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1

Financial market integration under EMU  

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The single most important policy-induced innovation in the international financial system since the collapse of the Bretton-Woods regime is the institution of the European Monetary Union. This paper provides an account of how the process of financial integration has promoted financial development in the euro area. It starts by defining financial integration and how to measure it, analyzes the barriers that can prevent it and the effects of their removal on financial markets, and assesses whet...

Jappelli, Tullio; Pagano, Marco

2008-01-01

2

Essays on Financial Market Integration  

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The four essays in this dissertation address these main questions and alternate a general perspective with focused analysis on specific measures of integration and regions, providing several novel answers. First, new relevant proxies are proposed to measure financial market integration. They give evidence that barriers to integration still take a toll even in developed markets, and important costs of segmentation are estimated for emerging as well as developed markets. Moreover, it is shown t...

Pungulescu, C.

2009-01-01

3

Financial Market Integration in a Monetary Union  

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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

4

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

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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 monitori...

2013-01-01

5

Financial integration in emerging market economies  

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This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last decade. An Asymmetric Self Exciting Threshold Autoregressive model is used to estimate bands of speculative inaction. The estimated bands follow the pattern expected, and reveal a rational market in the sense that deviations from parity are self correcting. The paper uses information from the estimated models to construct a new index of de-facto i...

Pasricha, Gurnain Kaur

2008-01-01

6

Financial Market Integration of South Asian Countries: Panel Data Analysis  

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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 sinc...

Hasan Muhammad Mohsin; Rivers, Patrick A.

2011-01-01

7

Financial Liberalization and Stock Markets Integration for Asean-5 Countries  

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Full Text Available This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1 stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen and Juselius multivariate cointegration procedures, Granger-causality tests and variances decomposition analysis, the results indicate no long-run relationship during Singapore stock market liberalization in the first period. However, long-run relationship established between ASEAN-5 stock markets in the second period when Thailand, Malaysia and Indonesia have liberalized their stock markets and the third period following the Philippines liberalization. The long run integration relationships and the short-run causality relationships among ASEAN-5 markets have both increased after the financial liberalization. Thailand, Malaysia, Indonesia and the Philippines markets have received increased influences from other stock markets in the progress of financial liberalization whereas Singapore remains unaffected by the others. Stock markets that liberalize earlier will have greater influence on other stock markets.

Sew-Ming Phuan

2009-02-01

8

Financial Market Integration in a Wider European Union  

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

Stirbu, Corneliu

2004-01-01

9

A dynamic equilibrium model of imperfectly integrated financial markets  

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We build a continous-time general equilibrium model of a two-country, pure-exchange economy featuring taxes on the repatriation of dividends. We find approximate closed-form expressions for asset prices, returns joint dynamics and equity portfolios, thus giving a full description of equilibrium in-between the polar cases of perfect integration and full segmentation. We show that large home bias in portfolios can result from small frictions on international financial markets. The reason is tha...

Coeurdacier, Nicolas; Guibaud, Ste?phane

2005-01-01

10

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

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

Hoffmann, Mathias; Tillmann, Peter

2008-01-01

11

Financial Liberalization and Stock Markets Integration for Asean-5 Countries  

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This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5

2009-01-01

12

Financial markets  

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

Bibow, Jo?rg

2011-01-01

13

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

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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

14

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

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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

15

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

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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

16

Stock Market Capitalization and Financial Integration in the Asia Pacific Region  

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Abstract The stock market capitalization (SMC) of a country, defined as the aggregated market value equity of companies in the respective equity market, is commonly used to measure the widening and deepening of stock market activity. SMC also influences economic growth predictions and public consensus concerning the value of the stock market. However, no previous work has examined the role this variable plays in the process of financial integration. This paper provides an argument ...

2011-01-01

17

Global integration of Central and Eastern European financial markets: the role of economic sentiments  

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This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the integration of formerly strongly regulated markets into global markets can also lead to an increase of the dependence of the CEECs' domestic market performance from global sentiments, we also investigate the re...

2009-01-01

18

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

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

SABAU-POPA CLAUDIA DIANA

2009-01-01

19

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

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Full Text Available This study examines the effect of financial crisis on the level of stock market integration. In particular, we investigated the dynamic movements of two regional stock markets, Northeast Asia and Europe during the period between January 1st, 2000 and December 31st, 2012, with particular attention placed on the global financial crisis (GFC. For this purpose, the paper employs various approaches including DCC-MGARCH, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empirical findings. The findings of this study are as follows. First, the Northeast Asian stock market remains independent from the European and global stock market movements during the sample period. Second, the European stock market shows an increasing trend of joint integration with Northeast Asian stock market. However, the level of integration is not economically significant. Third, the level of market integration between European and global stock markets had temporally increased during the GFC. However, the level returned to its pre-crisis level in the post-crisis era. The overall empirical evidence suggests that, for either European or global stock market portfolio, constructing a portfolio with Northeast Asian stock market would result in a more efficient portfolio. The results in this paper do not support the view of previous empirical studies which suggested the increased level of integration since the GFC. An increased integration is found to be only unique to the crisis period. In sum, the market integration is a dynamic process, and the financial crisis did not uniformly affect the level of stock market integration.

Geesun Lee

2014-01-01

20

Financial market crisis and financial market channel  

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

Braasch, Bernd

2010-01-01

 
 
 
 
21

Financial and real integration  

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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

22

Financial integration at times of financial instability  

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

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

2010-01-01

23

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

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In recent years, as the efforts linked to the elimination of the capital movements control between countries have intensified, the preoccupations concerning the explanation of the financial integration concept have multiplied, in their turn. An integrated financial market is necessary particularly to the distribution of liquidity between the institutions in the euro zone, and, implicitly, for the enforcement of a common monetary policy. Thus, the problem of the integration of the financial ma...

Boghean Carmen; Boghean Florin; Nastase Carmen; Morosan Danila Lucia

2010-01-01

24

Welfare effects of financial integration  

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

Hartmann, Philipp; Gru?ner, Hans Peter; Fecht, Falko

2007-01-01

25

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

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

Parinaz Ezzati

2013-01-01

26

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

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800x600 The study investigates the integration of Chinese stock market with Indonesian stock market after the 2008 global financial crisis, by considering volatility spillover between the two countries. The study also considers the volatility spillovers effects of Japan and the U.S on Indonesian and Chinese stock markets....

James Manuel Kenani; Joko Purnomo; Felix Maoni

2013-01-01

27

The Integration of Imperfect Financial Markets: Implications for Business Cycle Volatility  

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During the last two decades, the degree of openness of national financial systems has increased substantially. At the same time, asymmetries in information and other financial market frictions have remain prevalent. We study both empirically and theoretically the implications of the opening up of national financial systems in the presence of financial market frictions for business cycle volatility. In our empirical analysis, we demonstrate that stylised facts suggest that countries with more ...

Buch, Claudia M.; Pierdzioch, Christian

2003-01-01

28

ECONOMIC NATURE OF FINANCIAL MARKET IN INTEGRATED SYSTEMS INSTITUTE TRANSITIONAL ECONOMIES  

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

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

2011-01-01

29

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

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The latest four decades have marked by their width, speed and radicality a true “revolution” on the financial market, a transformation and restructuring of financial services, of financial instruments which were used, of transaction systems, but also of competitive processes. The importance that should be given to such transformations of financial systems is given, as well, by their impact, both at the micro- and at the macro- levels, on the economy as a whole.The evolution of the Europea...

2011-01-01

30

Financial integration and asset returns  

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The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...

Martin, Philippe; Rey, Helene

2000-01-01

31

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

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

2006-01-01

32

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

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

Geeta Krishnasamy

2006-01-01

33

Financial Markets and Persistence  

CERN Document Server

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

Jain, S

2005-01-01

34

The reform of European securities settlement systems : Towards an integrated financial market  

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The European Central Bank (ECB) will offer to banks in 2013 an european shared platform for securities settlement, named TARGET 2 Securities (T2S), in order to open the national financial markets. The financial crisis did not change the ECB agenda. This paper develops a spatial competition model to understand the impact of this new organisation on european post-trading services. We analyse the incentives of the Central Securities Depositaries (CSD) to move to T2S when they become competitors ...

Cale?s, Marie-noe?lle; Chabert, Dominique; Hichri, Walid; Marchand, Nade?ge

2011-01-01

35

Financial market contagion  

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The power of the metaphor of contagion—that beliefs, actions, and strategies spread among economic agents like pathogens among biological organisms— causes it to recur in disparate areas of economics. This article focusses on four applications of contagion to economics: social influence or memoryless learning; Bayesian social learning; strategy choice in coordination games; and the spread of crises in international financial markets.

Kelly, Morgan

2008-01-01

36

Financial integration, globalization, and real activity  

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Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: (a) financial integration has progressed significantly worldwide, particularly in emerging markets, as well as within regions; (b) advances in financial integration predict better growth prospects; (c) both advances in financial integration and globalization are associa...

Nicolo?, Gianni; Juvenal, Luciana

2012-01-01

37

Global integration of central and Eastern European financial markets: The role of economic sentiments  

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This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEECs' fi nancial markets. Since the integration of formerly strongly-regulated markets into global markets can also lead to an increase in the dependence of the CEECs' domestic market performance on global sentiments, we also investigate the rel...

2010-01-01

38

Essays on Financial Markets  

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This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. Orthogonal GARCH is built on principal component analysis and makes the creation of positive definite covariance matrices of arbitrary size possible. An important drawback with Orthogonal GARCH is that it builds on assumptions that sometimes break down when som...

Bystro?m, Hans

2000-01-01

39

78 FR 76973 - Financial Market Utilities  

Science.gov (United States)

...R-1455] RIN 7100 AD-94 Financial Market Utilities AGENCY: Board of Governors...certain financial services to, financial market utilities (``FMUs'') that are designated...transactions, upon which the financial markets and the broader economy rely to...

2013-12-20

40

Essays on Financial Markets  

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1. En el primer capítulo “Impact of oil prices on international financial markets” se analiza el impacto de cambios en el precio de petróleo (barril WTI) y su volatilidad en los principales mercados de renta variable: DJIA, S&P500, FTSE100, DAX y NIKKEI225. Se investiga la relación lineal y no-lineal. Se usan los precios diarios del periodo 1984 – 2005. Se observa que los cambios en el precio de petróleo afectan negativamente a los mercados americanos (DJIA, S&P500) y DAX, este impa...

Brychcy, Dawid

2013-01-01

 
 
 
 
41

Financial markets with volatility uncertainty  

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We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion recently introduced by Peng (2007). Our financial market consists of a riskless asset and a risky stock with price process modeled by a geometric G-Brownian motion. We adapt the notion of ar...

Vorbrink, Joerg

2010-01-01

42

Collective behavior in financial market  

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Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using concepts of network synchronization. We consider networks constructed by the correlation matrix of asset returns and study the time evolution of the phase coherence among stock prices. It is verified that during financial crisis a synchronous sta...

Peron, Thomas Kaue? Dal Maso; Rodrigues, Francisco Aparecido

2011-01-01

43

Tax havens and financial markets  

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This thesis is about some of the effects and implications that tax havens have on our financial markets. It focuses on giving the reader a better understanding of the consequences that tax havens impose to our financial markets using the financial crisis that started in 2007 as an example. The first chapter has a brief introduction that lays the foundation of the thesis. The second chapter defines and explains many different types of tax havens that exist worldwide. The third part considers t...

Solvoll, Sigurd Rognmo

2012-01-01

44

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

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

Abakumenko Olga V.

2013-05-01

45

Financial Integration, Productivity and Capital Accumulation  

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Understanding the mechanism through which financial globalization affects economic performance is crucial for evaluating the costs and benefits of opening financial markets. This paper is a first attempt at disentangling the effects of financial integration on the two main determinants of economic performance: productivity (TFP) and investments. I provide empirical evidence from a sample of 93 countries observed between 1975 and 1999. The results suggest that financial integration has a posit...

2007-01-01

46

Financial integration, productivity and capital accumulation  

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Understanding the mechanism through which financial globalization affects economic performance is crucial for evaluating the costs and benefits of opening financial markets. This paper is a first attempt at disentangling the effects of financial integration on the two main determinants of economic performance: productivity (TFP) and investments. I provide empirical evidence from a sample of 93 countries observed between 1975 and 1999. The results suggest that financial integration has a posit...

Bonfiglioli, Alessandra

2007-01-01

47

Crises, capital controls, and financial integration  

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This paper analyzes the effects of capital controls and crises on financial integration, using stocks from emerging economies that trade in both domestic and international markets. The cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of how capital controls and crises affect international financial integration. The paper shows that, contrary to the common perception that capital controls can be easily e...

Levy Yeyati, Eduardo; L Schmukler, Sergio; Horen, Neeltje

2008-01-01

48

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

Liberalisation of functioning of main segments of the financial market in the majority of developed and developing countries, appearance of new forms of financial mediation and innovation financial instruments contributed to sharpening of competition between recipients of financial assets, which resulted in relevant organisational and integration transformations in the financial market. The article offers a scientific and methodical approach to assessment of the level of competition in the fi...

Abakumenko Olga V.

2013-01-01

49

Marketing Cooperatives and Financial Structure  

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

1995-01-01

50

Conditional dynamics driving financial markets  

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We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the DJIA database from 1900 to 2002 as well as more than 50 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all of the above cases, we find a double dynamics driving the financial e...

Boguna, M.; Masoliver, J.

2003-01-01

51

Financial Intermediation, Markets, and Alternative Financial Sectors  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2012-01-01

52

Market free lunch and large financial markets  

CERN Document Server

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

Klein, I

2006-01-01

53

The Financial Markets of China  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The purpose of this study was to examine and analyze the financial markets of China. The intention was to form a comprehensive picture of the current state and the latest developments of the markets. Specific attention was paid to the accessibility and opportunities offered to foreign participants in the markets. The study concentrates on mainland China, excluding Hong Kong and Macau. The research was conducted using qualitative methodology, by collecting data first and then analyzing it ...

Niemi, Timo

2012-01-01

54

Marketing Cooperatives and Financial Structure  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The relationship between the financial structure of a marketing cooperative (MC) and the requirement of the domination of control by the members is analysed from a transaction costs perspective. A MC receives less favorable terms on outside equity than a conventional firm because the decision power regarding new investments is not allocated to the providers of these funds. This is a serious threat to the survival of a MC in a market where efficient investments are characterized by an increas...

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

2000-01-01

55

The role of the European Union for the financial integration of Eastern Europe  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The objective of this paper was to investigate the integration of Eastern European financial markets into the EU and world markets. Financial integration has been measured by international investment positions and financial liberalisation measures.

Tomfort, Andre?

2006-01-01

56

Essays on Financial Markets and Macroeconomics  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Bonfiglioli, Alessandra

2005-01-01

57

Aging in Financial Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also study the survival probability of returns sign and apply a coarse graining procedure to reveal the renewal aspects of the process underlying its dynamics.

Bianco, Simone; Grigolini, Paolo

2006-01-01

58

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Bhattacharyay, Biswa

2010-01-01

59

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

CERN Multimedia

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

Kleinert, Hagen

2009-01-01

60

Financial Market Dynamics  

CERN Document Server

Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500 stock index within this framework by direct analysis and by simulation. We find that the power-law tails of the distributions, and the index's anomalously diffusing dynamics, are very accurately described by this approach. Our results show good agreement between market data, Fokker-Planck dynamics, and simulation. Thus the combination of the Tsallis non-extensive entropy and the nonlinear Fokker-Planck equation unites in a very natural way the power-law tails of the distributions and their superdiffusive dynamics.

Michael, F; Michael, Fredrick

2001-01-01

 
 
 
 
61

Financial frictions, financial shocks and labour market fluctuations in Canada  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Zhang, Yahong

2011-01-01

62

Telegraph models of financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain correspondence with the velocity directions of the underlying random motion with respect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.En este artículo introducimos un modelo de mercado financiero basado en mov...

2007-01-01

63

Extreme times in financial markets.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Masoliver, Jaume; Montero Torralbo, Miquel; Perello?, Josep

2005-01-01

64

Could short selling make financial markets tumble?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss the role of traditional market players of long only mutual funds versus hedge funds which take both short and long positions. It will be argued that financial markets since their very origin and only till very recently, have been in a state ...

Andersen, Jorgen Vitting

2003-01-01

65

Integrated Financial Management Program  

Science.gov (United States)

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

Pho, Susan

2004-01-01

66

Financial markets and the current account: emerging Europe versus emerging Asia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial globalisation has been associated with divergent current account patterns in emerging markets. In this paper we test for the relevance of financial market characteristics in explaining different current account patterns in emerging Europe and emerging Asia. We find that better developed and more integrated financial markets increase emerging markets' ability to borrow abroad. The degree of financial integration within the convergence clubs as well as the extent of reserve accumulati...

Herrmann, Sabine; Winkler, Adalbert

2009-01-01

67

Financial markets and the current account: emerging Europe versus emerging Asia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Abstract Financial globalisation has been associated with divergent current account patterns in emerging markets. In this paper we test for the relevance of financial market characteristics in explaining different current account patterns in emerging Europe and emerging Asia. We find that better developed and more integrated financial markets increase emerging markets’ ability to borrow abroad. The degree of financial integration within the convergence clubs as well as the extent...

2009-01-01

68

Money and liquidity in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the market for liquidity leads banks to engage in what we term “liquidity pull-back,” which involves selling financial assets either by banks directly or by levered investors. Empirical tests on the stock market are supportive. Tighter interbank markets are associated with relatively more volume in more liquid ...

2014-01-01

69

Financial factors and labour market fluctuations  

Digital Repository Infrastructure Vision for European Research (DRIVER)

What are the effects of financial market imperfections on unemployment and vacancies? Since standard DSGE models do not typically model unemployment, they abstract from this issue. In this paper I augment a standard monetary DSGE model with explicit financial and labour market frictions and estimate the model using US data for the period 1964:Q1-2010:Q3. I find that the estimated degree of financial frictions is higher when financial data and shocks are included. The model matches the aggrega...

Zhang, Yahong

2011-01-01

70

International financial markets and development  

Scientific Electronic Library Online (English)

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

Peter, Wahl.

71

European financial integration and corporate governance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Buch, Claudia M.; Heinrich, Ralph P.

2002-01-01

72

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

Directory of Open Access Journals (Sweden)

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

Raghavendra Rao Rentala

2012-10-01

73

The Cyclical Volatility of Labor Markets under Frictional Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Petrosky-nadeau, Nicolas; Wasmer, Etienne

2010-01-01

74

Canonical momenta indicators of financial markets and neocortical EEG  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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-sa...

Ingber, Lester

2000-01-01

75

Mesoscopic modelling of financial markets  

CERN Document Server

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

Cordier, S; Piatecki, C

2010-01-01

76

Herd Behaviors in Financial Markets  

CERN Document Server

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \\simeq R^{-\\beta}$ with the exponents $ \\beta=3.11$(the time interval $\\tau=$ one minute) and 3.36($\\tau=$ one day). The informational cascade regime appears in the herding parameter $H\\ge 2.33$ at $\\tau=$ one minute, while it occurs no herding at $\\tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $\\Delta t=1$ day.

Kim, K; Choi, J S; Takayasu, H; Kim, Kyungsik; Yoon, Seong-Min; Takayasu, Hideki

2004-01-01

77

Herd Behaviors in Financial Markets  

Science.gov (United States)

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \\simeq R^{-\\beta}$ with the exponents $ \\beta=3.11$(the time interval $\\tau=$ one minute) and 3.36($\\tau=$ one day). The informational cascade regime appears in the herding parameter $H\\ge 2.33$ at $\\tau=$ one minute, while it occurs no herding at $\\tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $\\Delta t=1$ day.

Kim, Kyungsik; Yoon, Seong-Min; Choi, J.-S.; Takayasu, Hideki

2004-03-01

78

Mathematical Aspects of Financial Markets with Frictions  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research paper...

Pakkanen, Mikko

2010-01-01

79

Fraudulent agents in an artificial financial market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of e...

Scalas, Enrico; Cincotti, Silvano; Dose, Christian; Raberto, Marco

2003-01-01

80

Financial Stability and Market Structure: International Evidence  

Directory of Open Access Journals (Sweden)

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

Marcos Soares da Silva

2012-04-01

 
 
 
 
81

A mathematical model for financial innovation : empirical evidence from financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial innovation is an important research topic modern economics. Financial innovation is an ongoing process where new financial products, services and procedures are created and it concerns important financial factors such as the regulatory restrictions, the relationship between financial innovation and the functionality of financial markets, the inefficiency of markets promoted by globalization and unexpected changes of economic status and financial intermediary.

?????????, ??????????

2011-01-01

82

Algorithmic Complexity of Real Financial Markets  

CERN Multimedia

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

Mansilla, R

2000-01-01

83

Algorithmic Complexity in Real Financial Markets  

CERN Multimedia

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

Mansilla, R

2001-01-01

84

A stochastic model for the financial market with discontinuous prices  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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.

Minkova, Leda D.

1996-01-01

85

Integrated Financial Supervision in Germany  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Schu?ler, Martin

2004-01-01

86

Deep financial integration and volatility  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a very large firm-level dataset (AMADEUS) from 16 European countries, we construct a measure of deep financial integration at the regional level based on observations of foreign ownership at the firm-level. We find a significant positive effect of foreign ownership on the volatility of firms' outcomes in static as well as dynamic empirical frameworks. This effect survives aggre...

Kalemli-o?zcan, Sebnem; Sørensen, Bent E.; Volosovych, Vadym

2010-01-01

87

International financial integration and entrepreneurship  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Alfaro, Laura; Charlton, Andrew

2006-01-01

88

Herd behavior and contagion in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study a sequential trading financial market where there are gains from trade, that is, where informed traders have heterogeneous private values. We show that an informational cascade (i.e., a complete blockage of information) arises and prices fail to aggregate information dispersed among traders. During an informational cascade, all traders with the same preferences choose the same action, following the market (herding) or going against it (contrarianism). We also study financial contagio...

Cipriani, M.; Guarino, A.

2008-01-01

89

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

90

Financial Markets Analysis by Probabilistic Fuzzy Modelling  

Digital Repository Infrastructure Vision for European Research (DRIVER)

For successful trading in financial markets, it is important to develop financial models where one can identify different states of the market for modifying one???s actions. In this paper, we propose to use probabilistic fuzzy systems for this purpose. We concentrate on Takagi???Sugeno (TS) probabilistic fuzzy systems that combine interpretability of fuzzy systems with the statistical properties of probabilistic systems. We start by recapitulating the general architecture of TS probabilistic ...

Berg, J. Den; Bergh, W. M. Den; Kaymak, U.

2003-01-01

91

Corporate social responsibility and financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Dam, Lammertjan

2008-01-01

92

Network Topologies of Financial Market During the Global Financial Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2013-01-01

93

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

94

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

95

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

This papers provides an empirical analysis of the role of financial development and financial integration in the growth dynamics of transition countries. We focus on the role of financial integration in determining the impact of financial development on growth, distinguishing "normal times" from periods of financial crises. In addition to confirming the significant positive effect on growth exerted by financial development and financial integration, our estimates show that a higher degree of ...

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

2010-01-01

96

Why Financial Markets Will Remain Marginally Inefficient?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Zhang, Yi-cheng

2001-01-01

97

International financial integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Institutions and institutional structures are boundary conditions for finance. Since the pioneering work of La Porta et al., 1998 R. La Porta, F. Lopez-de-Silanes, A. Shleifer and R.W. Vishny, Law and finance, Journal of Political Economy 106 (6) (1998), pp. 1113–1115.La Porta et al. (1998), economics and finance have begun to rediscover the importance of considering not just what the markets are doing but the settings within which these markets operate. At a macro-level we see increasing e...

Lucey, Brian Michael

2009-01-01

98

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

99

Financial derivatives in power marketing: The basics  

International Nuclear Information System (INIS)

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

1996-04-09

100

Simulation and validation of an integrated markets model  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Sallans, Brian; Pfister, Alexander; Karatzoglou, Alexandros; Dorffner, Georg

2003-01-01

 
 
 
 
101

Herd Behavior in Financial Markets  

Directory of Open Access Journals (Sweden)

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

Wenjin Kang

2013-05-01

102

MARKETING STRATEGIES OF FINANCIAL PRODUCTS IN INDIA  

Directory of Open Access Journals (Sweden)

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

A. K. Mohideen

2014-04-01

103

Cohesiveness in Financial News and its Relation to Market Volatility  

Science.gov (United States)

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

Piskorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozetic, Igor; Grcar, Miha; Vodenska, Irena; Smuc, Tomislav

2014-01-01

104

Cohesiveness in financial news and its relation to market volatility.  

Science.gov (United States)

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

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

2014-01-01

105

Career concerns in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Dasgupta, Amil; Prat, Andrea

2004-01-01

106

Banks, financial markets and growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We analyze the interaction between bank and market finance in a model where bankers gather information through monitoring and screening.We show that,if a market is established characterized by a disclosure law such that entrepreneurs wishing to raise market finance can credibly disclose their sources of financing,this might undermine bankers'incentive to screen,even when screening is effcient.Correspondingly,other things being equal,the change from a bank-based system to one in which market-f...

Deidda, Luca Gabriele; Fattouh, Bassam

2005-01-01

107

Could short selling make financial markets tumble?  

CERN Multimedia

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

Andersen, J V

2003-01-01

108

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

109

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-Scholes...

Perello? Palou, Josep

2001-01-01

110

What's Wrong with International Financial Markets?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Recent financial crises and contagion call into question the wisdom of capital account liberalization. There is consensus that something is terribly wrong in the way international financial markets work for developing countries and that fixing is urgent. But what is wrong? Most views in developed countries identify the problems with too much capital flows, attracted by moral hazard. However, our analysis shows that the role of this distortion is being grossly exaggerated and that, in contrast...

Hausmann, Ricardo; Ferna?ndez-arias, Eduardo

2000-01-01

111

Rethinking stock market integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper aims to study the extent of integration among developed and emerg- ing stock markets in the onset of globalization through the formulation of a uni?ed conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the convergence of stock valuation ratios of markets in the long run, where valuation ratios are reflective of stock fundamentals driven by common global factors across markets. The spectrum of transition dy...

Tam, Pui Sun; Tam, Pui I.

2012-01-01

112

Extreme times in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage time. We set the general equations for these extremes and evaluate the mean exit time for actual data.

Masoliver, Jaume; Montero, Miquel; Perello, Josep

2004-01-01

113

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

114

MEASURING INTEGRATED MARKETING COMMUNICATION  

Directory of Open Access Journals (Sweden)

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

Damjana JERMAN

2011-01-01

115

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Winkler, Adalbert

2010-01-01

116

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

117

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

118

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

119

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

120

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 dev...

Arjana Brezigar-Masten; Fabrizio Coricelli; Igor Masten

2011-01-01

 
 
 
 
121

Money market integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Bartolini, Leonardo; Hilton, Spence; Prati, Alessandro

2005-01-01

122

Herd Behavior in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper provides a rational microstructure model in which informed traders have private information on multi-dimensional uncertainties and it is possible for the herd behavior to occur. In the herd phase, informed traders choose to trade in the same direction regardless of their private signals. In addition, we find that there always exists a transitional phase between the normal phase and the herd phase. The market enters a transition phase when some informed traders’ expectation on the...

Wenjin Kang

2013-01-01

123

Factors of Influence on the Insurance Market Financial Security ??????? ??????? ?? ????????? ?????????? ???????????? ?????????? ?????  

Directory of Open Access Journals (Sweden)

Full Text Available The article studies the basic factors of influence on the level of insurance market financial security, sources of its emergence and their basic interconnections. It characterizes the peculiarities of some determinants of influence on insurance market financial security and suggests its own classification of the basic factors of influence on the state of insurance market financial security.??????????? ???????? ??????? ??????? ?? ??????? ?????????? ???????????? ?????????? ?????, ????????? ?? ????????????? ? ???????? ??????????? ????? ????. ???????????????? ??????????? ????????? ??????????? ??????? ?? ?????????? ???????????? ?????????? ?????. ?????????? ??????????? ????????????? ???????? ???????? ??????? ?? ????????? ?????????? ???????????? ?????????? ?????.

Derkach Aleksandr N.

2012-06-01

124

Factors of Influence on the Insurance Market Financial Security ??????? ??????? ?? ????????? ?????????? ???????????? ?????????? ?????  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The article studies the basic factors of influence on the level of insurance market financial security, sources of its emergence and their basic interconnections. It characterizes the peculiarities of some determinants of influence on insurance market financial security and suggests its own classification of the basic factors of influence on the state of insurance market financial security.??????????? ???????? ??????? ??????? ?? ??????? ?????...

Derkach Aleksandr N.

2012-01-01

125

Foreign bond markets and financial market development: International perspectives  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The domestic bond markets of the Asia and Pacific region have grown considerably since the Asian financial crisis of 1997, although they remain undeveloped relative to the region's weight in the world economy. This paper proposes that in order to encourage further development of these markets, regulators should make them more accessible to foreign borrowers. To that end we offer insights into the nature and mechanics of foreign bond issuance by investigating the key characteristics of 3,132 f...

Batten, Jonathan A.; Hogan, Warren P.; Szilagyi, Peter G.

2009-01-01

126

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

Directory of Open Access Journals (Sweden)

Full Text Available

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

Igor Masten

2011-12-01

127

Financial development, labor and market regulations and growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Utrero Gonza?lez, Natalia

2005-01-01

128

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

The theme of our research is related to the new type of relationship between financial audits (statutory) and unique regulation of financial markets in Romania.The Romanian authorities have decided as from 2013 regulation of financial markets, capital market, insurance market and private pensions market to achieve by a single entity, this situation will also lead to a number of challenges in the relationship between the auditor and the new regulatory regime. The main elements of our study are...

Mitica Pepi; Traian Cristin Nicolae

2013-01-01

129

Real financial market exchange rates and capital flows  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price ratios. The empirical analysis reveals that a country's real financial effective exchange rate is cointegrated with net foreign holdings of its assets. Comparing the empirical performance of the new index w...

Gelman, Maria; Jochem, Axel; Reitz, Stefan

2013-01-01

130

Rational information choice in financial market equilibrium  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal utility value that falls in their number if and only if investors are risk averse, asset markets large, and variance-mean ratios of asset returns high in fully revealing rational expectations equilibrium...

Muendler, Marc-andreas

2005-01-01

131

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

132

Introduction to convex optimization in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Pennanen, Teemu

2012-01-01

133

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

134

European Responses to Globalization and Financial Market integration: perceptions of economic and monetary union in Britain, France and Germany  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Contributing to the literature on European integration, this book investigates the perceptions of political actors towards the creation of Economic and Monetary Union (EMU) in Europe. The research is largely based on personal interviews conducted with key informants in central banks, finance ministries, employers' organizations, and trade unions in Britain, France, and Germany. It examines why actors perceived EMU to serve or frustrate their interests, concluding that actors favored the EMUfo...

2000-01-01

135

Intermediaries, Financial Markets and Growth: Some more International Evidence  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2003-01-01

136

The role of professional economists in the financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Economists have always been interested in the workings of the financial markets, but most of them neither seek nor get the opportunity to work in a financial institution as a professional economist. Here we detail how (a minority of) economists became involved in the financial markets, and what that professional involvement has entailed, in order to come up with implications for economists who are considering working in the financial markets as well as for the universities that provide train...

2006-01-01

137

On Information Creation and Its Effect in Incomplete Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

“Thirst for information” existing in financial markets shows that information supply is insufficient and private information is value. Agents will select to acquire economic information under the market incentive mechanism. This is the basis of information creation in incomplete financial markets. Because the information supplies insufficiency in the financial markets is exogenous, information creation is natural exogenous. From this perspective, this paper thinks that information creatio...

Mingren Chen

2012-01-01

138

The consequence of financial crises in Albanian insurance market  

Directory of Open Access Journals (Sweden)

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

Edmira Cakrani

2010-06-01

139

Business Cycle Fluctuations and International Financial Integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Kizys, Renatas; Pierdzioch, Christian

2004-01-01

140

Herd behavior in financial markets: an experiment with financial market professionals  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study herd behavior in a laboratory financial market with financial market professionals. An important novelty of the experimental design is the use of a strategy-like method. This allows us to detect herd behavior directly by observing subjects' decisions for all realizations of their private signal. In the paper, we compare two treatments: one in which the price adjusts to the order flow in such a way that herding should never occur, and one in which the presence of event uncertainty mak...

Cipriani, M.; Guarino, A.

2009-01-01

 
 
 
 
141

Integration level of equity markets in APEC’s emerging countries: Are emerging markets regionally or globallyintegrated?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Supported by the investment barriers removal, financial deregulation and improvedmacroeconomic policies during the last three decades, the process of financial integration inthose markets, emerging markets in general and emerging markets within Asia PacificEconomic Cooperation (APEC) in particular, has been pro-actively accessed these days.Moreover, recent trend in globalization in many APEC countries and especially in theemerging markets has triggered a stronger financial integration progres...

2010-01-01

142

THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ec...

Mester Ioana Teodora

2008-01-01

143

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

The Chinese government has implemented a series of financial liberalisation policies in stock market after China’s accession into the WTO in 2001. However, it remains somewhat unclear whether and to what extent China’s financial liberalisation has influenced its stock market in the post-WTO accession period. This thesis examines this issue from the perspectives of international market integration and market interdependence. This thesis mainly includes three empirical studies: 1) gauging t...

He, Hongbo

2012-01-01

144

Describing the Current Situation of the Financial Market in Ghana  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Mensah, David

2012-01-01

145

Developing regional financial markets – the case of East Asia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

"The paper explores the extent and benefits of financial integration in East Asia. It presents evidence that the extent of financial integration in East Asia is less extensive than the aggregate data suggests. The paper then addresses why some countries are integrated more than others and discusses the obstacles to regional financial integration. The paper points out that East Asia’s growth strategy has shaped bank centric financial systems. An important thesis presented in t...

Pomerleano, Michael; Deutsches Institut für Entwicklungspolitik gGmbH

2008-01-01

146

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

147

Openness, financial markets, and policies: cross-country and dynamic patterns ; working paper series  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Writers document significant and robust empirical relationships in cross-country panel data between government size or social expenditure on the one hand, and trade and financial development indicators on the other. Across countries, deeper economic integration is associated with more intense government redistribution, but more developed financial markets weaken that relationship.

Bertola, Giuseppe; Lo Prete, Anna

2008-01-01

148

Correlation of financial markets in times of crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Junior, Leonidas Sandoval; Franca, Italo Paula

2011-01-01

149

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

Scientific Electronic Library Online (English)

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

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

150

International financial integration through the law of one price: The role of liquidity and capital controls  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper takes advantage of the fact that some stocks trade both in domestic and international markets to characterize the degree of international financial integration. The paper argues that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration and the effectiveness of capital controls. Using Autoregressive (AR) models to estimate convergence speeds and non-linea...

Yeyati, Eduardo Levy; Schmukler, Sergio; Horen, Neeltje

2008-01-01

151

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

152

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Golder, Stefan M.

1999-01-01

153

Financial development in emerging markets: The Indian experience  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial markets that function well are crucial for the long-run economic growth of a country. This paper, in the first instance, looks at how the financial development of an economy can be measured. It then traces the financial development of India through the 1990s to the present, assessing the development of each segment of financial markets. In doing so, it highlights the dualistic development of the financial sector. Finally, the paper makes an attempt to offer an explanation of this du...

Krishnan, K. P.

2011-01-01

154

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Karvonen, Vilma

2010-01-01

155

Correlation, hierarchies, and networks in financial markets  

CERN Document Server

We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tree obtained from a correlation matrix. The information retained in filtering procedures and its stability with respect to statistical fluctuations is quantified by using the Kullback-Leibler distance.

Tumminello, M; Mantegna, R N

2008-01-01

156

A generalized spin model of financial markets  

CERN Document Server

We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend this simplified model by switching on interactions among the super-spins to model the tendency of agencies getting influenced by the opinion of other managers. We also introduce a fictitious temperature (to model other random influences), and time-dependent local fields to model slowly changing optimistic or pessimistic bias of traders. We point out close similarities between the price variations in our model with $N$ super-spins and total displacements in an $N$-step Levy flight. We demonstrate the phenomena of natural and artificially created bubbles and subsequent crashes as well as the occurrence of "fat tails" in the distributions of stock price variations.

Chowdhury, D; Chowdhury, Debashish; Stauffer, Dietrich

1999-01-01

157

From Pipes to Scopes : The Flow Architecture of Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This article introduces a distinction between two types of markets and market coordination: those based on social networks and those based on a flow architecture. Flow architectures involve potentially global "scopic" reflex systems (GRSs) that project market reality while at the same time carrying it forward and allowing it to flow. The argument is that some financial markets have undergone a transition from a pre-reflexive network market to a reflexively coordinated flow market mani...

Knorr-cetina, Karin D.

2003-01-01

158

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

CERN Document Server

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

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

2006-01-01

159

Practical volatility and correlation modeling for financial market risk management  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2005-01-01

160

The Application of Operations Research Techniques to Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to OR researchers, the main types of financial market problem amendable to OR are identified, and some of the many problems solved using OR are documented. While mathematical programming is the most widely applied technique, Monte Carlo and other simulation methods are increasingly widely used. OR now plays an important role in the operation of financial ...

Board, John; Sutcliffe, Charles; Ziemba, William T.

1999-01-01

 
 
 
 
161

Mutual Information Rate-Based Networks in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is somewhat surprising as the underlying assumptions of research looking at financial markets is that they behave chaotically. In fact it's common for econophysicists to estimate maximal Lyapunov exponent for log returns of a given financial a...

Fiedor, Pawe?

2014-01-01

162

Integration of financial and non-financial reports under management conditions  

Directory of Open Access Journals (Sweden)

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

Prodanciuk Mihail

2013-02-01

163

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Scha?fer, Dorothea

2013-01-01

164

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Benetti, C.

2010-01-01

165

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

166

Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available Volatility in financial markets, particularly stock exchange markets, is an important issue that concerns theorists and practitioners. Over the past 30 years, there has been a vast literature for modeling the temporal dependencies in volatility of financial markets. Also, more recently researches have been examining the asymmetry and non-linear properties in variance of financial assets, rather than the conditional mean. In this study, a comprehensive empirical analysis of the mean return and conditional variance of Turkish Financial Markets is performed by using various GARCH models. CGARCH and TGARCH appear to be superior for modeling the volatility of financial instruments in Turkey during the years 2002–2014. It is also found that return series of all markets include; leptokurtosis, asymmetry, volatility clustering, and long memory. 

Rasim Ilker Gokbulut

2014-03-01

167

Financial super-markets: size matters for asset trade  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper presents a two-country macroeconomic model in which the number of financial assets is endogenous. Imperfect substitutability of assets and international transaction costs give a comparative advantage to large markets, because of demand effects. Agents have more incentives to undertake risky investments on those markets; they can also diversify risk at a lower cost. Prices of financial assets are higher in the large area because asset markets are broader. We also analyse the impact o...

Martin, Philippe; Rey, Helene

2000-01-01

168

The Adoption of Digital Marketing in Financial Services under Crisis  

Directory of Open Access Journals (Sweden)

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

Daj A.

2009-12-01

169

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

170

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

171

Report of the President's Working Group on Financial Markets: Money Market Fund Reform Options.  

Science.gov (United States)

Several key events during the financial crisis underscored the vulnerability of the financial system to systemic risk. One such event was the September 2008 run on money market funds (MMFs), which began after the failure of Lehman Brothers Holdings, Inc.,...

2010-01-01

172

Financial Integration and Financial Crisis: Croatia Approaching the EMU  

Directory of Open Access Journals (Sweden)

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

Dražen Derado

2009-09-01

173

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.

Christos Koromilas

2011-05-01

174

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

175

Market Integration, Competition, and Welfare  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The current debate on the likely impact of completion of the market in the European Community focuses crucially on the nature of the market structure. It has been suggested that "1992" will move an industry from a segmented-markets equililbrium to one in which the national markets are fully integrated. We examine the effects of this form of market completion on prices, consumer welfare, and profits using a theoretical model augmented by numerical simulations. We find that the effects of marke...

Haaland, Jan I.; Wooton, Ian

1991-01-01

176

On utility maximization in discrete-time financial market models  

CERN Document Server

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

Rasonyi, M; Rasonyi, Miklos; Stettner, Lukasz

2005-01-01

177

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

178

Microscopic model of financial markets based on belief propagation  

Science.gov (United States)

We present a simple microscopic model of financial markets based on belief propagation in order to simulate the dynamics of the stock markets. A two-dimensional small-world communication structure is introduced in our model and the beliefs of market leaders spread on the network which results in the herd behaviors of traders. Most of the stylized aspects of the financial market time series, including multifractal property, are reproduced by the model. A direct comparison is made with the daily closures of the Shenzhen composite index.

Wang, Shijun; Zhang, Changshui

2005-08-01

179

Forms of Information Efficiency of the Financial Market  

Directory of Open Access Journals (Sweden)

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

Krasnova Iryna V.

2014-03-01

180

Visualizing rural financial market research in Northern Vietnam through pictures  

Digital Repository Infrastructure Vision for European Research (DRIVER)

One of the many tasks of financial market research is to develop client-oriented financial products. In order to ensure that the financial products reflect the necessities and preferences of the clients, profound participation of the target group throughout the whole research process is important. The use of pictures reduces problems of understanding and makes communication more interesting since everybody is now an insider in the discussion and can thus contribute his or her opinion. The use...

Geppert, Meike; Dufhues, Thomas Bernhard

2003-01-01

 
 
 
 
181

Subprime crisis and instability of global financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Radonji? Ognjen; Zec Miodrag

2010-01-01

182

Quantifying Trading Behavior in Financial Markets Using Google Trends  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2013-01-01

183

Repo funding and internal capital markets in the financial crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Du?wel, Cornelia

2013-01-01

184

Financial Markets with Data-Driven Investment Decisions  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis addresses several topics in finance and consists of two parts. The central theme is formed by economic agents making investment decisions for financial markets using available past and present information. Part I is of a more analytical nature and discusses the influence of ambiguity and transmutability on the investment decisions and argues that limits to rational expectations offer a better understanding of financial market anomalies than limits to arbitrage. It also introduces ...

Adriaens, H. P. J. M.

2008-01-01

185

Transaction costs and informational cascades in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

"We study the effect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in financial markets. We implement a financial market with sequential trading and transaction costs in the laboratory. According to theory, eventually all traders neglect their private information and abstain from trading (i.e., a no-trade informational cascade occurs). We find that, in the experiment, informational no-trade cascades occur when...

Cipriani, Marco; Guarino, Antonio

2008-01-01

186

Estimating a structural model of herd behavior in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We develop a new methodology for estimating the importance of herd behavior in financial markets. Specifically, we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for Ashland Inc., a company listed on the New York Stock Exchange. Herding occurs often and is particularly pervasive on certain days. In an infor...

Cipriani, Marco; Guarino, Antonio

2012-01-01

187

A Causal Relationship between Financial Market Development and Economic Growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Problem statement: This study investigated the causal relationship between financial market development and economic growth for United Kingdom for the period 1965-2007 using a Vector Error Correction Model (VECM). Questions were raised whether financial market development causes economic growth or reversely taking into account the negative effect of interest rate. The objective of this study was to examine the causal relationships between these variables using Granger causality tests b...

Athanasios Vazakidis; Antonios Adamopoulos

2010-01-01

188

Globalisation And Its Impact On The Lithuanian Financial Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Urbs?iene?, Laimute?

2012-01-01

189

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

190

Current account adjustment and financial integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2008-01-01

191

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2012-01-01

192

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...

2010-01-01

193

Financial markets design and developing country growth :the case of Dubai International Financial Exchange (DIFX)  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The aim of this thesis is showing how financial market design can facilitate the growth of developing countries. The paper is divided into two main parts (II and III). Part II explains how financial markets support developing countries by improving the accumulation of capital and increasing the pace of technological enhancements, since both advance growth and economic productivity. These two roles are in turn direct consequences of performing the six growth related functions: mobilization of ...

Sasso, Wael Saksouk Dit

2007-01-01

194

Financial Literacy: Getting beyond the Markets  

Science.gov (United States)

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

Stanford, Jim

2010-01-01

195

Openness, financial markets, and policies: Cross-country and dynamic patterns  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We document significant and robust empirical relationships in cross-country panel data between government size or social expenditure on the one hand, and trade and financial development indicators on the other. Across countries, deeper economic integration is associated with more intense government redistribution, but more developed financial markets weaken that relationship. Over time, controlling for country-specific effects, public social expenditure appears to be eroded by globalization t...

Bertola, Giuseppe; Lo Prete, Anna

2008-01-01

196

Openness, financial markets, and policies : cross-country and dynamic patterns  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We document significant and robust empirical relationships in cross-country panel data between government size or social expenditure on the one hand, and trade and financial development indicators on the other. Across countries, deeper economic integration is associated with more intense government redistribution, but more developed financial markets weaken that relationship. Over time, controlling for country-specific effects, public social expenditure appears to be eroded by globalization t...

Bertola, Giuseppe; Lo Prete, Anna

2009-01-01

197

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

198

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Ram Rez Hassan, Andr S.; Pantoja Robayo, Javier

2013-01-01

199

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

200

Illiquidity of frontier financial market: Case of Serbia  

Directory of Open Access Journals (Sweden)

Full Text Available 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 unstable in this market. This is the first paper that analyses liquidity issues in case of Serbia. It identifies different periods and shows that, in most cases, ups and downs in foreign investors' participation leads to dramatic falls and rises in market illiquidity and its volatility.

Živkovi? Boško

2010-01-01

 
 
 
 
201

Pareto improving financial innovation in incomplete markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Turner, Sergio

2005-01-01

202

Financial Market Liberalization and Economic Growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The literature has shown that it is hard to ?find unambiguous evidence that financial openness yields an improvement in economic performance, particularly at the macro level. One of the major problems in empirical work is the bundling of ?financial openness with a potential host of other growth-friendly reforms, and the endogeneity of the liberalization decision itself. Nonetheless, policymakers (in emerging and developing economies) have displayed a remarkable revealed preference f...

Garita, G. A.

2008-01-01

203

Stock Market Returns in an Emerging Financial Market: Turkish Case Study  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Increased globalisation in financial markets implies that the percentage of all shares under foreign ownership in domestic stock markets has been rising. The recent speculative attacks on the foreign exchange market in November 2000, followed by February 2001, led Turkey into deep economic crisis. Real stock returns as an important indicator for a forthcoming or pending financial crisis, using net capital flows have already been established in Gazioglu (2003). In this paper we explore the ef...

2008-01-01

204

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2013-01-01

205

Three essays on market microstructure and financial econometrics  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information diffusion and jump detection in high frequency financial time series data. Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. The first essay forms Chapter 1 which presents a market microstructure model that is able to generate vol...

Xue, Yi

2009-01-01

206

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

207

Getting it Right: What to Reform in International Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Our review of the main proposals on international financial architecture currently under consideration gives reasons for concern that excessive emphasis on improving stability by impeding capital flows will have a deleterious development impact. Sustainable development requires initiatives addressing the failures of international financial markets that make capital flows so small and volatile. Our analysis identifies a number of alternative initiatives and principles to get them right in conn...

Hausmann, Ricardo; Ferna?ndez-arias, Eduardo

2000-01-01

208

Prudential discipline for financial firms: Micro, macro, and market structures  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The recent global financial crisis reflects numerous breakdowns in the prudential discipline of financial firms. This paper discusses ways to strengthen micro- and macroprudential supervision and restore credible market discipline. The discussion notes that microprudential supervisors are typically assigned a variety of goals that sometimes have conflicting policy implications. In such a setting, the structure of the regulatory agencies and the priority given to prudential goals are critical ...

Wall, Larry D.

2009-01-01

209

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

210

FBIH financial market segmentation on the basis of image factors  

Directory of Open Access Journals (Sweden)

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

Arnela Bevanda

2008-12-01

211

Federal coal leases: marketing, management and financial profiles  

Energy Technology Data Exchange (ETDEWEB)

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

1981-01-01

212

Simulations of financial markets in a Potts-like model  

CERN Multimedia

A three-state model based on the Potts model is proposed to simulate financial markets. The three states are assigned to "buy", "sell" and "inactive" states. The model shows the main stylized facts observed in the financial market: fat-tailed distributions of returns and long time correlations in the absolute returns. At low inactivity rate, the model effectively reduces to the two-state model of Bornholdt and shows similar results to the Bornholdt model. As the inactivity increases, we observe the exponential distributions of returns.

Takaishi, T

2005-01-01

213

Herd behavior and aggregate fluctuations in financial markets  

CERN Document Server

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow and the tendency of market participants to imitate each other.

Cont, R; Cont, Rama; Bouchaud, Jean-Philippe

1997-01-01

214

Integrating Europe's Securities Markets: The Way Forward  

Directory of Open Access Journals (Sweden)

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

Daniel Mark Azzopardi

2011-08-01

215

Hitting Time Distributions in Financial Markets  

CERN Document Server

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

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

2006-01-01

216

Forecasting Financial Time-Series using Artificial Market Models  

CERN Multimedia

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

217

Three essays on financial markets and banking  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis comprises theoretical work on nancial markets and banking. The rst essay features a model of liquidity provision. I analyze how the severity of adverse selection problems in one market is a ected if alternative sources of nance, which are not subject to adverse selection problems, become more easily available. In particular, I nd that the adverse selection problem can be either mitigated or ampli ed, giving rise to new implications for equilibrium welfare, e ciency and policy....

Bertsch, Christoph

2013-01-01

218

A threshold Potts model of financial markets  

CERN Multimedia

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

219

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, ...

2008-01-01

220

Modelling Information Flows in Financial Markets  

CERN Document Server

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

Brody, Dorje C; Macrina, Andrea

2010-01-01

 
 
 
 
221

Shocks, Crashes and Bubbles in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In a series of papers based on analogies with statistical physics models, we have proposed that most financial crashes are the climax of so-called log-periodic power law signatures (LPPL) associated with speculative bubbles (Sornette and Johansen, 1998; Johansen and Sornette, 1999; Johansen et al. 1999; Johansen et al. 2000; Sornette and Johansen, 2001a). In addition, a large body of empirical evidence supporting this proposition have been presented (Sornette et al. 1996; Sornette and Johanse...

2010-01-01

222

Models of Financial Markets with Extensive Participation Incentives  

CERN Document Server

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

Yeung, C H; Zhang, Y -C

2007-01-01

223

Using transfer entropy to measure information flows between financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Dimpfl, Thomas; Peter, Franziska J.

2012-01-01

224

Volatility and causality in Asia Pacific financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Weber, Enzo

2007-01-01

225

Volatility and Causality in Asia Pacific Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Weber, Enzo

2007-01-01

226

Herding and Contrarian Behavior in Financial Markets: An Internet Experiment  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2002-01-01

227

Persistent markups in bidding markets with financial constraints  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper studies the impact of financial constraints on the persistency of high markups in a class of markets, including public procurement, known by practitioners as bidding markets. We develop an infinite horizon model in which two firms optimally reinvest working capital and bid for a procurement contract each period. Working capital is constrained by the firm's cash from previous period and some exogenous cash flow, it is costly and it increases the set of acceptable bids...

Beker, Pablo F.; Hernando-veciana, A?ngel

2011-01-01

228

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....

2008-01-01

229

Foreign Capital and Finland : Central government's first period of reliance on international financial markets, 1862-1938  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The main objective of the study is to evaluate the Finnish central government s foreign borrowing between the years 1862 and 1938. Most of this period was characterised by deep capital market integration that bears resemblance to the liberal world financial order at the turn of the millennium. The main aim is to analyse the credit risk associated with the state and its determination by evaluating the world financial market centres perception of Finland. By doing this, the study is also expec...

Arola, Mika

2007-01-01

230

Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This dissertation consists of five empirical studies on financial markets. Each study can be read independently and covers a specific market, either private equity, corporate bonds or emerging markets. The first study documents that risk factors cannot account for the significant excess returns of selection strategies based on value, momentum or earnings revisions indicators in the emerging equity market. The second study presents empirical evidence that security analysts do not efficiently u...

Zwart, G. J.

2008-01-01

231

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Mengchun Ding; Hongxin Li

2009-01-01

232

Electrodynamical model of quasi-efficient financial market  

CERN Document Server

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

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

1998-01-01

233

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

234

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

235

Endogenous versus Exogenous Crashes in Financial Markets  

CERN Document Server

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

Johansen, A

2002-01-01

236

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

Directory of Open Access Journals (Sweden)

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

Mengchun Ding

2009-07-01

237

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

238

Market Integration of Fish in Europe  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper examines market integration between fish species in Europe, taking international market integration into account. Based on Juselius (2006), market integration is found both on the fresh and frozen markets. The Law of One Price is in force on the fresh market within the segments of flatfish and pelagic fish. Assuming transitivity, a loose form of market integration is identified between 13 fresh and seven frozen fish species, and the relative prices are found fairly stable. The poli...

Nielsen, M.; Smit, J. G. P.; Guillen, J.

2009-01-01

239

Financial Networks in the Korean Stock Exchange Market  

CERN Document Server

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

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

2005-01-01

240

Climatic change. Market scan international financial organizations  

International Nuclear Information System (INIS)

This report provides an overview of the opportunities for Dutch trade and industry in climate programs of the World Bank, EBRD and the UN. The Market Scan shows that international organizations financed more than 4.4 billion dollars of climate projects in 2008. The current Dutch cabinet will allocate 500 million euros to renewable energy, part of which through international organizations. Businesses can compete for contracts in tenders.

2009-01-01

 
 
 
 
241

Financial Markets Equilibrium with Heterogeneous Agents  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Cvitanic, Jaksa; Jouini, Elye?s; Malamud, Semyon; Napp, Clotilde

2012-01-01

242

Strategic financial innovation in segmented markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Rahi, Rohit; Zigrand, Jean-pierre

2007-01-01

243

THE FINANCIAL INSTRUMENTS FOR RISK MANAGEMENT ON THE INTERNATIONAL FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available The international financial market is extremely volatile because of the influence of anumerous objective and subjective factors. Because of these, în their fight for maximizing the profit, the creditinstitutes confronts permanently with all sort of risks.It is important to know that the risk is generated by a numerous operations and procedures. From thesecause, at least în the financial field, the risk must be considered as a complex of risks, în the sense that they canhave common causes, and producing a risk can generate a chain reaction, and producing other risks. As aconsequence, these operations and procedures can permanently generate an exposure to the risk.The risk management is the key function of the financial institution, which act on the internationalfinancial market. For doing this, it must be used some important instruments that can conduce to avoiding risksor dimensioning them.

Alina Hagiu

2008-05-01

244

Thresholds in the process of international financial integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The financial crisis has re-ignited the fierce debate about the merits of financial globalization and its implications for growth, especially for developing countries. The empirical literature has not been able to conclusively establish the presumed growth benefits of financial integration. Indeed, a new literature proposes that the indirect benefits of financial integration may be more important than the traditional financing channel emphasized in previous analyses. A major complication, how...

Kose, M. Ayhan; Prasad, Eswar S.; Taylor, Ashley D.

2009-01-01

245

The Seismography of Crashes in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry tech¬nique and defining a robust index of the dynamics of the market struc¬ture, which is able to provide information about the intensity of the crises, the paper proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to inves¬tigate a...

Arau?jo, Tanya; Louc?a?, Francisco

2007-01-01

246

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

247

Adaptive Markets Hypothesis: Evidencefrom Asia-Pacific Financial Markets  

Directory of Open Access Journals (Sweden)

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

Maria Ulici

2009-12-01

248

Financial Friction and Multiplicative Markov Market Game  

CERN Document Server

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

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

1999-01-01

249

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)

2004-01-01

250

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

251

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

252

Topological isomorphisms of human brain and financial market networks  

Directory of Open Access Journals (Sweden)

Full Text Available Although metaphorical and conceptual connections between the human brain and the financial markets have often been drawn, rigorous physical or mathematical underpinnings of this analogy remain largely unexplored. Here, we apply a statistical and graph theoretic approach to the study of two datasets - the timeseries of 90 stocks from the New York Stock Exchange over a three-year period, and the fMRI-derived timeseries acquired from 90 brain regions over the course of a 10 min-long functional MRI scan of resting brain function in healthy volunteers. Despite the many obvious substantive differences between these two datasets, graphical analysis demonstrated striking commonalities in terms of global network topological properties. Both the human brain and the market networks were non-random, small-world, modular, hierarchical systems with fat-tailed degree distributions indicating the presence of highly connected hubs. These properties could not be trivially explained by the univariate time series statistics of stock price returns. This degree of topological isomorphism suggests that brains and markets can be regarded broadly as members of the same family of networks. The two systems, however, were not topologically identical. The financial market was more efficient and more modular - more highly optimised for information processing - than the brain networks; but also less robust to systemic disintegration as a result of hub deletion. We conclude that the conceptual connections between brains and markets are not merely metaphorical; rather these two information processing systems can be rigorously compared in the same mathematical language and turn out often to share important topological properties in common to some degree. There will be interesting scientific arbitrage opportunities in further work at the graph theoretically-mediated interface between systems neuroscience and the statistical physics of financial markets.

PetraEVértes

2011-09-01

253

Financial market imperfections and the impact of exchange rate movements  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper analyses empirically the role of financial market imperfections in the way countries' exports react to a currency depreciation. Using quarterly data for 27 developed and developing countries over the period 1990-2005, we find that the impact of a depreciation on exports will be less positive - or even negative - for a country if : (i) firms borrow in foreign currency ; (ii) they are credit constrained ; (iii) they are specialized in industries that require more external capital ; (...

Berman, Nicolas; Berthou, Antoine

2006-01-01

254

Efficient trading strategies in financial markets with proportional transaction costs  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences of the agents are modeled by multivariate expected utility functions. Thanks to the dual formulation of expected multivariate utility maximization problem established in Campi and Owen \\cite{CO}, we pr...

Campi, Luciano; Jouini, Elye?s; Porte, Vincent

2011-01-01

255

Efficient portfolios in financial markets with proportional transaction costs  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model of foreign currencies with proportional transaction costs. In our setting, transaction costs may be random, time dependent, have jumps and the preferences of the agents are modeled by multivariate expected utility functions. Thanks to the dual formulation of expected multivariate utility maximization problem established in Campi and...

Campi, Luciano; Jouini, Elye?s; Porte, Vincent

2013-01-01

256

IMF surveillance and financial markets: A political economy analysis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we analyze the content of Article IV Public Information Notices (PIN), and second, we use the financial market reaction to the release PINs as tools to identify the role of political economy factors for IMF ...

Fratzscher, Marcel; Reynaud, Julien

2010-01-01

257

Comment on: "Two-phase behaviour of financial markets"  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In a recent article [Nature 421, 130 (2003)], Plerou, Gopikrishnan and Stanley report some evidence for an intriguing two-phase behavior of financial markets when studying the distribution of volume imbalance conditional to the local intensity of its fluctuations. We show here that this apparent phase transition is a generic consequence of the conditioning and exists even in the absence of any non trivial collective phenomenon.

Potters, M.; Bouchaud, J-p

2003-01-01

258

Jump Telegraph Processes and Financial Markets with Memory  

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 with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model ...

Nikita Ratanov

2007-01-01

259

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

260

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

 
 
 
 
261

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...

2003-01-01

262

Capital flows, financial asset prices and real financial market exchange rate: A case study for an emerging market, India  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The cointegration analysis indicates a long-run equilibrium relationship between our real financial market exchange rate and the net outstanding equity investment in India. In the short run capital inflows are accompa...

2012-01-01

263

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...

2002-01-01

264

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

265

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

1999-01-01

266

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

Directory of Open Access Journals (Sweden)

Full Text Available The recent financial crisis had a powerful impact upon the European countries' economies, in particular on those from Central and Eastern Europe, with some small exceptions. Thus, applying a panel data approach for a large sample of CEECs, we demonstrate that financial instability negatively influences these countries economic and financial integration. If instability is measured by means of a financial instability index, we have used two classical indicators for the economic integration, namely trade openness and trade intensity index. Indicators such as the interest rates co-movement and the asset share of foreign-owned banks were chosen to calculate financial integration. We highlight the fact that the crisis events hinder the process of CEECs' integration into the EU, deepening the economic gaps between more and less developed EU members.

Claudiu T. Albulescu

2011-03-01

267

From Discrete-Time Models to Continuous-Time, Asynchronous Models of Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Most agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modelling of financial markets. We study the behaviour of a learning market maker in a market with information asymmetry, and investigate the difference caused in the market dynamics between the discrete-time simulation and continuous-time, asynchronous simulation. We show that the characteristics of the m...

Boer-sorban, K.; Kaymak, U.; Spiering, J.

2006-01-01

268

Phase Transition of Dynamical Herd Behaviors in Financial Markets  

CERN Document Server

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $\\tau$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $\\tau$ 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag $\\tau$ = 30 minutes.

Kim, K; Kim, Kyungsik; Yoon, Seong-Min

2004-01-01

269

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper aims to examine the relationship between financial market development and agricultural sector in Iran. The study attempts to answer these q...

Seyed Jalal Sadeghi Sharif; Mahdi Salehi; Mehrdad Alipour

2009-01-01

270

Contagion effect of financial crisis on OECD stock markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2011-01-01

271

Influence of Terrorist Activities on Financial Markets: Evidence from KSE  

Directory of Open Access Journals (Sweden)

Full Text Available This paper investigates the influence of terrorist activities taking place in Pakistan on KSE (Karachi Stock Exchange for the period of 01/2005 to 12/2010 using the GARCH & GARCH- EVT to identify the relationship between these two variables, the study establishes that the terrorist activities adversely affect the financial markets and in case of KSE, it is highly significant relation. Reason for the negative relationship exists because of the foremost increase in number of terrorism attacks in Pakistan.

Usman Bashir

2013-05-01

272

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

273

Financial overview of integrated community energy systems  

Energy Technology Data Exchange (ETDEWEB)

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

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

1977-01-01

274

Characterization of large price variations in financial markets  

CERN Multimedia

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

Johansen, A

2002-01-01

275

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavior and interdependence through the study of the intraday volatility transmission. This paper investigates the patterns of linkage dynamics among three European stock markets—France, Germany, and the UK—during the global financial crisis, by...

Faten Ben Slimane; Mohamed Mehanaoui; Irfan Akbar Kazi

2013-01-01

276

Empirical evidence on financial spillovers and contagion to international stock markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Serwa, Dobromil

2005-01-01

277

Forecasting Financial Market Annual Performance Measures: Further Evidence  

Directory of Open Access Journals (Sweden)

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

Edward J. Lusk

2010-01-01

278

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

279

Evidence of market manipulation in the financial crisis  

CERN Document Server

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

Misra, Vedant; Bar-Yam, Yaneer

2011-01-01

280

Time Varying Market Integration and Expected Rteurns in Emerging Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Jong, Frank; Roon, Frans A.

2001-01-01

 
 
 
 
281

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

282

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

283

Integration and Convergence in European Electricity Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2013-01-01

284

Integrated Marketing Communication plan for GSK Nordic  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Savelius, Sanna

2013-01-01

285

THE IMPACT OF EUROPEAN INTEGRATION AND FINANCIAL GLOBALIZATION ON PRUDENTIAL SUPERVISION  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Beju Daniela Georgeta; Fat Codruta Maria; Filip Angela Maria

2009-01-01

286

Integrated Financial Management Information Systems. A Practical Guide.  

Science.gov (United States)

This paper discusses the subject of best practices for designing and implementing Integrated Financial Management Information Systems (IFMIS) and how to put them into place in specific environments: namely, in developing and transitional countries as well...

E. Rodin-Brown

2008-01-01

287

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

Directory of Open Access Journals (Sweden)

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

Abbas Ataheryan

2013-09-01

288

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

Andersen, Torben M.; Rose Skaksen, Jan

2003-01-01

289

An Investigation of the Integrity of Internet Financial Reporting  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 pro...

2005-01-01

290

When the financial markets start coughing, office markets quickly catch a cold  

Digital Repository Infrastructure Vision for European Research (DRIVER)

“Where does property ‘fit’ into the dynamics of value creation under contemporary capitalism?” and “What about the economics of property?”, only recently did Christophers (2010: 94) address these questions to his fellow geographers. With Towers of Capital, Lizieri has now presented a long overdue book, which insightfully investigates the multifaceted – though primarily economic – phenomena of office markets, specifically in international financial centres (IFCs), and their str...

Sabine Dörry

2011-01-01

291

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 effec...

Krug, Gerhard; Institut für Arbeitsmarkt- und Berufsforschung der Bundesagentur für Arbeit (IAB)

2007-01-01

292

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

293

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

Science.gov (United States)

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

Knight, Mary Beth

2010-01-01

294

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

CERN Document Server

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

Khrennikov, Andrei

2009-01-01

295

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

296

Who cares about financialization? Explaining the decline in political salience of active markets for corporate control  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Why is unprecedented financialization failing to provoke a strong political backlash? The role of financial markets, motives, actors, and institutions has expanded continuously in recent decades, but - contrary to Polanyi's 'double movement' theory and despite the current financial crisis - market-containment efforts have grown weaker over time. The present paper approaches this puzzle by explaining how the practice of corporate takeover bids gradually gained political acceptance in the Unite...

Callaghan, Helen

2013-01-01

297

Debt and incomplete financial markets: a case for nominal GDP targeting  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial markets are incomplete, thus for many agents borrowing is possible only by accepting a financial contract that specifies a fixed repayment. However, the future income that will repay this debt is uncertain, so risk can be inefficiently distributed. This paper argues that a monetary policy of nominal GDP targeting can improve the functioning of incomplete financial markets when incomplete contracts are written in terms of money. By insulating agents' nominal incomes from aggregate re...

Sheedy, Kevin D.

2013-01-01

298

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

CERN Multimedia

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

Grech, D

2007-01-01

299

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

300

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Bougheas, Spiros; Falvey, Rod

2011-01-01

 
 
 
 
301

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

The recent crash demonstrated (once again) that the description of the financial market by present financial mathematics cannot be considered as totally satisfactory. We remind that nowadays financial mathematics is heavily based on the use of random variables and stochastic processes which are described by Kolmogorov's measure-theoretic model for probability ("classical probabilistic model"). I speculate that the present financial crises is a sign (a kind of experiment to t...

Khrennikov, Andrei

2009-01-01

302

COMPANIES’FINANCIAL STATUS AND THE BUSINESS TURNOVER ON EMERGENT MARKETS: THE ROMANIAN CASE  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The aim of this study is to test for the relevance of some financial ratios as descriptors of companies’ financial status in explaining the evolutions of their business turnover. We are considering a data sample of 36 companies quoted on the Romanian capital market for a time span between 2007 and 2010.The predictive capacity of some significant financial ratios for the companies’ business turnover is analyzed and a methodology for the evaluation of their financial status based on these r...

Stefea Petru; Pantea, Mioara

2013-01-01

303

Corruption of pharmaceutical markets: addressing the misalignment of financial incentives and public health.  

Science.gov (United States)

This paper explains how the current architecture of the pharmaceutical markets has created a misalignment of financial incentives and public health that is a central cause of harmful practices. It explores three possible solutions to address that misalignment: taxes, increased financial penalties, and drug pricing based on value. Each proposal could help to partly realign financial incentives and public health. However, because of the limits of each proposal, there is no easy solution to fixing the problem of financial incentives. PMID:24088147

Gagnon, Marc-André

2013-01-01

304

The Integration of European Stock Markets and Market Timing  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this research, a European index and a world index were used to test the integration of the national stock markets of fourteen EU countries into the world stock market. A market timing procedure was used to detect differences of performance between the national indexes. The main conclusions drawn are that the European factor is important in explaining the returns of all the national indexes, but the world portfolio seems unnecessary in the cases of nine countries whose stock ...

Fonseca, Jose? Soares Da

2006-01-01

305

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

1998-02-12

306

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

307

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

In the article reasons of necessity of forming of financial decisions of management subjects at the different levels of the financial state are considered. Description of levels of the financial states, which will allow to define strategic aims in the financial states and trajectory of orientation on the maintainance of all of computer-integrated production potential is resulted. The theoretical aspects of forming of financial decisions in the system managements, which will be basis for achie...

Petrenko Marina V.

2013-01-01

308

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

309

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

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

Leonardo BADEA

2012-03-01

310

Essays on the Linkages Between Financial Markets, and Risk Asymmetries (summary section only)  

Digital Repository Infrastructure Vision for European Research (DRIVER)

During the last few decades there have been far going financial market deregulation, technical development, advances in information technology, and standardization of legislation between countries. As a result, one can expect that financial markets have grown more interlinked. The proper understanding of the cross-market linkages has implications for investment and risk management, diversification, asset pricing, and regulation. The purpose of this research is to assess the degree of price, r...

Antell, Jan

2004-01-01

311

Global, regional and country-specific components of financial market indicators: An extraction method and applications  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign CDS spreads, stock indices, exchange rates, EMBI Global bond spreads and 10-year reference yields of domestic government bond markets. The results support the finding of the literature of a significant g...

Kocsis, Zala?n

2013-01-01

312

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

Directory of Open Access Journals (Sweden)

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

Lillian Kamal

2011-10-01

313

Financial intermediation and the role of price discrimination in a two-tier market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2009-01-01

314

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

315

Big elephants in small ponds: do large traders make financial markets more aggressive?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Market participants often suspect that large traders have a disproportionate effect on financial markets, increasing the aggressiveness of market responses. Prior studies have shown that the impact of a large trader on a currency crisis depends positively on his size and informational position. By contrast, this article highlights the role that market sentiment has on the impact of a large trader. If the market believes that fundamentals are weak, then the probability of a crisis depends posi...

2004-01-01

316

Using an Artificial Financial Market for Assessing the Impact of Tobin-like Transaction Taxes  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The Tobin tax is a solution proposed by many economists for limiting the speculation in foreign exchange and stock markets and for making these markets stabler. In this paper we present a study on the effects of a transaction tax on one and on two related markets, using an artificial financial market based on heterogeneous agents. The microstructure of the market is composed of four kinds of traders: random traders, fundamentalists, momentum traders and contrarians, and the resources allocate...

Mannaro, Katiuscia; Marchesi, Michele; Setzu, Alessio

2008-01-01

317

Financial intermediation and the role of price discrimination in a two-tier market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2012-01-01

318

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

Directory of Open Access Journals (Sweden)

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

I.M. Burdenko

2012-09-01

319

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Burdenko, I. M.

2012-01-01

320

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

Directory of Open Access Journals (Sweden)

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

Shapovalova Victoria O.

2013-02-01

 
 
 
 
321

Export market exit, financial pressure and the crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Go?rg, Holger; Spaliara, Marina-eliza

2013-01-01

322

Financial Distress Prediction in Emerging Market: Empirical Evidences from Iran  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this article the ability of financial ratios for prediction of financial distress of the listed companies in Tehran Stock Exchange (TES) was investigated. For this reason, the multiple regression models were used and a model was presented for prediction of financial distress in listed companies in TES. The assessment of the model was done by utilizing the data of two groups. The first group contained 30 companies which don't have any financial distress, and the second group, similarly, con...

Mahdi Salehi; Bizhan Abedini

2009-01-01

323

Stylized facts of financial markets and market crashes in Minority Games  

CERN Multimedia

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

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

2001-01-01

324

Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence obtained from the whole period and sub-periods analysis supports the financial integration hypothesis and suggests that domestic risk is not a pri...

Arouri, Mohamed El Hedi

2006-01-01

325

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2010-01-01

326

Financial Distress Prediction in Emerging Market: Empirical Evidences from Iran  

Directory of Open Access Journals (Sweden)

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

Mahdi Salehi

2009-08-01

327

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...

2003-01-01

328

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

329

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2008-01-01

330

Market integration for natural gas in Europe  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we examine the degree of market integration in French gas imports. Are there substantial price differences between gas from different export countries, and do prices move together? Furthermore, we analyze to what extent the French, German and Belgian markets are integrated. The long-term take-or-pay contracts are described and analyzed. Time series of Norwegian, Dutch and Russian gas export prices are examined for the period 1990-1997. Cointegration tests show that that the diff...

Asche, Frank; Osmundsen, Petter; Tvetera?s, Ragnar

2000-01-01

331

Market integration for natural gas in Europe  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper we examine the degree of market integration in French gas imports. Are there substantial price differences between gas from different export countries, and do prices move together? Furthermore, we analyze to what extent the French, German and Belgian markets are integrated. The long-term takeor- pay contracts are described and analyzed. Time series of Norwegian, Dutch and Russian gas export prices are examined for the period 1990-1997. Cointegration tests show t...

Asche, Frank; Osmundsen, Petter; Tvetera?s, Ragnar

2001-01-01

332

Could the Stability and Growth Pact be Substituted by the Financial Markets?  

Directory of Open Access Journals (Sweden)

Full Text Available In the discussions on the need for fiscal rules and their usefulness in a monetary union, researchers have not agreed if financial markets have a sufficiently disciplining effect on governments, which would mean that the fiscal rules are not necessary. This paper investigates whether the European Union’s main fiscal rule, the Stability and Growth Pact, could be substituted by financial markets, taking into account the effects of the latest financial and economic crisis. The findings presented in this paper suggest that there is certain interaction between financial markets and governments' decisions on fiscal policies and that this reaction has become stronger after the beginning of the crisis. However, the institutional setup and market conditions in the European Union are such that this interaction is biased and thus the paper concludes that the Union needs to have fiscal rules.

Terezie Vyprachticka

2011-09-01

333

The market effects of the German two-tier enforcement of financial reporting.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This study contributes to the literature by analyzing the potential market penalties due to financial reporting violations detected by the German enforcement regime. Event study results provide evidence that official error

2012-01-01

334

Methodological Analysis of Gregarious Behaviour of Agents in the Financial Markets ???????????????? ?????? ???????? ????????? ??????? ?? ?????????? ??????  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The article considers methodological approaches to analysis of gregarious behaviour of agents in the financial markets and also studies foundations of the agent modelling of decision making processes with consideration of the gregarious instinct.? ?????? ??????????? ???????????????? ??????? ? ??????? ???????? ????????? ??????? ?? ?????????? ??????, ? ????? ??????????? ?????? ?...

Solodukhin Stanislav V.

2013-01-01

335

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

CERN Document Server

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

Kozuki, N; Kozuki, Naoki; Fuchikami, Nobuko

2002-01-01

336

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2011-01-01

337

Financial Markets and the Behavior of Private Savings in Latin America  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper complements previous studies by arguing that the low private savings ratio in Latin America can be associated with the limited confidence of households and businesses in domestic financial institutions. Previous studies have established a relationship between private savings and financial markets either by using a measure of `financial depth` or a measure of `borrowing constraints. ` This paper offers an alternative view by claiming that the private savings rate relates positively ...

Rojas-sua?rez, Liliana; Weisbrod, Steven R.

1997-01-01

338

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2013-01-01

339

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2013-01-01

340

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Yan, Jia-an

2003-01-01

 
 
 
 
341

Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Hett, Florian; Schmidt, Alexander

2013-01-01

342

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

343

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

344

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 coun...

Marwan Al-Nahleh; Khaled Al-Zaubi

2011-01-01

345

The role of financial market structure and the trade elasticity for monetary policy in open economies  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The degree of international risk sharing matters for how monetary policy should optimally be conducted in an open economy. This is because risk sharing affects the way in which monetary policy is affected by terms of trade considerations. In a standard two-country model with monopolistic competition and nominal rigidities I consider different assumptions on international financial markets - complete markets, financial autarky and a bond economy - and a large region for the crucial parameter o...

Rabitsch, Katrin

2010-01-01

346

Financial markets and the current account: emerging Europe versus emerging Asia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial globalisation has been associated with divergent current account patterns in emerging market economies. While countries in emerging Asia have been running sizeable current account surpluses, countries in emerging Europe have been facing large current account deficits. In this paper we test for the relevance of financial market characteristics in explaining divergent current account patterns in emerging Europe and emerging Asia based on the assumption that both regions constitute two...

Herrmann, Sabine; Winkler, Adalbert

2008-01-01

347

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

2010-01-01

348

Accessing rural finance, The rural financial market in Northern Vietnam  

Digital Repository Infrastructure Vision for European Research (DRIVER)

During the transition of the Vietnamese economy, adaptation of the financial system was one of the most challenging reforms. A major task of this reform was to expand the financial systems outreach to the emerging private sector and household (HH) economies, especially in rural areas. Therefore, state-owned financial intermediaries such as the Vietnam Bank for Agriculture and Rural Development (VBARD) and the Vietnam Bank for the Poor (VBP) have been established. Despite general successes in ...

2007-01-01

349

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

Directory of Open Access Journals (Sweden)

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

Mengchun Ding

2009-10-01

350

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

351

Newly developed integrated model to reduce risks in the electricity market; Redusert risiko i kraftmarkedet  

Energy Technology Data Exchange (ETDEWEB)

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

Mo, Birger

2001-07-01

352

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

The question of regulation and supervision of all parts of financial system is of major importance for any country. In order to protect the interest of the society and to accelerate the economic development, it is necessary to provide adequate legal framework as well as independent supervision institutions. The regulations refer mostly to maintenance of financial stability and consumer protection. The article points out that the structure of the financial sector in the Republic of Croatia is ...

2005-01-01

353

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Kaufman, George G.; Kroszner, Randall S.

1997-01-01

354

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

355

Global and Local Approaches Describing Critical Phenomena on the Developing and Developed Financial Markets  

Science.gov (United States)

We define and confront global and local methods to analyze the financial crash-like events on the financial markets from the critical phenomena point of view. These methods are based respectively on the analysis of log-periodicity and on the local fractal properties of financial time series in the vicinity of phase transitions (crashes). The log-periodicity analysis is made in a daily time horizon, for the whole history (1991-2008) of Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. We find that crash-like events on the Polish financial market are described better by the log-divergent price model decorated with log-periodic behavior than by the power-law-divergent price model usually discussed in log-periodic scenarios for developed markets. Predictions coming from log-periodicity scenario are verified for all main crashes that took place in WIG history. It is argued that crash predictions within log-periodicity model strongly depend on the amount of data taken to make a fit and therefore are likely to contain huge inaccuracies. Next, this global analysis is confronted with the local fractal description. To do so, we provide calculation of the so-called local (time dependent) Hurst exponent H loc for the WIG time series and for main US stock market indices like DJIA and S&P 500. We point out dependence between the behavior of the local fractal properties of financial time series and the crashes appearance on the financial markets. We conclude that local fractal method seems to work better than the global approach - both for developing and developed markets. The very recent situation on the market, particularly related to the Fed intervention in September 2007 and the situation immediately afterwards is also analyzed within fractal approach. It is shown in this context how the financial market evolves through different phases of fractional Brownian motion. Finally, the current situation on American market is analyzed in fractal language. This is to show how far we still are from the end of recession and from the beginning of a new boom on US financial market or on other world leading stocks.

Grech, Dariusz

356

Criticality and Punctuated Equilibrium in a Spin System Model of a Financial Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We describe a financial market model which shows a non-equilibrium phase transition. Near the transition punctuated equilibrium behaviour is seen, with avalanches occuring on all scales. This scaling is described by an exponent very near 1. This system shows intermittent time development with bursts of global synchronization reminiscent of a market rollercoaster.

Ponzi, A.; Aizawa, Y.

1999-01-01

357

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

JANUSZ RYBAK; VALENTINA SHAPOVAL

2013-01-01

358

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

359

THE IMPACT OF GLOBAL FINANCIAL CRISIS UNDER THE ROMANIAN FINANCIAL MARKET  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Today the most disputed subject is the global financial crisis. Laymen and experts say their point of view and wonder when and how will end this "apocalypse" of the financial world. But to understand it, it needs to make it the "radiology", to establish a "diagnosis" and of course an appropriate "treatment", which I tried to "build” in these few words.

Cristina Ciuraru-Andrica

2008-01-01

360

China: between social stability and market integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

China's gradual integration with the global market is responsible for exceptional rates of economic growth and for the substantial sociopolitical stability enjoyed by the country over the past decades. Nevertheless, the choice to increasingly adhere to the competitive dynamic of the market has thrown up a battery of problems for China's leadership, as increasing affluence has favored the pluralization and diversification of social interests. In a country where the existence of divergent and c...

Andornino, Giovanni

2006-01-01

 
 
 
 
361

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)

1998-09-02

362

From molecule to market: steroid hormones and financial risk-taking.  

Science.gov (United States)

Little is known about the role of the endocrine system in financial decision-making. Here, we survey research on steroid hormones and their cognitive effects, and examine potential links to trader performance in the financial markets. Preliminary findings suggest that cortisol codes for risk and testosterone for reward. A key finding of this endocrine research is the different cognitive effects of acute versus chronic exposure to hormones: acutely elevated steroids may optimize performance on a range of tasks; but chronically elevated steroids may promote irrational risk-reward choices. We present a hypothesis suggesting that the irrational exuberance and pessimism observed during market bubbles and crashes may be mediated by steroid hormones. If hormones can exaggerate market moves, then perhaps the age and sex composition among traders and asset managers may affect the level of instability witnessed in the financial markets. PMID:20026470

Coates, John M; Gurnell, Mark; Sarnyai, Zoltan

2010-01-27

363

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.

2012-07-01

364

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

365

COMPANIES’FINANCIAL STATUS AND THE BUSINESS TURNOVER ON EMERGENT MARKETS: THE ROMANIAN CASE  

Directory of Open Access Journals (Sweden)

Full Text Available The aim of this study is to test for the relevance of some financial ratios as descriptors of companies’ financial status in explaining the evolutions of their business turnover. We are considering a data sample of 36 companies quoted on the Romanian capital market for a time span between 2007 and 2010.The predictive capacity of some significant financial ratios for the companies’ business turnover is analyzed and a methodology for the evaluation of their financial status based on these ratios is advanced. We found that the predictive capacity of some relevant financial ratios for the dynamic of some quoted companies’ turnovers is non-uniform across the two conventional sectors in which we have grouped these companies according to their field of activity. Based on these results, an synthetic indicator of the companies’ financial status is constructed at the level of each individual sector and the non-linear correlation between this indicator and the business turnover is tested.

Stefea Petru

2013-07-01

366

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Afonso, Gara; Kovner, Anna; Schoar, Antoinette

2010-01-01

367

Short-memory traders and their impact on group learning in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This article highlights several issues from simulating agent-based financial markets. These all center around the issue of learning in a multiagent setting, and specifically the question of whether the trading behavior of short-memory agents could interfere with the learning process of the market as whole. It is shown in a simple example that short-memory traders persist in generating excess volatility and other features common to actual markets. Problems related to short-memory trader behavi...

2002-01-01

368

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2006-01-01

369

Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and correlations swaps with semi-Markov volatility are presented as well. The novelty of the paper lies in pricing of volatility swaps in closed form, and pricing of covariance and correlation swaps in a market with two risky assets.

Salvi, Giovanni; Swishchuk, Anatoliy V.

2012-01-01

370

Information about the money market : their serving role for sustainable development ; an analysis of the tasks of the financial market from the ethic point of view  

Digital Repository Infrastructure Vision for European Research (DRIVER)

"Starting with the thesis that the task of every financial market is to present easily understandable information about the possibilities of investment, reasons for the necessity of ethics on the financial market are given inherent to the System. Its task is to achieve that the degree of reliability of the information being produced in the financial market rises. Simultaneously the content of the information must change: They must reflect whether they are adequate to the standards of huma...

2010-01-01

371

Cluster formation and evolution in networks of financial market indices  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how clusters are formed according to correlations among indices and how they evolve in time, particularly during times of financial crises. Further analysis is made on the eigenvectors corresponding to the second highest eigenvalues of the co...

Junior, Leonidas Sandoval

2011-01-01

372

Financing the energy transition in times of financial market instability  

Digital Repository Infrastructure Vision for European Research (DRIVER)

One of the most pressing public priorities in Germany at present is how to organize the energy transition. However, the cost of stabilizing the financial sector as well as the fiscal pact and the debt brake mean that the government has limited financial resources. Consequently, the availability of private capital, whether in the form of equity or debt, is becoming a decisive factor in the success of the German energy transition. Recently, there have been increasing indications that banks are ...

Kemfert, Claudia; Scha?fer, Dorothea

2012-01-01

373

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

Science.gov (United States)

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

2013-01-01

374

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

Directory of Open Access Journals (Sweden)

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

Mehdi Mohammadzadeh

2013-08-01

375

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2009-01-01

376

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2009-01-01

377

Prospecting for Sustainable Investment Possibilities in Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The main objective of the paper is to analyse the author's proposed model, which is adequate for stock prices and currency exchange rates markets stochasticity, as well as discuss its application to investor's possibilities research in those markets. The paper is grounded on the hypothesis of stratification of stock profitability ratios, traded on the market. In other words, the concept of stratification means concentration into certain groups in risk-profitability plane. If the hypothesis pr...

Viktorija Stasytyte; Aleksandras Vytautas Rutkauskas

2009-01-01

378

THE IMPACT OF EUROPEAN INTEGRATION AND FINANCIAL GLOBALIZATION ON PRUDENTIAL SUPERVISION  

Directory of Open Access Journals (Sweden)

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

Filip Angela Maria

2009-05-01

379

An analysis of financial literacy in the target market of a state–owned bank / Peterson D.D.  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The South African Postbank Limited has been tasked by Government with a social mandate to provide basic financial services to people receiving low income and people living in rural areas. Personal financial literacy is an essential element which affects financial inclusion in the target market of a state–owned bank. To achieve the bank?s social mandate and its objective, it would be vital to determine whether people in low income and rural demographics are financially literate. Financial li...

2011-01-01

380

Prospecting for Sustainable Investment Possibilities in Financial Markets  

Directory of Open Access Journals (Sweden)

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

Aleksandras Vytautas Rutkauskas

2009-06-01

 
 
 
 
381

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

1995-03-13

382

The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The daily closing prices of several stock market indices are examined to analyse whether noise reduction matters in measuring dependencies of the financial series. We consider the effect of noise reduction on the linear and nonlinear measure of dependencies. We also use singular spectrum analysis as a powerful method for filtering financial series. We compare the results with those obtained by ARMA and GARCH models as linear and nonlinear methods for filtering the series. We al...

Hossein, Hassani; Dioni?sio, Andreia; Ghodsi, Mansoureh

2009-01-01

383

Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 eigenva...

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

2013-01-01

384

EMU-related news and financial markets in the Czech Republic, Hungary, and Poland  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values. EMU-related political and fiscal news is captured as news dummies. Macroeconomic shocks significantly affect short-term interest rates and, to a lesser extent, other financial variables. Political and fiscal n...

Bu?ttner, David; Hayo, Bernd

2008-01-01

385

From molecule to market: steroid hormones and financial risk-taking  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Little is known about the role of the endocrine system in financial decision-making. Here, we survey research on steroid hormones and their cognitive effects, and examine potential links to trader performance in the financial markets. Preliminary findings suggest that cortisol codes for risk and testosterone for reward. A key finding of this endocrine research is the different cognitive effects of acute versus chronic exposure to hormones: acutely elevated steroids may optimize performance on...

Coates, John M.; Gurnell, Mark; Sarnyai, Zoltan

2010-01-01

386

The Paris financial market in the 19th century: an efficient multi-polar organization?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The literature in financial history usually considers London as the only centre of the late 19th century's financial globalization, and explains it at least in part by the efficient microstructure (organization) of the London Stock Exchange (LSE). The LSE is characterized as having been a little regulated market, where entry was easy both for traders and issuers [Michie (1998), Neal (2004), White (2006)]. The LSE microstructure is also considered as the natural and optimal one by much of the ...

Hautcoeur, Pierre-cyrille; Riva, Angelo

2007-01-01

387

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

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

388

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

Corduneanu Carmen; Milos Laura Raisa

2009-01-01

389

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

Directory of Open Access Journals (Sweden)

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

Mario Eboli

2010-10-01

390

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

2003-01-01

391

Regulating financial conglomerates  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2005-01-01

392

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

393

Self-organized model for information spread in financial markets  

CERN Document Server

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

Huang, Z F

2000-01-01

394

Financial Anomalies: Evidence from Chinese A-share Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The analysis of broad samples of equal-weighted and value-weighted returns of the Chinese security markets documents that abnormally high rates of return on small-capitalization stocks are to be observed during the month of March on both Shanghai and Shenzhen A-share markets. Different to the international experience of the January effect, the March effect can be seen as the turn-of-the-year effect in the Chinese security market as the national economic background and cultural backgr...

Roger Su; Amitabh Dutta; Mingwei Xu; Jun Ma

2011-01-01

395

Financial Anomalies: Evidence from Chinese A-share Markets  

Directory of Open Access Journals (Sweden)

Full Text Available The analysis of broad samples of equal-weighted and value-weighted returns of the Chinese security markets documents that abnormally high rates of return on small-capitalization stocks are to be observed during the month of March on both Shanghai and Shenzhen A-share markets. Different to the international experience of the January effect, the March effect can be seen as the turn-of-the-year effect in the Chinese security market as the national economic background and cultural background delay the turn-of-the-year from February to March.

Roger Su

2011-04-01

396

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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

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

2011-01-01

397

Experimental studies in monetary theory, industrial organization, and financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This dissertation includes three essays using the methodology of experimental economics in order to analyze three separate topics: (1) rate of return dominance, (2) the effect of non-monetary punishment in the voluntary contribution mechanism, and (3) futures contracts in multi-period asset markets. In Essay 1, we use experimental methods to study how a fiat money might come to be used in transactions when an identically marketable, dividend-bearing asset, a consol, is also available. Our exp...

2002-01-01

398

Spin models as microfoundation of macroscopic financial market models  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of mechanisms in the market than the purely phenomenological macroscopic models, and thus bear the chance for better models for market regulation. We exemplify this strategy in a case study, deducing a macroscopic Langevin equation from a microsco...

Krause, Sebastian M.; Bornholdt, Stefan

2011-01-01

399

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

400

New IMF Lending Facilities and Financial Stability in Emerging Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In the light of the current global financial and economic crisis, the International Monetary Fund (IMF) has undertaken some major reforms of its lending facilities. The new Flexible Credit Line and the High Access Precautionary Arrangements differ from what has been in place so far, by allowing for ex ante conditionality. This paper summarizes preconditions for effective last resort lending and evaluates the newly introduced measures, concluding that the Flexible Credit Line comes very close ...

2011-01-01

 
 
 
 
401

Understanding the source of multifractality in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robus...

Barunik, Jozef; Aste, Tomaso; Di Matteo, Tiziana; Liu, Ruipeng

2012-01-01

402

Forecasting Financial Market Annual Performance Measures: Further Evidence  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Problem statement: Forecasting is simple; producing accurate forecasts is the essential task. Experience suggests that financial managers often assume that because models used in forecasting are appropriate that they are effective. This study addresses this assumption. Effective is taken to mean forecasts where the Absolute Percentage Error (APE) is equal to or less than 10%. It has been reported that forecasts of the CAPM-β using the Bloomberg heuristic did not provide effective fo...

Lusk, Edward J.; Michael Halperin; Atanas Tetikov; Niya Stefanova

2010-01-01

403

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

Science.gov (United States)

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

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

2014-07-01

404

The financial crisis, labor market transitions and earnings: A gendered panel data analysis for Serbia  

Digital Repository Infrastructure Vision for European Research (DRIVER)

While results are starting to emerge, not much is known yet about the dynamics of the labor markets of the former Eastern economies, especially in the context of the current Financial Crisis. Arguably, this is mainly due to paucity of (panel) data. By examining labor market transitions, earnings levels, and earnings growth and their correlates using a recent panel data set for Serbia, this paper combines both of these issues. Estimation of gross transition probabilities reveals that females a...

Blunch, Niels-hugo; Sulla, Victor

2011-01-01

405

Central bank communication and correlation between financial markets: Canada and the United States  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal Reserve significantly affect the co-movement of financial markets. We find that target rate changes and various forms of communication by both central banks increase correlations within Canadian bond and sto...

Beck, Melanie-kristin; Hayo, Bernd; Neuenkirch, Matthias

2012-01-01

406

Domestic or U.S. news: what drives Canadian financial markets?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian and U.S. price shocks and monetary policy news are less important than shocks relating to the real economy. Second, Canadian central bank communication is more relevant than its U.S. counterpart, whereas...

Hayo, Bernd; Neuenkirch, Matthias

2009-01-01

407

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 be...

Alfi, V.; Cristelli, M.; Pietronero, L.; Zaccaria, A.

2008-01-01

408

Energy Technology IPO's: Linking Financial Markets and Sustainable Development  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper presents partial results from research being conducted to understand the link between financial markets and sustainable energy development, with an emphasis on electricity. The research explores the process by which young sustainable energy technology companies execute initial public offerings on major stock markets worldwide. Space considerations limit this paper to analysis of key research questions for ten energy technology companies that were take public in the US between 1997 ...

Moore, W. H.; Rolf Wüstenhagen

2004-01-01

409

Labour Markets Trends, Financial Globalization and the current crisis in Developing Countries  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The current wave of globalization has profound labour market effects, accentuated, in many cases, by the current financial and economic crisis. This paper reviews general labour market trends and country examples, arguing that the current globalization process makes labour’s position more precarious, a trend magnified by the current crisis. This is consistent with the policy reactions to the crisis: governments have (rightly) acted as a banker of last resort to avoid the collapse of the fin...

Hoeven, R. E.

2010-01-01

410

Responses to the financial crisis, treasury debt, and the impact on short-term money markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Several programs have been introduced by US fiscal and monetary authorities in response to the financial crisis. We examine the responses involving Treasury debt - the Term Securities Lending Facility (TSLF), the Supplemental Financing Program, increases in Treasury issuance, and open market operations - and their impacts on the overnight Treasury general collateral repo rate, a key money market rate. Our contribution is to consider each policy in light of the others, both to help guide polic...

Hrung, Warren B.; Seligman, Jason S.

2011-01-01

411

Essays on Volatility and Time Varying Conditional Jumps in Thinly Traded African Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The 2008 financial crisis brought to the fore the relative resilience of emerging and frontier equity markets. This has made international investors to turn their attention to emerging and frontier equity markets to minimise their down side risk exposure. Against this backdrop, it is important for international investors to understand and appreciate the unique features such as pervasive thin trading and severe illiquidity which impact on the evolution of returns and volatility in these equity...

Kuttu, Saint

2012-01-01

412

How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In the aftermath of the financial crisis, market efficiency is being heavily criticized. However, the volatility-based criticisms rely on false grounds as efficiency and speculative bubbles are compatible. Indeed, the efficient market model is about rationality and information, not about stability. This model admits multiple solutions, as do most rational expectations models. One solution is the so-called fundamental one while the others are referred to as rational bubbles. Still, many practi...

2009-01-01

413

The Issue of Marketing Innovation in Financial Services: Case of the Banks and Insurance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Innovation is at the center of much debate on the competitiveness of business services including financial
institutions and profitability of banks. This paper focuses on innovation in marketing services including in the
Algerian public banks. In this paper, we show that the relative importance dimensions of innovation in services
correlated with those of the marketing culture that is be omnipresent in the bank.
An empirical study allows us ...

Mohamed Cherchem

2012-01-01

414

A multivariate analysis of financial and market-based variables for bond rating prediction  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The analysis of factors which have the strongest influence on rating can contribute to the higher information availability of market participants, and it enables to react on changes and new information sooner and independently from rating agencies. The paper presents an estimation of corporate bond rating models based on both financial and market-based indicators. Multivariate discriminant analysis and logistic regression were used to identify variables with a significant impact on corporate ...

Novotna?, Martina

2013-01-01

415

Emerging market economies and the financial crisis: Is there institutional convergence between Europe and Asia?  

Digital Repository Infrastructure Vision for European Research (DRIVER)

It is often stated that globalization makes a smaller world by institutional conver-gence. Economic orders become alike across the world. This article addresses institutional change triggered by the global financial crisis of 2008/2009 and challenges this general conviction of worldwide convergence by comparing developments in emerging markets in Europe and Asia. The rise of emerging markets, both in Eastern Europe and in Asia, entailed encompassing institutional reform. In analysing the exte...

Hoen, Herman W.

2013-01-01

416

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

Sanjay Seghal; Neeta Tripathi

2010-01-01

417

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

Questions on ways to retain loyal customers and attract potential future customers in an Islamic financial institution led to a study on customer relationship marketing (CRM) strategies at the Pilgrims Fund Corporation or Tabung Haji (TH). This study aims to determine whether customer relationship marketing (CRM) influenced by the variables - customers’ satisfaction, employees’ commitment, customers’ trust and customers’ loyalty. Questionnaires and personal interviews with the respond...

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

2009-01-01

418

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

419

Price-level versus inflation targeting with financial market imperfections  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper compares price-level-path targeting (PT) with inflation targeting (IT) in a sticky-price, dynamic, general equilibrium model augmented with imperfections in both the debt and equity markets. Using a Bayesian approach, we estimate this model for the Canadian economy. We show that the model with both debt and equity market imperfections fits the data better and use it to compare PT versus the estimated current IT regime. We find that in general PT outperforms the current IT regime. H...

Covas, Francisco; Zhang, Yahong

2008-01-01

420

Market Integration, Choice of Technology and Welfare  

DEFF Research Database (Denmark)

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

Hansen, Jørgen Drud; Nielsen, Jørgen Ulff-Møller

2010-01-01

 
 
 
 
421

Energy market integration in South America  

Energy Technology Data Exchange (ETDEWEB)

This article is a summary of presentations made during the 1997 Winter Meeting panel session on Power and Natural Gas in Latin America: Towards an Integrated Market. Reregulation and demand for energy resources to support economic growth are driving international natural gas and electricity exchange initiatives. Panelists focused on the gas and electric power industry in Latin America in terms of the: transport of gas or transmission of electricity; energy market integration in the southern cone of South America; and issues on gas use for electricity generation in South America countries. Countries such as Argentina, Bolivia, and Peru will export natural gas to Brazil, Uruguay, Paraguay and Chile, an the energy matrices of these countries will change.

Hammons, T.J. [Univ. of Glasgow (United Kingdom); Franco, N. de [World Bank, Washington, DC (United States). Latin America Electricity Infrastructure Task Force; Sbertoli, L.V.; Khelil, C.; Rudnick, H.; Clerici, A.; Longhi, A.

1997-08-01

422

Energy market integration in South America  

International Nuclear Information System (INIS)

This article is a summary of presentations made during the 1997 Winter Meeting panel session on Power and Natural Gas in Latin America: Towards an Integrated Market. Reregulation and demand for energy resources to support economic growth are driving international natural gas and electricity exchange initiatives. Panelists focused on the gas and electric power industry in Latin America in terms of the: transport of gas or transmission of electricity; energy market integration in the southern cone of South America; and issues on gas use for electricity generation in South America countries. Countries such as Argentina, Bolivia, and Peru will export natural gas to Brazil, Uruguay, Paraguay and Chile, an the energy matrices of these countries will change

1997-08-01

423

Spatial and temporal structures of four financial markets in Greater China  

CERN Multimedia

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

424

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

425

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

426

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

427

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

428

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

Science.gov (United States)

...CFPB-HQ-2011-2] Defining Larger Participants in Certain Consumer Financial Products...generally will apply only to a ``larger participant'' of these markets, as defined by...required to issue an initial ``larger participant'' rule not later than July 21,...

2011-06-29

429

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

430

Consentaneous agent-based and stochastic model of the financial markets.  

Science.gov (United States)

We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined analytically tractable agent systems. Herding as one of the behavior peculiarities considered in the behavioral finance is the main property of the agent interactions we deal with in this contribution. Looking for the consentaneous agent-based and macroscopic approach we combine two origins of the noise: exogenous one, related to the information flow, and endogenous one, arising form the complex stochastic dynamics of agents. As a result we propose a three state agent-based herding model of the financial markets. From this agent-based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of agent population and log price in the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a source of the short term fluctuations. The resulting model of the return in the financial markets with the same set of parameters reproduces empirical probability and spectral densities of absolute return observed in New York, Warsaw and NASDAQ OMX Vilnius Stock Exchanges. Our result confirms the prevalent idea in behavioral finance that herding interactions may be dominant over agent rationality and contribute towards bubble formation. PMID:25029364

Gontis, Vygintas; Kononovicius, Aleksejus

2014-01-01

431

Consentaneous Agent-Based and Stochastic Model of the Financial Markets  

Science.gov (United States)

We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined analytically tractable agent systems. Herding as one of the behavior peculiarities considered in the behavioral finance is the main property of the agent interactions we deal with in this contribution. Looking for the consentaneous agent-based and macroscopic approach we combine two origins of the noise: exogenous one, related to the information flow, and endogenous one, arising form the complex stochastic dynamics of agents. As a result we propose a three state agent-based herding model of the financial markets. From this agent-based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of agent population and log price in the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a source of the short term fluctuations. The resulting model of the return in the financial markets with the same set of parameters reproduces empirical probability and spectral densities of absolute return observed in New York, Warsaw and NASDAQ OMX Vilnius Stock Exchanges. Our result confirms the prevalent idea in behavioral finance that herding interactions may be dominant over agent rationality and contribute towards bubble formation.

Gontis, Vygintas; Kononovicius, Aleksejus

2014-01-01

432

The Predictive Power of Zero Intelligence in Financial Markets  

CERN Multimedia

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

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

2003-01-01

433

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

CERN Document Server

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

Denys, Mateusz; Kutner, Ryszard

2013-01-01

434

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

435

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

436

Random walks, liquidity molasses and critical response in financial markets  

CERN Multimedia

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

Bouchaud, J P; Potters, M

2004-01-01

437

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

Directory of Open Access Journals (Sweden)

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

Ansgar Belke

2014-06-01

438

The effects of marketing and market orientation on economical and financial performance in portuguese SME  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The market orientation (MO) degree has been studied for scientific and academic community, occupying actually a prominent place at the marketing research field. In a stakeholder’s value creation perspective and in highly competitive environments, the development of a customer and market-oriented culture may represent the frontier to the companies’ survival, specially micro and medium enterprises (SMEs). This paper includes the results of an empirical research about marketing, market orien...

Correia, Ricardo Jorge; Teixeira, Ma?rio Se?rgio; Rebelo, Joa?o

2011-01-01

439

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

440

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

 
 
 
 
441