blossom Yen-Ju

2007-06-01

48

International stock markets : a co integration analysis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

A dynamic model of ten international stock markets is being examined for the widespread notion of co-integration. The globalization effect has radically changed the way stock markets and investors are behaving. In this new financial environment the co movement of the markets is inevitable, though the continuous flow of global funds between the economies, affects the course of these markets in a similar way. Time series of the stocks are entailing unknown and not easily measured factors. Tradi...

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

2009-01-01

49

Building an integrated capital market in East Asia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

50

Market Power, Survival and Accuracy of Predictions in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

"This paper aims to show that the market selection hypothesis in finance is not solely driven by the competitiveness of such markets, as was originally claimed by Alchian [1] and Friedman [4]. Within a standard intertemporal General Equilibrium framework, we allow for an agentnto have enough influence on financial markets to strategically affect prices of assets traded. We then show that, as in Sandroni [15], the agent? long-run consumption will vanish if she makes less accurate predicti...

Leoni, Dr Patrick

2004-01-01

51

Correlated Stochastic Dynamics in Financial Markets.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Thesis investigates the dynamics of financial markets. Nowadays, this is one of the emergent fields in physics and requires a multidisciplinary approach. The thesis studies the first work made by the financial mathematicians and presents those in a more comprehensible form for a physicist. Option pricing is perhaps most complete problem. Until very recently, stochastic differential equations theory was solely applied to finance by mathematicians. The thesis reviews the theory of Black-Schole...

Perello? Palou, Josep

2001-01-01

52

The role of accounting in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

André Taue Saito; José Roberto Ferreira Savoia

2009-01-01

53

On Risks and Opportunities in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Lansdorp, S. D.

2012-01-01

54

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 hi...

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

2009-01-01

55

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

56

Financial markets as adaptative ecosystems  

CERN Document Server

The option markets offer a very interesting example of the adaptation of a population (the traders) to a complex environment, through trial and errors and natural selection (unefficent traders disappear quickly). Guided by the Black-Scholes theory, but constrained by the fact that `bad' prices lead to arbitrage opportunities, option markets agree on prices which are close, but significantly and systematically different from the BS formula. Surprisingly, a detailed study of the observed market prices clearly shows that, despite the lack of an appropriate model, traders have empirically adapted to incorporate some subtle information on the real statistics of price changes.

Potters, M; Bouchaud, J P; Potters, Marc; Cont, Rama; Bouchaud, Jean-Philippe

1996-01-01

57

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

58

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.

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

2011-08-01

59

On Financial Markets Based on Telegraph Processes  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black...

Ratanov, Nikita; Melnikov, Alexander

2007-01-01

60

Excess Demand Financial Market Model  

CERN Document Server

Recently we reported on an application of the Tsallis non-extensive statistics to the S&P500 stock index. There we argued that the statistics are applicable to a broad range of markets and exchanges where anamolous (super) diffusion and 'heavy' tails of the distribution are present, as they are in the S&P500. We have characterized the statistics of the underlying security as non-extensive, and now we seek to generalize to the non-extensive statistics the excess demand models of investors that drive the price formation in a market.

Michael, F; Johnson, M D; Michael, Fredrick; Evans, John

2002-01-01

 
 
 
 
61

Barriers in EU retail financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Looking at the retail financial markets and identifing a number of ‘‘natural’’ and ‘‘policy induced’’ obstacles to free trade. We use the term ‘‘natural’’ barriers to refer to those arising as a result of different cultures or consumer preferences, while different state tax policies or regulations are classified as ‘‘policy induced’’ barriers.

Micuda, Dan

2007-01-01

62

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

63

The role of accounting in financial markets  

Directory of Open Access Journals (Sweden)

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

André Taue Saito

2009-12-01

64

News Cohesiveness: an Indicator of Systemic Risk in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

65

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Abraham, Vinoj; Rajan, Irudaya S.

2011-01-01

66

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

67

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

68

Financial integration in the four Basins: a quantitative comparison  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper presents some stylized features of the financial integration of the four basin regions (Baltic Sea, Black Sea, Caspian Sea and Mediterranean Sea regions) and discusses the developments, trends and features of the IIP in the regions. Chapter 3 identifies the gaps in them, distinguishing the EU e non-EU members and provides an overview of the asymmetries and the convergence as a result of the financial integration in the different markets. After the review the trends the final chapte...

Alessandrini, Sergio

2010-01-01

69

Fractional integration and cointegration in US financial time series data  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2011-01-01

70

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

71

On Financial Markets Based on Telegraph Processes  

CERN Document Server

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

Ratanov, Nikita

2007-01-01

72

Optimal investment in incomplete financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

73

Rethinking risk in international financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Campbell-pownall, R. A. J.

2001-01-01

74

Modeling Risk Convevergence for European Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This article studies the convergence of risk on a sample of 13 European indexes. We use a set of 31 model specifications of a significant number of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for our convergence analysis. The results indicate a positive and significant tendency of convergence growth for the European financial market.

Radu Lupu

2014-09-01

75

Financial market spillovers around the globe  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and realised volatilities are modeled separately using a structural vector autoregressive model, thereby accounting for the particular sequential time structure of the trading venues. Within this framework, we t...

Dimpfl, Thomas; Jung, Robert C.

2011-01-01

76

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

77

Quantifying meta-correlations in financial markets  

Science.gov (United States)

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

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

2012-08-01

78

Modelling share volume traded in financial markets  

CERN Document Server

A simple analytically solvable model exhibiting a 1/f spectrum in an arbitrarily wide frequency range was recently proposed by Kaulakys and Meskauskas (KM). Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is Brownian fluctuations of the average intervent time between subsequent pulses of the pulse sequence. We generalize the KM model to reproduce the variety of self-affine time series exhibiting power spectral density S(f) scaled as power of their frequency f. Numerical calculations with the generalized discrete model (GDM) reproduce power spectral density S(f) scaled as power of frequency 1/f^b for various values of b, including b =1/2 for applications in financial markets. The particular applications of the model proposed are related with financial time series of share volume traded.

Gontis, V

2001-01-01

79

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

80

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

 
 
 
 
81

Analysis of Spin Financial Market by GARCH Model  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

82

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

Directory of Open Access Journals (Sweden)

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

Boris Snoj

2010-11-01

83

INCOMPLETE MARKETS AND FINANCIAL INSTABILITY. THE ROLE OF INFORMATION  

Directory of Open Access Journals (Sweden)

Full Text Available 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 aims to analyze the relationship between imperfect information and incomplete financial markets and the way they are affecting the financial stability.

CRISTIAN IONESCU

2012-01-01

84

An index of financial market stress for the United Kingdom  

Directory of Open Access Journals (Sweden)

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

Shaen Corbet

2014-06-01

85

Basic trends of the global financial market development  

Directory of Open Access Journals (Sweden)

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

Luchian Ivan

2013-01-01

86

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

87

Illiquidity of frontier financial market: Case of Serbia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper explores illiquidity of the Serbian financial market for the period of 2005-2009. The financial market in Serbia is, by its type, a frontier market. We used daily data from the BELEXline index, as well as all stocks within this index in examined timeframe, provided by the Belgrade Stock Exchange. Results of this paper suggest that level of market liquidity is low and persistent in Serbia. Additionally, results confirm that time-varying illiquidity and its volatility is highly unstab...

Živkovi? Boško; Minovi? Jelena

2010-01-01

88

Market Selection of Financial Trading Strategies: Global Stability  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Evstigneev, I. V.; Hens, Thorsten; Schenk-hoppe?, Klaus Reiner

2001-01-01

89

The Romanian Municipal Bond Market and the International Financial Crisis  

Directory of Open Access Journals (Sweden)

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

VALENTINA VASILE

2010-06-01

90

Quantifying the Relationship Between Financial News and the Stock Market  

Science.gov (United States)

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

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

2013-12-01

91

Variety and Volatility in Financial Markets  

CERN Document Server

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

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

2000-01-01

92

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)

93

Classical and quantum randomness and the financial market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

94

INCOMPLETE MARKETS AND FINANCIAL INSTABILITY. THE ROLE OF INFORMATION  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

95

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

96

From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Following the launch of the Euro in 1999, integration among Euro area financial markets increased considerably. As a result, portfolio home bias declined across the European financial markets. However, greater market integration has generated a new bias: portfolio Euro bias, a situation where Euro investors tend to hold large proportion of assets issued within the Euro region. The first part of this paper presents an empirical analysis of the economic factors at play behind the switch from...

Balli, Faruk; Basher, Syed Abul; Ozer-balli, Hatice

2010-01-01

97

Effects of the globalization in the Korean financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study the effect of globalization on the Korean market, one of the emerging markets. Some characteristics of the Korean market are different from those of the mature market according to the latest market data, and this is due to the influence of foreign markets or investors. We concentrate on the market network structures over the past two decades with knowledge of the history of the market, and determine the globalization effect and market integration as a function of time.

Jung, Woo-sung; Kwon, Okyu; Yang, Jae-suk; Moon, Hie-tae

2005-01-01

98

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 q-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. We find that the fluctuating stock price is multifractal and the choice of the sampling time has no effect on the qualitative multifractal behavior displayed by the 1/q-dependence of the generalized Hurst exponent Hq. 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)˜t^-?, with a persistence exponent ? close to 0.5 that agrees with the prediction ?=1-H2. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity. This work is partially supported by the NSF and U.S. ONR.

Constantin, Magdalena; Das Sarma, Sankar

2006-03-01

99

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

Directory of Open Access Journals (Sweden)

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

Madalina-Antoaneta RADOI

2010-12-01

100

The Volatility in a Multi-share Financial Market Model  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

 
 
 
 
101

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

International Nuclear Information System (INIS)

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

102

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

103

Macroeconomic Determinants of Commodity Returns in Financialized Markets  

Directory of Open Access Journals (Sweden)

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

Adam Zaremba

2014-04-01

104

ROMANIAN INSURANCE MARKET- ROAD TO RECOVERY AFTER FINANCIAL CRISIS  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

GHEORGHE MATEI; ANA PREDA

2012-01-01

105

ROMANIAN INSURANCE MARKET- ROAD TO RECOVERY AFTER FINANCIAL CRISIS  

Directory of Open Access Journals (Sweden)

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

GHEORGHE MATEI

2012-10-01

106

Best Practice: Integrated Marketing Communications  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2012-01-01

107

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Stark, Caroline; Nordell, Emelie

2010-01-01

108

Cluster behavior of a simple model in financial markets  

Science.gov (United States)

We investigate the cluster behavior of financial markets within the framework of a model based on a scale-free network. In this model, a cluster is formed by connected agents that are in the same state. The cumulative distribution of clusters is found to be a power-law. We find that the probability distribution of the liquidity parameter, which measures the financial markets’ energy, is rather robust. Furthermore, the time series of the liquidity parameter have the characteristics of 1/f noise, which may indicate the fractal geometry of financial markets.

Jiang, J.; Li, W.; Cai, X.

2008-01-01

109

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

110

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

111

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

112

Assymetric information in the financial market: Sequential move games  

Directory of Open Access Journals (Sweden)

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

Trifunovi? Dejan

2006-01-01

113

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

114

Institutional investors, financial market efficiency, and financial stability  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Emphasising the scope for further growth in institutional investment, in Europe in particular, this paper focuses on the impact of institutional investment on the efficiency and stability of financial systems. The paper stresses the scope for efficiency gains arising from an increasing role of institutional investors, reflecting - inter alia - their role in improving corporate governance. The paper also argues that institutional investors tend to enhance financial system stability although th...

Davis, E. Philip

2003-01-01

115

Farm household economic behaviour in imperfect financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial markets in developing countries are imperfect and are likely to affect decision-making behaviour of economic agents, especially smallholder farm households. This thesis, comprising four articles, aimed to understand and explain farm household economic behaviour with reference to saving, credit and production efficiency under imperfect financial market conditions. It is based on data obtained from farm household survey conducted in two districts of southeastern Ethiopia from Septembe...

Komicha, Hussien Hamda

2007-01-01

116

A Knowledge-Based Consultant for Financial Marketing  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Kastner, John; Apte, Chidanand; Griesmer, James

1986-01-01

117

How to recover from the financial market flu.  

Science.gov (United States)

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

Doody, Dennis

2008-05-01

118

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

119

Strategic Opportunities Afforded by Integrated Marketing  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

CONSTANTIN SASU

2006-01-01

120

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 the weakness should be removed or at least reduced as early as possible.

Seyed Jalal Sadeghi Sharif

2009-10-01

 
 
 
 
121

INTEGRATED MARKETING COMMUNICATION IN POLITICS?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Ghiut?a?, Ovidiu-aurel

2009-01-01

122

The Values Distribution in a Competing Shares Financial Market Model  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Ponzi, A.; Aizawa, Y.

1999-01-01

123

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

124

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

125

A statistical physics perspective on criticality in financial markets  

CERN Document Server

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

Bury, Thomas

2013-01-01

126

High-Frequency Trading Synchronizes Prices in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Gerig, Austin

2012-01-01

127

Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory components might temporary diverge. Accordingly, we investigate financial integration in East Asian by analyzing the co-persistent nature of their integrated volatilities. Using recent fractional cointegration techniques, we find that volatilities of...

Truchis, Gilles; Keddad, Benjamin

2013-01-01

128

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

129

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

130

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

131

Why do financial market experts misperceive future monetary policy decisions?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

132

Time series analysis for minority game simulations of financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 evolut ion. The mot...

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

2002-01-01

133

DETERMINANTS OF BANKS’ COMPETITIVENESS IN LOCAL FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

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

Ryszard Kata

2012-04-01

134

Forecasting Financial Time-Series using Artificial Market Models  

CERN Document Server

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

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

2005-01-01

135

Schumpeterian dynamics and financial market anomalies  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Merey, Esther; Hanusch, Horst; Grebel, Thomas

2004-01-01

136

A threshold Potts model of financial markets  

CERN Document Server

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

Sieczka, PaweÅ?

2007-01-01

137

Financial Transmission Rights in Europe’s Electricity Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

After their theoretical development in the early 1990s, Financial Transmission Rights (FTRs) have been applied in restructured US electricity markets for about a decade now. Lately, FTRs have also been proposed as a potential feature of the emerging European electricity market. This paper reviews the crucial differences between FTRs and the currently implemented physical transmission rights (PTRs), and investigates the institutional and regulatory prerequisites for introducing FTRs in Europe....

Duthaler, Christof; Finger, Matthias

2008-01-01

138

Bubbles and crashes: Escape dynamics in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We develop a financial market model focused on fund managers who continuously adjust their exposure to risk in response to the payoff gradient. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous market risk premium based on investors' historical losses and constant gain learning. When losses have been small for a long time, asset prices inflate as fund managers adopt riskier portfolios. Then slight...

Friedman, Daniel; Abraham, Ralph

2007-01-01

139

The Financial Instruments for Risk Management on the International Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Alina Hagiu

2008-01-01

140

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)

 
 
 
 
141

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

Science.gov (United States)

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

2010-06-17

142

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

143

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

144

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Khan, Aftab; Masih, Mansur

2014-01-01

145

Dynamics of a financial market index after a crash  

CERN Document Server

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

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

2002-01-01

146

Dynamics of a financial market index after a crash  

Science.gov (United States)

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

Lillo, Fabrizio; Mantegna, Rosario N.

2004-07-01

147

Financial Market Structure and Economic Growth: Evidence from Nigeria Data  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper, we investigate both the long run and short run relationships between financial structure and economic growth using time series data. The presence of a unit root in the time series data was tested using Augmented Dickey – Fuller and Philips – Perron tests. The long run relationship among the variables is estimated using Johansen and Juselius (1990 maximum likelihood procedure. While the vector error correction model is used to estimate short run the dynamic coefficients. The main results reveal that financial market structure has a negative and significant effect on economic growth based on Nigeria data. This suggests a low level of development of the country’s financial sector. The paper therefore recommends that there is a need to put appropriate financial policies in place that will encourage the growth per capita GDP.

Anne C Maduka

2013-01-01

148

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

149

Pension Reform And Financial Market Development Nexus: Evidence From Nigeria  

Directory of Open Access Journals (Sweden)

Full Text Available It is generally assumed that Chilean type of pension reform helps in developing the financial market wherever the reform is adopted. However, this assertion is not clear cut especially in developing areas faced with problems of underdevelopment. Using the Error Correction Model (ECM approach this study examines if pension reform advances the development of financial market in Nigeria. Time series data were compiled and a functional relationship was established using the OLS technique. Statistical significance of the error correction term confirmed the existence of an equilibrium relationship among the variables. The performance analysis of all the variables indicated that the reform period generates long-term contractual savings and stimulates the development of securities market.

Godson Mesike

2012-06-01

150

Essays on the Economics of Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

151

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.

152

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.

153

Vertical integration and market power  

Energy Technology Data Exchange (ETDEWEB)

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

Maddigan, R.J.

1980-01-01

154

Integration and shock transmissions across European electricity forward markets  

Energy Technology Data Exchange (ETDEWEB)

New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse-response techniques, for both price levels and volatilities. In general we find less influence of the size and proximity of neighbouring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices. (author)

Bunn, Derek W. [London Business School, Sussex Place, London (United Kingdom); Gianfreda, Angelica [DESI Department, University of Verona (Italy)

2010-03-15

155

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

ASEAN already proposed financial integration through capital market integration based on ASEAN Economics Community (AEC) 2020 treaty in order to aim comprehensive ASEAN economic integration. The objective of this study is to occur the capacity of Indonesian in terms of integrating its capital market towards the big four i.e., Singaporean, Malaysian, Philippines, and Thailand. Vector Auto-regression (VAR) analysis is utilized to investigate Indonesian market returns co-movement and dynamic li...

Barli Suryanta

2011-01-01

156

ASEAN Financial Integration in the Light of Recent European Experiences  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This article reflects on the ambitions of the Association of Southeast Asian Nations (ASEAN) to foster regional economic and financial integration among its member countries against the backdrop of the European financial crisis. Based on a review of the European experiences with financial integration since the 1970s, this article critically examines the potential risks associated with the creation of a financially-integrated ASEAN Economic Community and the implications for policy autonomy of...

Volz, Ulrich

2013-01-01

157

Mean Reversion Models of Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

I discuss mean reversion in the first and the second moment of the return distribution. After a discussion of the concepts and a summary of the findings in the literature, I show that investor´s perceptions of mean reversion play a role in stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean reversion using GARCH. The main finding is that in order to properly measure mean reversion, it is crucial to take parameter regime shifts i...

Hillebrand, Eric

2003-01-01

158

Flights and CAViaR - Financial market stability and the stock-bond return relation  

Digital Repository Infrastructure Vision for European Research (DRIVER)

PURPOSE OF THE STUDY This paper investigates the intranational dynamic relationship between daily stock and government bond returns of selected countries between January 1, 1999 and December 31, 2010 to assess financial market stability in different countries and market conditions. The underlying hypothesis of this paper is that the financial markets of the world’s most advanced economies exhibit financial market stability even under extreme market conditions and potentially systemic ev...

Viitanen, Tero

2011-01-01

159

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

160

Mitigating corporate water risk: Financial market tools and supply management  

Directory of Open Access Journals (Sweden)

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

Wendy M. Larson

2012-10-01

 
 
 
 
161

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

162

Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?  

Directory of Open Access Journals (Sweden)

Full Text Available This paper addresses the relationship between stock markets and credit default swaps (CDS markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of correlations, Granger causality, cointegration, and the results of an error-correction model represented in a state space form show a close link between these markets, but do not evidence that the co-movement increases in periods of financial distress. I also analyze the transmission of volatility between the two markets. The results do not support the hypothesis that volatility propagation surges during financial distress periods. On the contrary, for some cases, the data suggests that the lead-lag relationships between the two markets volatility are stronger during stable periods.

Paulo Pereira da Silva

2014-03-01

163

Modelling financial markets by the multiplicative sequence of trades  

CERN Document Server

We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law probability distribution of the trading activity. The model reproduces the spectral properties of trading activity and explains the mechanism of power-law distribution in real markets.

Gontis, V; Gontis, Vygintas; Kaulakys, Bronislovas

2004-01-01

164

A New Approach to Spreadsheet Analytics Management in Financial Markets  

CERN Document Server

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

Sentence, Brian

2008-01-01

165

An empirical capital market rate function for an emerging market economy in international financial crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

After the first democratic election in South Africa in April 1994, South Africa's financial markets became more exposed and vulnerable to international developments, vide the financial crisis of 1998. This vulnerability raises some important questions. Has its greater degree of openness led to a structural change in the South African economy? Are long-term interest rates now primarily determined by international sentiment regardless of domestic economic and political conditions, during period...

Harmse, Chris; Du Toit, Charlotte Barbara

1999-01-01

166

The value of social networks in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Rancan, Michela

2013-01-01

167

Endogenous financial literacy, saving and stock market participation  

Digital Repository Infrastructure Vision for European Research (DRIVER)

There is a consolidated empirical literature providing evidence of the fact that financial literacy, human capital, savings and stock market participation are interconnected decisions. However, to the best of our knowledge, a theoretical explanation of such connections is missing. In this paper we aim at filling this gap, by building a framework that includes all these decisions in an encompassing model. The results of our model provide a theoretical foundation for the role and the determinan...

Spataro, Luca; Corsini, Lorenzo

2013-01-01

168

Coherent Patterns in Nuclei and in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Drozdz, S.; Kwapien, J.; Speth, J.

2010-01-01

169

A New Approach to Spreadsheet Analytics Management in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Spreadsheets in financial markets are frequently used as database, calculator and reporting application combined. This paper describes an alternative approach in which spreadsheet design and database technology have been brought together in order to alleviate management and regulatory concerns over the operational risks of spreadsheet usage. In particular, the paper focuses on the rapid creation and centralised deployment of statistical analytics within a software system now...

Sentence, Brian

2008-01-01

170

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

171

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

172

The impact of news, oil prices, and international spillovers on Russian financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, there is some persistence in both bond and stock market returns. Second, we find that U.S. stock market returns Granger-cause Russian financial markets. Third, growth in oil prices has a positive effect on Russian stock market returns. Fourth, there is a significant economic and statistical influence of a specific type of news on the Ru...

Hayo, Bernd; Kutan, Ali M.

2002-01-01

173

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

174

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

175

Benefits of an integrated European electricity market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2013-01-01

176

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.

Schultz, Friederike

2013-01-01

177

Financial transmission rights meet Cournot: How TCCs curb market power  

International Nuclear Information System (INIS)

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

178

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

179

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

180

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Ghosh, Saibal

2003-01-01

 
 
 
 
181

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

182

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

183

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

184

Product Market Integration, Comparative Advantages and Labour Market Performance  

DEFF Research Database (Denmark)

Product Market Integration, Comparative Advantages andLabour Market Performance@*In a two-country model with trade driven by comparative advantages, it is considered howimperfectly competitive labour markets are affected by lower frictions in international goodstrade. Easier goods trading is equivalent to increased mobility of employment acrosscountries and thus a change in the trade-off between wages and employment faced by wagesetters. While the effects of product market integration on the trade-off between wages andemployment in general is ambiguous, it is shown that product market integration works like ageneral improvement in productivity via the specialization it allows through trade.Unambiguously, real wages and employment and welfare improve upon reductions in tradefrictions, and therefore workers are better off irrespective of whether the market power ofunions is enhanced or muted.JEL Classification: F15, J30, J50Keywords: trade frictions, wage formation, employment, welfare gains

Rose Skaksen, Jan

2003-01-01

185

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

186

Economic integration, market power and technological change  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Palokangas, Tapio

2005-01-01

187

Integrating Energy Markets: Does Sequencing Matter?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper addresses three questions that are relevant to integrating different regional transmission areas. Market integrating normally increases the number of competitors and should therefore reduce prices but the first section shows that prices could rise when the number of generators initially increases. Regulatory effort will also be affected by market integration. If the number of generators in either market is low, then our analysis suggests that the outcome depends on whether the regu...

Neuhoff, Karsten; Newbery, David

2004-01-01

188

Problems of periodisation of transformation of financial behaviour of households in the market of financial services of Ukraine  

Directory of Open Access Journals (Sweden)

Full Text Available The goal of this article is justification of transformation of financial behaviour of households within the proposed periodisation of formation and development of the economic system and financial markets of Ukraine. The article conducts analysis of existing periodisations of the national financial market, reveals their advantages and disadvantages and offers own periodisation of establishment and development of the market of financial services. In the process of the study the article proves that changes that take place in the economy directly influence mentality and financial behaviour of households. Deliberate, active or inertial behaviour of households, in its turn, forms both increase and reduction of market demand on several financial services. Prospective directions of further studies are development of indicators of financial behaviour of households under modern conditions and construction of models that would allow formation of behavioural clusters. To do this it is necessary to analyse foreign experience of management of financial potential of households with the aim to detect existing mechanisms of activation of their financial activity and to develop new effective ones.

Kovtun Oksana A.

2013-03-01

189

Financial integration in East Asia: Past, present and possible futures  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper reviews the East Asian experience with financial integration, how economies in the region have responded to shocks, and what they may do to continue to thrive in the future. It discusses openness to capital flows as a key aspect of financial integration, briefly considering the theoretical underpinnings and empirical evidence for the benefits of openness. It then examines the East Asian experience with the two financial crises that have affected the region, and how the two episodes...

Kaur, Inderjit N.; Singh, Nirvikar

2013-01-01

190

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

Directory of Open Access Journals (Sweden)

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

Barli Suryanta

2011-12-01

191

In-work benefits for low wage jobs : can additional income hinder labor market integration?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

"By financially supplementing low wages, in-work benefits are an instrument of active labor market policy to encourage labor market integration of low skilled and long-term unemployed persons. The hypothesis of this paper is that the financial benefit from the state, even though increasing the overall wage, is interpreted by the employee as a signal that employers are not willing to behave according to the norm of reciprocity and lowers wage satisfaction. This leads to negative side effects o...

Krug, Gerhard

2007-01-01

192

An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market  

Science.gov (United States)

In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.

Dionisio, A.; Menezes, R.; Mendes, D. A.

2006-03-01

193

An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market  

CERN Document Server

In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.

Dionisio, A; Mendes, D A; Dionisio, Andreia; Menezes, Rui; Mendes, Diana A.

2006-01-01

194

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

195

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.

196

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

197

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

198

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Olufemi Obembe; Joy Imafidon; Abiodun Adegboye

2014-01-01

199

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

200

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

Directory of Open Access Journals (Sweden)

Full Text Available A well-functioning financial services market should be stable and transparent, as well as ensure security and protect the interests of its participants. These goals and tasks are defined in a number of legal acts, and an important role in their realization has been entrusted to the Polish Financial Supervision Authority as the oversight body for the financial services market. The Polish Financial Supervision Authority (hereinafter referred to as the FSA has been equipped with tools allowing it to counteract impermissible actions of financial services market participants, such as entities subject to oversight due to their provisioning of financial services. Within the scope of its oversight, the Financial Supervision Authority examines whether the interests of market participants and their security have been violated. It is also equipped with the capacity to undertake actions of a direct nature – operating on the basis of competences granted to it by particular regulations concerning its tasks, or also indirectly – in situations when it doesn’t have the standing to instigate the appropriate procedures, if it possesses information about violations and improprieties it can forward such information to authorized bodies in order to set in motion the relevant mechanisms. By performing its duties properly, the FSA can have a positive effect on the relationships between entities providing financial services and their clients, by restoring a semblance of balance and fairness.

Edyta Rutkowska-Tomaszewska

2012-12-01

 
 
 
 
201

Integrated marketing communications in theatres’ performance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The aim of the thesis is to analyze theoretical aspects of the planning of integrated marketing communications and to prepare integrated marketing communications model and to test it. The planning of IMC in theatre performances is based on the planning process, which includes 8 steps: situation analysis, selection of objective audiences, aims of communications, strategy, communication message creations, selection and integration of communications instruments, framing the budget of IMC and the...

Bendinskaite?, Rasa

2014-01-01

202

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.

203

Financial Integration between Indonesia and Its Major Trading Partners  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This study examines stock market integration among the emerging stock market of Indonesia and its major trading partners (Japan, the US, Singapore and China). We employ the newly proposed autoregressive distributed lag (ARDL) approach to cointegration and recent weekly stock market data spanning from July 1998 to December 2007. The results indicate the Indonesian stock market is cointegrated with the stock markets of the US, Japan, Singapore and China. Thus, this implies that the opportunitie...

Abdul Karim, Bakri; Abdul Majid, M. Shabri; Abdul Karim, Samsul Ariffin

2009-01-01

204

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 20...

Mohammad Shahidul Islam; Shama Jahan

2012-01-01

205

Unit-linked life insurance in Lévy-process financial markets - modeling, hedging and statistics  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of Lévy-process financial markets with the theory of unit-linked life insurances and provides moreover a quadratic hedging framework for insurance payment streams exposed to pure financial and pure insurance risk. In...

Riesner, Martin

2006-01-01

206

Stock market integration in Africa  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Purpose – The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices. Design/methodology/approach – The monthly returns of S&P/IFC return indices for ten African countries over the period 1998-2007 were analyzed. The index return volatility was decomposed into three components following Barari and the contributions of regional and global market movements to the ...

Agyei-ampomah, S.

2011-01-01

207

Fractional Langevin model of memory in financial markets.  

Science.gov (United States)

The separation of the microscopic and macroscopic time scales is necessary for the validity of ordinary statistical physics and the dynamical description embodied in the Langevin equation. When the microscopic time scale diverges, the differential equations on the macroscopic level are no longer valid and must be replaced with fractional differential equations of motion; in particular, we obtain a fractional-differential stochastic equation of motion. After decades of statistical analysis of financial time series certain "stylized facts" have emerged, including the statistics of stock price fluctuations having "fat tails" and their linear correlations in time being exceedingly short lived. On the other hand, the magnitude of these fluctuations and other such measures of market volatility possess temporal correlations that decay as an inverse power law. One explanation of this long-term memory is that it is a consequence of the time-scale separation between "microscopic" and "macroscopic" economic variables. We propose a fractional Langevin equation as a dynamical model of the observed memory in financial time series. PMID:12443270

Picozzi, Sergio; West, Bruce J

2002-10-01

208

???????? marketing  

Digital Repository Infrastructure Vision for European Research (DRIVER)

?????????? ??? ??? ???????? ????????? ??? ??????? ??????????????? ???? ?? ????? ????????? ????? ?????????? ? ?????? ??????? ??? ??????? ?????????? ??? ?????????? ??? ??????????? ?? ???????? ??? ?????????? ??? ???????????? marketing ??? ????????? ????????, ??????????? ? ??...

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

2006-01-01

209

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

210

Do financial constraints matter for foreign market entry?: a firm-level examination  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Recent theoretical and empirical contributions stress the importance of financial development for international trade. This paper investigates whether financial constraints matter for foreign market entry at the firm level using dynamic panel data techniques. The empirical framework is applied to a panel of French manufacturing firms over the years 1998-2005. Although financial indicators are significantly correlated with export status and export share, there is no evidence that financial con...

Stiebale, Joel

2008-01-01

211

PARAMETRIC YIELD CURVE MODELING IN AN ILLIQUID AND UNDEVELOPED FINANCIAL MARKET  

Directory of Open Access Journals (Sweden)

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

Silvije Orsag

2013-12-01

212

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

213

Product Market Integration, Comparative Advantages and Labour Market Performance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In a two-country model with trade driven by comparative advantages, it is considered how imperfectly competitive labour markets are affected by lower frictions in international goods trade. Easier goods trading is equivalent to increased mobility of employment across countries and thus a change in the trade-off between wages and employment faced by wage setters. While the effects of product market integration on the trade-off between wages and employment in general is ambiguous, it is shown t...

Andersen, Torben M.; Skaksen, Jan Rose

2003-01-01

214

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

215

IFRSs for financial instruments, quality of information and capital market’s volatility: an empirical assessment for Eurozone  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This study examines the Eurozone stock markets’ reaction to a number of events associated with the post-implementation amendments of the IFRSs regarding financial instruments (IFRS 7, IFRS 9, IAS 32 and IAS 39). The adoption of these IFRSs is probably one of the most important recent changes in financial information environment. However, in order to contribute to an increase in financial stability, it is necessary to ensure an ex post stability of the regulatory framework. Based on this met...

Cuzman, Ioan; Dima, Bogdan; Dima, Stefana Maria

2010-01-01

216

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

217

Sense-making and storytelling in financial markets: the case of the Istanbul stock exchange  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this thesis, I investigate sense-making processes in financial markets. My focus is on the role of narratives in these routine activities in digital market places or what Cetina and Preda (2007) describe as scopic market systems. I conceptualize narratives told by market professionals in these systems as another form of market device (Callon et al., 2007) which combines different modes of knowing and explanation to cope with flows of data/information and funds, and works to ...

Tarim, Emre

2011-01-01

218

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

219

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

220

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

 
 
 
 
221

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

222

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

223

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

224

Commodity prices, financial markets, and development: Effects of the financialisation of commodity markets and necessary policy reforms  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Given the far-reaching implications of commodity prices for developing countries an understanding of the factors behind recent commodity price developments is crucial. ÖFSE research shows that besides structural changes in fundamental supply and demand conditions, the increasing presence of financial investors on commodity derivative markets has impacted on price dynamics and the microstructure of these markets. This questions to what extent these markets still fulfill their fundamental role...

Staritz, Cornelia; Heumesser, Christine; Ku?blbo?ck, Karin

2013-01-01

225

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

226

Matching auction with winner’s curse and imperfect financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper explains how and why the Matching Auctions work better with Imperfect Financial Markets. We show that an efficient outsider can obtain a “good” project even if the insider has informational advantage.

Matros, Alexander

2012-01-01

227

In search of economic reality under the veil of financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper presents a general equilibrium model with technological uncertainty, financial markets and imperfect information. The future consists of uncertain environments that are more or less clearly distinguishable (measurable). This limits the possibilities of specialization and diversification. Households have no direct information about the productivity of risky technologies. They rely on the information conveyed by the set of financial products provided by the financial sector, the pay-...

Falkinger, Josef

2014-01-01

228

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

229

The Impact of Resource-Strategy Correspondence on Marketing Performance-Financial Performance Tradeoffs:  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We suggest that the relationships between strategy and financial performance and between strategy and marketing performance depend on the resource bundle and strategy of a firm. The better the correspondence between strategy and resource bundle, the better the performance. We empirically test and find support for this explanation. By building empirically calibrated models of the marketing and financial performance, we are able to show that, indeed, the optimum strategies for the two are not t...

Furrer, Olivier; Alexandre, M. T.; Sudharshan, D.

2014-01-01

230

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

231

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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; Michael McKenzie

2011-01-01

232

INVESTIGATING FINANCIAL INNOVATION AND EUROPEAN CAPITAL MARKETS. THE CASE OF CATASTROPHE BONDS AND LISTED REINSURANCE COMPANIES  

Directory of Open Access Journals (Sweden)

Full Text Available Focusing on the financial innovation – stock market interconnections, the present research studies the association between the insurance-linked market activity of European (reinsurance companies and their evolution on the capital markets. With the aim of emphasizing the connections from the perspective of the stock performance and their risk, the empirical analysis is based on vector autoregression (VAR and Granger causality analyses. The proposed examination is further developed by considering both impulse response functions and variance decomposition insights. The proxies of the catastrophe bond market, as financial innovation, there are employed both the size and the number of catastrophe bonds transactions, while the stock returns and their standard deviation stand for representatives of the evolution of the reinsurance companies on the capital markets in terms of financial performance and risk. The main results confirm other studies, suggesting that the effects of issuing cat bonds on the ceding companies is reflected rather in terms of stocks’ risk diminishing

CONSTANTIN LAURA-GABRIELA

2014-12-01

233

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

234

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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, bas...

Alexandru, Antoniade-ciprian; Caragea, Nicoleta

2011-01-01

235

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 following the financial stress shock. The degree of financial stress drops in the first, second, fourth, fifth, seventh, tenth months following risk premium shock. There is no observed feedback response from financial stress to market risk premium shock. The Granger causality test results show that financial stress Granger-causes market risk premiums to drop significantly, and there is no reverse causation recorded in this case. In addition, the time-series OLS regression analysis shows a statistically significant negative coefficient (b = -8.50; t = -9.20 when explanatory variable is the monthly changes in financial stress.

Vichet Sum

2012-12-01

236

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

237

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

Directory of Open Access Journals (Sweden)

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

Abiodun Eniola Alao

2014-07-01

238

Increasing Participation in Mainstream Financial Markets by Black Households.  

Science.gov (United States)

A survey of 194 black households in a Chicago neighborhood found that one in five did not use banks, 49% had credit cards, over 75% used alternative financial services (AFS), and many used informal financial networks. Nonbank and AFS users tended to be lower income, less educated, younger, and unmarried people. Consumer education and public policy…

Toussaint-Comeaut, Maude; Rhine, Sherrie L. W.

2002-01-01

239

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

240

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

 
 
 
 
241

THE PROCESS OF EVALUATING PRIMARY FINANCIAL ASSETS ON THE CAPITAL MARKET  

Directory of Open Access Journals (Sweden)

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

Ionel Eduard Ionescu

2013-12-01

242

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?

243

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

244

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.

245

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)

246

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

247

Market Power in CEE Banking Sectors and the Impact of the Global Financial Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The aim of this study is to undertake an up-to-date assessment of market power in Central and Eastern European banking markets and explore how the global financial crisis has affected market power and what has been the impact of foreign ownership. Three main results emerge. First, while there is some convergence in country-level market power during the pre-crisis period, the onset of the global crisis has put an end to this process. Second, bank-level market power appears to va...

Efthyvoulou, Georgios; Yildirim, Canan

2013-01-01

248

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

249

European Integration, Labour Market Dynamics and Migration Flows  

Directory of Open Access Journals (Sweden)

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

Martinoia, Michela

2011-06-01

250

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

251

Financial innovations and the organisation of stock market trading  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 seller...

Kregel, J. A.

2013-01-01

252

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

253

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

Directory of Open Access Journals (Sweden)

Full Text Available In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variables and a multi-stage scenario tree. Using an illustrative example, we analyze the impact of exchange-rate and demand volatility, the level of investment expenses and interest rate spreads on capacity location and dimensioning decisions. In particular, we show that, in the illustrative example, the exchange-rate uncertainty cannot be completely eliminated by financial hedging in the presence of demand uncertainty. In this situation, we find that the integrated model can result in better strategic planning decisions for a risk-averse decision maker compared to traditional modeling approaches.

Achim Koberstein

2013-11-01

254

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.

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

2013-04-01

255

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

International Nuclear Information System (INIS)

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

256

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

257

Optimal monetary policy in a new Keynesian model with animal spirits and financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper relates to the literature on macro-finance-interaction models. We modify the boundedly rational New Keynesian model of De Grauwe (2010a) using a completely microfounded IS equation, and combine it with the agent-based financial market model of Westerhoff (2008). For this purpose we derive four interactive channels between the financial and real sector where two channels are strictly microfounded. We analyze the impact of the different channels on economic stability and derive optim...

Lengnick, Matthias; Wohltmann, Hans-werner

2014-01-01

258

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

259

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

260

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

 
 
 
 
261

Predicting Clients’ Intentions to Acquire Credit Facilities in Ghanaian Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available This paper assesses the key determinants of clients’ intentions to acquire future loans from financial service providers in a developing country. Drawing on the Theory of Planned Behaviour (TPB and the Technology Acceptance Model (TAM, a conceptual model is developed and tested. The study involves a cross-sectional survey of 371 loan customers of leading financial service providers in Ghana. Due to the predictive focus of the study, data are analysed using Partial Least Squares structural equation modelling method available in SmartPLS 2.0. The results show that satisfaction, perceived usefulness and flexibility of loan terms and conditions are the significant factors, while trust, attitude towards loan and social influence do not contribute significantly to predicting client’s intentions to acquire future loans from financial service providers in Ghanaian financial market. This paper uniquely contributes to theory by testing a comprehensive framework of direct determinants of intentions to acquire loans in financial markets in developing countries, which is an under-researched area. Despite its limitations, the study provides important implications for managing clients’ loan acquisition intentions and behaviour in financial markets.

Joseph Mbawuni

2015-01-01

262

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

In the economic and financial analysis, the need to classify companies in terms of categories, thedelimitation of which has to be clear and natural occurs frequently. The differentiation of companies bycategories is performed according to the economic and financial indicators which are associated to the above.The clustering algorithms are a very powerful tool in identifying the classes of companies based on theinformation provided by the indicators associated to them. The last decade imposed ...

ALEXANDRU BOGEANU; ELENA CLAUDIA ?ERBAN; EUGENIU TUDOR

2013-01-01

263

Oil Prices and Financial Markets Activity: Empirical Evidence from Some MENA countries  

Directory of Open Access Journals (Sweden)

Full Text Available This study assesses empirically the effects of oil prices on financial markets activity of some MENA countries (Middle East & North Africa.We have chosen this subject to study aiming to find out and explain if there is a relationship between international oil prices and the prices of the listed securities in the financial markets of Middle East and North Africa. The countries that will be in the sample of analysis are Turkey, Jordan, Egypt, Morocco, Tunis, we targeted these countries of this geographical area based on specific characteristics of these countries as they are oil importers; in the meantime they have sharing borders with big oil exporting countries.

Marwan Al-Nahleh

2011-03-01

264

STUDY OF STOCK MARKET INTEGRATION OF INDIA WITH USA  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Vipin Kumar

2014-01-01

265

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

266

Grouping characteristics of industry sectors in financial markets  

Science.gov (United States)

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

Oh, Gabjin

2014-02-01

267

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

268

Financial Integration among ASEAN+3 Countries: Evidence from Exchange Rates  

Digital Repository Infrastructure Vision for European Research (DRIVER)

As the economies of Asian have moved towards closer economic ties in recent years, the establishment of regional exchange rate arrangement has become an important regional policy concern. A study by the Asian Development Bank forecast that Asian will be the world's largest economy by 2050. Hence, it is not reasonable for Asian to continuously depend on US dollar. Asian must have its own currency and must responsible for its own financial stability. Regional cooperation (including integration)...

Lee, Chin; M, Azali

2013-01-01

269

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

270

Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets  

CERN Document Server

Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely depend on the number of transactions. We introduce the multiplicative stochastic model of time interval between trades and analyze spectral density and correlations of the number of transactions. The model reproduces spectral properties of the real markets and explains the mechanism of power law distribution of trading activity. Our study provides an evidence that statistical properties of financial markets are enclosed in the statistics of the time interval between trades. Multiplicative stochastic diffusion may serve as a consistent model for this statistics.

Gontis, V

2002-01-01

271

Evaluation of pairs trading strategy at the Brazilian financial market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Pairs trading is a popular trading strategy that tries to take advantage of market inefficiencies in order to obtain profit. The idea is simple: find two stocks that move together and take long/short positions when they diverge abnormally, hoping that the prices will converge in the future. From the academic point of view of weak market efficiency theory, pairs trading strategy shouldn’t present positive performance since, according to it, the actual price of a stock reflects its past tradi...

Perlin, M.

2007-01-01

272

Bank of Canada communication, media coverage, and financial market reactions  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998-2006); however, media coverage is particularly high during phases of increased uncertainty about the future course and timing of Canadian monetary policy. Official communications exert a larger influence on the bond market, whereas media coverage is...

Hayo, Bernd; Neuenkirch, Matthias

2010-01-01

273

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

274

Information of group-correlations in Korean financial market  

Science.gov (United States)

We study two sides of the KOSPI, classified as an emerging market. First, the evolutionary property is examined in terms of overlapping matrix and survival ratios. To this end, we apply the random matrix theory (RMT) and the one-factor model to analyzing correlation matrix and finding business clusters. Second, we examine the relations between the market capitalization and the business. For the well-developed markets such as NYSE, the contribution of the firms to the second-largest eigenvector shows an exponential function of the market capitalizations while no clue is observed for the KOSPI. We confirm that the market capitalization is distributed in a power-law with the exponent 1.2 like a Pareto's distribution. Particulary, the KOSPI shows a different behavior compared to the mature market, that is, one or two companies lead a number of companies with the little money and big companies competed to win each other. The clusters also represent by largest eigenstates show a weak affiliation compared to smaller ones. These results imply that the KOSPI is the target for the short-positioned investors.

Choi, Jaewon; Lim, Gyuchang; Kim, Soo Yong; Kim, Kyungsik

2011-01-01

275

Modified multidimensional scaling approach to analyze financial markets  

Science.gov (United States)

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

Yin, Yi; Shang, Pengjian

2014-06-01

276

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

277

Noise trading in a laboratory financial market: a maximum likelihood approach  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study the extent to which, in a laboratory financial market, noise trading can stem from subjects' irrationality. We estimate a structural model of sequential trading by using experimental data. In the experiment, subjects receive private information on the value of an asset and trade it in sequence with a market maker. We find that, in the laboratory, the noise due to the irrational use of private information accounts for 35 percent of the decisions. When subjects act as noise traders, th...

Cipriani, M.; Guarino, A.

2004-01-01

278

Development of Actively Managed Exchange Traded Funds and the Revelation to Chinese Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available In recent years, the mutual funds market grown very fast, as an innovation of ETF product, the actively management ETF has drawn so much attention. In this article, we will analysis the difference between actively management ETF and traditional mutual funds/ETF, and its current situation and challenges faced in the future. At the end of this article, the authors discussed the trends of actively managed ETF and give several advices according the actual situation of Chinese financial market.

Haiyong Ma

2010-12-01

279

Financial Repression and Bond Market Efficiency: the Case of Italy during World War II  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the informational efficiency of bond markets when investments are constrained by financial repression. To assess informational efficiency, this paper performs weak-form efficiency tests on the most liquid bond traded in Italy during the war. Surprisingly, the bond market is informationally efficient even in this repressed environment. In this regard, econometrical techniques aimed at signalling important historical events and the beliefs of contemporaries regarding the...

Oosterlinck, Kim

2015-01-01

280

Predicting Output and Inflation in Less Developed Financial Markets Using the Yield Curve: Evidence from Malaysia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the role of the term spread to predict domestic output and inflation in less developed financial market with the focus on Malaysia bond market. By controlling for past values of the dependent variable, this paper finds that the term spread of various bond maturities contain relevant information about future output and inflation at short horizons. Besides that, we employ a probit model to assess the ability for the yield curve to predict future economic slowdown. The re...

Abdul Majid, Muhamed Zulkhibri

2011-01-01

 
 
 
 
281

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

282

Are South East Europe stock markets integrated with regional and global stock markets?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This means that SEE markets might be immunized to external shocks. We also model time varying correlations among these markets by using Multivariate Generalised Autoregressive Conditional Heteroschedastic (...

Guidi, Francesco; Ugur, Mehmet

2012-01-01

283

78 FR 42588 - Report by the President's Working Group on Financial Markets on the Long-Term Availability and...  

Science.gov (United States)

...the Committee on Financial Services of the...Working Group on Financial Markets: Terrorism...the Committee on Banking, Housing, and...the Committee on Financial Services of the...Chairman of the Securities and Exchange Commission...acts of terrorism; cyber acts of...

2013-07-16

284

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

285

Financial Integration Through Benchmarks: The European Banking Sector  

Digital Repository Infrastructure Vision for European Research (DRIVER)

European banking regulation has been harmonized to a high degree over the last few decades. Nevertheless, the European banking industry remains fragmented as shown by the relatively high market shares of banks in their home countries. In this paper we concentrate on the integration process of European bank share prices. We develop a parsimonious model that is able to detect different integration (correlation) regimes. The model is applied to a set of 41 European banks that have a continuous s...

Moerman, G. A.; Mahieu, R. J.; Koedijk, C. G.

2004-01-01

286

On statistical properties of traded volume in financial markets  

CERN Document Server

We analyse the multi-fractal properties of the traded volume of the Dow Jones 30 constituent equities as well as the dependence degree between immediate traded volumes for each time series by using the MF-DFA method and a nonextensive generalised form of the Kullback-Leibler information measure, respectively. In addition, we introduce a dynamics based on a previous whose associated stationary probability density function fits for emprirical results of that financial observable.

Campos de Souza, J H; Queiros, S M D; Souza, Jeferson de; Moyano, Luis G.; Queiros, Silvio M. Duarte

2006-01-01

287

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

Science.gov (United States)

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

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

2013-10-01

288

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

Science.gov (United States)

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

Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

2014-09-01

289

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

Directory of Open Access Journals (Sweden)

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

R.C. Royfaizal

2009-07-01

290

Spatial and temporal structures of four financial markets in Greater China  

Science.gov (United States)

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

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

2014-05-01

291

Spatial and temporal structures of four financial markets in Greater China  

CERN Document Server

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

Ouyang, F Y; Jiang, X F

2014-01-01

292

Efficiency of financial transmission rights markets in centrally coordinated periodic auctions  

International Nuclear Information System (INIS)

Electricity market design in the United States is increasingly dominated by locational marginal pricing (LMP) of energy and transmission. LMP markets are typically coupled with periodic auctions of financial transmission rights (FTRs) to hedge transmission price risks. While LMP designs offer considerable advantages, forward price discovery in these markets requires participants to form efficient expectations on spot congestion price differences. In this paper, we examine trends in the efficiency of one of the early LMP markets, the New York Independent System Operator (NYISO), analyzing a panel data set of over 9000 contracts over a six-year period beginning September 2000. We show that NYISO FTR markets were inefficient in their early years, but that market participants learned to predict forward prices and thus efficiency improved for FTRs not solely within the New York City/Long Island sub-region. FTRs within this sub-region, which has a number of special characteristics, remain relatively inefficient. (author)

293

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Yu, Haibin

2012-01-01

294

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper utilizes the disposition coefficient to verify whether disposition effect exhibits in Taiwan and Chinese stock markets during the periods of financial crises, and to discuss the differences of the disposition effect between appreciation and depreciation periods. The empirical results show that during the 1997 Asian financial crisis, disposition effect significantly exhibits in the both markets, but during the 2008 global financial crisis, disposition effect only exhibits in Chinese...

Huei-Wen Lin

2012-01-01

295

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

Directory of Open Access Journals (Sweden)

Full Text Available

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

 

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

JEL Classifications: G100, G140

 


Neeta Tripathi

2010-06-01

296

The Effect of Labor Market Conditions and Financial Aid on Doctoral Student Retention  

Science.gov (United States)

Forty-three percent of doctoral students never complete their degree. This dropout is the highest among graduate and professional degree programs. Previous cross sectional studies of doctoral students' retention show the importance of financial aid in predicting degree completion. The studies however, do not estimate the labor market's effect on…

Ampaw, Frimpomaa D.

2010-01-01

297

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

Directory of Open Access Journals (Sweden)

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

Koray KAYALIDERE

2013-03-01

298

Financial instruments help producers hedge gas deals in volatile market  

International Nuclear Information System (INIS)

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

299

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

300

Financial market imperfections and the impact of exchange rate movements  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Cet article s'intéresse à la manière dont les imperfections de marché financier peuvent modifier la réaction des exporatations d'un pays lors d'une dépréciation du taux de change. Nous montrons, à l'aide de données trimestrielles pour 27 pays durant la période 1990-2005, que la réaction du volume d'exportation consécutive à une dépréciation sera d'autant moins positive que (i) les firmes domestiques empruntent en monnaie étrangère, (ii) il existe des contraintes de crédit, (...

Berman, Nicolas; Berthou, Antoine

2006-01-01

 
 
 
 
301

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

Energy Technology Data Exchange (ETDEWEB)

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

NONE

2013-03-15

302

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

Directory of Open Access Journals (Sweden)

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

Kamsol Mohamed Kassim

2009-04-01

303

Less Government is Good Government? Deregulation as an Undermining Principle of Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available Since liberalization became the dominant global narrative the stock response to market shortcomings has been to “slim down” the state and deregulate. In most countries the slogan of “less government is good government” has become a constitutive feature of economic policy since the 1980s. Markets lie at the heart of every successful economy, and despite not necessarily working well on their own, the economic policy of deregulation has been one of the most persistent currents in the global economy. Based as it is on classical liberalism and – at least in its origins and leanings – neoclassical theory, deregulation aims to minimize the influence of the state. But in the context of the current financial and economic meltdown – the worst economic dislocation since the Great Crash of 1929-32 – “downsizing” the state causes growing turmoil. Global networking has made financial markets much more volatile and therefore much more susceptible to crisis.

Tim Engartner

2010-07-01

304

Foreign Investors and Global Integration of Emerging Indian Equity Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This article examines the influence of foreign investors in explaining short-run dynamics and long-run relationship of the emerging Indian equity market with global equity markets. Using daily return series and equity portfolio investments made by foreign institutional investors, we conclude that the rapid growth in the flow of foreign equity portfolio investments is leading to greater integration of the Indian equity market with global markets. With the increased global integration, the Indi...

Poshakwale, Sunil S.; Thapa, Chandra

2010-01-01

305

Asset-asset interactions and clustering in financial markets  

CERN Document Server

The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental changes due to a `heat bath' acting on the many-asset system, quantitatively described in terms of a time dependent effective temperature. The remaining intrinsic properties can be widely investigated by applying standard methods of classical many body systems. As an example, we consider a large set of stocks traded at the NYSE and determine the corresponding asset--asset `interaction' potential. In order to investigate in more detail the cluster structure suggested by the short distance behavior of the interaction potential, we perform a connectivity analysis of the spatial distribution of the particle system. In this way, we are able to draw conclusions on the intrinsic cluster persistency independently of the specific market conditions.

Cuniberti, G; Román, H E

2001-01-01

306

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

Directory of Open Access Journals (Sweden)

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

ALEXANDRU BOGEANU

2013-08-01

307

Contributions to the financial mathematics of energy markets:  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis provides several contributions to quantitative finance for energy markets: electricity price modelling, implying oil price volatilities, pricing and hedging of exotic commodity options. Electricity spot prices are characterized by spikes (jumps) because electricity is non-storable. A widely used model for stochastic component of electricity spot prices, a mean-reversion jump-diffusion model, is only partially successful to capture spikes. We propose the so-called potential L&eacut...

Permana, F. J.

2008-01-01

308

Bubbles and crashes: Gradient dynamics in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Fund managers respond to the payoff gradient by continuously adjusting leverage in our analytic and simulation models. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous market risk premium based on investors' historical losses and constantgain learning. When losses have been small for a long time, asset prices inflate as fund managers increase leverage. Then slight losses can trigger a crash, as a...

Friedman, Daniel; Abraham, Ralph

2009-01-01

309

Revitalizing the nuclear power industry in the financial markets  

International Nuclear Information System (INIS)

The author, Managing Director of Merrill Lynch's Capital Markets group, provides in this paper Wall Street's views of measures required to revitalize the nuclear power industry. (He defines revitalization as occurring when the securities issued by electric utilities operating or building nuclear plants regain favor with the investment community.) Among the factors detailed the author cites regulatory issues, public opinion, economics, and the degree of cooperation extant and required among nuclear power companies to rejuvenate the industry

310

Pareto improving social security reform when financial markets are incomplete!?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper studies an overlapping generations model with stochastic production and incomplete markets to assess whether the introduction of an unfunded social security system leads to a Pareto improvement. When returns to capital and wages are imperfectly correlated a system that endows retired households with claims to labor income enhances the sharing of aggregate risk between generations. Our quantitative analysis shows that, abstracting from the capital crowding-out effect, the introducti...

Krueger, Dirk; Kubler, Felix

2005-01-01

311

Long Memory Properties in Return and Volatility: An Application of the Impact of Arab Spring in Turkey Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available The Arab Spring which began on 17 December 2010 with the civil rebellions, revolutionary wave of demonstrations and protests in the Tunisia, Egypt, Libya, Yemen, Bahrain and Syria. The Arab Spring not only created a domino effect between Arabic countries but also it reflected a significant influence on the financial markets all over the world. The objective of this study is to analyze the impact of the Arab Spring in Turkey Financial Market in consideration of long memory. Long memory can be defined as the persistence of the unexpected shocks on the underlying has long lasting effects. Modeling long memory in stock returns and volatility has also attracted great deal of attention from finance literature recently. Existence of long memory is determined both for the returns and volatility of the time series by using different methods. Existence of long memory can be tested by Rescaled Range Statistics (R/S, Geweke and Porter-Hudak (GPH Model and Gaussian Semi Parametric (GSP Method. In consequence of these tests, if the stock returns have long memory affect then respectively Fractionally Integrated Autoregressive Moving Average Model (ARFIMA and the Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity (FIGARCH model are used to detect the long memory in respectively return and volatility. In this study, the impact of the Arab Spring is investigated by modeled the long memory in Istanbul Stock Exchange using ISE 30 index prices in between December 17, 2010 and April 02, 2012.

Pinar Cevik

2013-03-01

312

An algorithmic information-theoretic approach to the behavior of financial markets  

CERN Document Server

Using frequency distributions of daily closing price sequences of several stock markets, we investigate whether the bias away from an equiprobable sequence distribution, predicted by algorithmic probability, may account for some of the deviation of financial markets from log-normal, and if so for how much of said deviation and over what sequence lengths. Our discussion might constitute a potential starting point for a further investigation of the market as a rule-based system with an 'algorithmic' component, despite its apparent randomness. The use of the theory of algorithmic complexity may supply a set of probing new tools that can be applied to the study of the market price phenomenon. Moreover, the main discussion is cast in terms of assumptions common to areas of economics consistent with an algorithmic view of the market.

Zenil, Hector

2010-01-01

313

Institutional Design of Enforcement in the EU: The Case of Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available Enforcement of EU law has become increasingly ‘Europeanized’. But how is and can it be organized in the integrated legal order of the EU to promote effective enforcement? In light of the recent institutional and substantive changes in the area of EU financial markets regulation, this article identifies four models (S, M, L, and XL models of enforcement of EU law. It discusses the possibilities and challenges to effective enforcement of each of such models and the major trade-offs which policy-makers face at the EU and national levels when designing enforcement frameworks, namely centralization vs. decentralization (an institutional perspective and harmonization vs. differentiation (substantive and procedural perspectives. It argues that at least a minimum degree of institutional centralization is necessary to promote the uniform enforcement and implementation of EU policies in a Union with 28 legal systems. The more specific details, such as specific institutional shape of centralized bodies (should it be a network, an agency or an EU institution? and of the distribution of functions between the national and EU level are better addressed on a case-by-case basis in light of the political, economic, and social characteristics of the sector at stake.

Miroslava Scholten

2014-12-01

314

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

International Nuclear Information System (INIS)

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

315

Financial Markets and the Global Debt Crisis: Toward a New Architecture for A More Reliable Financial Sector  

Scientific Electronic Library Online (English)

Full Text Available SciELO Mexico | Language: English Abstract in spanish La caída de los mercados financieros en 2007 y la subsecuente crisis de la deuda en Estados Unidos produjeron una enorme desconfianza en los productos financieros y en el sistema monetario. El surgimiento del sector bancario en la sombra (shadow banking), también ha cambiado los patrones de conducta [...] de la administración, de manera tal que los intereses de esta última dominaron los de los accionistas y otros tenedores de acciones. Estos falsos incentivos llevaron a fusionar procesos en el sistema financiero que tuvieron como resultado el surgimiento de estructuras mercantiles por medio de las cuales cada institución por separado se hizo demasiado grande o demasiado cercana al fracaso. Los desarrollos empíricos y las contramedidas políticas descritos en este artículo apuntan hacia el hecho de que ha dominado la perspectiva macro, lo que de algún modo niega la irresponsabilidad y el fracaso individuales. Abstract in english The breakdown of the financial markets in 2007 and the ensuing debt crisis in the EU has produced enormous mistrust in financial products and the monetary system. The emergence of shadow banking also changed the behavior patterns of management so that its self-interest dominated the interests of sha [...] reholders and the other stakeholders. These false incentives led to merger processes in the financial system resulting in market structures in which single institutions became too big or too connected to fail. The empirical developments and the political counter-measures described in this article point to the fact that the macro-perspective has been dominant, neglecting individual irresponsibility and failure.

Hans-Georg, Petersen; Alexander Martin, Wiegelmann.

2014-06-01

316

The Causes and Ramifications of the 2008- 2009 Meltdown of the Financial Markets on the Global Economy  

Directory of Open Access Journals (Sweden)

Full Text Available The sub- prime mortgage crisis of the summer of 2007 was the first salvo of the impending global meltdown of the financial markets. This study presents a brief review of the factors that led to the collapse of the financial markets and the magnitude of the damage it caused around the globe. It then discusses the measures that need to be taken to stabilize the markets and to create conditions for the resumption of growth. It examines the prospects for financial markets recovery and economic growth in the emerging economies of Asia, Europe and Latin America, with a special reference to BRIC countries, Turkey, and the Middle East. It emphasizes the linkages between nations’ economies and asserts that economic growth cannot be sustained by individual or block of countries, without an overall global effort, to reign in greed and unethical conduct by the operatives of financial markets

M. Raquibuz ZAMAN

2009-11-01

317

Integration of the North American energy market  

International Nuclear Information System (INIS)

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

318

Random Matrix Theory Analysis of Cross Correlations in Financial Markets  

CERN Document Server

We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been reported for New York Stock Exchange in previous studies. It is shown that the random part of the eigenvalue distribution of the cross correlation matrix is stable even when deterministic correlations are present. Some deviations in the small eigenvalue statistics outside the bounds of the universality class of RMT are not completely explained with the deterministic correlations as proposed in previous studies. We study the effect of randomness on deterministic correlations and find that randomness causes a repulsion between deterministic eigenvalues and the random eigenvalues. This is interpreted as a reminiscent of ``level repulsion'' in RMT and explains some deviations from the previous studies observed in the market data. We also study correlated groups of issues in these mar...

Utsugi, A; Oshikawa, M; Utsugi, Akihiko; Ino, Kazusumi; Oshikawa, Masaki

2003-01-01

319

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

Directory of Open Access Journals (Sweden)

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

Thouraya H. Amor

2009-02-01

320

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

Directory of Open Access Journals (Sweden)

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

Bykhova Elena N.

2012-06-01

 
 
 
 
321

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Bykhova Elena N.

2012-01-01

322

Analyze the Economic Value of Accounting Integrity in Market Mechanism  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyzes the economic value of accounting integrity, agreeing that accounting integrity can decrease trading costs, improve enterprises’ operational efficiency, enlarge market shares and competitiveness, evaluate and motive economic subjects, drive the formation and d...

Aihua Li; Lei Chen; Baofang Dong

2010-01-01

323

Scaling properties of first-passage time probabilities in financial markets  

CERN Document Server

Financial markets provide an ideal frame for the study of first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered resulting in fat tailed first-passage time probabilities. The scaling of the return with the standard deviation collapses the probabilities of all markets considered, and also for different time horizons, into single curves, suggesting that first-passage statistics is market independent (at least for high-frequency data). On the other hand, a very closely related quantity, the survival probability, still shows a hyperbolic $t^{-1/2}$ decay typical of a diffusion-like dynamics. Modifications of the Weibull and Student distributions are good candidates for a phenomenological description of first-passage time properties. The scaling strategies shown may be useful for risk control and algorithmic trading.

Perelló, Josep; Masoliver, Jaume

2011-01-01

324

Multifractal analysis of Asian markets during 2007-2008 financial crisis  

Science.gov (United States)

2007-2008 US financial crisis adversely affected the stock markets all over the world.  Asian markets also came under pressure and were differently affected. As markets under stress could reveal features that remain hidden under normal conditions, we use MF-DFA technique to investigate the multifractal structure of the US and seven Asian stock markets during the crisis period. The overall period of study, from 01 July 2002 to 31 December 2013, is divided into three sub-periods: pre-crisis period, crisis period and post-crisis period. We find during the crisis period markets of the US, Japan, Hong Kong, S. Korea and Indonesia show very strong non-linearity for positive values of the moment q. We calculate the singularity spectra, f(?) for the three sub-periods for all markets. During the crisis period, we observe that the peaks of the f(?) spectra shift to lower values of ? and markets of the US, Japan, Hong Kong, Korea and Indonesia exhibit increased long range correlations of large fluctuations in index returns. We also study the impact of the crisis on the power law exponent in the tail region of the cumulative return distribution and find that by excluding the crisis period from the overall data sets, the tail exponent increases across all markets.

Hasan, Rashid; Mohammad, Salim M.

2015-02-01

325

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

Directory of Open Access Journals (Sweden)

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

MARIA PRAPTININGSIH

2011-04-01

326

PERFORMANCES OF INSURANCE MARKET IN MONTENEGRO IN CONDITIONS OF FINANCIAL CRISIS  

Directory of Open Access Journals (Sweden)

Full Text Available Insurance market of Southeast European countries is characterized by significant changes due to uneven economic growth and development. At markets of developed countries, life insurance premium has the leading position in total insurance premium. Due to insufficient economic development of Montenegro, and inadequate awareness and distrust of citizens, compulsory insurances make the biggest part in the total portfolio of the insurance market in Montenegro. The insurance industry was not fully exposed to crisis and drastic changes have not been expected within this type of industry. The global financial crisis did not have a direct negative impact on the insurance market in Montenegro, but rather the indirect one that may be identified through the decline in purchasing power of citizens, decrease in the lending activity of the banks, and through possible recession. Since the financial markets both in Montenegro and in the region are not sufficiently developed, the insurance companies were not able to invest funds in sophisticated securities and financial derivatives, while the Law on Insurance, on the other hand, limited the companies to invest available monetary assets in risky securities, such as stocks. Insurance development trends primarily depend on economic growth, while strict rules and other regulations dominantly affect the improvement and development of insurance market in every country. Therefore, the control of business of insurance companies, licensed brokers and insurance agents, directing insurance companies to invest free funds into non-risky forms of property and adequate promotion of insurance activities can provide reduction in negative impacts of economic events, i.e. affect insurance companies so that they realize the best possible business results in this and later period.

Julija Cerovi?

2011-06-01

327

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

Science.gov (United States)

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

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

2014-08-01

328

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Yuliya Mishura

2015-01-01

329

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

Directory of Open Access Journals (Sweden)

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

Yuliya Mishura

2015-01-01

330

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

Science.gov (United States)

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

Hui, Eddie C. M.; Chen, Jia

2012-08-01

331

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

Directory of Open Access Journals (Sweden)

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

Pao Shin-Heng

2008-01-01

332

Exogenous and endogenous market crashes as phase transitions in complex financial systems  

Science.gov (United States)

In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous and endogenous shocks in complex financial systems. Markets operate by balancing intrinsic levels of risk and return. This remains true even in the midst of transitory exogenous and endogenous shocks. Changes in market regime (bearish to bullish and bullish to bearish) can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. The resulting models refine the empirical analysis in a number of previous papers.

Fry, J. M.

2012-12-01

333

Democracy versus Dictatorship in Self-Organized Models of Financial Markets  

CERN Document Server

Models to mimic the transmission of information in financial markets are introduced. As an attempt to generate the demand process, we distinguish between dictatorship associations, where groups of agents rely on one of them to make decision, and democratic associations, where each agent takes part in the group decision. In the dictatorship model, agents segregate into two distinct populations, while the democratic model is driven towards a critical state where groups of agents of all sizes exist. Hence, both models display a level of organization, but only the democratic model is self-organized. We show that the dictatorship model generates less volatile markets than the democratic model.

D'Hulst, R

1999-01-01

334

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

Directory of Open Access Journals (Sweden)

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

P Sakthivel

2014-04-01

335

Estimating the Return on Investment Opportunities in Financial Markets and Establishing Optimized Portfolio by Artificial Intelligence  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This project is looking for increasing return on investment, by presenting models based on artificial intelligence. Investment in financial markets could be considered in short-term (daily) and middle-term (monthly) basis/ hence the daily data in Tehran Stock Exchange and the rates of foreign exchange and gold coins have been extracted for the period Mar. 2010 to Sep. 2012 and recorded as the data into the neural networks and the genetic programming model. Also the monthly rate of return and ...

Farzad Karimi; Alireza Zare'ie; Mehdi SalemiNajafabadi

2013-01-01

336

Pricing the economic landscape: global financial markets and the communities and institutions of risk management  

Digital Repository Infrastructure Vision for European Research (DRIVER)

For much of the 20th century, economic geography was preoccupied with the spatial structure of market transactions and the resulting flows of commodities across time and space. This remains a vital reference point in any understanding of the global economy, providing important insights into the changing significance of cities and regions in national and international settings. An alternative way of looking at the dynamic economic landscape is via the scope and scale of financial decision-maki...

Babcock-lumish, Terry; Clark, Gordon L.; Wescoat, James L.; Johnston, Douglas M.

2008-01-01

337

Three Essays on Audit Regulation, Audit Market Structure, and the Quality of Financial Statements  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The dissertation "Three Essays on Audit Regulation, Audit Market Structure, and the Quality of Financial Statements" is a collection of three research papers written during my doctoral studies at the University of Konstanz between May 2009 and April 2014. All three studies cover the main topic auditing and are empirical analysis. The main focus of the first two studies is on audit regulation, whereas the third study deals with former audit firm employees. The thesis is organized as foll...

Heß, Benjamin

2014-01-01

338

An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results from the analysis indicate that liquidity positively affects stock returns. Our results contradict previous results that liquidity is negatively correlated with stock returns as investors required a premi...

Vo, Xuan Vinh; Batten, Jonathan

2010-01-01

339

BSDE and FBSDE with enlargement of filtration, asymmetrical information and hedging problems on financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The subject of this PhD Thesis is the study of existence and uniqueness of the solution of backward stochastic differential equations, under an initial enlargement of filtration. This mathematical problem was motivated by a financial problem of hedging for an insider trader, who has an additional information on the market. In a first part, we solve the problem, successively in a continuous framework and in a model with jumps, and we prove, under hypothesis (H3) on the enlargement of filtratio...

Eyraud-loisel, Anne

2005-01-01

340

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag relationships associated with such. Under Efficient Market Hypothesis such relationships are not possible as all information is embedded in the prices. In this paper we analyse lead-lag ...

Fiedor, Pawe?

2014-01-01

 
 
 
 
341

THE REPERCUSSIONS OF THE 2008 FINANCIAL CRISIS ON THE LABOUR MARKET IN TUNISIA  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper aims at studying macro aspect of the virulent impact of the 2008 financial crisis on the Tunisian economy during the 1970 – 2010 period using the Autoregressive Distributed Lag (ARDL). Our results prove that the crisis has a significant and negative effect on the real GDP per capita. They also show that the labour market was affected through two different transmission channels namely: the exports and the Foreign Direct Investments (FDI). We discovered that the FDI had a long r...

Dammak, Thouraya B.; Kamel Helali

2013-01-01

342

Stock market reaction to financial statement certification by bank holding company CEOs  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded firms certify the accuracy of their company financial statements. In this paper, I investigate whether CEO certification has had a measurable effect on the stock market valuation of the forty-two bank holding companies subject to the SEC order. I find that these firms experienced a positive average abnormal return of 30 to 60 basis points on the day of certification - a result ...

Hirtle, Beverly

2003-01-01

343

Measuring and Forecasting Financial Market Volatility using High-Frequency Data  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This dissertation consists of three studies on the use of intraday asset price data for accurate measurement and forecasting of financial market volatility. Chapter 2 proposes a refined heuristic bias-correction for the two time scales realized range-based volatility estimator in the presence of bid-ask bounce and non-trading. The merits are illustrated through simulations and an empirical forecasting application. Chapter 3 introduces a novel approach for estimating the covariance between ass...

Bannouh, K.

2013-01-01

344

Convergence, divergence or hybridisation? : Globalization of financial markets and corporate governance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper analyzes the impact of financial globalization on corporate governance systems. While shareholder systems are relatively unaffected by globalization pressures, the burden of adjustment rests primarily on stakeholder systems, owing to their dominant non-market forms of coordination. Convergence theory therefore expects a transformation of stakeholder systems towards shareholder systems, whereas the ‘hybridization thesis’ argues for a combination of elements from shareholder and s...

Bo?rsch, Alexander

2005-01-01

345

Integration project of regional markets in Europe (European directive)  

International Nuclear Information System (INIS)

The article presents the current situation of the Day-Ahead electricity markets in the different countries and Regions along West Europe. It describes the different possibilities applied to congestion management in the borders between countries and price areas, and the options employed to couple Day-ahead markets to form regional markets in Europe. Finally, it presents the initiative to Price couple Regional markets (PCR) that is being developed by Nord pool spot, EPEX Spot and OMEL with the objective to advance towards the integration of the markets that they operate in the internal Electricity Market. (Author)

346

Random matrix theory and cross-correlations in global financial indices and local stock market indices  

Science.gov (United States)

We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest eigenvectors of the cross-correlation matrix before, during, and after the global financial the crisis in the year 2008. We find that the majority of its eigenvalues fall within the RMT bounds [ ? -, ? +], where ? - and ? + are the lower and the upper bounds of the eigenvalues of random correlation matrices. The components of the eigenvectors for the largest positive eigenvalues indicate the identical financial market mode dominating the global and local indices. On the other hand, the components of the eigenvector corresponding to the second largest eigenvalue are positive and negative values alternatively. The components before the crisis change sign during the crisis, and those during the crisis change sign after the crisis. The largest inverse participation ratio (IPR) corresponding to the smallest eigenvector is higher after the crisis than during any other periods in the global and local indices. During the global financial the crisis, the correlations among the global indices and among the local stock indices are perturbed significantly. However, the correlations between indices quickly recover the trends before the crisis.

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

2013-02-01

347

An Integrated Architecture for Enhanced Structuring of Mobile Market Place  

Directory of Open Access Journals (Sweden)

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

Amer Ali Sallam

2011-02-01

348

Stock market integration: Malaysia and its major trading partners  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This study examines the stock market integration among Malaysia and its major trading partners by employing Johansen (1988) and Johansen and Juselius (1990) cointegration tests and VECM approach in investigating the dynamic linkages between markets. By using a weekly data, the results indicate that Malaysia stock market is significantly influenced by the stock market development from the major trading partners. The empirical findings are consistent with the view that stronger the bilateral...

Abdul Karim, Zulkefly; Abdul Karim, Bakri

2008-01-01

349

European Integration: Strategic Market Research and Industry Structures  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper is concerned with the impact of market research prior to integration, on the structures of noncompetitive industries in integrated economy. The analysis focuses on separated, single commodity, monopolistic markets with stochastic demand. Monopolistic firms are considered in dynamic multiperiod model, where intertemporal links are determined by expenditures on market research in a present period and benefits from this activity (i.e., smaller variance of the prediction ...

Cukrowski, Jacek; Fischer, Manfred M.

2000-01-01

350

EATURES OF THE PRIVATE PENSION FUNDS IN UKRAINE AND THEIR ROLE IN THE DEVELOPMENT OF FINANCIAL MARKET  

Directory of Open Access Journals (Sweden)

Full Text Available The article deals with the peculiarities of state pension funds, to justify their role in the development ofthe financial market of Ukraine. The problems that hamper the development of private pension funds, andthe ways to solve them.

J. V. Garbar J.V.

2012-12-01

351

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

Directory of Open Access Journals (Sweden)

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

Huei-Wen Lin

2012-05-01

352

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Weißenberger, Barbara E.; Angelkort, Hendrik

2009-01-01

353

Information content of financial markets: a practical approach based on Bohmian quantum mechanics  

CERN Document Server

The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors with the past. The light is shed by considering the relevance of the market conditions with the previous market conditions enabling the conversion of the local concepts to the global ones. We have shown that there are two potential limits for each market. In essence, these potential limits act as a boundary which limits the return values inside it. By estimating the difference between these two limits in each market, it is found that the quantum potentials of the return time series in different time scales, possess a scaling behavior. The slopes of the scaling behaviors in mature, emerging and commodity markets show different patterns. The emerge market having a slope greater than 0.5, has a higher value compared to the corresponding values for the mature and commodity mark...

Tahmasebi, F; Namaki, A; Jafari, G R

2012-01-01

354

Financing early-stage ventures: the role of uncertainty and financial markets in the investment choices of venture capitalists  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Our paper sheds light on the reasons for which a rational venture capitalist decides to reallocate his or her portfolio from later to early-stage investment. We explain why, during certain periods, there is a strong correlation between the performance of financial markets and the funds invested in early-stage ventures while, during other periods, the performance of financial markets does not affect such investments. Some hypotheses inferred from our theoretical model, and notably the existenc...

Nasica, Eric; Dufour, Dominique

2009-01-01

355

Long Memory Properties in Return and Volatility: An Application of the Impact of Arab Spring in Turkey Financial Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The Arab Spring which began on 17 December 2010 with the civil rebellions, revolutionary wave of demonstrations and protests in the Tunisia, Egypt, Libya, Yemen, Bahrain and Syria. The Arab Spring not only created a domino effect between Arabic countries but also it reflected a significant influence on the financial markets all over the world. The objective of this study is to analyze the impact of the Arab Spring in Turkey Financial Market in consideration of long memory. Long memory can be ...

Pinar Cevik; Hamdi Emec

2013-01-01

356

Financial links between the stock market and the debt securities market  

Directory of Open Access Journals (Sweden)

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

Francisco Eduardo de Luna e Almeida Santos

2008-07-01

357

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 he...

Moatemri Ouarda; Abdelfatteh el Bouri; Olivero Bernard

2013-01-01

358

In Search of Market Index Leaders: Evidence from World Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the presence of Granger-causality amongst world market indices: S&P 500, Dow Jones Industrial Average, Eurostoxx 50, Nikkei, FTSE 100, from January 2nd 1987 to October 17th 2008. Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the marke...

Canegrati, Emanuele

2008-01-01

359

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

Directory of Open Access Journals (Sweden)

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

Tanase (Rosca Laura Daniela

2011-12-01

360

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

Directory of Open Access Journals (Sweden)

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

T. S. Doyle

2013-04-01

 
 
 
 
361

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

International Nuclear Information System (INIS)

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

362

INTEGRAL ASSESSMENT OF ENTERPRISES’ FINANCIAL STATE WITH THE HELP OF COGNITIVE DIAGNOSTIC MODEL OF BANKRUPTCY PROBABILITY  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The article provides some improvements to the existing methodical approaches to the integral estimation of enterprises’ financial performance based on the application of model of cognitive diagnostic of bankruptcy probability. The expediency of integrated system of indicators for assessing the economic entities’ financial performance and non-financial verbal indicators (indicators of subjective nature) have been grounded. The cognitive diagnostic model of enterprises’ bankruptcy probabi...

Fedoruk, O.

2013-01-01

363

FINANCIAL MARKET DEVELOPMENT AND CAPITAL STRUCTURE OF LISTED FIRMS - EMPIRICAL EVIDENCE FROM GHANA  

Directory of Open Access Journals (Sweden)

Full Text Available This study explores the relationship between financial market development and choice of finance(debt-equity of listed firms in Ghana in a panel data framework.The core concern of this study is totest whether debt and equity finance are complements or substitutes. The study used panel data whichinvolves pooling of twenty-one listed firms on the Ghana Stock Exchange (GSE over the period1995-2005. The study finds evidence of complementarity between banking and stock marketdevelopments in financing decisions of listed firms in Ghana. The stock market development isindicated to have a positive effect on the capital structure decisions of listed firms. However,substitution effect between debt and equity mainly in favour of equity financing sets in as thefinancial landscape develops further. This finding emphasises the important role equity markets indeveloping countries play in capital structure of listed firms.

James N. Doku

2011-11-01

364

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

International Nuclear Information System (INIS)

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

365

Network analysis of a financial market based on genuine correlation and threshold method  

Science.gov (United States)

A financial market is an example of an adaptive complex network consisting of many interacting units. This network reflects market’s behavior. In this paper, we use Random Matrix Theory (RMT) notion for specifying the largest eigenvector of correlation matrix as the market mode of stock network. For a better risk management, we clean the correlation matrix by removing the market mode from data and then construct this matrix based on the residuals. We show that this technique has an important effect on correlation coefficient distribution by applying it for Dow Jones Industrial Average (DJIA). To study the topological structure of a network we apply the removing market mode technique and the threshold method to Tehran Stock Exchange (TSE) as an example. We show that this network follows a power-law model in certain intervals. We also show the behavior of clustering coefficients and component numbers of this network for different thresholds. These outputs are useful for both theoretical and practical purposes such as asset allocation and risk management.

Namaki, A.; Shirazi, A. H.; Raei, R.; Jafari, G. R.

2011-10-01

366

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

Directory of Open Access Journals (Sweden)

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

Haibin YU

2012-12-01

367

Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets  

Science.gov (United States)

Our study attempts to discover pure contagion or interdependence amongst the Asian equity markets (China, India, Taiwan and South Korea) due to the shocks stemming from eleven major crises around the world. We apply wavelet decomposition in both its discrete and continuous forms to unveil the multi-horizon nature of co-movement, volatility and lead-lag relationship. We find that most of the earlier shocks were transmitted via excessive linkages or pure contagion, while the recent subprime crisis appears to have resulted mostly in fundamentals-based contagion or interdependence. This assertion is based mainly on the deepening fundamental integration particularly after the Asian financial crisis period. We also find the relatively dominating role of China and South Korea after this crisis.

Dewandaru, Ginanjar; Masih, Rumi; Masih, A. Mansur M.

2015-02-01

368

Market integration of Virtual Power Plants  

DEFF Research Database (Denmark)

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

Petersen, Mette Kirschmeyer; Hansen, Lars Henrik

2013-01-01

369

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

Science.gov (United States)

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

Fiedor, Pawe?

2014-08-01

370

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

Directory of Open Access Journals (Sweden)

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

BONI MIHAELA STR?OANU

2014-05-01

371

Educational Blogging: Integrating Technology into Marketing Experience  

Science.gov (United States)

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

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

2010-01-01

372

Market Reaction to Financial Statement Restatement: A Study on the Information and Insurance Role of Auditors  

Directory of Open Access Journals (Sweden)

Full Text Available Although researches have extensively studied the relationship between audit quality and financial reporting, little has been said about the consequences to auditors of financial reporting failure in terms of impairment of the audit information role. Based in Taiwan’s unique setting, we documents the information role of audit by examining the market reaction to the annual reports of the other clients of auditors associated with restatements. We find that market reaction to clients audited by auditors associated with restatements is significantly more negative than that of clients audited by auditors not associated with restatements, especially for Big-Four auditors. While the results of non-restatement-related group complies with the literature that suggested significantly more positive market reactions for Big-Four clients, abnormal returns are more negative for Big-Four clients of restatement-related auditors. We conclude that an additional penalty for reports audited by Big-Four auditors associated with restatements impairs the perception of their information role.

Li-Jen He

2013-07-01

373

Universal behavior of the interoccurrence times between losses in financial markets: Independence of the time resolution  

Science.gov (United States)

We consider representative financial records (stocks and indices) on time scales between one minute and one day, as well as historical monthly data sets, and show that the distribution PQ(r ) of the interoccurrence times r between losses below a negative threshold -Q , for fixed mean interoccurrence times RQ in multiples of the corresponding time resolutions, can be described on all time scales by the same q exponentials, PQ(r ) ?1 /{[1+(q -1 ) ? r ] 1 /(q -1 )} . We propose that the asset- and time-scale-independent analytic form of PQ(r ) can be regarded as an additional stylized fact of the financial markets and represents a nontrivial test for market models. We analyze the distribution PQ(r ) as well as the autocorrelation CQ(s ) of the interoccurrence times for three market models: (i) multiplicative random cascades, (ii) multifractal random walks, and (iii) the generalized autoregressive conditional heteroskedasticity [GARCH(1,1)] model. We find that only one of the considered models, the multifractal random walk model, approximately reproduces the q -exponential form of PQ(r ) and the power-law decay of CQ(s ) .

Ludescher, Josef; Bunde, Armin

2014-12-01

374

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

CERN Document Server

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.) affect trading and the pricing of firms in organized stock markets. In this paper we seek to address this issue by performing an analysis of more than 24 million news records provided by Thompson Reuters and of their relationship with trading activity for 205 major stocks in the S&P US stock index. We show that the whole landscape of news that affect stock price movements can be automatically summarized via simple regularized regressions between trading activity and news information pieces decomposed, with the help of simple topic modeling techniques, into their "thematic" features. Using these methods, we are able to estimate and quantify the impacts of news on trading. We in...

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

2012-01-01

375

Integrating European network industries: regulation, market and strategy  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Facing the challenges of energy transition, communication, mobility of goods and people, and more generally of competitiveness in a globalized world, European Member States engaged in the development of infrastructure networks supporting the common market. In this perspective, the integration of network industries in Europe, which translates into the creation of common energy, transportation and telecoms markets without internal borders, is usually analysed in terms of market design and / or ...

Lehiany, Benjamin

2013-01-01

376

Talking about integration. Discources, alliances and theories on labour market integration in Sweden.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In Sweden those born outside the country participate less in the labour market than the majority population. Why is this so? What can be done to better the situation? In this report we take a closer look at how labour market integration is discussed in Sweden. Opinions are strongly divided on the issue of integration. Four discourses on labour market integration are identified. We label them the social liberal discourse, the social democratic discourse, the structural discrimination discourse...

Brekke, Jan-paul; Borchgrevink, Tordis

2013-01-01

377

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

Science.gov (United States)

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 million news records provided by Thompson Reuters and of their relationship with trading activity for 206 major stocks in the S&P US stock index. We show that the whole landscape of news that affects stock price movements can be automatically summarized via simple regularized regressions between trading activity and news information pieces decomposed, with the help of simple topic modeling techniques, into their "thematic" features. Using these methods, we are able to estimate and quantify the impacts of news on trading. We introduce network-based visualization techniques to represent the whole landscape of news information associated with a basket of stocks. The examination of the words that are representative of the topic distributions confirms that our method is able to extract the significant pieces of information influencing the stock market. Our results show that one of the most puzzling stylized facts in financial economies, namely that at certain times trading volumes appear to be "abnormally large," can be partially explained by the flow of news. In this sense, our results prove that there is no "excess trading," when restricting to times when news is genuinely novel and provides relevant financial information. PMID:23762258

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

2013-01-01

378

Energy markets and European Integration: The World Energy Council role  

International Nuclear Information System (INIS)

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

379

Corporate Advertising Web Sites as Integrated Relationship Marketing Media  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Fotini Patsioura; Maro Vlachopoulou; Eleonora-Ioulia Malama

2008-01-01

380

Short-term oil models before and during the financial market crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The present paper presents three different short-term oil models on a weekly basis. With these models we try to forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider fundamental factors like the net long position and oil inventories. The third variant is a pure futures model. It is shown that the first two fundamental models perform better until mid/end 2007 and since mid 2009. During the financial market crisis from end 2007 unt...

Clostermann, Jo?rg; Keis, Nikolaus; Seitz, Franz

2010-01-01

 
 
 
 
381

Specialization of strategies and herding behavior of trading firms in a financial market  

CERN Document Server

The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by a resulting strategy and can be classified in groups of firms with different specialization. Few large firms overally act as trending firms whereas many heterogeneous firm act as reversing firms. The herding properties of these two groups are markedly different and consistently observed over a four-year period of trading.

Lillo, Fabrizio; Vaglica, Gabriella; Mantegna, Rosario N

2007-01-01

382

Non-universal scaling and dynamical feedback in generalized models of financial markets  

CERN Document Server

We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of agents and to include a demand process. Non-universal scaling with a tunable exponent for the group size distribution is found in the resulting system. We also show that the fragmentation and coagulation probabilities of groups of agents have a strong influence on the average investment rate of the system.

Zheng, D; Hui, P M; D'Hulst, R; Zheng, Dafang

2001-01-01

383

The effects of hospital-physician integration strategies on hospital financial performance.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

STUDY QUESTION. This study investigated the longitudinal relations between hospital financial performance outcomes and three hospital-physician integration strategies: physician involvement in hospital governance, hospital ownership by physicians, and the integration of hospital-physician financial relationships. DATA SOURCES AND STUDY SETTING. Using secondary data from the State of California, integration strategies in approximately 300 California short-term acute care hospitals were tracked...

Goes, J. B.; Zhan, C.

1995-01-01

384

Forward integration and market entry – evidence from natural gas markets for household customers in Germany  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Due to potential abuse of the market power at wholesale and retail market level for natural gas the Federal Cartel Office in Germany prohibited further forward integration of gas importing firms with retail incumbents from 2005/2006 to 2010. The Authority argued that the very few dominant gas importing companies, which also own and operate the gas pipelines, could have an incentive to foreclose existing competitors or prevent potential market entry. However, two of the importin...

Nikogosian, Vigen; Weigand, Ju?rgen

2012-01-01

385

Integrating Marketing and Entrepreneurship with Industrial Design  

Science.gov (United States)

This presentation, authored by Kenneth Phillips of Metropolitan State College at Denver, is a report on a collaborative project to create a formal symbiotic relationship between the Industrial Design and Marketing departments at the Metropolitan State College of Denver, in order to provide students with a complete concept-to-market entrepreneurial experience. The presentation may be large and take a few minutes to open.

Phillips, Kenneth

386

Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect  

CERN Document Server

We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, we go beyond it and, complementing the efficient market hyphotesis (for returns) with the heterogenous market hyphotesis (for volatility), we test the impact of unexpected volatility, defined as the part of volatility which cannot be forecasted, on the presence of serial correlations in the time series. We show that unexpected volatility is instead positively correlated with intraday serial correlation.

Bianco, Simone; Reno', Roberto

2008-01-01

387

Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts  

CERN Document Server

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most important deviations of price time series from a Random Walk behavior. We focus on four essential ingredients: fundamentalist agents which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies; herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated by chartists, while fundamentalists provide a long time stability (on average). The Stylized Facts are shown to correspond to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite size effect which, however, can occur at different time scales. We propose a new mechanism for the Self-Organization of this state which is...

Alfi, V; Pietronero, L; Zaccaria, A

2008-01-01

388

Spectrum, intensity and coherence in weighted networks of a financial market  

Science.gov (United States)

We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the correlation between the nodes. The eigenvalue spectrum of the correlation matrix reflects the structure of the market, which also shows in the cluster structure of the emergent network. The stronger and more compact a cluster is, the earlier the eigenvalue representing the corresponding business sector occurs in the spectrum. On the other hand, if groups of stocks belonging to a given business sector are considered as a fully connected subgraph of the final network, their intensity and coherence can be monitored as a function of time. This approach indicates to what extent the business sector classifications are visible in market prices, which in turn enables us to gauge the extent of group-behaviour exhibited by stocks belonging to a given business sector.

Tibély, Gergely; Onnela, Jukka-Pekka; Saramäki, Jari; Kaski, Kimmo; Kertész, János

2006-10-01

389

Spectrum, Intensity and Coherence in Weighted Networks of a Financial Market  

CERN Document Server

We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the correlation between the nodes. The eigenvalue spectrum of the correlation matrix reflects the structure of the market, which also shows in the cluster structure of the emergent network. The stronger and more compact a cluster is, the earlier the eigenvalue representing the corresponding business sector occurs in the spectrum. On the other hand, if groups of stocks belonging to a given business sector are considered as a fully connected subgraph of the final network, their intensity and coherence can be monitored as a function of time. This approach indicates to what extent the business sector classifications are visible in market prices, which in turn enables us to gauge the extent of group-behaviour exhibited by stocks belonging to a given business sector.

Tibely, G; Saramäki, J; Kaski, K; Kertész, J

2006-01-01

390

Elspot: Nord Pool Spot Integration in MASCEM Electricity Market Simulator  

DEFF Research Database (Denmark)

The energy sector in industrialized countries has been restructured in the last years, with the purpose of decreasing electricity prices through the increase in competition, and facilitating the integration of distributed energy resources. However, the restructuring process increased the complexity in market players' interactions and generated emerging problems and new issues to be addressed. In order to provide players with competitive advantage in the market, decision support tools that facilitate the study and understanding of these markets become extremely useful. In this context arises MASCEM (Multi-Agent Simulator of Competitive Electricity Markets), a multi-agent based simulator that models real electricity markets. To reinforce MASCEM with the capability of recreating the elect ricity markets reality in the fullest possible extent, it is crucial to make it able to simulate as many market models and player types as possible. This paper presents a new negotiation model implemented in MASCEM based on thenegotiation model used in day-ahead market (Elspot) of Nord Pool. This is a key module to study competitive electricity markets, as it presents well defined and distinct characteristics from the already implemented markets, and it is a reference electricity market in Europe (the one with the larger amount of traded power).

Fernandes, Ricardo; Santos, Gabriel

2014-01-01

391

Competitive Intelligence and Consolidation of Marketing Information in the System of Management of Integrated Corporate Structures ???????????? ???????? ? ???????????? ????????????? ?????????? ? ??????? ??????????? ??????????????? ????????????? ????????  

Directory of Open Access Journals (Sweden)

Full Text Available The leading tendency of the modern stage of development of the world economy, which determines its development, is globalisation. Processes of globalisation of the most important spheres of life and activity of the humanity have impact on the mechanisms of formation of economic subjects. Such conditions of enterprise functioning cause a necessity of concentration and integration of industrial and bank capital, in other words, appearance of organisational forms of unification of economic subjects – creation of integrated corporate structures, which is the basis for sustainable development and functioning of Ukrainian industry. Financial management, based on consolidated information and process of its creation – competitive intelligence, takes the leading place in the system of management of integrated corporate structures. The article identifies the role and place of competitive intelligence in the process of creation of consolidated marketing information in the system of management of integrated corporate structures.?? ??????????? ????? ???????? ??????? ????????? ??????? ??????????, ???????????? ?? ????????, ???????? ????????????. ???????? ???????????? ????????? ???? ????? ? ???????????? ???????????? ?? ????? ?? ?????????? ?? ?????????? ???????????? ????????? ??????????????. ????? ??????? ???????????????? ??????????? ???????? ????????????? ???????????? ? ?????????? ????????????? ? ??????????? ?????????, ?? ???? ????????? ??????????????? ???? ??????????? ????????? ?????????????? – ???????? ??????????????? ????????????? ???????? (???, ??? ???????? ??????? ??? ??????????? ???????? ? ???????????????? ?????????????? ???????. ? ??????? ?????????? ??? ???????????? ????? ???????? ?????????? ??????????, ?????????? ?? ????????????????? ?????????? ? ???????? ?? ???????? – ???????????? ????????. ? ?????? ?????????? ???? ? ????? ???????????? ???????? ? ???????? ???????? ????????????????? ????????????? ?????????? ? ??????? ??????????? ??????????????? ????????????? ????????.

Cherkashina Maya Viktorovna

2013-08-01

392

78 FR 18083 - Regulation Systems Compliance and Integrity  

Science.gov (United States)

...exchanges or other market centers to terminate...posing a threat to market integrity.\\76...Eric Swanson, BATS Global Markets, Inc.; Letter...Dave Lauer, Market Structure and HFT Consultant...Program Director, Financial Information...

2013-03-25

393

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

Directory of Open Access Journals (Sweden)

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

Goncharenko Natalia Grigorievna

2012-05-01

394

Calibration of optimal execution of financial transactions in the presence of transient market impact  

International Nuclear Information System (INIS)

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume into many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al 2004 Quant. Finance, 4 176–90), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate with real data the optimal execution problem both for risk neutral and for risk averse investors and we derive an efficient frontier of optimal execution. When we include spread costs the problem must be solved numerically and we show that the introduction of such costs regularizes the solution. (paper)

395

Efficient integration of renewable energies in the German electricity market  

International Nuclear Information System (INIS)

Liberalisation of the electricity sector aims to carry out coordination tasks within the system by markets and market prices. This study examines how markets need to be designed to carry out coordination tasks caused by integration of renewable energies in an efficient way. This question is applied to the German electricity system and recommendations are derived from identified deficits. The examination uses the structure-conduct-performance approach of industrial organisation economics. Integration of renewable energies does not result in entirely new coordination tasks but complicates those that exist in any electricity supply system. Within the short-term coordination tasks provision and operation of reserve capacity is affected by renewable energies. Long-term coordination means that the relation between fixed and variable costs of generators as well as generator flexibility has to be adjusted to the characteristics of renewable energies. The relevant short-term coordination task with the network is congestion management. In the long run costs of grid expansion and permanent congestion management have to be balanced. For the execution of short-run coordination tasks integrated and centralised market architectures are superior to decentralised architectures. The increase of short-term coordination tasks due to renewable energies caused by inflexibilities of consumers and conventional generators results in more information that has to be considered. By centralising that information in one market, an increase in productive efficiency can be obtained. In Germany the increased coordination tasks are determined by the integration of wind generators into the electricity system. The present German market architecture results in inefficiencies in short-term coordination. This is demonstrated by an analysis of procedural rules and prices of the ancillary service markets. They demonstrate that market performance is low and significant deviations from competitive prices can be found. The indirect integration of renewable energies in the market results in additional transaction costs due to additional load profile transformations. The revision of the German electricity feed-in law of 2004 includes measures to reduce these inefficiencies, but the principle of indirect integration is maintained. Based on the results of the analysis, adaptations of the market structure are proposed: A direct commercialisation of electricity on the market by owners of renewable energy systems as well as a centralisation and integration of short-term coordination tasks in one institution. The main tasks of this organisation include the execution of the day-ahead, intra-day and ancillary service market as well as the network congestion management. Further research is necessary to quantify achievable efficiency gains by the proposed measures as well as the effects on the structure of electricity prices. (orig.)

396

Design of Financial Market Regulations against Large Price Fluctuations Using by Artificial Market Simulations  

Directory of Open Access Journals (Sweden)

Full Text Available We built an artificial market model and compared effects of price variation limits, short selling regulations and up-tick rules. In the case without the regulations, the price fell to below a fundamental value when an economic crush occurred. On the other hand, in the case with the regulations, this overshooting did not occur. However, the short selling regulation and the up-tick rule caused the trading prices to be higher than the fundamental value. We also surveyed an adequate limitation price range and an adequate limitation time span for the price variation limit and found a parameters’ condition of the price variation limit to prevent the over-shorts. We also showed the limitation price range should be bigger than a volatility calculated by the limitation time span.

Takanobu Mizuta

2013-04-01

397

Financial Stock Market and Economic Growth in Developing Countries: The Case of Douala Stock Exchange in Cameroon  

Directory of Open Access Journals (Sweden)

Full Text Available In this article Sims’ causality test based on Granger definition of causality was used to examine causalityrelationships between stock markets and economic growth in Cameroon based on the time series data from 2006to 2010. Our findings suggest that the Douala Stock Exchange still doesn’t affect Cameroonian economic growth.Research has been made in this topic and found positive relationship between financial stock marketdevelopment and economic growth, but in Cameroon the purpose of the government to develop economy, bycreating the Douala Stock Exchange is still not reached. After running variance decomposition test of Cholesky,we found systematic evidence that the market capitalization affects positively the GDP. Our paper comes up withthe opportunity given to the Cameroonian government to understand that it is time to find financial policies, toencourage companies and develop financial stock market culture, and enhance to push companies to initiate IPOinstead of bank loans when money is needed to increase their investment.

Boubakari Ake

2010-04-01

398

Predictability of stock returns using financial statement information: Evidence on semi-strong efficiency of emerging Greek stock market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market doe...

Alexakis, C.; Patra, T.; Poshakwale, Sunil S.

2010-01-01

399

Building-integrated PV -- Analysis and US market potential  

International Nuclear Information System (INIS)

Arthur D Little, Inc., in conjunction with Solar Design Associates, conducted a study for the US Department of Energy (DOE), Office of Building Technologies (OBT) to determine the market potential for building-integrated photovoltaics (BIPV). This study defines BIPV as two types of applications: (1) where the PV modules are an integral part of the building, often serving as the exterior weathering skin, and (2) the PV modules are mounted on the existing building exterior. Both of these systems are fully integrated with the energy usage of the building and have potential for significant market penetration in the US

400

Exchane Rate Dynamics under Financial Market Frictions- Exchange rate regime, capital market openness and monetary policy -Electoral cycle of exchange rate in Korea : The Trilemma in Korea  

Digital Repository Infrastructure Vision for European Research (DRIVER)

-Exchange Rate Dynamics under Financial Market FrictionsThis paper extends Dornbusch's overshooting model by proposing "generalized interest parity condition", which assumes sluggish adjustment on the asset market. The exchange rate model under the generalized interest parity condition is able to reproduce the delayed overshooting of nominal exchange rates and the hump-shaped response to monetary shocks of both nominal and real exchange rates.-Electoral Cycle of Exchange Rate in KoreaThis pap...

Ryou, Hyunjoo

2012-01-01

 
 
 
 
401

Product market integration, tax distortions and public sector size  

DEFF Research Database (Denmark)

The implications of product market integration for public sector activities (transfers and public consumption) are considered in a standard setting. The analysis supports that a larger public sector (higher tax rate) tends to increase wages and worsen wage competitiveness. However, the implications of product market integration for the public sector are far from straightforward. The reason is gains-from-trade effects which tend to increase the tax base and decrease the opportunity costs of public consumption (marginal utility of private consumption falls). It follows that the retrenchment view that product market integration inevitable leads to a downward pressure on public sector activities does not get support in a standard setting. A particularly noteworthy finding is that a country with a large public sector (strong preferences for public consumption) may benefit more by integrating with a country with a smaller public sector (weak preferences for public consumption).

Andersen, Torben M.; SØrensen, Allan

2013-01-01

402

Regional integration and FDI in emerging markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Regional integration is often considered a means to improve member countries’ attractiveness to foreign direct investment (FDI). But regional integration agreements (RIAs) as well as FDI are too diverse to allow for generalized verdicts. Our case studies on Mercosur in Latin America, ASEAN and SAARC in Asia, and SADC in sub-Saharan Africa caution against high expectations in several respects. First, country-specific factors were often more important as a stimulus to FDI than regional integr...

Kubny, Julia; Mo?lders, Florian; Nunnenkamp, Peter

2008-01-01

403

Self-monitoring or reliance on newswire services: How do financial market participants process central bank news?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study how financial market participants process news from four major central banks - the Bank of England (BoE), the Bank of Japan (BoJ), the European Central Bank (ECB), and the Federal Reserve (Fed), using a novel survey of 450 financial market participants from around the world. Our results indicate that, first, respondents rely more on newswire services to learn about central bank events than on self-monitoring. In general, the Fed is watched most closely, followed by the ECB, the BoE, ...

Hayo, Bernd; Neuenkirch, Matthias

2014-01-01

404

The social-financial responsible reporting – the key for integrated reporting  

Directory of Open Access Journals (Sweden)

Full Text Available General purpose of financial statements is to satisfy the needs of users who are not in the position to require of the entity to prepare reports tailored to their particular information needs. Because the public is one of these users interested of social information and because the financial statement do not provide sufficient social information to satisfy these needs, the study demonstrate the need to integrate the responsible social reporting into financial reporting. In order to support this reason, taking into account the data supplied by the entities listed on the Global Reporting Initiative regarding the corporate social responsibility. The results of the study show that social indicators can be disclosed in a monetary form which reinforces the need for their integration into financial reporting and the need to define a new concept: the social – financial responsible reporting.

Iulia Jianu

2012-08-01

405

The two-sided effect of financial globalization on output volatility  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper provides evidence for a significant relation between international financial markets' integration and output volatility. In the framework of a threshold model, it is shown empirically that this relation depends on country's financial risk. Financial risk indicates a country's ability to pay its official, commercial and trade debts. In countries with low financial risk, financial openness decreases output volatility, while, in countries with high financial risk, financial openness i...

Meller, Barbara

2011-01-01

406

A study on the effects of marketing communication using integrated marketing communication  

Directory of Open Access Journals (Sweden)

Full Text Available Integrated Marketing Communication (IMC is one of the needed concepts in competitive edge. IMC is defined as a cross functional process for creating and nourishing profitable relationships with customers and other stakeholders by strategically controlling or impacting all messages sent to these groups. It ensures that all forms of communications and messages are carefully linked together. This study investigates the effectiveness of marketing communication in an Iranian automaker named Khodro using IMC system. The study tries to audit the rate of marketing relationship integrity and its outcome on organization performance. The study designs a questionnaire and distributes it among 384 randomly selected people who use this firm’s services and Cronbach alpha has been calculated as 0.974. Hypotheses of this survey are exanimated by Pearson correlation test as well as pairwise t-student tests. The results show the effects of integrated marketing Communication on organization performance. In addition, there is a significant positive correlation relationship between integrated marketing communication with mission marketing, Cross functional Strategic Planning and Interactivity. Finally, there is a significant positive correlation relationship between dimensions of IMC.

Solmaz Sellahvarzi

2014-07-01

407

Proceedings of the CERI 2005 electricity conference : markets, integration, resistance  

International Nuclear Information System (INIS)

This conference was attended by power industry decision makers who face continuing challenges regarding changes in electricity market mechanisms, pricing options, and power generation and transmission alternatives. It provided an opportunity to review energy markets in North American with particular reference to supply and demand and opportunities for traditional or new generation technologies based on renewable energy sources including wind powered generation. The presentations focused on transmission issues, market design and capacity issues as well as market power and pricing. The integration of wind energy into the power grid as a measure to diversity the power generation portfolio in North America was also discussed along with hydrothermal synergies and interconnections. The role of wind, coal and nuclear power in future North American energy markets was also discussed along with their environmental consequences. tabs., figs

408

Legal and economic aspects of best execution in the context of the Markets in Financial Instruments Directive (MiFID)  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper explores the implications for investment firms and clients that arise out of an interpretation of the Market in Financial Instruments Directive (MiFID) best execution requirements from a law and economics perspective. While best execution is often framed as a matter of investor protection, research on market microstructure suggests that there is, in fact, an efficiency rationale (and not only a distributional rationale) for having some degree of best execution regulation. In terms ...

Iseli, Thomas; Wagner, Alexander F.; Weber, Rolf H.

2007-01-01

409

Social media in an integrated marketing communication strategy  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The objective of this research work is to find out how to integrate social media in Off-Road’s Finnmark marketing communications. One of the aims of this research is to help the case company to increase the usage of social media in their marketing strategy. The next objective is to develop a marketing strategy for Off-Road Finnmark, in order to assist the organization to implement social media. Relevant articles and literature was reviewed in order to have data to develop the lite...

Lopez Y Gonzalez, Manuel

2012-01-01

410

Identifying influential factors on integrated marketing planning using information technology  

Directory of Open Access Journals (Sweden)

Full Text Available This paper presents an empirical investigation to identify important factors influencing integrated marketing planning using information technology. The proposed study designs a questionnaire for measuring integrated marketing planning, which consists of three categories of structural factors, behavioral factors and background factors. There are 40 questions associated with the proposed study in Likert scale. Cronbach alphas have been calculated for structural factors, behavioral factors and background factors as 0.89, 0.86 and 0.83, respectively. Using some statistical test, the study has confirmed the effects of three factors on integrated marketing. In addition, the implementation of Freedman test has revealed that structural factors were the most important factor followed by background factors and behavioral factors.

Karim Hamdi

2014-07-01

411

Building-Integrated Photovoltaics (BIPV): Analysis and US market potential  

Science.gov (United States)

Arthur D. Little, Inc., in conjunction with Solar Design Associates, conducted a study for the US Department of Energy (DOE), Office of Building Technologies (OBT) to determine the market potential for grid-connected, building-integrated photovoltaics (BIPV). This study defines BIPV as two types of applications: (1) where the PV modules are an integral part of the building, often serving as the exterior weathering skin; and (2) the PV modules are mounted on the existing building exterior. Both of these systems are fully integrated with the energy usage of the building and have potential for significant market penetration in the US. Off-grid building applications also offer a near-term market for BIPV, but are not included in the scope of this study.

Frantzis, Lisa; Friedman, David; Hill, Sarah; Teagan, Peter; Strong, Steven; Strong, Marilyn

1995-02-01

412

Herd behaviour experimental testing in laboratory artificial stock market settings. Behavioural foundations of stylised facts of financial returns  

Science.gov (United States)

Many scholars express concerns that herding behaviour causes excess volatility, destabilises financial markets, and increases the likelihood of systemic risk. We use a special form of the Strongly Typed Genetic Programming (STGP) technique to evolve a stock market divided into two groups-a small subset of artificial agents called ‘Best Agents’ and a main cohort of agents named ‘All Agents’. The ‘Best Agents’ perform best in term of the trailing return of a wealth moving average. We then investigate whether herding behaviour can arise when agents trade Dow Jones, General Electric, and IBM financial instruments in four different artificial stock markets. This paper uses real historical quotes of the three financial instruments to analyse the behavioural foundations of stylised facts such as leptokurtosis, non-IIDness, and volatility clustering. We found evidence of more herding in a group of stocks than in individual stocks, but the magnitude of herding does not contribute to the mispricing of assets in the long run. Our findings suggest that the price formation process caused by the collective behaviour of the entire market exhibit less herding and is more efficient than the segmented market populated by a small subset of agents. Hence, greater genetic diversity leads to greater consistency with fundamental values and market efficiency.

Manahov, Viktor; Hudson, Robert

2013-10-01

413

Towards Europe 2020 out of the economic crisis: is the Project Bond Initiative a means to financial stability and integration?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Since the establishment of the single monetary policy and introduction of the euro, it is pertinent to investigate the link between financial stability and integration. Is there a complementarity between the two or are financial stability and integration a contradiction in terms? In other words, isn’t a search for a highly integrated financial system that would strengthen stability a bit like a search for the Holy Grail? Investment has been the cementing element of EU integration, ins...

Kavvadia, Helen

2012-01-01

414

Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available The models of the GARCH family, normally used for the estimates of volatility for longer periods, keep unchanged the relative weights assigned to the observations both old and new, regardless of the volatility´s forecasted horizon. The purpose of this article is to verify if the increase in relative weights assigned to the earlier observations due to the increase of the forecast horizon results in better estimates of volatility. Through the use of seven forecasting models of volatility and return series of financial markets assets, the estimates obtained in the sample (in-sample were compared with observations outside the sample (out-of-sample. Based on this comparison, it was found that the best estimates of expected volatility were obtained by the modified EGARCH model and the ARLS model. We conclude that the use of traditional forecasting models of volatility, which keep unchanged relative weights assigned to both old and new observations, was inappropriate.

Alex Sandro Monteiro de Moraes

2014-03-01

415

From short to fat tails in financial markets: A unified description  

CERN Document Server

In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a real dataset, namely, price fluctuations, in a wide range of temporal scales to embrace both regimes. By means of Kramers-Moyal (KM) coefficients evaluated from empirical time series, we obtain the evolution equation for the probability density function (PDF) of price returns. We also present consistent asymptotic solutions for the timescale dependent equation that emerges from the empirical analysis. From these solutions, new relationships connecting PDF characteristics, such as tail exponents, to parameters of KM coefficients arise. The results reveal a dynamical path that leads from Gaussian to fat-tailed statistics, furnishing insights on other complex systems where akin crossover is observed.

Cortines, A A G; Anteneodo, C

2008-01-01

416

A self-adjusted Monte Carlo simulation as model of financial markets with central regulation  

CERN Document Server

Properties of the self-adjusted Monte Carlo algorithm applied to 2d Ising ferromagnet are studied numerically. The endogenous feedback form expressed in terms of the instant running averages is suggested in order to generate a biased random walk of the temperature that converges to criticality without an external tuning. The robustness of a stationary regime with respect to partial accessibility of the information is demonstrated. Several statistical and scaling aspects have been identified which allow to establish an alternative spin lattice model of the financial market. It turns out that our model alike model suggested by S. Bornholdt, Int. J. Mod. Phys. C {\\bf 12} (2001) 667, may be described by L\\'evy-type stationary distribution of feedback variations with unique exponent $\\alpha_1 \\sim 3.3$. However, the differences reflected by Hurst exponents suggest that resemblances between the studied models seem to be nontrivial.

Horváth, D; Kuscsik, Z; Horvath, Denis; Gmitra, Martin; Kuscsik, Zoltan

2005-01-01

417

A self-adjusted Monte Carlo simulation as a model for financial markets with central regulation  

Science.gov (United States)

Properties of the self-adjusted Monte Carlo algorithm applied to 2d Ising ferromagnet are studied numerically. The endogenous feedback form expressed in terms of the instant running averages is suggested in order to generate a biased random walk of the temperature that converges to criticality without an external tuning. The robustness of a stationary regime with respect to partial accessibility of the information is demonstrated. Several statistical and scaling aspects have been identified which allow to establish an alternative spin lattice model of the financial market. It turns out that our model alike model suggested by Bornholdt [Int. J. Mod. Phys. C 12 (2001) 667], may be described by Lévy-type stationary distribution of feedback variations with unique exponent ?1?3.3. However, the differences reflected by Hurst exponents suggest that resemblances between the studied models seem to be non-trivial.

Horváth, Denis; Gmitra, Martin; Kuscsik, Zoltán

2006-03-01

418

THE REPERCUSSIONS OF THE 2008 FINANCIAL CRISIS ON THE LABOUR MARKET IN TUNISIA  

Directory of Open Access Journals (Sweden)

Full Text Available This paper aims at studying macro aspect of the virulent impact of the 2008 financial crisis on the Tunisian economy during the 1970 – 2010 period using the Autoregressive Distributed Lag (ARDL. Our results prove that the crisis has a significant and negative effect on the real GDP per capita. They also show that the labour market was affected through two different transmission channels namely: the exports and the Foreign Direct Investments (FDI. We discovered that the FDI had a long run significant and positive impact on the real GDP per capita but at a weak coefficient. Similarly, we found that there was a bidirectional relationship between the real GDP per capita on the one hand, and the exports, the FDI and the unemployment rate respectively, on the other, which promoted the spread of the crisis in Tunisia.

Thouraya B. Dammak

2013-06-01

419

Transition from coherence to bistability in a model of financial markets  

CERN Document Server

We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite its simplicity, it can mimic a size effect comparable to a crash. Two extensions of this model are presented that allow to simulate the demand process. One of these extensions has a coherent stable equilibrium and is self-organized, while the other has a bistable equilibrium, with a spontaneous segregation of the population of agents. A new model is introduced to generate a transition between those two equilibriums. We show that the coherent state is dominant up to an equal mixing of the two extensions. We focuss our attention on the microscopic structure of the investment rate, which is the main parameter of the original model. A constant investment rate seems to be a very good approximation.

D'Hulst, R

2000-01-01

420

Integration of REDD into the international carbon market : implications for future commitments and market regulation  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Integrating reduced emissions from deforestation and degradation (REDD) into a post-Kyoto intergovernmental carbon market could significantly decrease global carbon prices and the costs of mitigating climate change. We investigate this impact by simulating the impact of the supply of REDD units on the international carbon market in 2020 under unlimited and restricted exchange conditions. We find restricting supply or demand of REDD credits reduces such price impacts, but comes at the cost of ...

Dixon, Alistair; Anger, Niels; Holden, Rachel; Livengood, Erich

2008-01-01

 
 
 
 
421

A study on the effects of marketing communication using integrated marketing communication  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Integrated Marketing Communication (IMC) is one of the needed concepts in competitive edge. IMC is defined as a cross functional process for creating and nourishing profitable relationships with customers and other stakeholders by strategically controlling or impacting all messages sent to these groups. It ensures that all forms of communications and messages are carefully linked together. This study investigates the effectiveness of marketing communication in an Iranian automaker named Khodr...

Solmaz Sellahvarzi; Vahid Reza Mirabi; Mehdi Iran Nejad Parizi

2014-01-01

422

Integration of Manufacturing and Development in Emerging Markets  

DEFF Research Database (Denmark)

The paper investigates the problems related to functional integration between manufacturing activities and R&D activities in emerging markets within multinational companies. A framework to this end is developed and illustrated in relation to four cases from multinational companies, which have established R&D and manufacturing in China or India. The findings point to the importance of contingencies such as industrial clock speed, technological complexity, as well as the extent to which local adaptation is needed. Keywords: Co-location, Emerging markets, Functional integration, Manufacturing, R&D.

SØberg, Peder Veng; Wæhrens, Brian Vejrum

2011-01-01

423

Path dependence and financial markets: the economic geography of the German model, 1997-2003  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The academic community seems divided into two camps: those who emphasise global finance and capital market integration and those who emphasise the economic geography of distinctively local regimes of accumulation. In the first instance, flows of capital and the corrosive forces of global economic competition are assumed to drive institutional convergence. In the second instance, the stability of relationships and inherited institutions presupposes the necessity of path dependence. There is ha...

Clark, Gordon L.; Wo?jcik, Dariusz

2005-01-01

424

Bank-firm relationships and financial crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This Working project examines if the shock of financial events, during the recent financial crisis, impacted differently on bank-dependent firms and firms with access to the public debt market. I devote a special attention to the Lehman Brothers bankruptcy event and its effect on U.S. and European firms. Given the global integration of the financial sector, I investigate the propagation of financial shocks from one economy to another. I also study the impact of Central Banks monetary policy d...

Anto?nio, Pedro Afonso Gomes

2010-01-01

425

SLOVENIAN FINANCIAL COLLATERAL IN THE EUROSISTEM  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The Financial Collateral Act has been in force in Slovenia since 2004 as a result of the implementation of Directive 2002/47/EC. The purpose of the directive was to create a uniform legal framework for financial collateral in the European Union and eliminate formal obstacles in order to facilitate the establishment of an integrated and efficient financial market. In accordance with the guidelines of Directive 2002/47/EC, the existing law regulates the provision of financial collateral in t...

Vesel, Petra

2012-01-01

426

Confidence in Airline Performance in Difficult Market Conditions: An Analysis of JetBlue's Financial Market Results  

Science.gov (United States)

This paper examines the stock market s reaction to JetBlue s Initial Public Offering (1PO) and subsequent price movements of the stock. In particular, w e examine whether the euphoria surrounding JetBlue s IPO carried over to other firms in the sector by testing whether the shares of JetBlue s competitors showed a significant price reaction to JetBlue s IPO. JetBlue's IPO took place just a few months following September 11, 2001. These events resulted in dramatic changes in the airline industry and had significant implications on the economic gains of airlines. We examine JetBlue s accounting and stock performance and compare it to the relative performance of Southwest Airlines (SWA), a representative of the loa-cost carrier group. In addition, we compare both JetBlue's and SWA's financial condition and the relative performance of their stock to two mainline U S. carriers, Continental and Northwest. representatives of the conventional-cost carrier group. We analyze whether there are any performance differences among the low-cost carriers and between low-cost carriers and conventional-cost carriers. In particular, we examine whether low-cost carriers were able to sustain the economic impacts of 9/11 better than the conventional-cost carriers.

Flouris, Triant; Walker, Thomas

2005-01-01

427

Integration of liberalised energy market; Samspillet mellem de liberaliserede energimarkeder  

Energy Technology Data Exchange (ETDEWEB)

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)

Klinge Jacobsen, H.; Fristrup, P.; Munksgaard, J.; Pade, L.L.; Henriksen, T.C.

2004-03-01

428

The impact of the financial crisis on the global seaborne hard coal market. Are there implications for the future?  

Energy Technology Data Exchange (ETDEWEB)

The global financial crisis in 2008 sent commodity markets spinning which caused demand to erode, price levels to quickly plummet and project financing costs to rise. In this paper, the authors examine the impacts the economic slowdown has had on the global seaborne hard coal market looking at the impacts for both coking (metallurgical) and thermal (steam) coals including pricing, supply availability, demand and aggregated mine level production costs. The hard coal market experienced a significant slow down; the commodity has bounced back strongly in 2010 driven by strong Asian demand at growth rates above historic levels and strong projections for the future. (orig.)

Rademacher, Maggi; Braun, Raphael [E.ON Kraftwerke GmbH, Hannover (Germany)

2011-06-15

429

The transmission of foreign financial crises to South Africa: a firm-level study  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South African financial markets. The study proceeds from a firm-level perspective, which it argues overcomes the potential loss of information when using aggregate economic data. Consequently, the differe...

Boshoff, Willem H.

2006-01-01

430

Financial factor influence on scaling and memory of trading volume in stock market  

CERN Document Server

We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $\\tau$ between volume volatilities above a given threshold q. For different thresholds q, the probability density function P_q(\\tau) scales with mean interval as P_q(\\tau)=^{-1}f(\\tau/) and the tails of the scaling function can be well approximated by a power-law f(x)~x^{-\\gamma}. We also study the relation between the form of the distribution function P_q(\\tau) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of P_q(\\tau) associated with these factors, suggesting a multi-scaling feature in the volume return intervals. We analyze the conditional probability P_q(\\tau|\\tau_0) for $\\tau$ following a certain interval \\tau_0, and find that P_q(\\tau|\\tau_0) depends on \\tau_0 such that immediately following a short/long return interval a second short/long return interval tends to occur....

Li, Wei; Havlin, Shlomo; Stanley, H Eugene

2011-01-01

431

Financial factor influence on scaling and memory of trading volume in stock market.  

Science.gov (United States)

We study the daily trading volume volatility of 17,197 stocks in the US stock markets during the period 1989-2008 and analyze the time return intervals ? between volume volatilities above a given threshold q. For different thresholds q, the probability density function P(q)(?) scales with mean interval ??? as P(q)(?)=???(-1)f(?/???), and the tails of the scaling function can be well approximated by a power law f(x)?x(-?). We also study the relation between the form of the distribution function P(q)(?) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of P(q)(?) associated with these factors, suggesting a multiscaling feature in the volume return intervals. We analyze the conditional probability P(q)(?|?(0)) for ? following a certain interval ?(0), and find that P(q)(?|?(0)) depends on ?(0) such that immediately following a short (long) return interval a second short (long) return interval tends to occur. We also find indications that there is a long-term correlation in the daily volume volatility. We compare our results to those found earlier for price volatility. PMID:22181232

Li, Wei; Wang, Fengzhong; Havlin, Shlomo; Stanley, H Eugene

2011-10-01

432

Quantitative measurement of the contagion effect between US and Chinese stock market during the financial crisis  

Science.gov (United States)

In this paper, we study the quantitative measurement of contagion effect between US and Chinese stock market during the financial crisis by combining multifractal volatility (MFV) with the copula method. At first, we employ MFV to filter volatility of the two markets due to the existence of heteroskedasticity. Then we use an improved time-varying Clayton copula to estimate the dynamic lower tail dependence (lower Kendall's ?). After determining crisis and non-crisis periods by Markov regime switching model, we find that the statistical characteristics of lower Kendall's ? during crisis and non-crisis periods are obviously different. Time-varying lower Kendall's ? of the crisis period is about 1.87 times that of in non-crisis period on average, indicating that the contagion effect increased about 87% during the crisis period. It is very drastic that the fluctuations of lower tail dependence during crisis period, so the static measurement of contagion effect may not provide effective suggestions for investors. Thus, we propose a dynamic method to measure the strength of contagion effect.

Chen, Wang; Wei, Yu; Zhang, Bangzheng; Yu, Jiang

2014-09-01

433

Integration of electricity markets in Europe. Relevant issues for Italy  

Energy Technology Data Exchange (ETDEWEB)

In this paper, we analyze the current trend towards a higher degree of market integration in Europe and identify those aspects that are particularly relevant for Italy. The Italian involvement in this process appears comparatively modest. A welfare analysis, which focuses specifically on the integration of the Italian market, will certainly be a useful support to any policy decision. We argue that, given the peculiarities of the Italian market design, a volume coupling solution could avoid, at the moment, the costs of what could be a significant harmonization effort and, in the end, it might constitute the best short-term strategy. This proposal should be adequately considered, taking into account the complexity of designing an efficient volume-only coordination procedure. (author)

Creti, Anna; Fumagalli, Eileen [IEFE, Centre for Research on Energy and Environmental Economics and Policy, Universita Bocconi, via G. Roentgen, 1, 20136 Milano (Italy); Fumagalli, Elena [DIG, Department of Management, Economics and Industrial Engineering, Politecnico di Milano, P.za Leonardo da Vinci, 32, 20133, Milano (Italy)

2010-11-15

434

Integration of electricity markets in Europe: Relevant issues for Italy  

Energy Technology Data Exchange (ETDEWEB)

In this paper, we analyze the current trend towards a higher degree of market integration in Europe and identify those aspects that are particularly relevant for Italy. The Italian involvement in this process appears comparatively modest. A welfare analysis, which focuses specifically on the integration of the Italian market, will certainly be a useful support to any policy decision. We argue that, given the peculiarities of the Italian market design, a volume coupling solution could avoid, at the moment, the costs of what could be a significant harmonization effort and, in the end, it might constitute the best short-term strategy. This proposal should be adequately considered, taking into account the complexity of designing an efficient volume-only coordination procedure.

Creti, Anna, E-mail: anna.creti@unibocconi.i [IEFE - Centre for Research on Energy and Environmental Economics and Policy, Universita Bocconi, via G. Roentgen, 1, 20136 Milano (Italy) and EconomiX, Universite Paris Ouest Nanterre La Defense, 200, Avenue de la Republique 92001 Nanterre Cedex (France); Fumagalli, Eileen, E-mail: elieen.fumagalli@unibocconi.i [IEFE - Centre for Research on Energy and Environmental Economics and Policy, Universita Bocconi, via G. Roentgen, 1, 20136 Milano (Italy); Fumagalli, Elena, E-mail: elena.fumagalli@polimi.i [DIG - Department of Management, Economics and Industrial Engineering, Politecnico di Milano, P.za Leonardo da Vinci, 32, 20133, Milano (Italy)

2010-11-15

435

Advertising Can Be an Effective Integrated Marketing Tool  

Science.gov (United States)

Advertising will not undermine the critical thinking of consumers when it is combined with other communication media, and when it is truthful. In fact, it can provide clarity about the competitive advantage of individual institutions and aid an individual's ability to choose wisely. Advertising is just one of the tools in the integrated marketing

Lauer, Larry D.

2007-01-01

436

Can the financialized atmosphere be effectively regulated? A critical analysis of the proposed Australian carbon pollution reduction scheme as a complex market solution to global warming  

Energy Technology Data Exchange (ETDEWEB)

A large body of scientific evidence indicates that global warming from human induced greenhouse gases (GHG) emissions is producing harmful climate change that will lead to global environmental and economic catastrophe within 10 years. The threat of human induced global warming has been on the international and public policy agenda for several years; for example on 11 December 1998, government representatives of 108 countries signed the United Nations Framework Convention on Climate Change (UNFCCC) an international agreement to reduce global warming or the Kyoto Protocol, with the then exception of the Australian and the United States (U.S.) governments. International action on GHG emissions reduction was thwarted by U.S. and Australian goverments. The then Australian government (1996-2007) surreptitiously funding by vested interests such as the coal industry, had no intention to act even though scientific evidence reported that Australia had begun to experience the detrimental effects of global warming. To fulfil an electoral promise, the center left Labor government signed the Kyoto Protocol on 3 December 2007. To deal with the global warming crisis, the Australian government has proposed an emissions trading scheme now officially called the 'Carbon Pollution Reduction Scheme' or CPRS. The proposed scheme is a cap and trade market mechanism that purportedly encourages businesses to operate more efficiently, thus reducing GHG emissions through price signalling in a government instigated market. Hence credible, transparent and efficient information underpins such a market in a post-Keynes deregulated world. The purpose of this paper is to critically examine the integrity of using current financial and reporting regulation that will oversee and monitor the veracity of newly commoditized carbon financial products, particularly since the global financial crisis has exposed significant financial regulatory weaknesses. Further we contend that current corporate regulation of emissions trading will affect the integrity of GHG emissions' measurement and reporting the underpins the government's major policy to reduce global warming. The CPRS therefore could well be overseen by the same institutional framework influence by capitalist regulation which failed to prevent the current crisis affect the global financial system.

Windsor, C. [Bond Univ. (Australia); McNicholas, P. [Monash Univ. (Australia)

2009-07-01

437

Students’ Satisfaction as a Competitive Advantage in the Financial Products Market: A Comparative Study  

Directory of Open Access Journals (Sweden)

Full Text Available The main task of today’s banks, in both investigated countries, should be to prefer students’ satisfaction and strive to offer them what they want. Nowadays, banks own many tools for satisfying their customers, however, there are still a number of areas where financial organizations could focus their attention to improve their relationships with students. The next related issue within the context of students in the banking environment is to gain an insight into student preferences on choosing a bank or purchasing bank products and services and find out which country provides more advantageous banking products and services and under what conditions, which type of marketing communication they prefer, and whether current bank marketing stimulates them to purchase. In this comparative study, a survey questionnaire was developed which incorporated the main findings of current literature on this issue. The results of self-administrated on-line questionnaires from Czech and UK higher education students will be presented in this article, involving one university from each country. The findings highlight that, while the conditions of provided student bank accounts are very similar and this type of bank account is very popular in both countries, the quantitative research found big differences in satisfaction with personal contact in banks and students’ preferences. It was also confirmed that students in both countries resist special offers and marketing efforts of banks and in the area of their finances they rather trust in banking institutions with long-tested quality and reliability of services. The research also detected that satisfaction with price is significantly affected by paying bank charges among Czech students and further gaps in the range of banking products and the use of distribution channels are identified. A series of Fisher´s tests, Pearson´s tests, and Two-sample proportion tests were conducted to reveal these significant differences in student satisfaction and opportunities for gaining a greater competitive advantage.

Banarova Michaela

2014-03-01

438

INTEGRAL ASSESSMENT OF ENTERPRISES’ FINANCIAL STATE WITH THE HELP OF COGNITIVE DIAGNOSTIC MODEL OF BANKRUPTCY PROBABILITY  

Directory of Open Access Journals (Sweden)

Full Text Available The article provides some improvements to the existing methodical approaches to the integral estimation of enterprises’ financial performance based on the application of model of cognitive diagnostic of bankruptcy probability. The expediency of integrated system of indicators for assessing the economic entities’ financial performance and non-financial verbal indicators (indicators of subjective nature have been grounded. The cognitive diagnostic model of enterprises’ bankruptcy probability has been investigated. The object of this research is the process of integral assessment of enterprises’ financial performance with application of the model of cognitive diagnostics of bankruptcy probability. The purpose of this study is improvement of the existing methodical approaches to the integral estimation of enterprises’ financial performance based on application of the above-mentioned model. The methods of research are as follows: the method of abstracting, analysis and synthesis, induction and deduction, system approach, graphical method.It has been established that with the process of integral assessment of business entities’ financial performance it is advisable to use a model of cognitive diagnostics of bankruptcy probability that provides effective estimation of enterprises’ internal environment in order to identify the reserves strategy development timely, to prevent crisis phenomena, to ensure sustainable financial situation, stable functioning and development of an enterprise in the future. The cognitive diagnostics of bankruptcy probability is aimed at cognition of the processes of business entities’ functioning based on the investigation of quantitative and qualitative indicators, the purpose of which is to assess both the current and future state of enterprises with the help of information of accounting and reporting, as well as expert estimation.Under modern conditions the cognitive diagnostics of probability of enterprises’ bankruptcy should be conducted in two directions, namely: quantitative diagnostics (Q-diagnostics of probability of enterprises’ bankruptcy, based on the assessment of financial indicators; qualitative diagnostics (V-diagnostics of probability of enterprises’ bankruptcy, based on a study of non-financial verbal indicators. Basing on carried out researches by using the method of expert survey the following system of basic factors of bankruptcy (non-financial verbal indicators is formed: the level of fixed assets management, the level of assets management circulating, the level of personnel management, the level of financial resource management, the level of culture of an enterprise.

O. Fedoruk

2013-03-01

439

Integrating historical clinical and financial data for pharmacological research  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 i...

Deshmukh Vikrant G; Brett, Sower N.; Hunter Cheri Y; Mitchell Joyce A

2011-01-01

440

The Integrated System Design and Development of Educational Data and Financial Data Based on .NET  

Directory of Open Access Journals (Sweden)

Full Text Available

NET-based services “integrated data center “credit charge model with the advantage of the combination of BIS three-tier structure and C/S two-tier structure mixedmode and combination with cross-platform web services technology has been put forward to achieve the sharing and collaboration of data between educational system and financial system .The system has already been put into use in jiangsu University of science and technology because it is efficient and has strong security.

Key words: Credit system; Educational data; Financial data; Integrated data center

Xin CHEN

2012-03-01