WorldWideScience

Sample records for african financial markets

  1. African financial systems: A review

    Directory of Open Access Journals (Sweden)

    Franklin Allen

    2011-04-01

    Full Text Available We start by providing an overview of financial systems in the African continent. We then consider the regions of Arab North Africa, West Africa, East and Central Africa, and Southern Africa in more detail. The paper covers, among other things, central banks, deposit-taking banks, non-bank institutions, such as the stock markets, fixed income markets, insurance markets, and microfinance institutions.

  2. RELATIONSHIP DERIVATIVES FINANCIAL MARKETS, MONEY AND STOCK MARKETS AS A SUBSYSTEM OF FINANCIAL MARKET

    OpenAIRE

    Yulia Yelnikova

    2016-01-01

    Under conditions of intensive strengthening of globalization of world financial markets and deepening of the crisis, the main source of which are financial markets, financial derivatives market is rapidly developing. In such circumstances, we observe very active growing demand for tools, the main purpose of which is to reduce the financial risk – derivatives. Outlined trend has also involved Ukraine. In this connection, there is an objective need to develop estimate the interconnection of the...

  3. RURAL FINANCIAL MARKETS: AN OVERVIEW

    OpenAIRE

    Spio, Kojo; Groenewald, Jan A.

    1997-01-01

    The paper seeks to present an in depth overview of rural financial markets in developing countries. Attention is given to the role of financial markets in the development process, approaches to rural finance in developing countries, and formal and informal financial markets. The pro and cons of the various financial markets were also considered.

  4. RELATIONSHIP DERIVATIVES FINANCIAL MARKETS, MONEY AND STOCK MARKETS AS A SUBSYSTEM OF FINANCIAL MARKET

    Directory of Open Access Journals (Sweden)

    Yulia Yelnikova

    2016-11-01

    Full Text Available Under conditions of intensive strengthening of globalization of world financial markets and deepening of the crisis, the main source of which are financial markets, financial derivatives market is rapidly developing. In such circumstances, we observe very active growing demand for tools, the main purpose of which is to reduce the financial risk – derivatives. Outlined trend has also involved Ukraine. In this connection, there is an objective need to develop estimate the interconnection of the money and stock markets and derivatives market. It should be kept in mind that achieving the outlined goal is possible only under condition of the full understanding of the scientific and methodological principles of the development of these markets. Purpose is to estimate the interconnection of the money and stock markets and derivatives market by building a mathematical model of system of structural equations that will promote the compilation of scientifically based program of derivatives market. Methodology. By using methods of economic-mathematical modelling were estimated the degree of influence of studied markets factors on financial derivatives market development and by changing this or that factor were predicted future trends of its operations. Results of the survey showed the current state and problems of derivatives market functioning. At the same time, our study allowed us to talk, that factors of the money and stock markets have a different impact on the derivatives market. So, the majority of money market factors have a reverse influence on the development of derivatives market. Instead, the stock market has a direct influence. Practical implications. The proposed scientific and methodical approach to evaluating the impact of factors on the derivatives market allows: influenced by different factors; to conduct a qualitative interpretation of the quantitative changes in the level of market development; to form a complete system of state

  5. Market liquidity and financial stability.

    OpenAIRE

    Crockett, A.

    2008-01-01

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

  6. The Nordic financial electricity market

    Energy Technology Data Exchange (ETDEWEB)

    2010-11-15

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

  7. International Good Market Segmentation and Financial Market Structure

    OpenAIRE

    Basak, Suleyman; Croitoru, Benjamin

    2003-01-01

    While financial markets have recently become more complete and international capital flows well liberalized, markets for goods remain segmented. To investigate how more complete security markets may relieve the effects of this segmentation, we examine a series of two-country economies with internationally segmented good markets, distinguished by the available financial securities. We show that, under heterogeneity within countries, the financial structure matters: even with internationally co...

  8. Financial Services Marketing.

    Science.gov (United States)

    Olson, Lucretia Maria

    This manual contains student assignments in the financial services area of the marketing process. The individualized competency-based materials are intended to enhance and supplement instruction or to provide the basis for a course of instruction by the teacher-coordinator. Information on skills needed in jobs in financial marketing is first…

  9. Markets for financial transmission rights

    International Nuclear Information System (INIS)

    Kristiansen, T.

    2004-01-01

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

  10. Marketing Financial Aid

    Science.gov (United States)

    Huddleston, Thomas, Jr.; Batty, Burt F.

    1978-01-01

    Student financial assistance services are becoming a major part of the institutional marketing plan as traditional college-age students decline in numbers and price competition among institutions increases. The effect of financial aid on enrollment and admissions processes is discussed along with the role of the financial aid officer. (Author/LBH)

  11. THE ROLE OF FINANCIAL EDUCATION IN DEVELOPING THE FINANCIAL SERVICES MARKET

    OpenAIRE

    Ivanka Daneva

    2015-01-01

    Considering the current complexity of financial markets and of financial instruments and services, financial education is part of population’s financial literacy and it ranks as paramount factor in the complex for the financial markets development.

  12. Marketing particularities in financial organizations

    Directory of Open Access Journals (Sweden)

    Hanić Hasan

    2012-01-01

    Full Text Available Acceptance of marketing as a business concept in financial organizations, implies that the respective organization adopts the following marketing postulations: value of action capital conclusively depends on the client (value; key goal of marketing management in financial organizations is to attract new and retain existing clients; clients are attracted by delivering superior value/offer, and retaind by generating client satisfaction; in creating and delivering superior quality (value, marketing must have full colaboration with other departments (functional business areas. Due to the financial services nature, marketing management demands the classical marketing mix concept to accomodate and expand with respect to basic 4P concept, by adding new elements related to humen force (employees, physical environment and the manner in which they provide services to their clients. Therefore we believe that for the financial organizations 7P, namely 7C model is more adequate than classical model, and that it represents conceptual frame that identifies wider spectar of marketing management tools. In addition, we would like to emphasize that the advertisment, that participates with over 2/3 in total marketing budget, represents the dominant promotional form and that the budget structure for advertizing is commonly defined by the goal and task method, that stands for an important indicator of proper market orientation of financial organizations in Serbia.

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

    Science.gov (United States)

    Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

    2016-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Kyubin Yim

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

  15. Market-based approach to financial architecture

    NARCIS (Netherlands)

    Underhill, G.R.D.; Caprio, G.; Beck, T.; Claessens, S.; Schmukler, S.L.

    2013-01-01

    The institutions of financial governance are central to the prospects for financial stability. Without sound regulatory and supervisory institutions, herd behavior and market failure looms large in a liberal financial system. Cross-border and cross-sectoral financial market integration exacerbates

  16. Social Knowledge for Financial Markets

    Directory of Open Access Journals (Sweden)

    Gertraude Mikl-Horke

    2010-08-01

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

  17. The Financial Markets and Customer Satisfaction: Reexamining Possible Financial Market Mispricing of Customer Satisfaction

    OpenAIRE

    Robert Jacobson; Natalie Mizik

    2009-01-01

    We investigate the association between information contained in the American Customer Satisfaction Index (ACSI) metric and future stock market performance. Some past research has provided results suggesting that the financial markets misprice customer satisfaction; i.e., firms advantaged in customer satisfaction are posited to earn positive future-period abnormal stock returns. We reexamine this relationship and find that statistically significant evidence of financial market mispricing of cu...

  18. Quantum Bohmian model for financial market

    Science.gov (United States)

    Choustova, Olga Al.

    2007-01-01

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

  19. BELGRADE MARKET AS A PART OF THE GLOBAL FINANCIAL MARKET

    Directory of Open Access Journals (Sweden)

    Nataša Simić

    2018-01-01

    Full Text Available Belgrade market has been operating since 1989 under the name of Yugoslav capital market, which changed its name to Belgrade market in 1992. The purpose and the idea which governs our financial authorities and the market participants is a more active involvement of the market in the operations of the global financial market.

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

    OpenAIRE

    Valls Ruiz, Natàlia

    2014-01-01

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

  1. Communication impacting financial markets

    Science.gov (United States)

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

    2014-10-01

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

  2. Banks, markets, and financial stability

    OpenAIRE

    Eder, Armin; Fecht, Falko; Pausch, Thilo

    2014-01-01

    In a theoretical model of the Diamond-Dybvig style, in which deposit-taking banks and financial markets coexist, bank behavior is analyzed taking into account a positive ex-ante probability of a future financial crisis. We focus on the role of the interaction of market liquidity and banks' funding liquidity in the propagation of shocks in the financial system. Our findings suggest that in particular bank-dominated financial systems are prone to contagious bank runs due to asset price deterior...

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

    OpenAIRE

    Mishkin, Frederic S.

    2001-01-01

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

  4. Financial Markets and Compliance

    NARCIS (Netherlands)

    van de Laar, T.A.H.M.; Bleker, Sylvie; Houben, Raf

    2017-01-01

    This chapter will focus on the goals of financial market regulation through the rules of economics, the strategies financial regulation employs to achieve these goals and the insights this provides for the compliance profession. For an overview of the goals and strategies of financial regulation

  5. Regulatory Competition in Global Financial Markets

    DEFF Research Database (Denmark)

    Ringe, Georg

    2016-01-01

    Regulatory arbitrage in financial markets refers to a number of strategies that market participants use to avoid the reach of regulation, in particular by virtue of moving trading abroad or relocating activities or operations of financial institutions to other jurisdictions. Where this happens...... institutions' excessive risk-taking. If such risk-taking would be judged by market discipline instead of posing a risk to global financial stability, the main downside of regulatory competition could be restrained. Within the boundaries of such a system, competition could then operate and contribute...... their standards solely to attract business and thereby impose externalities on the worldwide financial market by undermining financial stability as a global public good. Policymakers worldwide are experimenting with remedies to respond to the phenomenon. I introduce the importance of an effective special...

  6. Marketing in current financial crisis

    OpenAIRE

    Mariánek, Lukáš

    2009-01-01

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

  7. RETROSPECTIVE OF FINANCIAL REPORTING ON CAPITAL MARKET

    OpenAIRE

    Diana Muresan

    2012-01-01

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

  8. 76 FR 18445 - Financial Market Utilities

    Science.gov (United States)

    2011-04-04

    ..., the risk of significant liquidity or credit problems spreading among financial institutions or markets..., and settlement activities of certain financial market utilities (``FMUs'') that are designated as.... SUPPLEMENTARY INFORMATION: [[Page 18446

  9. Energy economics and financial markets

    Energy Technology Data Exchange (ETDEWEB)

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

    2013-10-01

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

  10. Dynamic bifurcations on financial markets

    International Nuclear Information System (INIS)

    Kozłowska, M.; Denys, M.; Wiliński, M.; Link, G.; Gubiec, T.; Werner, T.R.; Kutner, R.; Struzik, Z.R.

    2016-01-01

    We provide evidence that catastrophic bifurcation breakdowns or transitions, preceded by early warning signs such as flickering phenomena, are present on notoriously unpredictable financial markets. For this we construct robust indicators of catastrophic dynamical slowing down and apply these to identify hallmarks of dynamical catastrophic bifurcation transitions. This is done using daily closing index records for the representative examples of financial markets of small and mid to large capitalisations experiencing a speculative bubble induced by the worldwide financial crisis of 2007-08.

  11. Financial instability from local market measures

    International Nuclear Information System (INIS)

    Bardoscia, Marco; Livan, Giacomo; Marsili, Matteo

    2012-01-01

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

  12. Financial markets and interest rate

    Directory of Open Access Journals (Sweden)

    Dudić Zdenka

    2012-01-01

    Full Text Available The paper 'Financial Markets and Interest Rate' originated from the thesis paper. This topic is very interesting and more and more present in the recent few years. Various changes in the market, increased competition, the development of information technologies, application of innovations, all these contribute to the rapid expansion of scope and use of financial derivatives. Therefore, under these influences, oscillations in various markets are present on a daily basis, so that the vast expansion of financial contracts is present, which is mainly related to interest rates. What are the world's best-known stock markets? What are the instruments most actively traded on stock exchanges? The words LIBOR and BBA LIBOR are frequently heard in today's media. What is LIBOR? What is BBA LIBOR? How and when is it determined? Where is LIBOR used?.

  13. EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES

    Directory of Open Access Journals (Sweden)

    Małgorzata Mikita

    2012-04-01

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

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

    OpenAIRE

    Frederic S. Mishkin

    2001-01-01

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

  15. Integration of European Banking and Financial Markets

    OpenAIRE

    Marques Ibanez, David; Molyneux, Philip

    2002-01-01

    This paper investigates banking and capital market developments in Europe and the moves towards the creation of a single financial services market. A critical element in the integration process is the success of the EU's Financial Services Action Plan (FSAP). This seeks to introduce a wide range of legislation aimed at reducing barriers and promoting cross-border trade in financial services - especially for capital markets and retail / SME financial service areas. As was the case in 1992, it ...

  16. Bond markets in Africa

    Directory of Open Access Journals (Sweden)

    Yibin Mu

    2013-07-01

    Full Text Available African bond markets have been steadily growing in recent years, but nonetheless remain undeveloped. African countries would benefit from greater access to financing and deeper financial markets. This paper compiles a unique set of data on government securities and corporate bond markets in Africa. It then applies an econometric model to analyze the key determinants of African government securities market and corporate bond market capitalization. Government securities market capitalization is directly related to better institutions and interest rate volatility, and inversely related to smaller fiscal deficits, higher interest rate spreads, exchange rate volatility, and current and capital account openness. Corporate bond market capitalization is directly linked to economic size, the level of development of the economy and financial markets, better institutions, and interest rate volatility, and inversely related to higher interest rate spreads and current account openness. Policy implications follow.

  17. Interdependence of an enterprise's marketing and financial strategies

    Directory of Open Access Journals (Sweden)

    Ivkov Danijela M.

    2010-01-01

    Full Text Available This paper deals with the mutual relation and inter-dependence of the marketing and financial strategies of an enterprise. The special focus is on the significance of the marketing strategy for the business success of an enterprise. The paper begins with description of marketing application in the business practice of an enterprise. The point is also on certain segments of the marketing strategy. The central part of the paper is dedicated to the review of possible effects on the customer satisfaction with the financial strategy of the enterprise. Marketing provides the resources for achievement of the financial objectives. Marketing efficiency is measured, among other ways, by the market share and sales volume, but also by the degree of loyalty and customer satisfaction. Marketing efficiency indicators reflect the efficiency of financial operations. It is quite certain that marketing and financial strategy are strongly interdependent.

  18. Market research: Determinant of successful strategic marketing in financial organizations

    Directory of Open Access Journals (Sweden)

    Domazet Ivana

    2013-01-01

    Full Text Available Market research provides an information inputs for business improvement by reducing risk of wrong strategic decisions in marketing area. Therefore, it presents significant competitive activity used as a base for the company's marketing strategies and business behavior. Business environment research and attitudes of clients above all, is particularly important in the financial services sector. Due to the specific attributes of financial services, which are reflected primarily in the intangibility (immateriality, variability (heterogeneity and volatility of services, but also on account of durability and rate of expenditure and fiduciary responsibility that feature financial institutions, market research has a special dimension in this area. Thus the aim of this paper is to analyze the concept and process of market research in the financial services industry and point out the importance of market research as the basic activity that should provide inputs for making strategic marketing decisions related to: market segmentation, targeting and positioning of specific market segment. In addition, the paper presents the results of market research and provides the opinions of car insurance service users in Serbia, where the starting hypothesis was that the main factors in selecting companies for motor insurance were the following: the reputation of the insurance company, trust that the insurer will pay the damage when it occurs and the price of services.

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

    Directory of Open Access Journals (Sweden)

    Mitica Pepi

    2013-07-01

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

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

    Directory of Open Access Journals (Sweden)

    Charlene Gerber

    2013-05-01

    Full Text Available 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 provide 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.

  1. Regulatory Competition in Global Financial Markets

    DEFF Research Database (Denmark)

    Ringe, Georg

    2015-01-01

    competition are a reality in today’s global financial market, and the financial sector is different from their traditional fields of application: the ease of arbitrage, the fragility of banking and the risks involved are exceptional. Most importantly, regulatory arbitrage does not or only rarely occurs......The decades-long discussion on the merits of regulatory competition appears in a new light on the global financial market. There are a number of strategies that market participants use to avoid the reach of regulation, in particular by virtue of shifting trading abroad or else relocating activities...

  2. Why Ecologists Should Care about Financial Markets.

    Science.gov (United States)

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

    2015-10-01

    Financial actors such as international banks and investors play an important role in the global economy. This role is shifting due to financial innovations, increased sustainability ambitions from large financial actors, and changes in international commodity markets. These changes are creating new global connections that potentially make financial markets, actors, and instruments important aspects of global environmental change. Despite this, the way financial markets and actors affect ecosystem change in different parts of the world has seldom been elaborated in the literature. We summarize these financial trends, explore how they connect to ecosystems and ecological change in both direct and indirect ways, and elaborate on crucial research gaps. Copyright © 2015 Elsevier Ltd. All rights reserved.

  3. The Economic Efficiency of Financial Markets

    Science.gov (United States)

    Wang, Yougui

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

  4. Empirical Evidence of Target Leverage, Adjustment Costs and Adjustment Speed of Non-Financial Firms in Selected African Countries

    OpenAIRE

    Oyebola Fatima Etudaiye-Muhtar; Oyebola Fatima Etudaiye-Muhtar; Rubi Ahmad

    2015-01-01

    The issue of target leverage for corporate firms in developing countries has received little attention in extant literature, especially countries in Africa. Given the imperfection that exists in African financial markets that may limit firms access to external capital, this study investigates dynamic adjustment towards a target debt ratio. In addition, the study used a dynamic panel data estimation technique to determine adjustment costs and speed of adjustment in non-financial firms in selec...

  5. Identifying States of a Financial Market

    Science.gov (United States)

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

    2012-09-01

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

  6. Identifying states of a financial market.

    Science.gov (United States)

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

    2012-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Radu CIOBANU

    2011-06-01

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

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

    OpenAIRE

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

    2013-01-01

    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 provide 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 contributi...

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

    Science.gov (United States)

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

    2014-05-22

    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.

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

    Science.gov (United States)

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

    2014-01-01

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said 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

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

    OpenAIRE

    Dalia SIMION; Daniel TOBA

    2008-01-01

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

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

    International Nuclear Information System (INIS)

    Simonetti, S.

    2007-01-01

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

  13. Regional and global market integration of African financial markets ...

    African Journals Online (AJOL)

    African Review of Economics and Finance. Journal Home · ABOUT THIS JOURNAL · Advanced Search · Current Issue · Archives · Journal Home > Vol 8, No 2 (2016) >. Log in or Register to get access to full text downloads.

  14. Examining evidence of ‘shift-contagion’ in African stock markets: A CoVaR-copula approach

    Directory of Open Access Journals (Sweden)

    Gideon Boako

    2017-12-01

    Full Text Available This paper examines for the first time contagion to African stock markets with particular attention to the quantification of, and testing for the impact of (extreme downside movements in foreign exchange and developed stock markets on the (extreme downside risks in Africa stock markets. Using data of weekly periodicity, the empirical analysis captured the pre, during (both turmoil and acute, and post periods of the 2007–2009 global financial crisis. We analyzed contagion by comparing (extreme downside cumulative mean distribution conditional value-at-risk (CoVaR values for African stock markets for successive periods and tested for significance of contagion using the Kolmogorov–Smirnoff (KS bootstrap technique. We used the KS statistic to test the hypothesis of equality or no systemic impact between the conditional African stock market return quantiles (for different successive sub-samples. CoVaR values are computed from four copula specifications — Gaussian, Student-t, Gumbel and Rotated Gumbel. By situating the empirical analysis within the shift-contagion thesis, we found evidence of contagion from some exchange rate and developed equity markets to African stocks only in the acute and the post-crisis periods. The findings are consistent with the view that global shocks propagation to developing markets may stagger during crisis and intensify post-crisis. A practical implication from the results is that given the relatively scarce resources and levels of technological know-how available to African governments, efforts to wean the continent’s equity markets from adverse effects of global market crashes should be geared towards plans and programmes to mitigate the shocks not at the early stages but latter stages, where the effects to Africa could be pronouncedly felt.

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

    Directory of Open Access Journals (Sweden)

    Boris Snoj

    2010-11-01

    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.

  16. ECONOMIC-LAW COLLISIONS IN FINANCIAL MARKETS RESEARCH

    Directory of Open Access Journals (Sweden)

    S. Naumenkova

    2013-11-01

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

  17. The effect of financial liberalization on capital flight in African economies

    NARCIS (Netherlands)

    Lensink, B.W.; Hermes, C.L.M.; Murinde, V.

    In this paper we assess the effects of financial liberalization on capital flight in African economies. A portfolio model, in which capital flight is one of the assets, is estimated on a sample of nine African countries for 1970-91. The estimation results suggest that financial liberalization

  18. Business Ethics in Globalized Financial Markets

    OpenAIRE

    Peter Koslowski

    2006-01-01

    Globalization extends the space of the things that are simultaneous for the human. This applies particularly to the decision-making in financial markets. The global market for capital is one of the main causes for globalization. How is this process of globalization to be judged from the point of view of business ethics? The paper investigates the ethical foundations of capital markets and of financial consulting. It analyzes the foundational theories of corporate governance in the Anglo-Ameri...

  19. FINANCIAL INTERMEDIARIES’ ACTIVITY ON ROMANIAN CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Dumitru-Cristian OANEA

    2014-11-01

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

  20. Financial Markets and the Challenges of Sustainable Growth

    Directory of Open Access Journals (Sweden)

    Janicka Małgorzata

    2016-06-01

    Full Text Available Sustainable growth and responsibility for the economy and the environment are postulates rarely associated with the term “financial market”. Financial markets are identified with the ruthless maximisation of profit at acceptable risk, rather than with socially responsible conduct. However, in the global economy businesses modify their priorities and become aware of not just the need to grow in financial terms but also to improve their quality performance. International financial markets have become part of this trend and are increasingly often adopting environmentally friendly attitudes and embracing the challenges posed by the concept of sustainable growth. Ideas such as CSR – Corporate Social Responsibility – and SRI – Socially Responsible Investment are gaining in importance. While sustainable growth of the economy as perceived from the point of view of the manufacturing or service sectors is widely discussed, the sustainable growth of financial markets is a relatively new concept and the available literature on “green” financial markets is quite scarce. This paper is intended to fill in this gap and examine the changes that have taken place on financial markets in the context of the idea of sustainable growth, with particular attention paid to the European Union markets.

  1. Traditional Market Accounting: Management or Financial Accounting?

    OpenAIRE

    Wiyarni, Wiyarni

    2017-01-01

    The purpose of this study is to explore the area of accounting in traditional market. There are two areas of accounting: management and financial accounting. Some of traditional market traders have prepared financial notes, whereas some of them do not. Their financial notes usually consist of receivables, payables, customer orders, inventories, sales and cost price, and salary expenses. The purpose of these financial notes is usually for decision making. It is very rare for the traditional ma...

  2. African Exporting Firms in the Turmoil of the Global Financial Crisis ...

    African Journals Online (AJOL)

    This paper adopts a different approach by examining the impact of the recent global financial crisis on exporting firms in the manufacturing and services sectors in low income countries of the African continent. The paper investigates the impact of the global financial crisis on three Sub Saharan African economies namely ...

  3. Incomplete Financial Markets and Jumps in Asset Prices

    DEFF Research Database (Denmark)

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

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

  4. Correlation of financial markets in times of crisis

    Science.gov (United States)

    Sandoval, Leonidas; Franca, Italo De Paula

    2012-01-01

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

  5. A Comparison of Global Financial Market Recovery after the 2008 Global Financial Crisis

    Directory of Open Access Journals (Sweden)

    Foo Jennifer

    2017-06-01

    Full Text Available The Financial Crisis of 2007-2009 plunged countries into a Great Recession and focused the world’s attention on the global stock markets. The global contagion has a major impact on global stock markets, with the U.S. DJIA falling to 6,547.05 on March 9, 2009 from a high of 14,164.53 on October 9, 2007, with a loss of more than 54%. Other stock markets also had a precipitous drop during the financial crisis. However, some equity markets have recovered while others have not. This paper looks at how global markets compared in their recovery. This paper also investigates the advanced countries’ recovery relative to the emerging and developing countries in the aftermath of the financial crisis and their ability to climb back to the pre-financial crisis levels. Analysis is provided for 31 stock indexes from January 2005 to March 2013. In 2013 the majority of analysed stock markets recovered from the crises regardless of if they belong to the group of developed or emerging markets.

  6. Value at Risk in the South African equity market: a view from the tails

    Directory of Open Access Journals (Sweden)

    C Milwidsky

    2010-09-01

    Full Text Available Traditional parametric Value at Risk (VaR estimates assume normality in financial returns data.  However, it is well known that this distribution, while convenient and simple to implement, underestimates the kurtosis demonstrated in most financial returns.  Huisman, Koedijk and Pownall (1998 replace the normal distribution with the Student’s t distribution in modelling financial returns for calculation of VaR.  In this paper we extend their approach to the Monte Carlo simulation of VaR on both linear and non-linear instruments with application to the South African equity market.  We show, via backtesting, that the t-distribution produces superior results to the normal one.

  7. Facing Financial Difficulties, African Virtual U. Revamps Itself

    Science.gov (United States)

    Kigotho, Wachira

    2006-01-01

    This article talks about serious financial problems faced by the African Virtual University, the continent's largest online institution, forcing it to accelerate a major restructuring. The university was established in 1997 by the World Bank as a link between foreign and African institutions, and has been impeded by insufficient funds. As a…

  8. Financial Services and Emerging Markets

    NARCIS (Netherlands)

    B. Karreman (Bas)

    2011-01-01

    textabstractThis study addresses the organization and strategy of firms in emerging markets with an explicit application to financial services. Given the relevance of a well-functioning financial system for economic growth, understanding the organization and strategy of firms contributing to the

  9. Eroding market stability by proliferation of financial instruments

    Science.gov (United States)

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

    2009-10-01

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

  10. The Value of Institutions for Financial Markets; Evidence From Emerging Markets

    OpenAIRE

    Thomas Stratmann; Bernardin Akitoby

    2009-01-01

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

  11. Models for the financial-performance effects of Marketing

    NARCIS (Netherlands)

    Hanssens, D.M.; Dekimpe, Marnik; Wierenga, B.; van der Lans, R.

    We consider marketing-mix models that explicitly include financial performance criteria. These financial metrics are not only comparable across the marketing mix, they also relate well to investors’ evaluation of the firm. To that extent, we treat marketing as an investment in customer value

  12. Financial Super-Markets: Size Matters for Asset Trade.

    OpenAIRE

    Philippe Martin and Hélène Rey.

    2000-01-01

    This paper presents a new theoretical framework to analyze financial markets in an international context. We build a two-country macroeconomic model in which agents are risk averse, assets are imperfect substitutes, the number of financial assets is endogenous, and cross-border asset trade entails transaction costs. We show that demand effects have important implications for the link between market size, asset prices and financial market development. These effects are consistent with the exis...

  13. Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures

    NARCIS (Netherlands)

    Léon, C.; Berndsen, R.J.; Renneboog, L.D.R.

    2014-01-01

    An interacting network coupling financial institutions’ multiplex (i.e. multi-layer) and financial market infrastructures’ single-layer networks gives an accurate picture of a financial system’s true connective architecture. We examine and compare the main properties of Colombian multiplex and

  14. Financial Markets Analysis by Probabilistic Fuzzy Modelling

    NARCIS (Netherlands)

    J.H. van den Berg (Jan); W.-M. van den Bergh (Willem-Max); U. Kaymak (Uzay)

    2003-01-01

    textabstractFor 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

  15. Financial markets analysis by probabilistic fuzzy modelling

    NARCIS (Netherlands)

    Berg, van den J.; Kaymak, U.; Bergh, van den W.M.

    2003-01-01

    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)

  16. Financial innovation: Economic growth versus instability in bank-based versus financial market driven economies

    NARCIS (Netherlands)

    Boot, A.W.A.; Marinč, M.

    2010-01-01

    A fundamental feature of recent financial innovations is their focus on augmenting marketability. We point at the potential dark side of marketability. The paper casts its analysis of the pros and cons of financial innovation within the financial development and economic growth debate. The

  17. CUSTOMER EQUITY:MAKING MARKETING STRATEGY FINANCIALLY ACCOUNTABLE

    Institute of Scientific and Technical Information of China (English)

    Ashwin ARAVINDAKSHAN; Roland T. RUST; Katherine N. LEMON; Valerie A. ZEITHAML

    2004-01-01

    The article presents an overview of the literature on customer equity and how customer equity provides an opportunity for marketers to make marketing strategy financially accountable.Traditionally, Return on Investment (ROI) models have been used to evaluate the financial expenditures required by the strategies as well as the financial returns gained by them. However in addition to requiring lengthy longitudinal data, these models also have the disadvantage of not evaluating the effect of the strategies on a firm's customer equity. The dominance of customer-centered thinking over product-centered thinking calls for a shift from product-based strategies to customer-based strategies. Hence, it is important to evaluate a firm's marketing strategies in terms of the drivers of its customer equity. The article summarizes a unified strategic framework that enables competing marketing strategy options to be traded off on the basis of projected financial return, which is operationalized as the change in a firm's customer equity relative to the incremental expenditure necessary to produce the change.

  18. Financial markets as adaptive systems

    Science.gov (United States)

    Potters, M.; Cont, R.; Bouchaud, J.-P.

    1998-02-01

    We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: "fat tails" and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.

  19. Financial Super-Markets: Size Matters for Asset Trade

    OpenAIRE

    Philippe Martin; Helene Rey

    2001-01-01

    This paper presents a new theoretical framework to analyze=20 financial markets in an international context. We build a two-country=20 macroeconomic model in which agents are risk averse, assets are imperfect=20 substitutes, the number of financial assets is endogenous, and cross-border= =20 asset trade entails transaction costs. We show that demand effects have=20 important implications for the link between market size, asset prices and=20 financial market development. These effects are cons...

  20. An integrated marketing approach for a medium-sized South African airline in a deregulated market

    OpenAIRE

    2012-01-01

    M.Comm. The overall goal of this study is to provide a medium-sized South African airline with the theoretical framework and necessary research and analyses, in developing an integrated marketing approach in a deregulated environment. The objectives of the study are : to analyse the macro and market variables that could impact on the marketing efforts of a medium-sized South African airline. to assess a medium-sized South African airline's marketing efforts (in response to external variabl...

  1. Financial development in emerging markets: The Indian experience

    OpenAIRE

    Krishnan, K. P.

    2011-01-01

    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...

  2. Reconfiguring the Financial Markets

    Directory of Open Access Journals (Sweden)

    Ion Bucur

    2009-12-01

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

  3. The role of professional economists in the financial markets

    OpenAIRE

    Porzecanski, Arturo C.

    2006-01-01

    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...

  4. Marketing Cooperatives and Financial Structure

    NARCIS (Netherlands)

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

    1995-01-01

    The relationship between the financial structure of marketing cooperatives and the requirement of the domination of control by the members of the cooperative is analysed with an emphasis on incomplete contracts and system complementarities. It is argued that the disappearance of shortage markets in

  5. THE FINANCIAL CRISIS AND THE EMERGING MARKETS

    Directory of Open Access Journals (Sweden)

    LORENA POPESCU DUDUIALĂ

    2014-06-01

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

  6. A Historical Overview of the Regulation of Market Abuse in South ...

    African Journals Online (AJOL)

    In an early attempt to combat market abuse in the South African financial markets, legislation such as the Companies Act, the Financial Markets Control Act and the Stock Exchanges Control Act were enacted. However, these Acts failed to effectively curb market abuse activities that were allegedly rife in the financial markets.

  7. Detecting price manipulation in the financial market

    OpenAIRE

    Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, T. M.

    2014-01-01

    Market abuse has attracted much attention from financial regulators around the world but it is difficult to fully prevent. One of the reasons is the lack of thoroughly studies of the market abuse strategies and the corresponding effective market abuse approaches. In this paper, the strategies of reported price manipulation cases are analysed as well as the related empirical studies. A transformation is then defined to convert the time-varying financial trading data into pseudo-stationary time...

  8. Correlation dimension of financial market

    Science.gov (United States)

    Nie, Chun-Xiao

    2017-05-01

    In this paper, correlation dimension is applied to financial data analysis. We calculate the correlation dimensions of some real market data and find that the dimensions are significantly smaller than those of the simulation data based on geometric Brownian motion. Based on the analysis of the Chinese and US stock market data, the main results are as follows. First, by calculating three data sets for the Chinese and US market, we find that large market volatility leads to a significant decrease in the dimensions. Second, based on 5-min stock price data, we find that the Chinese market dimension is significantly larger than the US market; this shows a significant difference between the two markets for high frequency data. Third, we randomly extract stocks from a stock set and calculate the correlation dimensions, and find that the average value of these dimensions is close to the dimension of the original set. In addition, we analyse the intuitional meaning of the relevant dimensions used in this paper, which are directly related to the average degree of the financial threshold network. The dimension measures the speed of the average degree that varies with the threshold value. A smaller dimension means that the rate of change is slower.

  9. Hierarchical structure of stock price fluctuations in financial markets

    International Nuclear Information System (INIS)

    Gao, Ya-Chun; Cai, Shi-Min; Wang, Bing-Hong

    2012-01-01

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

  10. African Financial Sectors and the European Debt Crisis : Will Trouble Blow across the Sahara?

    OpenAIRE

    World Bank

    2012-01-01

    The exposure of African financial sectors to global risks, including the likely fall-out of the on-going European debt crisis, continues to be limited. African financial sectors have received much recognition for their steady growth performance and resilience during and after the 2008 global financial crisis. Many of the transmission channels for global risks and financial contagion to fin...

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

    OpenAIRE

    Boris Snoj; Vladimir Gabrijan; Borut Milfelner

    2010-01-01

    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 o...

  12. Agent-based models of financial markets

    Energy Technology Data Exchange (ETDEWEB)

    Samanidou, E [Department of Economics, University of Kiel, Olshausenstrasse 40, D-24118 Kiel (Germany); Zschischang, E [HSH Nord Bank, Portfolio Mngmt. and Inv., Martensdamm 6, D-24103 Kiel (Germany); Stauffer, D [Institute for Theoretical Physics, Cologne University, D-50923 Koeln (Germany); Lux, T [Department of Economics, University of Kiel, Olshausenstrasse 40, D-24118 Kiel (Germany)

    2007-03-15

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

  13. Agent-based models of financial markets

    Science.gov (United States)

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

    2007-03-01

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

  14. Agent-based models of financial markets

    International Nuclear Information System (INIS)

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

    2007-01-01

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

  15. Linking market interaction intensity of 3D Ising type financial model with market volatility

    Science.gov (United States)

    Fang, Wen; Ke, Jinchuan; Wang, Jun; Feng, Ling

    2016-11-01

    Microscopic interaction models in physics have been used to investigate the complex phenomena of economic systems. The simple interactions involved can lead to complex behaviors and help the understanding of mechanisms in the financial market at a systemic level. This article aims to develop a financial time series model through 3D (three-dimensional) Ising dynamic system which is widely used as an interacting spins model to explain the ferromagnetism in physics. Through Monte Carlo simulations of the financial model and numerical analysis for both the simulation return time series and historical return data of Hushen 300 (HS300) index in Chinese stock market, we show that despite its simplicity, this model displays stylized facts similar to that seen in real financial market. We demonstrate a possible underlying link between volatility fluctuations of real stock market and the change in interaction strengths of market participants in the financial model. In particular, our stochastic interaction strength in our model demonstrates that the real market may be consistently operating near the critical point of the system.

  16. Regulation of Banking and Financial Markets

    NARCIS (Netherlands)

    A.M. Pacces (Alessio); D. Heremans (Dirk)

    2011-01-01

    textabstractAbstract: This paper is one chapter of the volume “Regulation and Economics” of the second edition of the Encyclopedia of Law and Economics. The authors review the economics of banking and financial markets and the regulatory response to market failure. Market failure in finance depends

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

    OpenAIRE

    Mehrdad Alipour; Reza Ahmadi; Hamed Abasi Nami

    2012-01-01

    In competitive world, having expertise, knowledge and marketing experience for financial market activities, especially brokerage firms has proven inevitable. This should be accompanied by performing marketing operations along with intermediary roles and carrying on the daily transactions of shares in the Tehran stock exchange market. The current study aims investigating the level of marketing knowledge used in stock exchange market, identifying the reasons behind deficient use of the marketin...

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

    Directory of Open Access Journals (Sweden)

    Igor Stubelj

    2014-03-01

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

  19. Integrated Supervision of the Financial Market without the UK?

    Directory of Open Access Journals (Sweden)

    Michal Janovec

    2018-02-01

    Full Text Available This paper analyses the integration of financial market supervision at international level, particularly focusing on EU law and the actual processes taking place in this area considering Brexit as its part. Current legislative action at EU level has a significant impact on legislation in all member countries of European Union. This paper seeks, among other things, to find the causes of the increasingly ongoing process of integration of financial market supervision and determine whether or not the direction in which the international integration is going is the right one. The objective of this paper is to determine whether or not the process of integration increases the efficiency of financial market supervision itself and helps to develop the European single market, while simultaneously reducing systemic risk to financial market stability.

  20. Market Makers' Supply and Pricing of Financial Market Liquidity

    OpenAIRE

    Shen, Pu; Starr, Ross M.

    2000-01-01

    This study models the bid-ask spread in financial markets as a function of asset price variability and order flow. The market-maker is characterized as passively accepting orders to buy and to sell a security at the market's prevailing price (plus or minus half the bid-ask spread). The bid-ask spread adjusts to cover market-makers' average costs. The bid-ask spread then varies positively with: the security's price volatility, the volatility of order flow, and the absolute value of the market-...

  1. Ising model of financial markets with many assets

    Science.gov (United States)

    Eckrot, A.; Jurczyk, J.; Morgenstern, I.

    2016-11-01

    Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

  2. Market efficiency in foreign exchange markets

    Science.gov (United States)

    Oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun

    2007-08-01

    We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the efficiency of various foreign exchange markets around the market crisis. We found that on average, the ApEn values for European and North American foreign exchange markets are larger than those for African and Asian ones except Japan. We also found that the ApEn for Asian markets increased significantly after the Asian currency crisis. Our results suggest that the markets with a larger liquidity such as European and North American foreign exchange markets have a higher market efficiency than those with a smaller liquidity such as the African and Asian markets except Japan.

  3. Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

    OpenAIRE

    Nasir, M; Du, M

    2017-01-01

    This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC).Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association...

  4. Russia’s Financial Markets and Financial Institutions in 2013

    OpenAIRE

    Alexander Abramov

    2014-01-01

    This paper deals with a wide scope of issues, starting with the post-crisis recovery of Russia's financial market. The author analyzes the market for shares issued by Russian companies, investigates dependence on the global conjuncture of prices and inflow and outflow of foreign portfolio investment. He also studies currency exchange rate, looks at the competition on the domestic share market, and analyzes preliminary results of the merger of the RTS and MICEX. The article deals with the mark...

  5. Russia’s Financial Markets and Financial Institutions in 2012

    OpenAIRE

    Alexander Abramov

    2013-01-01

    This paper deals with a wide scope of issues, starting with the post-crisis recovery of Russia's financial market. The author analyzes the market for shares issued by Russian companies, investigates dependence on the global conjuncture of prices and inflow and outflow of foreign portfolio investment. He also studies currency exchange rate, looks at the competition on the domestic share market, and analyzes preliminary results of the merger of the RTS and MICEX. The article deals with the mark...

  6. 75 FR 79982 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2010-12-21

    ... among financial institutions or markets and thereby threaten the stability of the financial system of... of significant liquidity or credit problems spreading among financial institutions or markets and... would have on critical markets, financial institutions, or the broader financial system; and (E) Any...

  7. Temporal evolution of financial-market correlations

    Science.gov (United States)

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

    2011-08-01

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

  8. Financial literacy and stock market participation

    NARCIS (Netherlands)

    van Rooij, Maarten; Lusardi, Annamaria; Alessie, Rob

    We have devised two special modules for De Nederlandsche Bank (DNB) Household Survey to measure financial literacy and study its relationship to stock market participation. We find that the majority of respondents display basic financial knowledge and have some grasp of concepts such as interest

  9. Introduction : Energy economics and financial markets

    NARCIS (Netherlands)

    Simpson, John L.; Westerman, Wim; Dorsman, André

    2015-01-01

    Energy issues feature frequently in the economic and financial press. It is argued that the importance of energy production, consumption and trade and raises fundamental economic issues that impact the global economy and financial markets. Specific examples of daily energy issues stem from various

  10. Quantifying the relationship between financial news and the stock market.

    Science.gov (United States)

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

    2013-12-20

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

  11. The European Financial Market Stress Index

    OpenAIRE

    Shaen Corbet

    2014-01-01

    This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility...

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

    Directory of Open Access Journals (Sweden)

    VALENTINA VASILE

    2010-06-01

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

  13. African Journals Online (AJOL)

    African Journals Online (AJOL)

    Continuing Medical Education; Establishing financial markets in Ethiopia: the environmental foundation, challenges and opportunities ... Ethiopian Journal of Education and Sciences; Gender Relations in ... South African Actuarial Journal.

  14. The EU Capital Markets Union and Financial Stability

    Directory of Open Access Journals (Sweden)

    Kravchuk Igor S.

    2017-06-01

    Full Text Available The aim of the article is to study the processes of formation of the EU Capital Markets Union in the context of their influence on stability of the markets and the financial system as a whole. In the course of analyzing the project for the building of a single capital market with respect to financial stability, there determined its positive aspects as well as threats and challenges associated with simplification of information requirements to the prospectus of public offering of securities, low liquidity and higher volatility of the equity markets of small and medium-sized businesses, reduction of the regulatory requirements to investment firms (securities traders, correction of prudential norms for infrastructure investments of banking institutions and insurance companies, introduction of a simple, transparent and standard securitization, a secondary market for distressed banking assets, and a potential spread of financial instability at cross-border investments in securities.

  15. Agent-Based Simulation of Financial Markets: A Modular, Continuous-time Approach

    NARCIS (Netherlands)

    K. Boer-Sorban (Katalin)

    2008-01-01

    textabstractThe dynamics of financial markets is subject of much debate among researchers and financial experts trying to understand and explain how financial markets work and traders behave. Diversified explanations result from the complexity of markets, and the hardly observable aspects of price

  16. African Journals Online (AJOL)

    African Journals Online (AJOL)

    Ethiopian Journal of Education and Sciences; Educational leadership and ... Ethiopian Journal of Education and Sciences; Establishing financial markets in Ethiopia: the environmental foundation, challenges ... South African Actuarial Journal.

  17. About the financial market infrastructure improvement

    OpenAIRE

    Zheleznyak, V.

    2009-01-01

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

  18. Multivariate multiscale entropy of financial markets

    Science.gov (United States)

    Lu, Yunfan; Wang, Jun

    2017-11-01

    In current process of quantifying the dynamical properties of the complex phenomena in financial market system, the multivariate financial time series are widely concerned. In this work, considering the shortcomings and limitations of univariate multiscale entropy in analyzing the multivariate time series, the multivariate multiscale sample entropy (MMSE), which can evaluate the complexity in multiple data channels over different timescales, is applied to quantify the complexity of financial markets. Its effectiveness and advantages have been detected with numerical simulations with two well-known synthetic noise signals. For the first time, the complexity of four generated trivariate return series for each stock trading hour in China stock markets is quantified thanks to the interdisciplinary application of this method. We find that the complexity of trivariate return series in each hour show a significant decreasing trend with the stock trading time progressing. Further, the shuffled multivariate return series and the absolute multivariate return series are also analyzed. As another new attempt, quantifying the complexity of global stock markets (Asia, Europe and America) is carried out by analyzing the multivariate returns from them. Finally we utilize the multivariate multiscale entropy to assess the relative complexity of normalized multivariate return volatility series with different degrees.

  19. Financial Markets Interactions between Economic Theory and Practice

    Directory of Open Access Journals (Sweden)

    Mihaela NICOLAU

    2010-12-01

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

  20. 76 FR 44763 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2011-07-27

    ... institutions and markets and thereby threaten the stability of the U.S. financial system.\\4\\ \\3\\ See 12 U.S.C... markets, financial institutions, or the broader financial system; and E. Any other factors that the... Markets, Financial Institutions or the Broader Financial System Subcategory (D)(1): Role of an FMU in the...

  1. Proposals on development strategy of the financial market infrastructure in Ukraine

    Directory of Open Access Journals (Sweden)

    Igor Rekunenko

    2014-11-01

    Full Text Available Development strategy of such financial market infrastructure that is able to optimize the processes of institutional component’s functioning and increase an efficiency of various operations in this market has to become an important direction of improvement and development of the financial market infrastructure. This paper aimed to rationale the development strategy of financial market infrastructure in Ukraine

  2. Accounting for Marketable Securities and Corporate Financial ...

    African Journals Online (AJOL)

    Accounting for Marketable Securities and Corporate Financial Performance in ... from the financial statements of banks and the Central Bank of Nigeria (CBN) ... data generated for the study were analyzed with the multiple regression analysis.

  3. Marketing African Leafy Vegetables: Challenges and Opportunities ...

    African Journals Online (AJOL)

    Marketing African Leafy Vegetables: Challenges and Opportunities in the Kenyan Context. ... The market share of ALVs vis-à-vis other vegetable species, particularly kales, cabbages and ... EMAIL FREE FULL TEXT EMAIL FREE FULL TEXT

  4. A Knowledge-Based Consultant for Financial Marketing

    OpenAIRE

    Kastner, John; Apte, Chidanand; Griesmer, James

    1986-01-01

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

  5. Complex systems: from nuclear physics to financial markets

    International Nuclear Information System (INIS)

    Speth, J.; Drozdz, S.; Gruemmer, F.

    2010-01-01

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

  6. Complex systems: from nuclear physics to financial markets

    Science.gov (United States)

    Speth, J.; Drożdż, S.; Grümmer, F.

    2010-11-01

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

  7. Financial markets theory equilibrium, efficiency and information

    CERN Document Server

    Barucci, Emilio

    2017-01-01

    This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-c...

  8. Application of the System Approach to Financial Services Market Research

    Directory of Open Access Journals (Sweden)

    Dubyna Maksym V

    2016-08-01

    Full Text Available The article analyzes the nature of the financial services market by using the system approach methodology. In particular, the attention is focused on the already existing conceptual approaches to defining the nature of this market, their basic aspects are analyzed. The use of the system approach allowed to identify the essence of the financial services market as a single, complex system, which is proposed to be considered as an aggregate number of consumers and providers of financial services operating within a single economic space, their relationships emerging to meet different in their nature demands for financial services, with their interrelation being associated with movement of financial resources within this space and partially accompanied by processes of transformation of temporary free funds of economic entities into credit and investment resources. In the article the system components and the relationships between them are determined, the elements of the environment are identified and their relationship with the market for financial services described.

  9. Overconfident investors in the LLS agent-based artificial financial market

    NARCIS (Netherlands)

    Lovric, M.; Kaymak, U.; Spronk, J.

    2009-01-01

    Agent-based artificial financial markets are bottom-up models of financial markets which explore the mapping from the micro level of individual investor behavior into the macro level of aggregate market phenomena. It has been recently recognized in the literature that such (agentbased) models are

  10. Testing the Informational Efficiency on the Romanian Financial Market

    Directory of Open Access Journals (Sweden)

    Bogdan Dima

    2006-01-01

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

  11. Testing the Informational Efficiency on the Romanian Financial Market

    Directory of Open Access Journals (Sweden)

    Aurora Murgea

    2006-03-01

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

  12. Advertising, Attention, and Financial Markets

    OpenAIRE

    Focke, Florens; Ruenzi, Stefan; Ungeheuer, Michael

    2015-01-01

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

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

    NARCIS (Netherlands)

    G.J. de Zwart (Gerben)

    2008-01-01

    textabstractThis 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

  14. Greece Financial Crises and Sukuk Markets: Experience From Gulf Countries

    Directory of Open Access Journals (Sweden)

    Aldrin Herwany

    2016-12-01

    Full Text Available Many studies have been carried out to investigate the impact of recent European financial crises on the performance of financial instruments in other regions. Nevertheless, there have been insufficient studies explaining such impact on Islamic financial instrument. In particular, whether Greece Financial crises have affected performance of Sukuk traded in Gulf Markets needs to be answered. This study is aimed at empirically investigating the causality of credit and liquidity risk on Sukuk Markets in Gulf economies in the period of Greece Financial Crises. We analyzed the Sukuk data by employing Granger casuality test, with all the associated vector autoregression model procedures. Our findings show that Bahrain sukuk market is cointegrated with those of Qatar and UAE in the full period observation. Meanwhile, during the crisis, Qatar Sukuk market is cointegrated with those of UAE Bahrain. We also find that Bahrain Sukuk triggers market shock in both Qatar and UAE Sukuk markets. Bahrain consistently causes changes in price and spread of UAE Sukuk, both in the context of the full period and the during-crisis period.DOI: 10.15408/aiq.v9i1.3733

  15. Database marketing practices and opportunities in a newly emerging African market

    NARCIS (Netherlands)

    Paas, L.J.

    2009-01-01

    In this paper, qualitative research is conducted to gain insight into the current application and potential of database marketing in a newly emerging African economy, Tanzania. It is found that database marketing applications in Tanzania are currently limited, but that there is potential. The most

  16. Financial decision-making abilities and financial exploitation in older African Americans: Preliminary validity evidence for the Lichtenberg Financial Decision Rating Scale (LFDRS).

    Science.gov (United States)

    Lichtenberg, Peter A; Ficker, Lisa J; Rahman-Filipiak, Annalise

    2016-01-01

    This study examines preliminary evidence for the Lichtenberg Financial Decision Rating Scale (LFDRS), a new person-centered approach to assessing capacity to make financial decisions, and its relationship to self-reported cases of financial exploitation in 69 older African Americans. More than one third of individuals reporting financial exploitation also had questionable decisional abilities. Overall, decisional ability score and current decision total were significantly associated with cognitive screening test and financial ability scores, demonstrating good criterion validity. Study findings suggest that impaired decisional abilities may render older adults more vulnerable to financial exploitation, and that the LFDRS is a valid tool.

  17. The statistical mechanics of financial markets

    CERN Document Server

    Voit, Johannes

    2003-01-01

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

  18. Statistics of financial markets an introduction

    CERN Document Server

    Franke, Jürgen; Hafner, Christian Matthias

    2015-01-01

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

  19. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

    OpenAIRE

    Škrinjarić, Tihana; Šego, Boško

    2016-01-01

    Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation an...

  20. Determination of collective behavior of the financial market.

    Science.gov (United States)

    Li, Shouwei; Xu, Tao; He, Jianmin

    2016-01-01

    In this paper, we adopt the network synchronization to measure the collective behavior in the financial market, and then analyze the factors that affect the collective behavior. Based on the data from the Chinese financial market, we find that the clustering coefficient, the average shortest path length and the volatility fluctuation have a positive effect on the collective behavior respectively, while the average return has a negative effect on it; the effect of the average shortest path length on the collective behavior is the greatest in the above four variables; the above results are robust against the window size and the time interval between adjacent windows of the stock network; the effect of network structures and stock market properties on the collective behavior during the financial crisis is the same as those during other periods.

  1. Analysis of Spin Financial Market by GARCH Model

    International Nuclear Information System (INIS)

    Takaishi, Tetsuya

    2013-01-01

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

  2. The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets

    Science.gov (United States)

    Zhang, Xingwei; Zheng, Xiaolong; Zeng, Daniel Dajun

    2017-04-01

    In this paper, we aim to investigate the dynamic interdependence of international financial markets. Based on the data regarding daily returns of each market during the period 2006-2015 from Yahoo finance, we mainly focus on examining 27 markets from three continents, including Asia, America and Europe. By checking the dynamic interdependence between those markets, we find that markets from different continents have strong correlation at specific time shift. We also obtain that markets from different continents not only have a strong linkage with others at same day, but at a delay of one day, especially between Asia, Europe and Asia, America. In addition, we further analyze the time-varying influence strength between each two continents and observe that this value has abnormal changes during the financial crisis. These findings can provide us significant insights to understand the underlying dynamic interdependency of international financial markets and further help us make corresponding reasonable decisions.

  3. Marketing of financial services and customer loyalty in the Nigerian ...

    African Journals Online (AJOL)

    Marketing of financial services and customer loyalty in the Nigerian banking sector. ... that banks must invest more in financial service marketing strategies that would help to keep their customers. ... EMAIL FULL TEXT EMAIL FULL TEXT

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

    NARCIS (Netherlands)

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

    2000-01-01

    Understanding the segmentation in rural financial markets is of major importance for the identification of feasible relationships between clients and financial institutions. In this article we combine different insights into segmentation in rural financial markets into a two-dimensional analysis,

  5. Financial Symmetry and Moods in the Market

    Science.gov (United States)

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

    2015-01-01

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

  6. Financial symmetry and moods in the market.

    Directory of Open Access Journals (Sweden)

    Roberto Savona

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

  7. On Risks and Opportunities in Financial Markets

    NARCIS (Netherlands)

    S.D. Lansdorp (Simon)

    2012-01-01

    textabstractInvesting in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different

  8. The study of Thai stock market across the 2008 financial crisis

    Science.gov (United States)

    Kanjamapornkul, K.; Pinčák, Richard; Bartoš, Erik

    2016-11-01

    The cohomology theory for financial market can allow us to deform Kolmogorov space of time series data over time period with the explicit definition of eight market states in grand unified theory. The anti-de Sitter space induced from a coupling behavior field among traders in case of a financial market crash acts like gravitational field in financial market spacetime. Under this hybrid mathematical superstructure, we redefine a behavior matrix by using Pauli matrix and modified Wilson loop for time series data. We use it to detect the 2008 financial market crash by using a degree of cohomology group of sphere over tensor field in correlation matrix over all possible dominated stocks underlying Thai SET50 Index Futures. The empirical analysis of financial tensor network was performed with the help of empirical mode decomposition and intrinsic time scale decomposition of correlation matrix and the calculation of closeness centrality of planar graph.

  9. Market-based demand forecasting promotes informed strategic financial planning.

    Science.gov (United States)

    Beech, A J

    2001-11-01

    Market-based demand forecasting is a method of estimating future demand for a healthcare organization's services by using a broad range of data that describe the nature of demand within the organization's service area. Such data include the primary and secondary service areas, the service-area populations by various demographic groupings, discharge utilization rates, market size, and market share by service line and organizationwide. Based on observable market dynamics, strategic planners can make a variety of explicit assumptions about future trends regarding these data to develop scenarios describing potential future demand. Financial planners then can evaluate each scenario to determine its potential effect on selected financial and operational measures, such as operating margin, days cash on hand, and debt-service coverage, and develop a strategic financial plan that covers a range of contingencies.

  10. How to recover from the financial market flu.

    Science.gov (United States)

    Doody, Dennis

    2008-05-01

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

  11. Asymmetric and symmetric meta-correlations in financial markets

    International Nuclear Information System (INIS)

    Li Xiaohui; Shen Xiangying; Huang Jiping

    2016-01-01

    In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al. , to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition, unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale. (paper)

  12. THE FINANCIAL INSTRUMENTS FOR RISK MANAGEMENT ON THE INTERNATIONAL FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Alina Hagiu

    2008-05-01

    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.

  13. Financial hardship, unmet medical need, and health self-efficacy among African American men.

    Science.gov (United States)

    Tucker-Seeley, Reginald D; Mitchell, Jamie A; Shires, Deirdre A; Modlin, Charles S

    2015-06-01

    Health self-efficacy (the confidence to take care of one's health) is a key component in ensuring that individuals are active partners in their health and health care. The purpose of this study was to determine the association between financial hardship and health self-efficacy among African American men and to determine if unmet medical need due to cost potentially mediates this association. Cross-sectional analysis was conducted using data from a convenience sample of African American men who attended a 1-day annual community health fair in Northeast Ohio (N = 279). Modified Poisson regression models were estimated to obtain the relative risk of reporting low health self-efficacy. After adjusting for sociodemographic characteristics, those reporting financial hardship were 2.91 times, RR = 2.91 (confidence interval [1.24, 6.83]; p financial hardship and low health self-efficacy was no longer statistically significant. Our results suggest that the association between financial hardship and health self-efficacy can be explained by unmet medical need due to cost. Possible intervention efforts among African American men with low financial resources should consider expanding clinical and community-based health assessments to capture financial hardship and unmet medical need due to cost as potential contributors to low health self-efficacy. © 2014 Society for Public Health Education.

  14. THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Mester Ioana Teodora

    2008-05-01

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

  15. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

    Directory of Open Access Journals (Sweden)

    Škrinjarić Tihana

    2016-09-01

    Full Text Available Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.

  16. Essays on financial market integration

    NARCIS (Netherlands)

    Pungulescu, C.

    2009-01-01

    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

  17. Heterogeneous Agents in Financial Markets

    NARCIS (Netherlands)

    Zwinkels, R.C.J.

    2009-01-01

    In the previous decades, evidence against the efficient market hypothesis has been mounting. As a result, the behavioral finance literature has emerged, which embeds psychological influences in financial economics. The current thesis fits within the behavioral finance literature, and is focused on

  18. Successful implementation effect of insurance services in money and capital financial markets

    Directory of Open Access Journals (Sweden)

    Nemat Tahmasebi

    2016-11-01

    Full Text Available One of the most important sectors of the economy of each country is capital market. Economic growth can lead to the development and prosperity of the capital market. On the other hand to achieve the desired economic development, without existence of effective financial institutions and appropriate equipment of financial resources, it is impossible. In this regard, efficient financial systems through seeking information about investment opportunities, integrate and mobilize savings, monitoring investments and exert corporate governance can facilitate the exchange of goods and services, distribution and risk management, reducing transaction costs and data analysis may lead to better allocation of resources and ultimately economic growth. Insurance companies and generally insurance industry in each country is the most important and active financial institutions operating in the financial market especially capital markets in addition to securing economic activity could have basic role in mobility of financial markets and providing funds to invest in the economic activity through the provision of insurance services. In this study, successful financial services of insurance and investment funds in insurance companies such as Dana, Alborz, and Asia have been studied in Tehran. According to the hypothesis, there is a significant correlation between successful implementation of insurance services and money and capital financial markets. There is a significant correlation between different types of insurance services (institution-building, instrument making, and general insurance policies and money and capital financial markets.

  19. Linking Financial Market Dynamics and the Impact of News

    Science.gov (United States)

    Nacher, J. C.; Ochiai, T.

    2011-09-01

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

  20. Trend Switching Processes in Financial Markets

    Science.gov (United States)

    Preis, Tobias; Stanley, H. Eugene

    For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes at a specific point from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating increasing trends ("bubble formation") and decreasing trends ("bubble collapse"), on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for very short time scales. Our analysis is based on a German DAX Future data base containing 13,991,275 transactions recorded with a time resolution of 10- 2 s. For a parallel analysis, we use a data base of all S&P500 stocks providing 2,592,531 daily closing prices. We ask whether these ubiquitous switching processes have quantifiable features independent of the time horizon studied. We find striking scale-free behavior of the volatility after each switching occurs. We interpret our findings as being consistent with time-dependent collective behavior of financial market participants. We test the possible universality of our result by performing a parallel analysis of fluctuations in transaction volume and time intervals between trades. We show that these financial market switching processes have features similar to those present in phase transitions. We find that the well-known catastrophic bubbles that occur on large time scales - such as the most recent financial crisis - are no outliers but in fact single dramatic representatives caused by the formation of upward and downward trends on time scales varying over nine orders of magnitude from the very large down to the very small.

  1. Asset allocation and regime switching on Croatian financial market

    Directory of Open Access Journals (Sweden)

    Tihana Škrinjarić

    2016-12-01

    Full Text Available It has been known for quite some time now that financial markets exhibit changes in regimes over time. A majority of the literature tends to support that financial markets undergo regimes of bull and bear markets. This characteristic should be modeled in a proper way as investors are always interested in beating the market: either by achieving better returns than others, or by minimizing their portfolio risks. There exist many mathematical and statistical models that are used as tools to achieve the mentioned goals. Introducing the regime switching methodology in existing models has proven to be facilitate achieving such goals. Therefore, the objective of this study is to utilize the regime switching methodology on the Croatian financial market to ascertain its usefulness for Croatian investors. Multivariate regime switching and non-switching models were estimated using daily data from the period 2 January 2007 to 31 December 2015. The assumption is that the investor is interested in stock and bond markets. The results from the MGARCH and regime switching MGARCH models are then compared in order to give answers as to whether the respective methodology applied to the Croatian market is useful and how it may benefit investors. Most of the results support the presumption of incorporating this particular methodology in financial modeling for the Croatia markets. This is the first research that applies the regime switching MGARCH methodology in Croatia (including the Balkan region, hence we expect that this will be a significant contribution to existing methodologies in literature.

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

    Science.gov (United States)

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

    2016-02-01

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

  3. The structure and resilience of financial market networks.

    Science.gov (United States)

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

    2012-03-01

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

  4. The structure and resilience of financial market networks

    Science.gov (United States)

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

    2012-03-01

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

  5. Modeling of the influence of transparency of the derivatives market on financial depth

    Directory of Open Access Journals (Sweden)

    Irina Burdenko

    2016-07-01

    Full Text Available The market of derivative tools becomes an integral part of the financial market, the functions which are carrying out in it peculiar only to it: hedging, distribution of risks, ensuring liquidity of basic assets, information support of future movement of the prices, decrease in asymmetry of information in the financial markets. However, the insufficiency or lack of transparent information can lead to emergence of the crisis phenomena, shocks in the financial market and growth of system risk. Emergence of need for strengthening of information function of the market of derivatives changes of requirements to transparency of information had been caused by financial crisis of 2008-2009. In this article the attempt of an assessment of influence was made by means of autoregressive models the change of requirements to standard transparency, such as qualitative characteristic of the derivatives market, on quantitative indices of the financial market, in particular financial depth. The results of research demonstrate that reforming of the legislation concerning strengthening of transparency in the derivatives market positively influences the growth of financial depth. The research of this question will promote the best understanding of importance of reforming of regulation of the derivatives market, in particular strengthening of requirements to transparency. Recommendations of the further researches concern the needs of input of reforms of financial regulation in the derivatives market in Ukraine, and, thus, to provide the corresponding conditions for his development

  6. Editorial: AABFJ Volume 8, Issue 4 Special Issue in Financial Markets and Financial Instruments

    Directory of Open Access Journals (Sweden)

    Ciorstan Smark

    2014-10-01

    Full Text Available Financial planning in Australia is in a time of change and challenge. Educational standards and regulation are in flux. There is a strong need to move financial planning into a more esteemed professional position as financial planners are not always considered the safest source of advice for people in Asia and the pacific rim when it comes to investing their much needed retirement funds. This Special Issue on Financial Planning and Financial Instruments brings together articles from financial planning, banking, financial markets and retirement policy.

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

    Directory of Open Access Journals (Sweden)

    Carmen ALBU

    2014-06-01

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

  8. Foreign bond markets and financial market development: International perspectives

    OpenAIRE

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

    2009-01-01

    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...

  9. A Trust-driven Financial Crisis.Implications for the Future of Financial Markets.

    OpenAIRE

    Luigi Guiso

    2010-01-01

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

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

    OpenAIRE

    World Bank

    2000-01-01

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

  11. Long - Memory Persistence in African Stock Markets

    Directory of Open Access Journals (Sweden)

    Emmanuel Numapau Gyamfi

    2016-05-01

    Full Text Available Emerging stock markets are said to become efficient with time. This study seeks to investigate this assertion by analyzing long - memory persistence in 8 African stock markets covering the period from 28 August 2000 to 28 August 2015. The Hurst exponent is used as our efficiency measure which is evaluated by the Detrended Fluctuation Analysis (DFA. Our findings show strong evidence of long - memory persistence in the markets studied therefore violating the weak - form Efficient Market Hypothesis (EMH.

  12. Regulations and monitoring of the financial part of the electricity market

    International Nuclear Information System (INIS)

    Eriksson, Svante; Eliasson, Torben; Jenssen Aasmund

    2001-11-01

    The electricity derivatives market has grown significantly during the last few years. It refers to all commodity derivatives (options, futures and forwards) based on electricity and traded either on the Nord Pool Exchange or bilaterally between single parties. The growth of the derivatives market has also led to an increasing need for relevant regulation and monitoring. In this report ECON describes how the common financial regulations (e.g. Sweden's Securities Operations Act) affect power sector companies and how the electricity derivatives market is being monitored by the Swedish and the Norwegian financial supervisory authorities. The aim of the report is to give ideas about possible future research projects about the electricity derivatives market. In Sweden commodity derivatives based on electricity are generally considered to be 'financial instruments' according to The Trading in Financial Instruments Act. At least this seems to be the case with contracts traded on Nord Pool and bilateral contracts that can be subject to clearing by Nord Pool. In some cases, companies wanting to offer services regarding financial instruments in the Swedish market need a special licence and it comes from the Swedish Financial Supervisory Authority. The services that require a special permit are: trading financial instruments, in one's own name, on behalf of another party, brokering of contacts between purchasers and sellers, trading in financial instruments on one's own account, management of another party's financial instruments, and underwriting or other participation in issuances of securities or offers to purchase or sell financial instruments directly to the public. A licence to conduct a securities operation brings with it, among other things, certain mandatory capital requirements. Securities operations should also be conducted in such a manner that public confidence is maintained in the securities markets. Regulation should insure that for example, insider trading is

  13. From discrete-time models to continuous-time, asynchronous modeling of financial markets

    NARCIS (Netherlands)

    Boer, Katalin; Kaymak, Uzay; Spiering, Jaap

    2007-01-01

    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 modeling of financial markets. We study the behavior of a learning market maker in a market with information

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

    NARCIS (Netherlands)

    K. Boer-Sorban (Katalin); U. Kaymak (Uzay); J. Spiering (Jaap)

    2006-01-01

    textabstractMost 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

  15. The financialization of home and the mortgage market crisis

    NARCIS (Netherlands)

    Aalbers, M.B.

    2008-01-01

    Financialization can be characterized as capital switching from the primary, secondary or tertiary circuit to the quaternary circuit of capital. Housing is a central aspect of financialization. The financialization of mortgage markets demands that not just homes but also homeowners become viewed as

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

    Science.gov (United States)

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

    2014-06-01

    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.

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

    Directory of Open Access Journals (Sweden)

    Daj A.

    2009-12-01

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

  18. The Simulation of Financial Markets by Agent-Based Mix-Game Models

    OpenAIRE

    Chengling Gou

    2006-01-01

    This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an ac...

  19. Financial market development in the Central and Eastern European countries

    Czech Academy of Sciences Publication Activity Database

    Berglund, T.; Hanousek, Jan; Mramor, D.

    2006-01-01

    Roč. 7, č. 4 (2006), s. 280-282 ISSN 1566-0141. [ Financial market development in the Central and Eastern European countries. Prague, 26.05.2006-27.05.2006] Institutional research plan: CEZ:AV0Z70850503 Keywords : financial markets * Central and Eastern Europe Subject RIV: AH - Economics

  20. The concept of integrated marketing communications in financial organizations

    OpenAIRE

    Domazet, Ivana

    2013-01-01

    Under the influence of the growing fragmentation of the market and the media, increased global competitive struggle, technological progress in the field of telecommunications and way of doing international financial and business operations, there is a significant turning point in profiling communication aspects of marketing, and the repositioning of relationships between financial organizations and their clients. Poor results stemming from traditional media advertising as the dominant marketi...

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

    NARCIS (Netherlands)

    Underhill, G.R.D.

    2010-01-01

    The inheritance of contemporary financial economics invites us to consider financial stability as integral to a liberal market setting. The crisis however demonstrated that financial markets may prove highly dysfunctional in the absence of adequate mechanisms of regulation and governance. This

  2. Job Sorting in African Labor Markets

    OpenAIRE

    Marcel Fafchamps; Mans Soderbom; Najy Benhassine

    2006-01-01

    Using matched employer-employee data from eleven African countries, we investigate if there is a job sorting in African labor markets. We find that much of the wage gap correlated with education is driven by selection across occupations and firms. This is consistent with educated workers being more effective at complex tasks like labor management. In all countries the education wage gap widens rapidly at high low levels of education. Most of the education wage gap at low levels of education c...

  3. Electricity trade under financial market supervision; Der Stromhandel unter Finanzmarktaufsicht

    Energy Technology Data Exchange (ETDEWEB)

    Hagena, Martin

    2011-07-01

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

  4. Trades, quotes and prices financial markets under the microscope

    CERN Document Server

    Bouchaud, Jean-Philippe; Donier, Jonathan; Gould, Martin

    2018-01-01

    The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade a...

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

    Directory of Open Access Journals (Sweden)

    Vojinovič Borut

    2005-01-01

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

  6. Decomposition of Domestic and International Linkages of the Korean Financial Markets

    Directory of Open Access Journals (Sweden)

    Taiki Lee

    2009-12-01

    Full Text Available A large degree of co-movements across financial markets within and between countries has been frequently observed worldwide and these co-movements intensify in times of financial crisis such as the recent financial turmoil triggered by the US sub-prime mortgage crisis. The aim of this paper is to analyze the degrees of financial linkages between four major markets of the US and Korea: money markets, bond markets, equity markets and foreign exchange markets. To break down the structures of these linkages, we fully identify a structural VAR without any ad-hoc restrictions using the methodology of Rigobon (2003. In addition to confirming that there are significant contemporaneous linkages across US asset prices and across Korean asset prices, we quantify and analyze the channels of international cross-market transmission of shocks between the US and Korea, comparing them with the Japanese cases. The main results are as follows. First, there are no significant substitution effects between bond and equity markets in Korea. Second, the US equity market shocks have a substantial effect on the Korean stock market while the US bond and equity market shocks don't on the Korean interest rates. Third, the Korea stock market shocks have a significant impact on the won-dollar exchange rate while the Korean bond market shocks don't. Fourth, Japan shows the similar international linkages as Korea even though it is a large open economy. However, the yen-dollar exchange rate responses to the Japanese bond market shocks, not the Japanese stock market shocks.

  7. A Historical Overview of the Regulation of Market Abuse in South Africa

    Directory of Open Access Journals (Sweden)

    Howard Chitimira

    2014-08-01

    Full Text Available In an early attempt to combat market abuse in the South African financial markets, legislation such as the Companies Act, the Financial Markets Control Act and the Stock Exchanges Control Act were enacted. However, these Acts failed to effectively curb market abuse activities that were allegedly rife in the financial markets. Consequently, the Insider Trading Act was enacted and came into effect on 17 January 1999. While the introduction of the Insider Trading Act brought some confidence in the financial markets, market abuse activities were still not extinguished. The provisions of the Insider Trading Act were to some extent inadequate and ineffectively implemented. Eventually, the Securities Services Act was enacted to repeal all the flawed provisions of the Insider Trading Act. Notwithstanding these efforts on the part of the legislature, more may still need to be done to increase the number of convictions and settlements in cases involving market abuse in South Africa. It is against this background that a historical overview analysis of the regulation of market abuse is carried out in this article to expose the flaws that were previously embedded in the South African market abuse laws prior to 2004. This is done to raise awareness of the situation on the part of the relevant stakeholders, as they consider whether such flaws were adequately resolved or subsequently re-introduced under the Securities Services Act and the Financial Markets Act. To this end, the article firstly discusses the historical development and regulation of market manipulation prior to 2004. Secondly, the regulation and enforcement of insider trading legislation prior to 2004 are examined. Moreover, where possible, certain flaws of the previous market abuse laws that were re-incorporated into the current South African market abuse legislation are isolated and recommendations are made in that regard.

  8. Essays on predictability of emerging markets growth and financial performance

    OpenAIRE

    Banegas, Maria Ayelen

    2011-01-01

    This dissertation seeks to better understand the underlying factors driving financial performance and economic activity in international markets. The first chapter "Predictability of Growth in Emerging Markets: Information in Financial Aggregates" tests for predictability of output growth in a panel of twenty-two emerging market economies. I use pooled panel data methods that control for endogeneity and persistence in the predictor variables to test the predictive power of a large set of fina...

  9. Financial Development and Unemployment in Emerging Market Economies

    Directory of Open Access Journals (Sweden)

    Bayar Yilmaz

    2016-06-01

    Full Text Available Financial sector has experienced significant expansion together with accelerating financial globalization in recent years and had important positive and negative economic implications for all the economies. This study investigates the interaction among unemployment, financial development and domestic investment in 16 emerging market economies during 2001-2014 period using panel data analysis. We found that there was long relationship among the variables and domestic investment had negative impact on the unemployment, while financial development had no significant impact on the unemployment. Furthermore, there was unidirectional causality from development of financial sector to unemployment.

  10. Measuring Financial Literacy: Developing and Testing a Measurement Instrument with a Selected Group of South African Military Officers

    Science.gov (United States)

    Schwella, E.; van Nieuwenhuyzen, Bernard J.

    2014-01-01

    Are South Africans financially literate, and how can this be measured? Until 2009 there was no South African financial literacy measure and, therefore, the aim was to develop a South African measurement instrument that is scientific, socially acceptable, valid and reliable. To achieve this aim a contextual and conceptual analysis of financial…

  11. Efficiency, Competition, and Welfare in African Agricultural Markets

    OpenAIRE

    Bergquist, Lauren Falcao

    2017-01-01

    African agricultural markets are characterized by large variation in prices across regions and over the course of the season, suggesting poor market integration. This thesis explores the barriers that prevent various market actors from engaging in ecient arbitrage. Using exper- imental evidence and original survey data, I test for the existence of market failures that may limit integration and measure the ecacy of potential remedies to these market failures. In the first chapter, I quantify t...

  12. Financial Development, Long-Term Finance and the Macroeconomy : The Role of Secondary Markets

    NARCIS (Netherlands)

    Uras, R.B.

    2014-01-01

    The paper develops a dynamic general equilibrium model of financial markets and macroeconomy. In the model, long-term debt is extended to firms in a primary market and then traded in a secondary market among financiers. Two financial frictions that are ex-ante and ex-post with respect to the

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

    Science.gov (United States)

    Knight, Mary Beth

    2010-01-01

    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…

  14. Coherence and incoherence collective behavior in financial market

    Science.gov (United States)

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

    2015-10-01

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

  15. Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets

    Directory of Open Access Journals (Sweden)

    Mahfuzul Haque

    2015-12-01

    Full Text Available The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the pre-crisis. In other words, as the 2008 financial crisis deepened, S&P 500 and G-20 stock indices moved towards less cointegration. The decreasing number of cointegrating relationships implies that the U.S. stock markets and other G-20 markets have experienced different driving forces since the start of the U.S. crisis. Second, among those markets that are cointegrated with S&P 500, they happened to be deeply affected by S&P and the shocks emerging from it. The 2007–2009 financial crises can be considered a structural break in the long-run relationship and may have resulted from effective joint intervention/responses taken by members of G-20 nations.

  16. Do African microfinance institutions need efficiency for financial stability and social outreach?

    Directory of Open Access Journals (Sweden)

    Md A.K. Azad

    2016-09-01

    Full Text Available Microfinance institutions (MFIs have the dual objective of providing social welfare and financial stability. We evaluated the financial efficiency of MFIs in sub-Saharan African countries by comparing their regional performances during the period 2004-2013. We addressed prevailing MFI heterogeneity by using the concept of "metafrontier". The results showed that on an average, more than half the MFIs showed a drop in productivity. The measure of how much one country gets closer to or further away from world frontier technology is commonly known as the TGC score. In world frontier technology, East and South Asian countries have taken the lead (TGC score 1.0048 while sub-Saharan African countries lag behind (TGC score 1.0020. Most East and South Asian countries have a TGC score of 1, and most sub-Saharan African countries have a TGC score less than 1. This signifies that Asian countries lead world frontier technology and most African countries do not. The decomposition of efficiency scores showed that with regard to technical changes, African nations had progressed on average only 0.01%, and efficiency change scores had regressed by 0.59% annually.

  17. Financial Development and Unemployment in Emerging Market Economies

    OpenAIRE

    Bayar Yilmaz

    2016-01-01

    Financial sector has experienced significant expansion together with accelerating financial globalization in recent years and had important positive and negative economic implications for all the economies. This study investigates the interaction among unemployment, financial development and domestic investment in 16 emerging market economies during 2001-2014 period using panel data analysis. We found that there was long relationship among the variables and domestic investment had negative im...

  18. Solvable stochastic dealer models for financial markets

    Science.gov (United States)

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

    2009-05-01

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

  19. Export Marketing Involvement of African Small and Medium Size ...

    African Journals Online (AJOL)

    Export Marketing Involvement of African Small and Medium Size Enterprises: Tanzania's Fish Processing Industry. ... This study examined the Export marketing involvement of SMEs from the Least ... EMAIL FULL TEXT EMAIL FULL TEXT

  20. Gambling disorder in financial markets: Clinical and treatment-related features.

    Science.gov (United States)

    Shin, Young-Chul; Choi, Sam-Wook; Ha, Juwon; Choi, Jung-Seok; Kim, Dai-Jin

    2015-12-01

    To date, few studies have examined the clinical manifestation of disordered gamblers in financial markets. This study examined the differences in the clinical and treatment-related features of gambling disorder between financial markets and horse races. Subjects who met the DSM-IV criteria for pathological gambling (PG) and who sought treatment were assessed by retrospective chart review. One hundred forty-four subjects were included in this sample, which consisted of the following groups: financial markets (n = 45; 28.6%) and horse races (n = 99; 71.4%). Multiple similar manifestations were found between the groups, including severity of PG, age of PG onset, amounts of gambling debts, drinking days per week, depressive mood, duration of seeking treatment after the onset of PG, and treatment follow-up duration. However, disordered gamblers who invested in the financial market were significantly more likely to be educated (p = 0.003), live with their spouses (p = 0.007), have full-time jobs (p = 0.006), and they were more likely to participate in the first type of gambling than the horse races group (pfinancial markets group received the anti-craving medication less often than the horse races group (p = 0.04). These findings suggest that disordered gamblers in financial markets show different socio-demographic, clinical and treatment-related features compared with the horse race gamblers, despite a similar severity of gambling disorder. Understanding these differential manifestations may provide insight into prevention and treatment development for specific types of gambling.

  1. A statistical physics perspective on criticality in financial markets

    International Nuclear Information System (INIS)

    Bury, Thomas

    2013-01-01

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

  2. Financial development and poverty reduction in emerging market economies

    Directory of Open Access Journals (Sweden)

    Bayar Yılmaz

    2017-01-01

    Full Text Available Poverty reduction is one of the key challenges in the globalized world. This study investigates the relationship between financial development and poverty reduction in emerging market economies during the period 1993- 2012. The Carrión-i-Silvestre, del Barrio-Castro, and López-Bazo (2005 panel unit root test and the Basher and Westerlund (2009 cointegration test was applied considering the cross-sectional dependence and multiple structural breaks in the study period. The findings indicated that financial development, including banking sector development and stock market development, had a significant positive impact on poverty reduction in emerging market economies.

  3. ANALYSIS OF MARKET TIMING TOWARD LEVERAGE OF NON-FINANCIAL COMPANIES IN INDONESIA

    OpenAIRE

    Wulandari, Vera Pipin; Setiawan, Kusdhianto

    2015-01-01

    ABSTRACTThis study aimed to examine the effect of market timing on leverage on non-financial compa-nies in Indonesia. Market timing was tested on the hot and cold market conditions. Hot and cold markets are determined by the monthly market to book ratio. A hot (cold) market occurs when the average market to book ratio of a particular month is above (below) the value of the moving average of the monthly market to book ratio. This study also aimed to test whether non-financial companies in Indo...

  4. Impact of Global Financial Crisis on Nigerian Stock Market | Onuoha ...

    African Journals Online (AJOL)

    Impact of Global Financial Crisis on Nigerian Stock Market. ... that the global financial crisis measured by currency crisis, credit crisis, liquidity crisis, ... relevant regulatory authorities should use the financial stress index (FSI) as proposed by ...

  5. Multiple Time Series Ising Model for Financial Market Simulations

    International Nuclear Information System (INIS)

    Takaishi, Tetsuya

    2015-01-01

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

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

    International Nuclear Information System (INIS)

    Nijman, Luuk

    2012-01-01

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

  7. Essays on an Emerging Financial Market : A case study of Suriname

    NARCIS (Netherlands)

    D.S. Bodeutsch (Denice)

    2015-01-01

    markdownabstractAbstract Stock markets in emerging economies are often viewed as a source of financial development and ultimately economic growth. Well-operating or efficient stock markets may contribute to the development of a country’s financial sector through increase in savings, efficient

  8. Government control of markets of financial services of Ukraine in conditions of macroeconomic instability

    Directory of Open Access Journals (Sweden)

    Ігор Юрійович Мельников

    2015-05-01

    Full Text Available An essence of financial services market of Ukraine is considered in the article. The mechanism and features of state regulation of financial services market in the context of macroeconomic instability are determined, the fundamentals of the theory of regulation of market economy and segments of the financial market of Ukraine are determined

  9. Time-varying economic dominance in financial markets: A bistable dynamics approach

    Science.gov (United States)

    He, Xue-Zhong; Li, Kai; Wang, Chuncheng

    2018-05-01

    By developing a continuous-time heterogeneous agent financial market model of multi-assets traded by fundamental and momentum investors, we provide a potential mechanism for generating time-varying dominance between fundamental and non-fundamental in financial markets. We show that investment constraints lead to the coexistence of a locally stable fundamental steady state and a locally stable limit cycle around the fundamental, characterized by a Bautin bifurcation. This provides a mechanism for market prices to switch stochastically between the two persistent but very different market states, leading to the coexistence and time-varying dominance of seemingly controversial efficient market and price momentum over different time periods. The model also generates other financial market stylized facts, such as spillover effects in both momentum and volatility, market booms, crashes, and correlation reduction due to cross-sectional momentum trading. Empirical evidence based on the U.S. market supports the main findings. The mechanism developed in this paper can be used to characterize time-varying economic dominance in economics and finance in general.

  10. An assessment of the impact of climate change on the financial performance of South African companies

    Directory of Open Access Journals (Sweden)

    M. Moyo

    2015-04-01

    Full Text Available South African companies face uncertainty about whether they should commit resources to mitigate vulnerabilities and exploit opportunities arising from climate change. There is ambiguity over whether responding to climate change materially affects the financial sustainability of South African companies. The study sought to establish the extent to which responding to climate change impacts financial performance. Secondary analysis of historic data was used to compare the climate-change performance of 70 Johannesburg Stock Exchange listed companies to indicators of their financial performance. The research concluded that there is a positive and statistically significant correlation between climate-change performance and financial performance.

  11. Reshaping globalisation: a new order for international financial markets

    OpenAIRE

    Dieter, Heribert

    2002-01-01

    Since the Mexican crisis in 1994/95, a large number of developing countries and emerging markets have been hit by financial crises. Argentina is the last country that is suffering from dramatic economic problems. The main cause of these crises are the deregulation and liberalisation of financial markets that have been associated with the current model of globalisation. This model is not sustainable: Is has contributed to massive economic problems in the developing world without providing the ...

  12. MARKETING SUPPORT BUSINESS ACTIVITIES OF FINANCIAL INSTITUTIONS

    OpenAIRE

    Sharova, I.; Sharova, K.

    2015-01-01

    The article discusses the necessity and possibility of implementation of marketing tools to increase customer loyalty and satisfaction of the bank to improve the business performance of financial institutions

  13. Financialization Is Marketization! A Study of the Respective Impacts of Various Dimensions of Financialization on the Increase in Global Inequality

    Directory of Open Access Journals (Sweden)

    Olivier Godechot

    2016-06-01

    Full Text Available In this article, I study the impact of financialization on the rise in inequality in 18 OECD countries from 1970 to 2011 and measure the respective roles of various forms of financialization: the growth of the financial sector; the growth of one of its subcomponents, financial markets; the financialization of non-financial firms; and the financialization of households. I test these impacts using cross-country panel regressions in OECD countries. I show first that the share of the finance sector within the GDP is a substantial driver of world inequality, explaining between 20 and 40 percent of its increase from 1980 to 2007. When I decompose this financial sector effect, I find that this evolution was mainly driven by the increase in the volume of stocks traded in national stock exchanges and by the volume of shares held as assets in banks’ balance sheets. By contrast, the financialization of non-financial firms and of households does not play a substantial role. Based on this inequality test, I therefore interpret financialization as being mainly a phenomenon of marketization, redefined as the growing amount of social energy devoted to the trade of financial instruments on financial markets.

  14. SMS marketing: It's place in mobile commerce and opportunity in the South African market

    OpenAIRE

    Frik Jansen van Ryssen

    2004-01-01

    This article investigates Short Message Service (SMS) Marketing's place in the world of mobile commerce (m-commerce). The article also investigates the opportunity that SMS Marketing presents in the South African market. The article indicates a couple of clear guidelines and implications for marketers on how to approach the challenge presented by technological advances that allowed this new trend of mass- and personalised marketing messages via SMS. Advances in the m-commerce field are predic...

  15. Quantifying meta-correlations in financial markets

    Science.gov (United States)

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

    2012-08-01

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

  16. Financial derivatives in power marketing: The basics

    International Nuclear Information System (INIS)

    Ramesh, V.C.; Ghosh, K.

    1996-01-01

    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

  17. Varieties of indebtedness: Financialization and mortgage market institutions in Europe.

    Science.gov (United States)

    Van Gunten, Tod; Navot, Edo

    2018-02-01

    During the global housing boom that preceded the 2007-9 financial crisis, household debt increased substantially in many European countries, posing a challenge for literature on financialization and the institutional heterogeneity of mortgage markets. This paper examines recent institutional shifts in European mortgage markets and specifies three analytically distinct models of debt accumulation: inclusion, extension and intensity. While existing research has emphasized inclusion (access to homeownership), we show that financial intensification is an important determinant of cross-national variation in debt. We assess the variation in financial intensity in six European countries (France, Germany, Italy, the Netherlands, Portugal and Spain) using household-level survey data. Our results show that inclusion and expansion explain only part of the cross-national variation in mortgage debt to income ratios. Furthermore, household financial behavior is consistent with the financial intensity model, and variation in the degree of financial intensification explains a substantial portion of the cross-national difference in debt levels. Copyright © 2017 Elsevier Inc. All rights reserved.

  18. The Simulation of Financial Markets by an Agent-Based Mix-Game Model

    OpenAIRE

    Chengling Gou

    2006-01-01

    This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an ac...

  19. Global economic and financial crisis: Exploring the transmission channels and impacts on sub-saharan african economies

    Directory of Open Access Journals (Sweden)

    Sin-Yu Ho

    2016-12-01

    Full Text Available Over the past decade sub-Saharan African countries have made remarkable gains in promoting growth alongside economic stability. However, with the outbreak of the financial and economic crisis in advanced economies, will these hard-won economic gains in the region be threatened? In this paper, we seek to provide an overview of how sub-Saharan African countries are exposed to the crisis through both financial and real transmission channels, and to critically assess the impact of the crisis on different economies. To accomplish this task, we first provide an overview of the recent economic development of sub-Saharan African countries, and a brief discussion of the sources and the development of the crisis. We then proceed to explore the direct financial transmission channels of the crisis and their impacts on sub-Saharan African countries. In addition, we explore the indirect real transmission channels of the crisis and how the sub-Saharan African economies are impacted by them. Thereafter, we identify a couple of policy implications

  20. Prospects for immigrant-native wealth assimilation: evidence from financial market participation

    OpenAIRE

    Una Okonkwo Osili; Anna L. Paulson

    2004-01-01

    Because financial transactions are important for wealth accumulation, and rely on trust and confidence in institutions, the financial market behavior of immigrants can provide important insights into the assimilation process. Compared to the native-born, immigrants are less likely to own savings and checking accounts and these differences tend to persist over time. Our results suggest that a large share of the immigrant-native gap in financial market participation is driven by group differenc...

  1. Insurance market development: An empirical study of African countries

    Directory of Open Access Journals (Sweden)

    Athenia Bongani Sibindi

    2015-12-01

    Full Text Available The insurance industry plays a very crucial role in an economy by fostering intermediation and by its mechanism of risk bearing. As such it could be argued that the insurance industry fosters economic growth. In this article we analyse the global insurance market development trends, particularly focusing on Africa. Our sample comprise of the 10 African countries namely—South Africa, Angola, Nigeria, Kenya, Mauritius, Namibia, Algeria, Tunisia, Morocco and Egypt. We employ three insurance market development metrics namely; premium volumes, insurance density and insurance penetrations ratios to establish trends in the level of development of global insurance markets. Our results document that the African countries (excluding South Africa have the least developed insurance markets. For most of the countries in our sample, the non-life insurance industry dominates the life-insurance industry. As such, it is imperative that their respective governments put in place measures that will grow their economies inorder to stimulate the development of insurance markets in Africa.

  2. Corporate social responsibility and financial markets

    NARCIS (Netherlands)

    Dam, Lammertjan

    2008-01-01

    This thesis examines the economics of corporate social responsibility, with an emphasis on the role of financial markets and institutions. Questions that are raised are: What does corporate social responsibility mean in an economic context? What is the impact of corporate social responsibility on

  3. Rethinking Risk in International Financial Markets

    NARCIS (Netherlands)

    R.A.J. Campbell-Pownall (Rachel)

    2001-01-01

    textabstractThis 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

  4. A Financial Market Model Incorporating Herd Behaviour.

    Science.gov (United States)

    Wray, Christopher M; Bishop, Steven R

    2016-01-01

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

  5. A Financial Market Model Incorporating Herd Behaviour.

    Directory of Open Access Journals (Sweden)

    Christopher M Wray

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

  6. A Financial Market Model Incorporating Herd Behaviour

    Science.gov (United States)

    2016-01-01

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

  7. Can there be a physics of financial markets? Methodological reflections on econophysics

    Science.gov (United States)

    Huber, Tobias A.; Sornette, Didier

    2016-12-01

    We address the question whether there can be a physical science of financial markets. In particular, we examine the argument that, given the reflexivity of financial markets (i.e., the feedback mechanism between expectations and prices), there is a fundamental difference between social and physical systems, which demands a new scientific method. By providing a selective history of the mutual cross-fertilization between physics and economics, we reflect on the methodological differences of how models and theories get constructed in these fields. We argue that the novel conception of financial markets as complex adaptive systems is one of the most important contributions of econophysics and show that this field of research provides the methods, concepts, and tools to scientifically account for reflexivity. We conclude by arguing that a new science of economic and financial systems should not only be physics-based, but needs to integrate findings from other scientific fields, so that a truly multi-disciplinary complex systems science of financial markets can be built.

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

    Science.gov (United States)

    Gontis, Vygintas; Kononovicius, Aleksejus

    2014-01-01

    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.

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

    Czech Academy of Sciences Publication Activity Database

    Horváth, Roman; Poldauf, P.

    2012-01-01

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

  10. Sustainability of financial professional services through marketing strategy- an empirical research

    Directory of Open Access Journals (Sweden)

    Dutescu Adriana

    2017-07-01

    Full Text Available All types of companies providing financial professional services use, formally or informally, marketing principles and tools for the development of their business, in order to straighten their sustainability. By the end of 2009, in Romania, the financial professional services market has had a relatively constant and predictable development, the mandatory nature of these services being their most important promoter. This article presents the results of a survey aimed to highlight the impact of different marketing principles, techniques and tools on the sustainability of financial professional services in accounting and audit nowadays. The research is based on a questionnaire circulated to professionals with the relevant expertise in the financial-accounting domain. The number of responses obtained was considered meaningful, allowing the research results to be extrapolated to the entire studied population. The respondents, whose anonymity was respected, had multiple choice answers for most of the questions and also having the option of opened answers. The main findings of our research are a starting point in providing solutions to improve the sustainability of financial professional services through a coherent, innovative and effective marketing strategy.

  11. Regulatory Sanctions and Reputational Damage in Financial Markets

    OpenAIRE

    Armour, John; Mayer, Colin; Polo, Andrea

    2010-01-01

    We study the impact of the announcement of enforcement of financial and securities regulation by the UK’s Financial Services Authority and London Stock Exchange on the market price of penalized firms. Since these agencies do not announce enforcement until a penalty is levied, their actions provide a uniquely clean dataset on which to examine reputational effects. We find that reputational sanctions are very real: their stock price impact is on average ten times larger than the financial penal...

  12. An econometric model of the South African stock market

    Directory of Open Access Journals (Sweden)

    E Moolman

    2015-01-01

    Full Text Available A wealth of literature exists concerning the modelling of stock markets, as well as the examination of the relationshiop between share price and various economic factors, both theoretically and empirically.  However, most studies use data for developed countries in their analyses, while the literature moselling emerging stock markets in general, and the south African stock market in particular, is quite sparse.  This study develops a structural theoretically founded model of the South African stock market that is estimated using co-integration and error-correction techniques. These techniques respectively estimate the long-term equilibrium or intrinsic value of the stock market, and the short-term fluctuations around the quilibrium level. According to the results, share prices are co-integrated with the variables dictated by the expected present value model of asset price determination.  The short-term fluctuations are determined by various factors such as interest rates, a risk premium, the exchange rate, foreign stock market adn other variables.

  13. Do Market Regulation and Financial Imperfections Affect Firm Size? New Empirical Evidence

    OpenAIRE

    Raquel Fonseca; Natalia Utrero González

    2004-01-01

    This paper investigates the importance that market regulation and financial imperfections have in firm size. We analyse institutions affecting labour market as Employment Protection Laws (EPL) and Product Market Regulation (PMR). Moreover, we study the effects of these institutions on firm growth. We use data from 29 industrial sectors across 15 developed countries. We find that market regulations related to financial imperfections help to explain differences in firm structure across countries.

  14. The African Credit Trap

    OpenAIRE

    Svetlana Andrianova; Badi H. Baltagi; Panicos O. Demetriades; David Fielding

    2010-01-01

    We put forward a plausible explanation of African financial underdevelopment in the form of a bad credit market equilibrium. Utilising an appropriately modified IO model of banking, we show that the root of the problem could be unchecked moral hazard (strategic loan defaults) or adverse selection (a lack of good projects). We provide empirical evidence from a large panel of African banks which suggests that loan defaults are a major factor inhibiting bank lending when the quality of regulatio...

  15. Critical success factors for business intelligence in the South African financial services sector

    Directory of Open Access Journals (Sweden)

    Lionel Dawson

    2013-06-01

    Objectives: This research aimed to determine which CSFs are the most important in the financial services sector of South Africa. Method: The authors used a Delphi-technique approach with key project stakeholders in three BI projects in different business units of a leading South African financial services group. Results: Authors regarded CSF categories of ‘committed management support and champion’,‘business vision’, ‘user involvement’ and ‘data quality’ as the most critical for BI success. Conclusions: Researchers in the BI field should note that the ranking of CSFs in this study only correlate partially with those a European study uncovered. However, the five factors the authors postulated in their theoretical framework ranked in the seven highest CSFs. Therefore, they provide a very strong validation of the framework. Research in other industries and other emerging economies may discover similar differences and partial similarities. Of special interest would be the degree of correlation between this study and future, and similar emerging market studies. Practitioners, especially BI project managers, would do well to check that they address the CSFs the authors uncovered before undertaking BI projects.

  16. Interdependence of an enterprise's marketing and financial strategies

    OpenAIRE

    Ivkov Danijela M.

    2010-01-01

    This paper deals with the mutual relation and inter-dependence of the marketing and financial strategies of an enterprise. The special focus is on the significance of the marketing strategy for the business success of an enterprise. The paper begins with description of marketing application in the business practice of an enterprise. The point is also on certain segments of the marketing strategy. The central part of the paper is dedicated to the review of possible effects on the customer sati...

  17. International financial markets and development

    Directory of Open Access Journals (Sweden)

    Peter Wahl

    2009-11-01

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

  18. On Risks and Opportunities in Financial Markets

    OpenAIRE

    Lansdorp, Simon

    2012-01-01

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

  19. Considerations about the Informational Efficiency of Financial Markets

    OpenAIRE

    Oprean Camelia; Bratu Renate

    2012-01-01

    The paper proposes a critical analysis, based on consistency criteria, regarding the controversed current state of the informational efficiency theory of the capital market (Efficient Market Hypothesis). Nowadays, after several decades of research and thousands of studies, economists have not yet reached a consensus about the existence of efficient financial markets in terms of information. In the problematized approaches regarding the treated subject, one can find the inquiries on the validi...

  20. Market Failure, Regulation and Education of Financial Advisors

    Directory of Open Access Journals (Sweden)

    Adam Steen

    2016-04-01

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

  1. African Review of Economics and Finance: Submissions

    African Journals Online (AJOL)

    The African Review of Economics and Finance is a peer-reviewed, scholarly ... financial markets and institutions, asset pricing, forecasting, impact of culture and ... In: Friedman BM, Hahn FH (Eds), Handbook of monetary economics, vol.1.

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

    OpenAIRE

    Musílek, Petr

    2008-01-01

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

  3. Can Social Media Content Increase Financial Market Returns? Survey Results from Poland

    Directory of Open Access Journals (Sweden)

    Cwynar Andrzej

    2017-05-01

    Full Text Available Background and Purpose: In recent years classic financial market theory based on decision makers’ rationality has been challenged by repeated anomalies that became a ‘new normal’. As a result, what we witness today is a considerable turn to behavioral concepts that can shed a new light on choices made by market participants. The astonishing development of social media accelerated scientific validation of such concepts, since the media opened new and capacious ‘laboratory space’ for testing behavioral hypotheses. The main purpose of the article is to examine whether financial market professionals believe that social media content can be useful in achieving additional financial market returns and to investigate the factors behind this belief.

  4. Research on energy stock market associated network structure based on financial indicators

    Science.gov (United States)

    Xi, Xian; An, Haizhong

    2018-01-01

    A financial market is a complex system consisting of many interacting units. In general, due to the various types of information exchange within the industry, there is a relationship between the stocks that can reveal their clear structural characteristics. Complex network methods are powerful tools for studying the internal structure and function of the stock market, which allows us to better understand the stock market. Applying complex network methodology, a stock associated network model based on financial indicators is created. Accordingly, we set threshold value and use modularity to detect the community network, and we analyze the network structure and community cluster characteristics of different threshold situations. The study finds that the threshold value of 0.7 is the abrupt change point of the network. At the same time, as the threshold value increases, the independence of the community strengthens. This study provides a method of researching stock market based on the financial indicators, exploring the structural similarity of financial indicators of stocks. Also, it provides guidance for investment and corporate financial management.

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

    Science.gov (United States)

    Fiedor, Paweł

    2014-11-01

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

  6. Differences in Students' Reading Comprehension of International Financial Reporting Standards: A South African Case

    Science.gov (United States)

    Coetzee, Stephen A.; Janse van Rensburg, Cecile; Schmulian, Astrid

    2016-01-01

    This study explores differences in students' reading comprehension of International Financial Reporting Standards in a South African financial reporting class with a heterogeneous student cohort. Statistically significant differences were identified for prior academic performance, language of instruction, first language and enrolment in the…

  7. Study on the new financial products traded on the Forex Market

    Directory of Open Access Journals (Sweden)

    Laurenţiu Paul BARANGA

    2016-07-01

    Full Text Available This paper puts forward an analysis of the new trends in terms of foreign currency transactions and, implicitly, the new financial products traded on the Forex market with a view to identify the category they belong to, namely foreign currency transactions or foreign exchange derivative transactions. Also, the implications of including the new products traded on the Forex market into one of the two categories have been taken into account, both in terms of market microstructure and in terms of investor-wise implications. Thus, the analysis showed that, by changing the destination of the amounts deposited by clients into the settlement account of the Forex services provider, i.e. from amounts deposited in order to cover the equivalent of purchased foreign currencies into amounts deposited in order to cover any price difference, financial products such as currency pairs and rolling spot Forex acquire features similar to those of derivatives (such as Contracts For Difference - CFDs. Further, acknowledging these financial products of the Forex market (currency pairs and rolling spot Forex as derivatives would determine a series of transformations of the microstructure of the market they are traded on, changes that would contribute to a better protection of investors and to improved monitoring and prevention by the supervisory authorities of the potential risks induced by such transactions on the financial market.

  8. Financialization at the international level: evidence from emerging market economies

    Directory of Open Access Journals (Sweden)

    Raquel A. Ramos

    Full Text Available Abstract The paper focuses on the manifestations of financialization in the international sphere, which it defines as the increasing magnitude of finance and its decoupling from earlier functions and logic as the speculative motive is strengthened. With financialization the motive of finance is no longer to finance trade and production but to accumulate wealth, which in emerging market economies (EMEs takes place through innovative products and practices that have in common the focus on exchange rate returns, resulting in a strengthened speculative motive. The article reviews the financialization literature highlighting how the different closed-economy aspects impact the international sphere. It conducts empirical analyses based on the financial integration of a country and on the characteristics of its currencies’ FX markets to assess the presence of financialization and its characteristics among EMEs, indicating certain countries where this process is more intense.

  9. Islamic Financial Engineering : Comparative Study Agreements in Islamic Capital Market in Malaysia and Indonesia

    Directory of Open Access Journals (Sweden)

    Adhitya Ginanjar

    2014-03-01

    Full Text Available Objective –The objective of this paper is to provide a discussion Islamic Financial Engineering which practice between Indonesian Capital Market and Malaysian capital market. This paper also investigate whether regulator could effectively take a role in materializing demands for Islamic securities and whether regulator declaration is more convincing than sharia compliance declaration between IDX and KLSE.Methods - We use descriptive analytic and literature study to see the background, market response caused by regulatory for Islamic Financial Engineering. We also analyze Islamic capital market regulatory from middle east countries.Results - We find that Islamic Capital Market in KLSE (Malaysian Capital Market more higher growth than IDX (Indonesia Capital Market because of Islamic Capital Regulatory in KLSE much easier to improve Islamic Financial Engineering from conventional schemes.Conclusion - This finding could explain why Islamic Capital Market in KLSE is still growing rapidly and IDX will adjust their Islamic Capital Market Regulatory to compete with regional Islamic Capital Market.Keywords : Islamic Financial Engineering, Risk, Return, Derivative, Hedging, Option, Forward, Hybrid  contract

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

    Directory of Open Access Journals (Sweden)

    Bojana Olgić Draženović

    2005-06-01

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

  11. Successful implementation effect of insurance services in money and capital financial markets

    OpenAIRE

    Nemat Tahmasebi

    2016-01-01

    One of the most important sectors of the economy of each country is capital market. Economic growth can lead to the development and prosperity of the capital market. On the other hand to achieve the desired economic development, without existence of effective financial institutions and appropriate equipment of financial resources, it is impossible. In this regard, efficient financial systems through seeking information about investment opportunities, integrate and mobilize savings, monitoring...

  12. MODELLING OF SCENARIOS OF THE CRISIS PHENOMENA TRANSFER AMONG FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Inna Strelchenko

    2017-11-01

    Full Text Available The phenomenon of crisis transference among financial markets in different countries is especially evident during the global financial crisis of 2007-2009. Abnormal imbalances emerged in the market of secondary financial instruments in the United States in the second half of 2006 and quickly spread to the financial markets of most countries of the world. However, the rate of fall of the main macroeconomic indicators, the duration of the latent period (the time between the date of the beginning of the financial crisis in the source country and date of the recorded fall in GDP of the country that is subjected to “contagion” (Strelchenko, 2016, and recovery period are substantially different. To generate an effective economic policy actually, there is a task of determining the possible scenarios of transferring crisis. The research subject is a process of transfer of the crisis phenomena among the financial markets of countries with different levels of economic development. Methodology. The paper presents the results of a study on the differentiation of the financial markets reactions to the crisis transfer. To build the corresponding classification model, self-organization Kohonen neural networks are used. The purpose of this work is to build a neural network model for clustering economies according to the response to external financial shocks. This model allows predicting the scenarios of transferring crisis among financial markets. Conclusion. As a result of the study, there is built a neural network with the architecture of the Kohonen map. The neural network has one hidden layer consisting of six neurons and has a hexagonal structure. Six clusters describe six possible scenarios of the economy dynamics under the impact of the transfer of crises. Cluster number one and two unite countries characterized by a short period of economic recovery and return of the main macroeconomic indicators to the precrisis levels. A longer recovery period and

  13. Does an Environmental Marketing Strategy Influence Marketing and Financial Performance? A Study of Indonesian Exporting Firms

    Directory of Open Access Journals (Sweden)

    Kardison Lumban Batu

    2017-01-01

    Full Text Available Purpose – Broadly speaking, the implementation of green practice leads to higher performance in exporting firms. To test this concept empirically, this study proposes environmental marketing strategy as an antecedent of product differentiation and cost leadership as a means to promote marketing and financial performance. Design/Methodology/Approach – This study was conducted on 388 respondents serving as operational, production, and marketing managers of Indonesian exporting firms and used structural equation modelling (SEM with AMOS 18 as an analysis technique. Findings and implications – The findings revealed that environmental marketing strategy significantly influences product differentiation and cost leadership. More specifically, product differentiation simultaneously influences marketing and financial performance. However, cost leadership influences financial performance but not marketing performance. This study implies the importance of environmental orientation in setting a firm strategy and promoting the performance of international firms. Limitations – The measurement items proposed in this study were adopted from studies conducted in developed countries; they have not been proven appropriate for direct application in developing countries such as Indonesia. Originality – This study is original in that it explores the importance of environmental studies in setting a firm strategy and promoting the performance of international business.

  14. The influence of provider characteristics and market forces on response to financial incentives.

    Science.gov (United States)

    O'Neil, Brock; Tyson, Mark; Graves, Amy J; Barocas, Daniel A; Chang, Sam S; Penson, David F; Resnick, Matthew J

    2017-11-01

    Alternative payment models, such as accountable care organizations, use financial incentives as levers for change to facilitate the transition from volume to value. However, implementation raises concerns about adverse changes in market competition and the resultant physician response. We sought to identify physician characteristics and market-level factors associated with variation in response to financial incentives for cancer care that may ultimately be leveraged in risk-shared payment models. Retrospective cohort study of physicians providing minimally invasive bladder cancer procedures to fee-for-service Medicare beneficiaries. We examined the relationship of between-group differences in market-level factors (competition [Herfindahl-Hirschman Index (HHI)] and provider density) and physician-level factors (use of unique billing codes, number of billing codes per patient, and competing financial interest) to responsiveness to financial incentives. Incentive-responsive providers had increased odds (odds ratio [OR], 1.19; 95% CI, 1.04-1.35) of practicing in markets with the highest quartile of provider density but not HHI (OR, 0.96; 95% CI, 0.87-1.05). Incentive-responsive providers were more likely to bill in the highest quartile for unique codes (OR, 1.49; 95% CI, 1.32-1.69) and codes per patient (OR, 1.18; 95% CI, 1.11-1.25) and less likely to have a competing financial interest (OR, 0.76; 95% CI, 0.72-0.81). Responsiveness to financial incentives in cancer care is associated with high market provider density, profit-maximizing billing behavior, and lack of competing financial ownership interests. Identifying physicians and markets responsive to financial incentives may ultimately promote the successful implementation of alternative payment models in cancer care.

  15. Real and financial interacting markets: A behavioral macro-model

    International Nuclear Information System (INIS)

    Naimzada, Ahmad; Pireddu, Marina

    2015-01-01

    Highlights: •We propose a model in which the real sector and the stock market interact. •In the stock market there are optimistic and pessimistic fundamentalists. •We detect the mechanisms through which instabilities get transmitted between markets. •In order to perform such analysis, we introduce the “interaction degree approach”. •We show the effects of increasing the interaction degree between the two markets. -- Abstract: In the present paper we propose a model in which the real side of the economy, described via a Keynesian good market approach, interacts with the stock market with heterogeneous speculators, i.e., optimistic and pessimistic fundamentalists, that respectively overestimate and underestimate the reference value due to a belief bias. Agents may switch between optimism and pessimism according to which behavior is more profitable. To the best of our knowledge, this is the first contribution considering both real and financial interacting markets and an evolutionary selection process for which an analytical study is performed. Indeed, employing analytical and numerical tools, we detect the mechanisms and the channels through which the stability of the isolated real and financial sectors leads to instability for the two interacting markets. In order to perform such analysis, we introduce the “interaction degree approach”, which allows us to study the complete three-dimensional system by decomposing it into two subsystems, i.e., the isolated financial and real markets, easier to analyze, that are then linked through a parameter describing the interaction degree between the two markets. We derive the stability conditions both for the isolated markets and for the whole system with interacting markets. Next, we show how to apply the interaction degree approach to our model. Among the various scenarios we are led to analyze, the most interesting one is that in which the isolated markets are stable, but their interaction is destabilizing

  16. Financial markets and innovation in the 21st century

    NARCIS (Netherlands)

    Brouwer, M.

    2012-01-01

    Financial markets should allocate capital to its most profitable uses. However, derivatives trade that has spiraled in recent decades does not create value, but only redistributes capital among winners and losers. Both markets and democracies require different opinions to work well.The quality of

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

    Directory of Open Access Journals (Sweden)

    Theodoropoulos Theodore E.

    2005-01-01

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

  18. Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis

    Science.gov (United States)

    Lahmiri, Salim

    In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.

  19. Development and Creation of Competitive Advantages in the Function of Marketing Services in Financial Institutions

    Directory of Open Access Journals (Sweden)

    Fatos UKAJ

    2016-09-01

    Full Text Available The marketing of the financial services by financial institution is regarded as an easier job. This is due to the fact that, in most cases, when a client is gained, he/she remains loyal to the institution on a long term. Nowadays, taking into consideration the needs of the consumers - clients who are undergoing a constant change - financial institutions are faced with a necessity to have the required knowledge and information regarding what and how to meet the needs of their clients. Financial institutions have reached a stage of adapting their daily activities with the demands of their clients. Thus, this is due to the available information which deals with the needs of the clients, opportunities of financial institution themselves, structural changes in the services provided, and the changes in the market which includes competition. This paper will strive to present the stages of the marketing development in financial institutions through the acquisition of knowledge regarding the finances and marketing of these services. It also involves the current concept and approach towards marketing by financial institutions in Kosovo. Adopting new approaches would satisfy the client and would strengthen the position of financial institution. In addition, through this analysis, we will try to show the importance of including the concept of marketing in the operations and strategies of financial institutions for a successful business.

  20. Crowdfunding in Emerging Markets : Lessons from East African Startups

    OpenAIRE

    World Bank Group

    2015-01-01

    The purpose of this paper is to capture lessons learned from East African entrepreneurs who were some of crowdfunding’s first adopters. Their experiences can serve as a practical guide for entrepreneurs looking to more effectively utilize crowdfunding across all emerging markets. In order to gather this data, the World Bank conducted interviews with a number of East African technology entr...

  1. Establishing financial markets in Ethiopia: the environmental ...

    African Journals Online (AJOL)

    This paper intends to examine the environmental foundation for establishing financial markets in Ethiopia, identify the potential challenges and opportunities. The environmental foundation is assessed using the PEST (political, economic, social and technological) perspectives. Emphasis is given to identify the roles that ...

  2. Financial Sector Regulation and Reforms in Emerging Markets: An Overview

    OpenAIRE

    Eswar S. Prasad

    2010-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Arnela Bevanda

    2008-12-01

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

  4. Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets

    Directory of Open Access Journals (Sweden)

    Kuo-Jung Lee

    2018-03-01

    Full Text Available In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region can cause substantial economic losses and turbulence in the local financial markets, which may then affect the economic activities and financial assets of other countries (or regions. This study focuses on the major natural disasters that occurred worldwide during the last decade, especially those in the Asia–Pacific region, and the economic effects of global financial crises. The heteroscedasticity bias correlation coefficient method and exponential general autoregressive conditional heteroscedasticity model are employed to compare the contagion effect in the stock markets of the initiating country on other countries, determining whether economically devastating factors have contagion or spillover effects on other countries. The empirical results indicate that among all the natural disasters considered, the 2008 Sichuan Earthquake in China caused the most substantial contagion effect in the stock markets of neighboring Asian countries. Regarding financial crises, the financial tsunami triggered by the secondary mortgage fallout in the United States generated the strongest contagion effect on the stock markets of developing and emerging economies. When building a diversified global investment portfolio, investors should be aware of the risks of major natural disasters and financial incidents.

  5. Stock Market Integration in Africa: The Case of the Johannesburg Stock Exchange and Selected African Countries

    OpenAIRE

    Gail Ncube; Kapingura Forget Mingiri

    2015-01-01

    African stock markets are deemed to be small, segmented and illiquid. Given this back ground, the study utilises monthly data for the period 2000-2008, employing the Johansen and Julius cointegration method to determine the long-run relationship between the five selected African stock markets. Granger causality tests were also conducted to establish if there are any causal links between the stock markets in Africa. The analysis in the study indicates that African stock markets are improving i...

  6. Formation of financial culture of Ukraine's population in the context of the minimization of the market asymmetry

    OpenAIRE

    V. Kornivska

    2011-01-01

    This paper presents the features of the institutionalization of the Ukrainian financial market in the context of high levels of market asymmetry due to the insufficient level of general financial culture. The author characterizes the global experience of improving the financial culture of population, and justifies the ways to overcome the market asymmetry of socio-institutional space of the Ukrainian financial market.

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

    OpenAIRE

    Supreena Narayanan

    2005-01-01

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

  8. Role of Financial Information in Emerging Capital Markets ...

    African Journals Online (AJOL)

    ... "discriminate" analysis between good and bad performance companies. In a world of advance information technology (IT), use of electronic data processing naturally provides a competitive niche in the instantaneous business decision making process in stock markets. African Journal of Finance and Management Vol.7(2) ...

  9. Financial development and economic growth: literature survey and empirical evidence from sub-Saharan African countries

    Directory of Open Access Journals (Sweden)

    Songul Kakilli Acaravci

    2011-08-01

    Full Text Available In this paper we review the literature on the finance-growth nexus and investigate the causality between financial development and economic growth in Sub-Saharan Africa for the period 1975-2005. Using panel co-integration and panel GMM estimation for causality, the results of the panel co-integration analysis provide evidence of no long-run relationship between financial development and economic growth. The empirical findings in the paper show a bi-directional causal relationship between the growth of real GDP per capita and the domestic credit provided by the banking sector for the panels of 24 Sub-Saharan African countries. The findings imply that African countries can accelerate their economic growth by improving their financial systems and vice versa.

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

    Directory of Open Access Journals (Sweden)

    Paul Hofmarcher

    2013-06-01

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

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

    Directory of Open Access Journals (Sweden)

    Faten Ben Slimane

    2013-08-01

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

  12. The effects of nurse staffing on hospital financial performance: competitive versus less competitive markets.

    Science.gov (United States)

    Everhart, Damian; Neff, Donna; Al-Amin, Mona; Nogle, June; Weech-Maldonado, Robert

    2013-01-01

    Hospitals facing financial uncertainty have sought to reduce nurse staffing as a way to increase profitability. However, nurse staffing has been found to be important in terms of quality of patient care and nursing-related outcomes. Nurse staffing can provide a competitive advantage to hospitals and as a result of better financial performance, particularly in more competitive markets. In this study, we build on the Resource-Based View of the Firm to determine the effect of nurse staffing on total profit margin in more competitive and less competitive hospital markets in Florida. By combining a Florida statewide nursing survey with the American Hospital Association Annual Survey and the Area Resource File, three separate multivariate linear regression models were conducted to determine the effect of nurse staffing on financial performance while accounting for market competitiveness. The analysis was limited to acute care hospitals. Nurse staffing levels had a positive association with financial performance (β = 3.3, p = .02) in competitive hospital markets, but no significant association was found in less competitive hospital markets. Hospitals in more competitive hospital markets should reconsider reducing nursing staff, as these cost-cutting measures may be inefficient and negatively affect financial performance.

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

    International Nuclear Information System (INIS)

    Aune, Finn Roar; Rosendahl, Knut Einar; Mohn, Klaus; Osmundsen, Petter

    2010-01-01

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

  14. Cortisol and testosterone increase financial risk taking and may destabilize markets

    Science.gov (United States)

    Cueva, Carlos; Roberts, R. Edward; Spencer, Tom; Rani, Nisha; Tempest, Michelle; Tobler, Philippe N.; Herbert, Joe; Rustichini, Aldo

    2015-01-01

    It is widely known that financial markets can become dangerously unstable, yet it is unclear why. Recent research has highlighted the possibility that endogenous hormones, in particular testosterone and cortisol, may critically influence traders’ financial decision making. Here we show that cortisol, a hormone that modulates the response to physical or psychological stress, predicts instability in financial markets. Specifically, we recorded salivary levels of cortisol and testosterone in people participating in an experimental asset market (N = 142) and found that individual and aggregate levels of endogenous cortisol predict subsequent risk-taking and price instability. We then administered either cortisol (single oral dose of 100 mg hydrocortisone, N = 34) or testosterone (three doses of 10 g transdermal 1% testosterone gel over 48 hours, N = 41) to young males before they played an asset trading game. We found that both cortisol and testosterone shifted investment towards riskier assets. Cortisol appears to affect risk preferences directly, whereas testosterone operates by inducing increased optimism about future price changes. Our results suggest that changes in both cortisol and testosterone could play a destabilizing role in financial markets through increased risk taking behaviour, acting via different behavioural pathways. PMID:26135946

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

    Science.gov (United States)

    Yu, Nanpeng

    As U.S. regional electricity markets continue to refine their market structures, designs and rules of operation in various ways, two critical issues are emerging. First, although much experience has been gained and costly and valuable lessons have been learned, there is still a lack of a systematic platform for evaluation of the impact of a new market design from both engineering and economic points of view. Second, the transition from a monopoly paradigm characterized by a guaranteed rate of return to a competitive market created various unfamiliar financial risks for various market participants, especially for the Investor Owned Utilities (IOUs) and Independent Power Producers (IPPs). This dissertation uses agent-based simulation methods to tackle the market rules evaluation and financial risk management problems. The California energy crisis in 2000-01 showed what could happen to an electricity market if it did not go through a comprehensive and rigorous testing before its implementation. Due to the complexity of the market structure, strategic interaction between the participants, and the underlying physics, it is difficult to fully evaluate the implications of potential changes to market rules. This dissertation presents a flexible and integrative method to assess market designs through agent-based simulations. Realistic simulation scenarios on a 225-bus system are constructed for evaluation of the proposed PJM-like market power mitigation rules of the California electricity market. Simulation results show that in the absence of market power mitigation, generation company (GenCo) agents facilitated by Q-learning are able to exploit the market flaws and make significantly higher profits relative to the competitive benchmark. The incorporation of PJM-like local market power mitigation rules is shown to be effective in suppressing the exercise of market power. The importance of financial risk management is exemplified by the recent financial crisis. In this

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

    Directory of Open Access Journals (Sweden)

    Abbas Ataheryan

    2013-09-01

    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 (α=0.01. In addition, brand awareness influences positively on perception quality (α=0.01. Brand awareness as well as brand associate also influence on brand loyalty (α=0.01.

  17. Land and markets in African cities: Time for a new lens?

    CSIR Research Space (South Africa)

    Napier, Mark

    2013-10-01

    Full Text Available -1 Trading Places: Accessing land in African cities Chapter 1 Land and markets in African cities: Time for a new lens? Mark Napier CSIR, Built Enviroment, Pretoria, South Africa, 0001 MNapier@csir.co.za Abstract Most people living in cities...

  18. Learning from the Pros: Influence of Web-Based Expert Commentary on Vicarious Learning about Financial Markets

    Science.gov (United States)

    Ford, Matthew W.; Kent, Daniel W.; Devoto, Steven

    2007-01-01

    Web-based financial commentary, in which experts routinely express market-related thought processes, is proposed as a means for college students to learn vicariously about financial markets. Undergraduate business school students from a regional university were exposed to expert market commentary from a single financial Web site for a 6-week…

  19. Analytical study of index-coupled herd behavior in financial markets

    Science.gov (United States)

    Berman, Yonatan; Shapira, Yoash; Schwartz, Moshe

    2016-12-01

    Herd behavior in financial markets had been investigated extensively in the past few decades. Scholars have argued that the behavioral tendency of traders and investors to follow the market trend, notably reflected in indices both on short and long time scales, is substantially affecting the overall market behavior. Research has also been devoted to revealing these behaviors and characterizing the market herd behavior. In this paper we present a simple herd behavior model for the dynamics of financial variables by introducing a simple coupling mechanism of stock returns to the index return, deriving analytic expressions for statistical properties of the returns. We found that several important phenomena in the stock market, namely the correlations between stock market returns and the exponential decay of short-term autocorrelations, are derived from our model. These phenomena have been given various explanations and theories, with herd market behavior being one of the leading. We conclude that the coupling mechanism, which essentially encapsulates the herd behavior, indeed creates correlation and autocorrelation. We also show that this introduces a time scale to the system, which is the characteristic time lag between a change in the index and its effect on the return of a stock.

  20. An analysis of the financial reporting compliance of South African public agricultural companies

    OpenAIRE

    2015-01-01

    M.Com. (International Accounting) This minor dissertation assesses the extent to which South African public companies that are engaged in agricultural activities are complying with the recognition, measurement and disclosure requirements of IAS 41, Agriculture, as well as whether they are providing any additional voluntary disclosures about their biological assets. Sixteen large South African public companies with material holdings of biological assets in their statements of financial posi...

  1. Factors affecting financial stability of small and medium enterprises: A case study of emerging markets

    Directory of Open Access Journals (Sweden)

    Nonhlanhla Mbatha

    2017-02-01

    Full Text Available Small and Medium Enterprises (SMEs play a significant role in the South African economy as they provide job opportunities to communities and contribute to the South African gross domestic product. However, the majority of small businesses lack financial skills, which results in the falsification of financial information and analysis and inaccurate financial reports leading to decline of confidence by investors and negative impact on stakeholders. Therefore, this study examines the critical factors that affect SME’s financial stability which in the long run result in the liquidation of SMEs. The study was descriptive and quantitative in nature, using questionnaires to collect data from a sample of one hundred and twenty (120 SMEs across the Durban area. The findings show that lack of understanding of financial reporting has a negative impact on the financial stability of the business. Also the lack of insufficient financial experience proved to have a negative impact on the financial stability of SMEs. The study recommends that a short accounting programme should be developed by government incubators to assist and provide owners and accounts staff of SMEs with practical experience in financial reporting in order to increase their level of understanding financial reporting processes.

  2. Financial news and market panics in the age of high frequency trading algorithms

    NARCIS (Netherlands)

    Kleinnijenhuis, J.; Schultz, F.; Oegema, D.; van Atteveldt, W.H.

    2013-01-01

    Whether financial news may contribute to market panics is not an innocent question. A positive answer is easily used as a legitimation to limit the freedom of financial journalists. Long-term effects of news are moreover inconsistent with the Efficient Market Hypothesis (EMH), which maintains that

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

    Czech Academy of Sciences Publication Activity Database

    Bena, J.; Jurajda, Štěpán

    2011-01-01

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

  4. Corporate Health and Wellness and the Financial Bottom Line

    Science.gov (United States)

    Conradie, Christina Susanna; van der Merwe Smit, Eon; Malan, Daniel Pieter

    2016-01-01

    Objective: The research objective was to test the hypothesis that corporate health and wellness contributed positively to South African companies’ financial results. Methods: The past share market performance of eligible healthy companies, based on Discovery's Healthy Company Index, was tracked under three investment scenarios and compared with the market performance on the basis of the JSE FTSE All Share Index. Results: The evidence supports the hypothesis that a culture of health and wellness provides a financial advantage, in so far as the portfolio of healthy companies consistently outperformed the market over the selected simulations. Conclusions: Given the limitations of the investigation, namely small sample size, the brevity of the period of investigation, and the reliance on accessibility sampling, the research provides the first and preliminary evidence supportive of the direct financial benefits of companies’ wellness programs. PMID:26849271

  5. Topological isomorphisms of human brain and financial market networks

    Directory of Open Access Journals (Sweden)

    Petra E Vértes

    2011-09-01

    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.

  6. Topological isomorphisms of human brain and financial market networks.

    Science.gov (United States)

    Vértes, Petra E; Nicol, Ruth M; Chapman, Sandra C; Watkins, Nicholas W; Robertson, Duncan A; Bullmore, Edward T

    2011-01-01

    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 time series of 90 stocks from the New York stock exchange over a 3-year period, and the fMRI-derived time series 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 optimized 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.

  7. Financial Development and the Sensitivity of Stock Markets to External Influences

    OpenAIRE

    Dellas, Harris; Hess, Martin K.

    2000-01-01

    We investigate how the relative contribution of external factors to stock price movements varies with the degree of financial development. We find that financial development makes stock markets more susceptible to external influences (both financial and macroeconomic). Interestingly, this effect is present even after having accounted for capital controls and international trade effects.

  8. The Relationship between Sentiment and Risk in Financial Markets

    Directory of Open Access Journals (Sweden)

    Ana Luiza Paraboni

    2018-03-01

    Full Text Available This article estimates association coefficients between measures of market sentiment and risk in the U.S., German and Chinese markets. In terms of risk, four measures were considered: standard deviation, value at risk, expected shortfall and shortfall deviation risk. For market sentiment, data was collected using the Psych Signal technology, which is based on the behavior of investors on social networks. The results indicate significant statistical associations, with the direction of association having financial meaning. Moreover, the empirical findings are valid for all risk measurements. The results are in keeping with the Prospect Theory, since in moments when the sentiment indicates low liquidity (a negative value for the difference between Bullish and Bearish Intensities investors try to reduce the negotiation volume, which has a positive impact on risk. On the other hand, under the inverted scenario, when sentiment indicates high liquidity, there is an increase in the negotiation volume and a consequent decrease in risk. This article is important because its observations of market sentiment as measured by social media data show a consistent relationship with measures of financial risk.

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

    Directory of Open Access Journals (Sweden)

    Moatemri Ouarda

    2013-01-01

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

  10. The Fractal Market Hypothesis: Applications to Financial Forecasting

    OpenAIRE

    Blackledge, Jonathan

    2010-01-01

    Most financial modelling systems rely on an underlying hypothesis known as the Efficient Market Hypothesis (EMH) including the famous Black-Scholes formula for placing an option. However, the EMH has a fundamental flaw: it is based on the assumption that economic processes are normally distributed and it has long been known that this is not the case. This fundamental assumption leads to a number of shortcomings associated with using the EMH to analyse financial data which includes failure to ...

  11. Cyber Threats for Organizations of Financial Market Infrastructures

    OpenAIRE

    Natalia Georgievna Miloslavskaya; Svetlana Alexandrovna Tolstaya

    2016-01-01

    Abstract: In the global informatization era the reliable and efficient financial market infrastructure of the Russian Federation (RF FMI) plays an important role in the financial system and economy of the country. New cyber risks have acquired the status of the FR FMI systemic risk’s components, the importance of which is constantly growing due to the increase in the possible consequences of their implementation. The article introduces the basic concepts of cyber security, cyber space and cyb...

  12. Information mirages and financial contagion in an asset market experiment

    NARCIS (Netherlands)

    Noussair, Charles; Xu, Yilong

    2015-01-01

    Purpose – The purpose of this paper is to consider whether asymmetric information about correlations between assets can induce financial contagion. Contagion, unjustified by fundamentals, would arise if participants react in one market to uninformative trades in the other market that actually convey

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

    Directory of Open Access Journals (Sweden)

    Louise David

    2012-11-01

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

  14. Barriers in EU retail financial markets

    OpenAIRE

    Micuda, Dan

    2007-01-01

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

  15. Anchoring effect on first passage process in Taiwan financial market

    Science.gov (United States)

    Liu, Hsing; Liao, Chi-Yo; Ko, Jing-Yuan; Lih, Jiann-Shing

    2017-07-01

    Empirical analysis of the price fluctuations of financial markets has received extensive attention because a substantial amount of financial market data has been collected and because of advances in data-mining techniques. Price fluctuation trends can help investors to make informed trading decisions, but such decisions may also be affected by a psychological factors-the anchoring effect. This study explores the intraday price time series of Taiwan futures, and applies diffusion model and quantitative methods to analyze the relationship between the anchoring effect and price fluctuations during first passage process. Our results indicate that power-law scaling and anomalous diffusion for stock price fluctuations are related to the anchoring effect. Moreover, microscopic price fluctuations before switching point in first passage process correspond with long-term price fluctuations of Taiwan's stock market. We find that microscopic trends could provide useful information for understanding macroscopic trends in stock markets.

  16. The Effects of Nurse Staffing on Hospital Financial Performance: Competitive Versus Less Competitive Markets

    Science.gov (United States)

    Everhart, Damian; Neff, Donna; Al-Amin, Mona; Nogle, June; Weech-Maldonado, Robert

    2013-01-01

    Background Hospitals facing financial uncertainty have sought to reduce nurse staffing as a way to increase profitability. However, nurse staffing has been found to be important in terms of quality of patient care and nursing related outcomes. Nurse staffing can provide a competitive advantage to hospitals and as a result better financial performance, particularly in more competitive markets Purpose In this study we build on the Resource-Based View of the Firm to determine the effect of nurse staffing on total profit margin in more competitive and less competitive hospital markets in Florida. Methodology/Approach By combining a Florida statewide nursing survey with the American Hospital Association Annual Survey and the Area Resource File, three separate multivariate linear regression models were conducted to determine the effect of nurse staffing on financial performance while accounting for market competitiveness. The analysis was limited to acute care hospitals. Findings Nurse staffing levels had a positive association with financial performance (β=3.3; p=0.02) in competitive hospital markets, but no significant association was found in less competitive hospital markets. Practice Implications Hospitals in more competitive hospital markets should reconsider reducing nursing staff, as these cost cutting measures may be inefficient and negatively affect financial performance. PMID:22543824

  17. The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

    Directory of Open Access Journals (Sweden)

    Liao Qunfeng

    2016-06-01

    Full Text Available This study examines the reaction of Southeast Asian equity markets to the transmission of price innovations from major equity markets during the pre and post periods of the 2008 global financial crisis. In particular, we examine the reaction of returns indices in Malaysia, the Philippines, South Korea, Taiwan, and Thailand as endogenous variables, and compare them to the returns indices of the U.S., the Eurozone, Japan, and China as exogenous variables. The results of VAR models indicate the combined and individual impact of the price innovations from the major equity markets on the volatility of returns of selected countries is relatively trivial during either the pre- or post-financial crisis periods. However, the individual impact of the U.S. innovations is generally higher during the post-financial crisis. The ARCH and GARCH models indicate the stock markets of Southeast Asian countries are more responsive to their own price innovations during both the pre- and the post-crisis periods, although some response to U.S. and Eurozone shocks is also observed.

  18. A theory of power-law distributions in financial market fluctuations.

    Science.gov (United States)

    Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Stanley, H Eugene

    2003-05-15

    Insights into the dynamics of a complex system are often gained by focusing on large fluctuations. For the financial system, huge databases now exist that facilitate the analysis of large fluctuations and the characterization of their statistical behaviour. Power laws appear to describe histograms of relevant financial fluctuations, such as fluctuations in stock price, trading volume and the number of trades. Surprisingly, the exponents that characterize these power laws are similar for different types and sizes of markets, for different market trends and even for different countries--suggesting that a generic theoretical basis may underlie these phenomena. Here we propose a model, based on a plausible set of assumptions, which provides an explanation for these empirical power laws. Our model is based on the hypothesis that large movements in stock market activity arise from the trades of large participants. Starting from an empirical characterization of the size distribution of those large market participants (mutual funds), we show that the power laws observed in financial data arise when the trading behaviour is performed in an optimal way. Our model additionally explains certain striking empirical regularities that describe the relationship between large fluctuations in prices, trading volume and the number of trades.

  19. Market risk stress testing for internationally active financial institutions

    Directory of Open Access Journals (Sweden)

    Marković Petar

    2011-01-01

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

  20. Cointegration-based financial networks study in Chinese stock market

    Science.gov (United States)

    Tu, Chengyi

    2014-05-01

    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.

  1. Complexity analysis based on generalized deviation for financial markets

    Science.gov (United States)

    Li, Chao; Shang, Pengjian

    2018-03-01

    In this paper, a new modified method is proposed as a measure to investigate the correlation between past price and future volatility for financial time series, known as the complexity analysis based on generalized deviation. In comparison with the former retarded volatility model, the new approach is both simple and computationally efficient. The method based on the generalized deviation function presents us an exhaustive way showing the quantization of the financial market rules. Robustness of this method is verified by numerical experiments with both artificial and financial time series. Results show that the generalized deviation complexity analysis method not only identifies the volatility of financial time series, but provides a comprehensive way distinguishing the different characteristics between stock indices and individual stocks. Exponential functions can be used to successfully fit the volatility curves and quantify the changes of complexity for stock market data. Then we study the influence for negative domain of deviation coefficient and differences during the volatile periods and calm periods. after the data analysis of the experimental model, we found that the generalized deviation model has definite advantages in exploring the relationship between the historical returns and future volatility.

  2. THE PROCESS OF EVALUATING PRIMARY FINANCIAL ASSETS ON THE CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Ionel Eduard Ionescu

    2013-12-01

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

  3. International financial reporting standards and foreign ownership in ...

    African Journals Online (AJOL)

    Previous literature suggests that the adoption of International Financial Reporting Standards (IFRS) can facilitate cross-border capital flows, as it results in an increase in market liquidity and comparability benefits. Using foreign ownership levels in South African listed companies during the period 2003 to 2007, we test ...

  4. Investors’ Risk Appetite and Global Financial Market Conditions

    OpenAIRE

    Brenda Gonzalez-Hermosillo

    2008-01-01

    A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market conditions (including funding liquidity, market liquidity, as well as credit and volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the change...

  5. Russia’s Money Markets and Financial Institutions in 2014

    OpenAIRE

    Alexander Abramov

    2015-01-01

    This paper deals with a wide scope of issues, starting with the post-crisis recovery of Russia's financial market. The author analyzes the market for shares issued by Russian companies, investigates dependence on the global conjuncture of prices and inflow and outflow of foreign portfolio investment. He also studies currency exchange rate, looks at the competition on the domestic share market, and analyzes preliminary results of the merger of the RTS and MICEX. The article deals with the mark...

  6. Modeling financial markets by self-organized criticality

    Science.gov (United States)

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

    2015-10-01

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

  7. Model of formation of low-risk stock portfolio in modern financial markets

    Directory of Open Access Journals (Sweden)

    Дмитро Сергійович Богач

    2016-03-01

    Full Text Available The basic principles of formation of an investment portfolio in modern financial markets are determined. A method of forming stock portfolio due to the statistical properties of stationary process and relations between the behavior of stocks and economic sector, characterizing these actions, is proposed. Optimal points of recalculation of model depends on changes in current trends in the financial market is described

  8. 'No one to trust': the cultural embedding of atomism in financial markets.

    Science.gov (United States)

    Ailon, Galit

    2018-05-13

    The paper ethnographically explores the cultural embedding of atomistic indifference in online, global financial markets: arenas that have been digitally designed according to economic ideals and that demand an extreme form of relational and social dissociation from the partners to exchange and from those affected by the transactions. Its case-study is lay financial-trading in Israel, a country undergoing extensive neoliberalization. The study shows that dissociation is embedded in an economic culture marked by constant, multi-sited declarations that economic-Others are cold, uncaring and manipulative. It takes shape as traders convert the distrust towards Others into distrust towards portions of the Self that represent links to these Others, namely their own social-psychology and social concern. Acting atomistically and selfishly in the market thus entails considerable reflexive work. The paper contributes to an ongoing debate on the moral and cultural embeddedness of markets in general and of the expanding financial markets in particular. © London School of Economics and Political Science 2018.

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

    International Nuclear Information System (INIS)

    Sarzynski, Andrea; Larrieu, Jeremy; Shrimali, Gireesh

    2012-01-01

    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.

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

    Science.gov (United States)

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

    2013-01-01

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

  11. Electrodynamical Model of Quasi-Efficient Financial Markets

    Science.gov (United States)

    Ilinski, Kirill N.; Stepanenko, Alexander S.

    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 [1], whilst the practical side of the problem has clear relevance to portfolio management [2] and derivative pricing [3]. Up till now all market models contain "smart money" traders and "noise" traders whose joint activity constitutes the market [4, 5]. 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 market with temporal mispricing [6, 7]. As a result, we obtain the time-dependent distribution function of the returns which is in quantitative agreement with real market data and obeys the anomalous scaling relations recently reported for both high-frequency exchange rates [8], S&P500 [9] and other stock market indices [10, 11].

  12. ICT, Financial Inclusion, and Growth; Evidence from African Countries

    OpenAIRE

    Kangni R Kpodar; Mihasonirina Andrianaivo

    2011-01-01

    This paper studies the impact of information and communication technologies (ICT), especially mobile phone rollout, on economic growth in a sample of African countries from 1988 to 2007. Further, we investigate whether financial inclusion is one of the channels through which mobile phone development influences economic growth. In estimating the impact of ICT on economic growth, we use a wide range of ICT indicators, including mobile and fixed telephone penetration rates and the cost of local ...

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

    DEFF Research Database (Denmark)

    Kleinnijenhuis, Jan; Schultz, Friederike; Oegema, Dirk

    2013-01-01

    . As a case study of a market panic we show the impact of US news, UK news and Dutch news on three Dutch banks during the financial crisis of 2007–9. To avoid market panics, financial journalists may strive for greater transparency, not only on asset prices and corporate philosophies, but also on network...

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

    Science.gov (United States)

    Wheeler, J R; Smith, D G

    2001-01-01

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

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

    NARCIS (Netherlands)

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

    1999-01-01

    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

  16. Quantifying Stock Return Distributions in Financial Markets.

    Science.gov (United States)

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

    2015-01-01

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

  17. Towards achieving sustainable market access by South African smallholder deciduous fruit producers

    NARCIS (Netherlands)

    Grwambi, B.; Ingenbleek, P.T.M.; Obi, A.; Schipper, R.A.; Trijp, van J.C.M.

    2016-01-01

    Markets with high purchasing power, like export markets, offer opportunities for African smallholder farmers to move out of poverty. Logically, production for such higher value markets requires a different set of farm resources than the basic factors of production like land and labour. Yet it is not

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

    Science.gov (United States)

    Tuckett, David; Taffler, Richard

    2008-04-01

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

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

    Directory of Open Access Journals (Sweden)

    Magdalena Fedorowicz

    2012-12-01

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

  20. Migrants' Remittances end the Transformation of Local Spaces: The Case of Financial Markets in Mexico

    Directory of Open Access Journals (Sweden)

    Christian Ambrosius

    2014-06-01

    Remittances, the money sent by migrants to their families back home, are situated outside ‘traditional’ categories of space in several ways. Not only do these smallscale financial transactions span the transnational space beyond the nation-state; they also move largely outside the institutional spaces of the formal banking sector. Taking the case of financial markets in Mexico and building on recent empirical findings on the impact of migrants’ remittances on the financial sector of the receiving countries, this article explores how remittances may lead to a transformation of local spaces by reducing some of the market failures that prevail, especially in rural financial markets.

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

    Science.gov (United States)

    Bentes, Sónia R.

    2015-07-01

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

  2. Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

    OpenAIRE

    Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong

    2016-01-01

    textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major r...

  3. Evidence of market manipulation in the financial crisis

    OpenAIRE

    Vedant Misra; Marco Lagi; Yaneer Bar-Yam

    2011-01-01

    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 1929 market crash and its aftermath. On November 1, 2007, Citigr...

  4. Caregiver perceptions of the food marketing environment of African-American 3-11-year-olds: a qualitative study.

    Science.gov (United States)

    Baskin, Monica L; Herbey, Ivan; Williams, Ronnie; Ard, Jamy D; Ivankova, Nataliya; Odoms-Young, Angela

    2013-12-01

    To assess caregivers’ perceptions of the extent to which the food marketing environment influences food consumption among African-American children (aged 3–11 years) in order to generate potential strategies to make the marketing environment more favourable to healthier eating. Individual semi-structured interviews with caregivers were conducted by trained community leaders to ascertain their awareness of and perceptions about food marketing environments contributing to African-American children's food consumption. Six predominantly African-American communities in metro Birmingham, Alabama, USA with high proportions of school-age children and lower-income residents. Caregivers (n 25) were predominantly female (93 %) and either parents/guardians (64 %) or grandparents (28 %) of African-American children aged 3–11 years. Caregiver mean age was 43 years and 46 % had lived in their current residence for over 10 years. Caregivers reported all aspects of the food marketing matrix as supporting unhealthy eating among African-American youth. Child preference for foods higher in fat and sugar, lower pricing of less healthy foods, limited access to healthier food retailers and targeted advertisements were particularly influential on the food selection, acquisition and consumption of children. Company loyalty, corporate sponsorship of local events and conflicts over parental v. food company responsibility contributed to less consensus about the overall impact (positive or negative) of food companies in African-American communities. While caregivers perceived aspects of their food marketing environments as primarily contributing to unhealthy eating among African-American children, framing the demand for changes in the food marketing environments of African-American youth may be particularly challenging.

  5. SMS marketing: It's place in mobile commerce and opportunity in the South African market

    Directory of Open Access Journals (Sweden)

    Frik Jansen van Ryssen

    2004-12-01

    Full Text Available This article investigates Short Message Service (SMS Marketing's place in the world of mobile commerce (m-commerce. The article also investigates the opportunity that SMS Marketing presents in the South African market. The article indicates a couple of clear guidelines and implications for marketers on how to approach the challenge presented by technological advances that allowed this new trend of mass- and personalised marketing messages via SMS. Advances in the m-commerce field are predicted, and an indication of the proposed target market is provided. Of these devices, the cellphone is the most relevant to the article, because it is the main vehicle through with SMS's are sent and received. It is concluded that SMS Marketing requires a great amount of investigation by every marketer and that continuous monitoring will be required in order for companies not to fall behind or be caught napping by competitors.

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

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2013-03-15

    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.

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

    Directory of Open Access Journals (Sweden)

    Abiodun Eniola Alao

    2014-07-01

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

  8. How Have Health Insurers Performed Financially Under the ACA' Market Rules?

    Science.gov (United States)

    McCue, Michael J; Hall, Mark A

    2017-10-01

    The Affordable Care Act (ACA) transformed the market for individual health insurance, so it is not surprising that insurers' transition was not entirely smooth. Insurers, with no previous experience under these market conditions, were uncertain how to price their products. As a result, they incurred significant losses. Based on this experience, some insurers have decided to leave the ACA’s subsidized market, although others appear to be thriving. Examine the financial performance of health insurers selling through the ACA's marketplace exchanges in 2015--the market’s most difficult year to date. Analysis of financial data for 2015 reported by insurers from 48 states and D.C. to the Centers for Medicare and Medicaid Services. Although health insurers were profitable across all lines of business, they suffered a 10 percent loss in 2015 on their health plans sold through the ACA's exchanges. The top quarter of the ACA exchange market was comfortably profitable, while the bottom quarter did much worse than the ACA market average. This indicates that some insurers were able to adapt to the ACA's new market rules much better than others, suggesting the ACA's new market structure is sustainable, if supported properly by administrative policy.

  9. FAVAR Analysis of Foreign Investment with Capital Market Predictors: Evidence on Nigerian and Selected African Stock Exchanges

    Directory of Open Access Journals (Sweden)

    David Umoru

    2018-03-01

    Full Text Available Econometrically, we analyzed role of selected African stock exchanges in welcoming FDI inflows by estimating time-varying factor augmented vector auto-regression (FAVAR model for 2006:Q1 to 2017:Q4. Our results support FDI being massively influenced by movements in two stock market predictors namely, stock market's size, that is, total market value of stock market's listed shares calculated by multiplying a stock market’s shares listed by current market price of one share and stock market liquidity which is total value of traded shares relative to the size of the economy. By empirical inference, African stock exchanges exhibit inordinate turnover ratio and so these markets are exceedingly liquid. Particularly, transactions at stock exchange are significant indicators for foreign investors and total market value of listed shares in stock markets is linked positively with FDI inflow into Africa. The empirical finding is that viable African stock exchanges are attractive indicator of market concentration and high investment profile in Africa. The study so remarked the requisite to advance the stock exchange in order to boost funds accumulation for investment drive. Also, African governments should project and implement stock market-friendly procedures acceptable to maximize welfares of spillover effects of FDI.

  10. Evaluating the effect of marketing performance on financial performance of Parsian bank

    OpenAIRE

    Meisam Shirkhodaei; Mansoreh Aligholi; Soheil Askari

    2014-01-01

    Marketing performance measurement has been converted to the major priority in the field of marketing, due to the responsibility to competitive increasing pressures, and financial limitations of organizations. Review of earlier researches, indicates that rarely maintenance of account leads to damaging to the credibility of marketing, compromising marketing statue and even threatening the marketing existence as a separated strength within the company. Inability of marketers to determine the...

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

    Science.gov (United States)

    Lamba, H.

    2010-09-01

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

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

    Science.gov (United States)

    Zhong, Li-Xin; Xu, Wen-Juan; Ren, Fei; Shi, Yong-Dong

    2013-05-01

    By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors’ global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors’ asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.

  13. Econophysics: Two-phase behaviour of financial markets

    Science.gov (United States)

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

    2003-01-01

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

  14. The influence of financial market development on investment activities in a developing country

    Directory of Open Access Journals (Sweden)

    Shirley Malope

    2017-09-01

    Full Text Available Financial markets are considered developed if there is improvement in the size, activity, efficiency and stability of the financial system. The study looked at how financial development based on debt, stock, money and foreign markets affect investment. The Johansen cointegration and Vector Error Correction Model (VECM were used to estimate the short and long run relationship and test for the speed of adjustment. Granger causality test informed about direction of causality, variance decompositions and impulse response indicated effects of shocks. The Johansen cointegration test showed that the variables have a long run relationship. VECM showed that the speed of adjustment is about 13%, which means that variables will converge to equilibrium relatively quickly. The impulse response function indicated that financial market development indicators have short-run effects on investment in the first quarters after the initial shocks. Variance decomposition also indicated that specifically government bonds had greater effect in predicting future investments. The policy implications of these findings are for government to place greater priority on government bonds as its effect on investment is greater than other financial development proxies. Policies should focus on allowing greater risk diversification and improving the independence of the financial sector from government interference

  15. The Financial Crisis through the Lens of Foreign Exchange Swap Markets

    OpenAIRE

    Crystal Ossolinski; Andrew Zurawski

    2010-01-01

    During the financial crisis, non-US banks relied increasingly on foreign exchange swap markets to fund their US dollar asset holdings. This caused the cost of borrowing US dollars via the swap market to rise above the measured cost of borrowing US dollars directly in money markets – an apparent deviation from the covered interest parity condition. Pricing in the Australian dollar foreign exchange swap market, and to a lesser degree the cross-currency swap market, also reflected the global s...

  16. STUDY REGARDING THE DETERMINATION OF THE FINANCIAL PERFORMANCE OF A COMPANY THROUGH MARKET RATES

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2015-11-01

    Full Text Available Determining the financial performance of an enterprise is necessary when making the decision to invest, which represents the proper selection of securities and the appropriate moment to enter on the market, meaning the time to purchase the securities. The study’s objective is to define, determinate and interpret the market rates, that are used in financial analysis in order to measure the company’s performance. The study, conducted on a Romanian company listed on the Bucharest Stock Exchange, leads to the conclusion that because of the financial crisis, the company’s financial performance was significantly affected.

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

    Science.gov (United States)

    Mohammadzadeh, Mehdi; Aarabi, Sied Mohammad; Salamzadeh, Jamshid

    2013-08-02

    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. 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 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. Managers should not consider decisions regarding marketing strategy independently of their financial strategy.

  18. Marketing communication expenditures and financial capital—the impact of marketing as an option

    NARCIS (Netherlands)

    Hodgson, V.L.; Hodgson, A.

    2008-01-01

    This paper examines the financial effectiveness of marketing communication expenditure (MCE) as an instrument to increase risk-weighted capital. We nest a cross-sectional time-series panel model within the risk-adjusted earnings principles of Ohlson (1995), and apply the model to a dataset of NSW

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

    Science.gov (United States)

    Forró, Z; Woodard, R; Sornette, D

    2015-04-01

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

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

    Science.gov (United States)

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

    2015-04-01

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

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

    Science.gov (United States)

    Fiedor, Paweł

    2014-08-01

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

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

    Science.gov (United States)

    Shen, Xiangguang; Song, Xiaozhong

    2009-07-01

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

  3. Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts

    Science.gov (United States)

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

    2011-01-01

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

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

    Science.gov (United States)

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

    2011-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Wei-Xing Zhou

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

  6. Impact of Global Financial Crisis on Nigerian Stock Market

    African Journals Online (AJOL)

    DrNneka

    Key words: Global financial crisis, Nigerian stock market, currency crisis, ... drop in all economic indices over a relatively short period of time leading to corporate .... magnitude and many countries with sound fundamentals also plunged into a ...

  7. The marketing-finance interface towards financial services with special reference to the new services provided by futures exchanges

    NARCIS (Netherlands)

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

    1999-01-01

    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

  8. The enhancement of the deteriorated South African bond options market

    Directory of Open Access Journals (Sweden)

    Coert Frederik Erasmus

    2015-06-01

    Full Text Available nvestments, especially those in the bond market, carry a level of risk. Risks in the bond market can be mitigated by transacting in option contracts. In the developing South African economy, trading activity of over-the-counter (OTC bond options decreased significantly. Possible deteriorating factors and interventions to enhance OTC bond options were investigated in this research. Experts in the OTC bond option market were surveyed and the quantitative data collected was analysed with descriptive statistical methods. Results indicated that three factors were positively identified as deteriorating factors in the OTC bond option market and that five different interventions were possible to possible enhance this market.

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

    Science.gov (United States)

    Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

    2014-09-01

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

  10. Random diffusion and leverage effect in financial markets.

    Science.gov (United States)

    Perelló, Josep; Masoliver, Jaume

    2003-03-01

    We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

  11. Testing the financial market informational efficiency in emerging states

    OpenAIRE

    Camelia Oprean

    2012-01-01

    The Efficient Markets Hypothesis (EMH) has been one of the most influential ideas in the past years and highlights that assets prices incorporate all information rationally and instantaneously. The last financial crisis has led to criticism of this hypothesis. Many practical observations concerning the reaction of investors, but also the mechanisms for the information encompassing in the price of stocks, come to highlight the aspects of 'market inefficiency'. Despite its simplicity, the EMH i...

  12. Cyber Threats for Organizations of Financial Market Infrastructures

    Directory of Open Access Journals (Sweden)

    Natalia Georgievna Miloslavskaya

    2016-03-01

    Full Text Available Abstract: In the global informatization era the reliable and efficient financial market infrastructure of the Russian Federation (RF FMI plays an important role in the financial system and economy of the country. New cyber risks have acquired the status of the FR FMI systemic risk’s components, the importance of which is constantly growing due to the increase in the possible consequences of their implementation. The article introduces the basic concepts of cyber security, cyber space and cyber threats for the RF FMI and analyzes the specific features of cyber attacks against the RF FMI organizations.

  13. FINANCIAL RISK COVERAGE IN THE CONTEXT OF GLOBALIZATION FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    María Esperanza González-del Foyo

    2016-01-01

    Full Text Available In a globalized environment, the increase of risks that assume the international commerce makes necessary the to articulate the instruments of covering. The enterprise activity and the country in matter will condition in a great measure the type of covering that be needed to contract, the principal consist in: knowing the risks, evaluate its incidence, decide to cover it or assume it and in both cases the right choise most be the aplication of the strategy thatt be more efective. The States put under disposition of the enterprises a series of public mechanismes to help them to promote its internationalitation . One of the pillars where this politics rest is the use of mechanismes of riskes cover in the internacional commerce. In correspondence with the previous, to reflect on the aplications of the financial risk and the formulation of strategies to cover them in conditions of globalization of the financial markets, constitute the objetive of this article. 

  14. THE IMPACT OF PSYCHOLOGICAL CONTRACT ON RELATIONSHIP QUALITY IN FINANCIAL SERVICES MARKET

    Directory of Open Access Journals (Sweden)

    Mario Pepur

    2013-02-01

    Full Text Available The theoretical arguments of the psychological contracts arise from the social exchange theory. According to this theory, all the parties involved in any type of relationships want to build a relationship based on mutual respect and fairness. The main goal of this paper is to explore the influence that psychological contracts have on the quality of the business-to-business relationship in the financial services market. The research conducted in this paper continued the pioneer work of Kingshott and Pecotich (2007 and by extending their conceptual model it provided the theoretical and practical insights specific to the business-to-business market. In the empirical part of the paper, the relationship between hotels and financial institutions in the Republic of Croatia is tested using the canonical correlation analysis. The results of the analysis confirm that the psychological contracts have an influence on the relationship quality between the partners in the financial services market.

  15. Corporate Health and Wellness and the Financial Bottom Line: Evidence From South Africa.

    Science.gov (United States)

    Conradie, Christina Susanna; van der Merwe Smit, Eon; Malan, Daniel Pieter

    2016-02-01

    The research objective was to test the hypothesis that corporate health and wellness contributed positively to South African companies' financial results. The past share market performance of eligible healthy companies, based on Discovery's Healthy Company Index, was tracked under three investment scenarios and compared with the market performance on the basis of the JSE FTSE All Share Index. The evidence supports the hypothesis that a culture of health and wellness provides a financial advantage, in so far as the portfolio of healthy companies consistently outperformed the market over the selected simulations. Given the limitations of the investigation, namely small sample size, the brevity of the period of investigation, and the reliance on accessibility sampling, the research provides the first and preliminary evidence supportive of the direct financial benefits of companies' wellness programs.

  16. Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

    OpenAIRE

    Yanhui Xi; Hui Peng; Yemei Qin

    2016-01-01

    The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation....

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

    Directory of Open Access Journals (Sweden)

    ANTON Sorin Gabriel

    2013-12-01

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

  18. The stability of financial market networks

    Science.gov (United States)

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

    2014-08-01

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

  19. Traders' strategy with price feedbacks in financial market

    OpenAIRE

    Mizuno, Takayuki; Nakano, Tohur; Takayasu, Misako; Takayasu, Hideki

    2003-01-01

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

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

    Science.gov (United States)

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

    2013-04-01

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

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

    Science.gov (United States)

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

    2013-01-01

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

  2. DEVELOPMENT OF THE US SECURITIES MARKET IN THE 1940-S: THE ROAD TO FINANCIAL LEADERSHIP

    Directory of Open Access Journals (Sweden)

    S. Z. Moshenskyi

    2016-12-01

    Full Text Available The Second World War radically changed not only political, but also financial landscape of the world. After the War ended the United States became the main source of capital. The American financial market and the stock market determined all the trends in the credit and financial sphere of other countries. In the 1930-s the US economy (and the stock market were stagnant during the «Great Depression». Industry began activating when the war intensified government military orders, and the stock market began reviving after the emission of bonds of military loans. When the war was over the United States funded the postwar recovery in Japan, Germany and other Western European countries. By the Bretton Woods conference in 1944 the dollar has become a major international currency, and it was a financial basis for US influence in the second half of the twentieth century, often called Pax Americana, that is «American world».

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

    Science.gov (United States)

    De Martino, Benedetto; O’Doherty, John P.; Ray, Debajyoti; Bossaerts, Peter; Camerer, Colin

    2013-01-01

    Summary The ability to infer intentions of other agents, called theory of mind (ToM), confers strong advantages for individuals in social situations. Here, we show that ToM can also be maladaptive when people interact with complex modern institutions like financial markets. We tested participants who were investing in an experimental bubble market, a situation in which the price of an asset is much higher than its underlying fundamental value. We describe a mechanism by which social signals computed in the dorsomedial prefrontal cortex affect value computations in ventromedial prefrontal cortex, thereby increasing an individual’s propensity to ‘ride’ financial bubbles and lose money. These regions compute a financial metric that signals variations in order flow intensity, prompting inference about other traders’ intentions. Our results suggest that incorporating inferences about the intentions of others when making value judgments in a complex financial market could lead to the formation of market bubbles. PMID:24050407

  4. In the mind of the market: theory of mind biases value computation during financial bubbles.

    Science.gov (United States)

    De Martino, Benedetto; O'Doherty, John P; Ray, Debajyoti; Bossaerts, Peter; Camerer, Colin

    2013-09-18

    The ability to infer intentions of other agents, called theory of mind (ToM), confers strong advantages for individuals in social situations. Here, we show that ToM can also be maladaptive when people interact with complex modern institutions like financial markets. We tested participants who were investing in an experimental bubble market, a situation in which the price of an asset is much higher than its underlying fundamental value. We describe a mechanism by which social signals computed in the dorsomedial prefrontal cortex affect value computations in ventromedial prefrontal cortex, thereby increasing an individual's propensity to 'ride' financial bubbles and lose money. These regions compute a financial metric that signals variations in order flow intensity, prompting inference about other traders' intentions. Our results suggest that incorporating inferences about the intentions of others when making value judgments in a complex financial market could lead to the formation of market bubbles. Copyright © 2013 The Authors. Published by Elsevier Inc. All rights reserved.

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

    OpenAIRE

    Benamraoui, Abdelhafid

    2003-01-01

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

  6. A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices

    Science.gov (United States)

    Tiwari, Aviral Kumar; Albulescu, Claudiu Tiberiu; Yoon, Seong-Min

    2017-10-01

    This study challenges the efficient market hypothesis, relying on the Dow Jones sector Exchange-Traded Fund (ETF) indices. For this purpose, we use the generalized Hurst exponent and multifractal detrended fluctuation analysis (MF-DFA) methods, using daily data over the timespan from 2000 to 2015. We compare the sector ETF indices in terms of market efficiency between short- and long-run horizons, small and large fluctuations, and before and after the global financial crisis (GFC). Our findings can be summarized as follows. First, there is clear evidence that the sector ETF markets are multifractal in nature. We also find a crossover in the multifractality of sector ETF market dynamics. Second, the utilities and consumer goods sector ETF markets are more efficient compared with the financial and telecommunications sector ETF markets, in terms of price prediction. Third, there are noteworthy discrepancies in terms of market efficiency, between the short- and long-term horizons. Fourth, the ETF market efficiency is considerably diminished after the global financial crisis.

  7. Emerging markets and the international financial architecture: a blueprint for reform

    Directory of Open Access Journals (Sweden)

    JAN KREGEL

    2015-06-01

    Full Text Available If emerging markets are to achieve their objective of joining the ranks of industrialized, developed countries, they must use their economic and political influence to support radical change in the international financial system. This working paper recommends John Maynard Keynes's "clearing union" as a blueprint for reform of the international financial architecture that could address emerging market grievances more effectively than current approaches. Keynes's proposal for the postwar international system sought to remedy some of the same problems currently facing emerging market economies. It was based on the idea that financial stability was predicated on a balance between imports and exports over time, with any divergence from balance providing automatic financing of the debit countries by the creditor countries via a global clearinghouse or settlement system for trade and payments on current account. This eliminated national currency payments for imports and exports; countries received credits or debits in a notional unit of account fixed to national currency. Since the unit of account could not be traded, bought, or sold, it would not be an international reserve currency. The credits with the clearinghouse could only be used to offset debits by buying imports, and if not used for this purpose they would eventually be extinguished; hence the burden of adjustment would be shared equally - credit generated by surpluses would have to be used to buy imports from the countries with debit balances. Emerging market economies could improve upon current schemes for regionally governed financial institutions by using this proposal as a template for the creation of regional clearing unions using a notional unit of account.

  8. THE STABILITY OF INTERNATIONAL FINANCIAL MARKETS VERSUS EMERGING ECONOMIES VULNERABILITY

    Directory of Open Access Journals (Sweden)

    Luiza Loredana Nastase

    2016-12-01

    Full Text Available If during the global economic and monetary-financial felt in the last seven-eight years was observed that the most affected countries were those with a developed economy currently it seems that the wheel turns and target countries with an emerging economy. Thus, the financial markets of advanced countries seem to be characterized by stability in opposition to those of emerging markets, which seem to become increasingly vulnerable. This paper tries to capture the current economic situation of the two categories of states, from the major aspects that determined the evolution of socio-political and macroeconomic indicators, presenting the statistical data and trying to predict future period. A special importance should be given to international markets. Given that the extension of global economic integration and cooperation on the international market participants are relative conditioning is required for a consensual approach and multilateral thereof, for reducing and avoiding imbalances in the international trading system. We will take into account the need to involve politics in parallel with the adoption of measures specific to each category of state. All these issues will be addressed further

  9. ECONOMIC NATURE OF THE FINANCIAL REGULATION OF INSURANCE MARKET

    Directory of Open Access Journals (Sweden)

    L. Shirinyan

    2013-07-01

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

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

    Directory of Open Access Journals (Sweden)

    Antoniade-Ciprian ALEXANDRU

    2011-07-01

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

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

    International Nuclear Information System (INIS)

    Knoepfel, Ivo

    1999-01-01

    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)

  12. GENDER DIFFERENCES AMONGST AFRICAN GENERATION Y STUDENTS’ PERCEPTIONS OF FASHION MARKETING ACTIVITIES

    Directory of Open Access Journals (Sweden)

    Heleneze-Tiane Lues

    2016-07-01

    Full Text Available The purpose of this study was to determine whether gender differences existamongst African Generation Y students’ perceptions concerning selectedmarketing activities of their preferred clothing brand. The African Generation Ycohort (individuals born between 1986 and 2005 in South Africa, represents animportant market segment in that it makes up 32 per cent of the country’spopulation. As one of the largest contributors to the South African economy, thefashion retail industry is experiencing intense competition amongst fashion brandsand retailers due to an increased amount of national and international brandsavailable to consumers. Consequently, the need for effective differentiation, suchas branding, is becoming more significant. In light of this, it is increasinglyimportant for marketers and brand managers to define their target market clearly,which requires a sound understanding of their target market’s needs and thecontributors of consumer behaviour, of which gender is a key factor. This studyused a self-administered questionnaire to collect data from a convenience sampleof 750 students across three South African public higher education institution’campuses situated in the Gauteng province. The collected data were analysedusing descriptive statistics and a two independent-samples t-test. The findings suggest that while there is no statistically significant difference between male andfemale participants’ perceptions concerning their preferred clothing brands’advertising and product activities, statistically significant differences were foundconcerning the store image and pricing activities of their preferred clothing brand.

  13. The Influence of Macroeconomic Factors on the Financial Expenditures and Development of the Marketing Research

    Directory of Open Access Journals (Sweden)

    Piotr Tarka

    2015-10-01

    Full Text Available This article diagnoses the selected macroeconomic factors, such as: rate of unemployment, inflation, GDP, spending power of the households, and characterizes their indirect impact on the enterprises' market research expenditures and research industry turnovers. The problems of financial expenditures, i.e., their allocation on the marketing researches (depending on the supply and demand market situational perspective in a given market are also discussed. Moreover, as indicated in the article, enterprises are forced not only to cut their financial sources on the marketing research projects in unfavorable economic situation, but they choose different methods of the research.

  14. Understanding the source of multifractality in financial markets

    Czech Academy of Sciences Publication Activity Database

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

    2012-01-01

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

  15. Financial Liberalization and Capital Flight : Evidence from the African Continent

    NARCIS (Netherlands)

    Hermes, Niels; Lensink, Robert

    2015-01-01

    During the past decades, many countries experienced considerable capital flight. Residents moved their wealth abroad, using different ways to accumulate foreign assets. Since the 1990s, several of these countries reformed their domestic financial markets in an attempt to improve the functioning of

  16. Financial liberalization and capital flight : evidence from the African continent

    NARCIS (Netherlands)

    Hermes, Niels; Lensink, Robert

    2014-01-01

    During the past decades, many countries experienced considerable capital flight. Residents moved their wealth abroad, using different ways to accumulate foreign assets. Since the 1990s, several of these countries reformed their domestic financial markets in an attempt to improve the functioning of

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

    International Nuclear Information System (INIS)

    Lemming, Jacob

    2003-01-01

    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

  18. Competitive strategy in turbulent healthcare markets: an analysis of financially effective teaching hospitals.

    Science.gov (United States)

    Langabeer, J

    1998-01-01

    As the healthcare marketplace, characterized by declining revenues and heavy price competition, continues to evolve toward managed care, teaching hospitals are being forced to act more like traditional industrial organizations. Profit-oriented behavior, including emphases on market strategies and competitive advantage, is now a necessity if these hospitals are going to survive the transition to managed care. To help teaching hospitals evaluate strategic options that maximize financial effectiveness, this study examined the financial and operating data for 100 major U.S. teaching hospitals to determine relationships among competitive strategy, market environment, and financial return on invested capital. Results should help major hospitals formulate more effective strategies to combat environmental turbulence.

  19. A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market

    Directory of Open Access Journals (Sweden)

    Lina Song

    2018-01-01

    Full Text Available Fractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using the method of combining the enhanced technique of Adomian decomposition method with the finite difference method. And then the result is introduced in China’s financial market. The work makes every effort to test the feasibility of the fractional derivative model in the actual financial market.

  20. Modeling of the financial market using the two-dimensional anisotropic Ising model

    Science.gov (United States)

    Lima, L. S.

    2017-09-01

    We have used the two-dimensional classical anisotropic Ising model in an external field and with an ion single anisotropy term as a mathematical model for the price dynamics of the financial market. The model presented allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents with respect to the facts of financial markets. We have obtained the mean price in terms of the strong of the site anisotropy term Δ which reinforces the sensitivity of the agent's sentiment to external news.

  1. Caregiver perceptions of the food marketing environment of African-American 3–11-year-olds: a qualitative study

    Science.gov (United States)

    Baskin, Monica L; Herbey, Ivan; Williams, Ronnie; Ard, Jamy D; Ivankova, Nataliya; Odoms-Young, Angela

    2014-01-01

    Objective To assess caregivers’ perceptions of the extent to which the food marketing environment influences food consumption among African-American children (aged 3–11 years) in order to generate potential strategies to make the marketing environment more favourable to healthier eating. Design Individual semi-structured interviews with caregivers were conducted by trained community leaders to ascertain their awareness of and perceptions about food marketing environments contributing to African-American children’s food consumption. Setting Six predominantly African-American communities in metro Birmingham, Alabama, USA with high proportions of school-age children and lower-income residents. Subjects Caregivers (n 25) were predominantly female (93 %) and either parents/guardians (64 %) or grandparents (28 %) of African-American children aged 3–11 years. Caregiver mean age was 43 years and 46% had lived in their current residence for over 10 years. Results Caregivers reported all aspects of the food marketing matrix as supporting unhealthy eating among African-American youth. Child preference for foods higher in fat and sugar, lower pricing of less healthy foods, limited access to healthier food retailers and targeted advertisements were particularly influential on the food selection, acquisition and consumption of children. Company loyalty, corporate sponsorship of local events and conflicts over parental v. food company responsibility contributed to less consensus about the overall impact (positive or negative) of food companies in African-American communities. Conclusions While caregivers perceived aspects of their food marketing environments as primarily contributing to unhealthy eating among African-American children, framing the demand for changes in the food marketing environments of African-American youth may be particularly challenging. PMID:23830058

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

    Science.gov (United States)

    2013-01-01

    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

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

    Directory of Open Access Journals (Sweden)

    Mehdi Mohammadzadeh

    2013-08-01

    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

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

    International Nuclear Information System (INIS)

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

    2014-01-01

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

  5. Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach

    OpenAIRE

    Dahiru A. Bala; Taro Takimoto

    2017-01-01

    This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009) on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs) are lower compared w...

  6. Theory of earthquakes interevent times applied to financial markets

    Science.gov (United States)

    Jagielski, Maciej; Kutner, Ryszard; Sornette, Didier

    2017-10-01

    We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long power law memory kernel. The Hawkes process is the simplest extension of the Poisson process that takes into account how past events influence the occurrence of future events. By analyzing the empirical data for 15 different financial assets, we show that the formalism of the Hawkes process used for earthquakes can successfully model the PDF of interevent times between successive market losses.

  7. Deducing the multi-trader population driving a financial market

    Science.gov (United States)

    Gupta, Nachi; Hauser, Raphael; Johnson, Neil

    2005-12-01

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

  8. The Effect of Corporate Citizenship Activities (CCAS on Financial Performance and Market Performance: The Omani Experience

    Directory of Open Access Journals (Sweden)

    Shaker Al Ani Mawih K.

    2015-04-01

    Full Text Available The main objective of this study is to investigate and analyze the effects of corporate citizenship activities on the financial performance and market performance of Omani manufacturing companies in the Sultanate of Oman for the period 2009-2013. The Financial performance of companies is measured by two independent variables: return on assets (ROA and return on equity (ROE. Market performance is measured by the fair market value of shares (FMV. CCAs are determined by the voluntary disclosures of corporate citizenship activities by the companies. The study concludes that there is a positive impact by CCAs on the financial and market performance of the Omani companies that leads to profit maximization.

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

    NARCIS (Netherlands)

    R.E. van der Hoeven (Rolph)

    2010-01-01

    textabstractThe 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

  10. Alternate entropy measure for assessing volatility in financial markets.

    Science.gov (United States)

    Bose, Ranjan; Hamacher, Kay

    2012-11-01

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

  11. The investment strategy of commercial banks on the financial markets

    Directory of Open Access Journals (Sweden)

    Ercegovac Dajana

    2012-01-01

    Full Text Available In contemporary market conditions classical deposit-loan strategy is not enough anymore in order to ensure survival of the commercial banks on the financial market and to reach profit that is high enough. Besides the loan placements strategy, it is necessary to adopt an adequate investment strategy which will contribute to the profitability, liquidity and safety of gross asset portfolio. Commercial banks, unlike investment banks, invest smaller part of their resources into securities of diverse maturity on financial markets. However, with the harsh competition of banks and other non-banking institutions, significance of investment portfolio grows as an alternative that ensures additional sources of revenue, assures liquidity, diversification of placements and decreases risk exposure. Banks have at their disposal vast range of investment strategies that can be combined depending on their investment objectives and risk aversion, such as passive and active strategy, strategy of ladder, weights strategy etc. Therefore, the aim of this paper is to present the significance of investment portfolio in commercial banks and the basic management strategies of investment portfolio that can be used by commercial banks.

  12. An Analysis of the Influence of Fundamental Values' Estimation Accuracy on Financial Markets

    Directory of Open Access Journals (Sweden)

    Hiroshi Takahashi

    2010-01-01

    Full Text Available This research analyzed the influence of the differences in the forecast accuracy of fundamental values on the financial market. As a result of intensive experiments in the market, we made the following interesting findings: (1 improvements in forecast accuracy of fundamentalists can contribute to an increase in the number of fundamentalists; (2 certain situations might occur, according to the level of forecast accuracy of fundamentalists, in which fundamentalists and passive management coexist, or in which fundamentalists die out of the market, and furthermore; (3 where a variety of investors exist in the market, improvements in the forecast accuracy could increase the number of fundamentalists more than the number of investors that employ passive investment strategy. These results contribute to clarifying the mechanism of price fluctuations in financial markets and also indicate one of the factors for the low ratio of passive investors in asset management business.

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

    Science.gov (United States)

    Brennan, Ross; Vos, Lynn

    2013-01-01

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

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

    Science.gov (United States)

    Lux, Thomas; Marchesi, Michele

    1999-02-01

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

  15. Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

    International Nuclear Information System (INIS)

    Yang, Ge; Wang, Jun; Fang, Wen

    2015-01-01

    In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems

  16. Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

    Science.gov (United States)

    Yang, Ge; Wang, Jun; Fang, Wen

    2015-04-01

    In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.

  17. Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

    Energy Technology Data Exchange (ETDEWEB)

    Yang, Ge; Wang, Jun [School of Science, Beijing Jiaotong University, Beijing 100044 (China); Fang, Wen, E-mail: fangwen@bjtu.edu.cn [School of Economics and Management, Beijing Jiaotong University, Beijing 100044 (China)

    2015-04-15

    In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.

  18. The highly intelligent virtual agents for modeling financial markets

    Science.gov (United States)

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

    2016-02-01

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

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

    Directory of Open Access Journals (Sweden)

    Tanase (Rosca Laura Daniela

    2011-12-01

    Full Text Available This article aims to provide an analysis of the saving and investing consumer behavior, that where researched in a time of changes after a severe financial crisis. The analyses purpose was to determine the reasons, or the way that the reasons would change, for buying different financial instruments, and also the way that the consumer perceives investing and saving. Different demographical characteristics and their influence on the financial behavior of the consumers were also studied. The investor behavior on the developed markets is being studied carefully for many years. The need to create financial products for each customer type, such as Generation Y, intensely investigated by various research teams, in different ways, resulting in different characteristics such as general proclivity to the marketing, advertising, consumerism, branding, environmental issues, fashion and even anxiety, begins to be felt also on the Romanian market. So, to better understand the actual degree of knowledge that the consumer have on the concepts of saving and investing and on that activities involved into this concepts is a very important step of the research. The research method is a survey based on a sample chosen with the simple random method undertaken in 2010. There were gathered 480 questionnaires. Research is not a statistical nationwide representative because of the lack of the financial and human capabilities. The developed questionnaire summarized 22 questions, in order to illustrate the way that saving and investing were seen, to see actual investing behavior and to measure the degree of trust given to the most known investing means. We expect that the methods of 'investing' that are most known and used to be bank deposits because in Romania the risk appetite is a low one. The people's appetite for saving activities we expect to be motivated by the need for purchasing consumer goods, and eventually buying a car or a house but not the desire to

  20. Financial Hardship, Unmet Medical Need, and Health Self-Efficacy among African American Men

    Science.gov (United States)

    Tucker-Seeley, Reginald D.; Mitchell, Jamie A.; Shires, Deirdre A.; Modlin, Charles S., Jr.

    2015-01-01

    Background: Health self-efficacy (the confidence to take care of one's health) is a key component in ensuring that individuals are active partners in their health and health care. The purpose of this study was to determine the association between financial hardship and health self-efficacy among African American men and to determine if unmet…

  1. Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets

    Science.gov (United States)

    Zeng, Yayun; Wang, Jun; Xu, Kaixuan

    2017-04-01

    A new financial agent-based time series model is developed and investigated by multiscale-continuum percolation system, which can be viewed as an extended version of continuum percolation system. In this financial model, for different parameters of proportion and density, two Poisson point processes (where the radii of points represent the ability of receiving or transmitting information among investors) are applied to model a random stock price process, in an attempt to investigate the fluctuation dynamics of the financial market. To validate its effectiveness and rationality, we compare the statistical behaviors and the multifractal behaviors of the simulated data derived from the proposed model with those of the real stock markets. Further, the multiscale sample entropy analysis is employed to study the complexity of the returns, and the cross-sample entropy analysis is applied to measure the degree of asynchrony of return autocorrelation time series. The empirical results indicate that the proposed financial model can simulate and reproduce some significant characteristics of the real stock markets to a certain extent.

  2. Determinants of dividend policy: Evidence from listed firms in the African stock exchanges

    Directory of Open Access Journals (Sweden)

    Nnadi Matthias

    2013-01-01

    Full Text Available The study demonstrates that much of the existing theoretical literature on dividend policy can be applied to the emerging capital markets of Africa. Using available financial data of listed firms in the 29 stock exchanges in Africa, the study finds similarities in the determinants of dividend policy in African firms with those in most developed economies. In particular, agency costs are found to be the most dominant determinant of dividend policy among African firms. The finding is non-synonymous with emerging capital markets which have a high concentration of private ownership and trading volumes. Agency cost theory may be important in both emerging and developed capital markets but the nature of the agency problem may be different in each case. Other factors such as level of market capitalization, age and growth of firms, as well as profitability also play key roles in the dividend policy of listed African firms.

  3. The Iron Law of Financial Markets: Self-fulfilling Prophecies and Speculative Booms and Busts

    Directory of Open Access Journals (Sweden)

    Ognjen Radonjić

    2016-02-01

    Full Text Available This paper discusses the factors which, in the absence of strong financial regulation, sustain the Iron Law of the Financial Markets asserting that speculative booms and busts occur more or less regularly from 17 century to the present. The first factor is that financial markets are self-fulfilling system. The second is that human nature does not change and is based on egoism, materialism, loss aversion, exaggerated hopes and fears, emulation, propensity to gamble, herd behavior and so on. Lastly, there is the extreme brevity of the financial memory. In order to enable economic authorities and/or individuals to detect timely that the unsustainable boom is under the way, we have identified the common features of historically recorded speculative episodes. Stages through which the system passes on its way from unsustainable rise to inevitable fall are: displacement, boom, overtrading, financial distress and discredit or revulsion.

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

    OpenAIRE

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

    2009-01-01

    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...

  5. Is it just culture? Or is relationship marketing in an international financial centre superior to one in a small market with a domestic focus?

    OpenAIRE

    Elofsson, Mattias; Salén, Caroline

    2006-01-01

    Relationship marketing is today becoming a more important element for the financial service providers, since competition within the market is increasing due to regulations and globalisation. Due to the fact that competition is increasing customer retention is becoming more and more important for the financial service providers. In order for the financial service providers to keep the customers there has to be a certain degree of trust between the actors in the relationship. The purpose with ...

  6. Perceptions of the food marketing environment among African American teen girls and adults.

    Science.gov (United States)

    Bibeau, Wendy S; Saksvig, Brit I; Gittelsohn, Joel; Williams, Sonja; Jones, Lindsey; Young, Deborah Rohm

    2012-02-01

    Obesity disproportionately affects African American adolescents, particularly girls. While ethnically targeted marketing of unhealthful food products contributes to this disparity, it is not known how African Americans perceive the food marketing environment in their communities. Qualitative methods, specifically photovoice and group discussions, were used to understand perceptions of African American adults and teen girls regarding targeted food marketing to adolescent girls. An advisory committee of four students, two faculty, and two parents was formed, who recruited peers to photograph their environments and participate in group discussions to answer "what influences teen girls to eat what they do." Seven adults and nine teens (all female) participated in the study. Discussions were transcribed, coded, and analyzed with ATLAS.ti to identify common and disparate themes among participants. Results indicated that adults and teens perceived the type of food products, availability of foods, and price to influence the girls' choices. The girls spoke about products that were highly convenient and tasty as being particularly attractive. The adults reported that advertisements and insufficient nutrition education were also influencers. The teens discussed that the places in which food products were available influenced their choices. Results suggest that the marketing of highly available, convenient food at low prices sell products to teen girls. Future work is needed to better understand the consumer's perspective on the food and beverage marketing strategies used. Copyright © 2011 Elsevier Ltd. All rights reserved.

  7. Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

    Directory of Open Access Journals (Sweden)

    Yanhui Xi

    2016-01-01

    Full Text Available The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation. With the new representations, a theoretical explanation of leverage effect is provided. Simulated data and daily stock market indices (Shanghai composite index, Shenzhen component index, and Standard and Poor’s 500 Composite index via Bayesian Markov Chain Monte Carlo (MCMC method are used to estimate the leverage market microstructure model. The results verify the effectiveness of the model and its estimation approach proposed in the paper and also indicate that the stock markets have strong leverage effects. Compared with the classical leverage stochastic volatility (SV model in terms of DIC (Deviance Information Criterion, the leverage market microstructure model fits the data better.

  8. Valuing call options on single stock futures: Does the put-call parity relationship hold in the South African derivatives market?

    Directory of Open Access Journals (Sweden)

    Biebuyck, A.

    2014-09-01

    Full Text Available Research has shown that violations of put-call parity do occur and that these violations present an investor with opportunities to profit from arbitrage deals. Mispricing may lead to significant superior returns and maximisation of shareholders’ wealth if found and acted upon in a timely manner. This study attempts to determine whether this mispricing of financial derivatives is present in the South African derivatives market. This will be achieved through the valuation of options on single stock futures using the put-call parity relationship. The theoretical fair values obtained, is compared to the actual market values over a period of three years, that is, from 2009 to 2011. The results show that arbitrage opportunities do present themselves for the chosen shares. Further research may involve more shares over a longer period to determine whether any pattern may exist which may form the basis of an arbitrage trading strategy

  9. Dynamic conditional correlation analysis of financial market interdependence : An application to Thailand and Indonesia

    NARCIS (Netherlands)

    Kuper, Gerard H.; Lestano, [No Value

    2006-01-01

    This paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country. We find that while tight monetary policy pursued by

  10. Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach

    Directory of Open Access Journals (Sweden)

    Dahiru A. Bala

    2017-03-01

    Full Text Available This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs using multivariate-GARCH (MGARCH models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009 on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs are lower compared with correlations among DMs and increase during financial crises. Furthermore, we detect evidence of volatility spillovers and observe that own-volatility spillovers are higher than cross-volatility spillovers for EMs suggesting that shocks have not been substantially transmitted among EMs compared to DMs. We also find significant asymmetric behaviour in DMs while weak evidence is detected for EMs. Finally, the DCC-with-skewed-t density model provided improved diagnostics compared to other models partly due to its taking into account fat tails and skewed features often present in financial returns.

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

    Science.gov (United States)

    Bolgorian, Meysam; Raei, Reza

    2013-11-01

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

  12. The U.S. Money Market and the Term Auction Facility in the Financial Crisis of 2007-–2009

    OpenAIRE

    Tao Wu

    2011-01-01

    The interbank money market in the United States and Europe became turbulent during the financial crisis of 2007-–2009, with the counterparty default risk premiums and liquidity premiums of short-term financing among major financial institutions rising sharply to unprecedented levels. Using various measures of macroeconomic and financial risks, I find that the surges in counterparty risk premiums were predominantly driven by heightened uncertainties about the macroeconomy and financial market,...

  13. MARKETING CHALLENGES FOR SOUTH AFRICAN PUBLIC SECTOR BUSINESS INCUBATOR

    Directory of Open Access Journals (Sweden)

    Donaldson Walter James

    2017-12-01

    Full Text Available Entrepreneurship and innovation form the cornerstone of economic development in many developing countries. Through this, rather ideal combination employment can be enhanced, communities can be uplifted through education, and growth can be increased through discretionary purchasing power. This cycle has positive spinoffs which can alleviate poverty and decrease famine. Recent local research suggests that more than eighty percent of entrepreneurs, start-ups and Business ‘Incubatees’ don’t make it through their first year of establishment after leaving a Business Incubator programme. This paper tries to identify some of the marketing challenges faced by Business Incubators, and indeed BIMs in the Public Sector environment in South Africa. Identification and highlighting the possible drawbacks for ‘incubatees’ may assist them with success or meeting competitive challenges when they depart from the security of the relevant programmes. This study examines some of the skills, knowledge and attributes required for BIMs in this sector and what is required to meet the business and marketing challenges faced to remain sustainable. The survey was aimed at the largest, focused segment of South African Business Incubators affiliated to the industrial public sector and the hypothesis was to prove that strategic marketing information, acumen and knowledge is a key differentiator towards the growth and sustainability of Business Incubators in that sector. It is notable that these marketing challenges may also compare favourably with several other public sector segments in relevant countries of the southern African region as similar macroeconomic challenges are faced.

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

    NARCIS (Netherlands)

    P.A.M. Diekman (Peter)

    2008-01-01

    textabstractWaarom heeft u nog vertrouwen in een bank? En waarom vertrouwt u uw geld nog toe aan banken? Deze vragen staan centraal in de oratie ‘Protecting Financial Market Integrity. Roles and Responsibilities of Auditors' van prof.dr. Peter A.M. Diekman RA. Hij stelt dat zowel de intern als de

  15. Impact Of The Ban On Uncovered SCDS Trade On the Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Markets

    Directory of Open Access Journals (Sweden)

    Kliber Agata

    2016-03-01

    Full Text Available The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one. The study covers the period from October 2008 to October 2013. We analyse changes in the interdependencies between the sCDS market and the bond market, as well as between the sCDS market and the stock exchange. We found out that in the case of the safe Swedish market, the strength of relationships of each sector of financial markets with the sCDS one was much weaker than in the case of Hungary, which may suggest that the Swedish market is less prone to crisis transmission arising from herd behaviour or speculative attacks. In the end we show that in the two economies, the influence of the sCDS market on the other sectors of financial market indeed diminished following introduction of the ban on uncovered sCDS trade.

  16. Financial methods in competitive electricity markets

    Science.gov (United States)

    Deng, Shijie

    The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in

  17. STUDY REGARDING THE ASSETS EVALUATION ON THE FINANCIAL MARKET THROUGH THE C.A.P.M. MODEL

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2014-11-01

    Full Text Available Capital Asset Pricing Model (CAPM was introduced through the works of William Sharpe (1964, John Lintner (1965 and Jan Mossin (1966 based on the research of Henry Markovitz. Due to the independent formulation of the model by these three american researchers, there are in the literature references to the Security Market Line (SML model of financial assets evaluation. CAPM model, revolutionized the financial theory, highlighting the link between the rentability of the individual securities and the rentability of the financial market. The first fundamental hypothesis of the model is that investors are concerned about the expected rentability closely related to the risk associated with it. Consequently, under equilibrium conditions of the financial market, the CAPM model highlights a linear relationship between the expected rentability of the portfolio and the amount of risk assumed by investors.

  18. Analysis of market potential of the Luxury goods industry in the West African countries

    OpenAIRE

    Fofana, Nathy Nabila

    2014-01-01

    For decades, the African continent has been perceived in a negative way and it has not been easy to change this international perception of the continent. During the past few years a deep change has taken place in the continent and in the eyes of the world. Africa is now open for business and Africa is also able to compete effectively in the international luxury market. The luxury market is constantly rising but it is not fully present on the African continent yet. The objective of this thesi...

  19. How the ownership structures cause epidemics in financial markets: A network-based simulation model

    Science.gov (United States)

    Dastkhan, Hossein; Gharneh, Naser Shams

    2018-02-01

    Analysis of systemic risks and contagions is one of the main challenges of policy makers and researchers in the recent years. Network theory is introduced as a main approach in the modeling and simulation of financial and economic systems. In this paper, a simulation model is introduced based on the ownership network to analyze the contagion and systemic risk events. For this purpose, different network structures with different values for parameters are considered to investigate the stability of the financial system in the presence of different kinds of idiosyncratic and aggregate shocks. The considered network structures include Erdos-Renyi, core-periphery, segregated and power-law networks. Moreover, the results of the proposed model are also calculated for a real ownership network. The results show that the network structure has a significant effect on the probability and the extent of contagion in the financial systems. For each network structure, various values for the parameters results in remarkable differences in the systemic risk measures. The results of real case show that the proposed model is appropriate in the analysis of systemic risk and contagion in financial markets, identification of systemically important firms and estimation of market loss when the initial failures occur. This paper suggests a new direction in the modeling of contagion in the financial markets, in particular that the effects of new kinds of financial exposure are clarified. This paper's idea and analytical results may also be useful for the financial policy makers, portfolio managers and the firms to conduct their investment in the right direction.

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

    Directory of Open Access Journals (Sweden)

    Fikret Kartal

    2013-08-01

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

  1. High frequency analysis of lead-lag relationships between financial markets

    NARCIS (Netherlands)

    de Jong, F.C.J.M.; Nijman, T.E.

    1995-01-01

    High frequency data are often observed at irregular intervals, which complicates the analysis of lead-lag relationships between financial markets. Frequently, estimators have been used that are based on observations at regular intervals, which are adapted to the irregular observations case by

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

    Directory of Open Access Journals (Sweden)

    CONSTANTIN LAURA-GABRIELA

    2014-12-01

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

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

    Directory of Open Access Journals (Sweden)

    CONSTANTIN LAURA-GABRIELA

    2014-12-01

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

  4. Testing for detailed balance in a financial market

    Science.gov (United States)

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

    2015-06-01

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

  5. Dynamic effects of increasing heterogeneity in financial markets

    International Nuclear Information System (INIS)

    Naimzada, Ahmad K.; Ricchiuti, Giorgio

    2009-01-01

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

  6. Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach

    Science.gov (United States)

    Lucas, Iris; Cotsaftis, Michel; Bertelle, Cyrille

    This paper introduces the implementation of a computational agent-based financial market model in which the system is described on both microscopic and macroscopic levels. This artificial financial market model is used to study the system response when a shock occurs. Indeed, when a market experiences perturbations, financial systems behavior can exhibit two different properties: resilience and robustness. Through simulations and different scenarios of market shocks, these system properties are studied. The results notably show that the emergence of collective herding behavior when market shock occurs leads to a temporary disruption of the system self-organization. Numerical simulations highlight that the market can absorb strong mono-shocks but can also be led to rupture by low but repeated perturbations.

  7. Underdevelopment in the U.S. Labor Market: The Case of African American Female Workers.

    Science.gov (United States)

    Ajanaku, Femi I.; And Others

    1991-01-01

    The work experience of the African-American woman is often overlooked. In this article, the development/underdevelopment model, usually applied to the depressed situation of the Third World, is used to assess the dynamics of race, class, and gender for African-American females in the labor market. (SLD)

  8. Marketing Strategy and Financial Performance: The Case of Chocolate Industry in Macedonia

    OpenAIRE

    Marjanova Jovanov, Tamara; Davcev, Ljupco; Boeva, Bogdanka

    2016-01-01

    Different business performance of the companies for many researchers is understood through the influence of marketing. This can be explained through the theory of strategy, since this theory is answering why different companies have different financial performances. The basic purpose of market research is that it allows the determination of a strategy for operation of the enterprise on the market, and establishes the needed specific actions which are to be taken for the strategy implementatio...

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

    Directory of Open Access Journals (Sweden)

    Sabine Dörry

    2011-11-01

    Full Text Available “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 strong entanglement...

  10. Mexico; Financial Sector Assessment Program Update: Technical Note: Derivatives Market: Overview and Potential Vulnerabilities

    OpenAIRE

    International Monetary Fund

    2007-01-01

    This technical note provides an overview of Mexico’s derivatives markets, and describes concisely the derivatives regulatory framework and risk management practices in financial institutions active in these markets. The most important derivatives market in Mexico is the over-the-counter (OTC) derivatives market, which is fully integrated with the global derivatives market. The origin of the OTC derivatives market can be traced back to the 1994 Mexican crisis that forced Mexico to abandon its ...

  11. Socioeconomic Status, Financial Strain, and Leukocyte Telomere Length in a Sample of African American Midlife Men.

    Science.gov (United States)

    Schrock, Joshua M; Adler, Nancy E; Epel, Elissa S; Nuru-Jeter, Amani M; Lin, Jue; Blackburn, Elizabeth H; Taylor, Robert Joseph; Chae, David H

    2017-06-20

    African American men in the USA experience poorer aging-related health outcomes compared to their White counterparts, partially due to socioeconomic disparities along racial lines. Greater exposure to socioeconomic strains among African American men may adversely impact health and aging at the cellular level, as indexed by shorter leukocyte telomere length (LTL). This study examined associations between socioeconomic factors and LTL among African American men in midlife, a life course stage when heterogeneity in both health and socioeconomic status are particularly pronounced. Using multinomial logistic regression, we examined associations between multiple measures of SES and tertiles of LTL in a sample of 92 African American men between 30 to 50 years of age. Reports of greater financial strain were associated with higher odds of short versus medium LTL (odds ratio (OR)=2.21, p = 0.03). Higher income was associated with lower odds of short versus medium telomeres (OR=0.97, p = 0.04). Exploratory analyses revealed a significant interaction between educational attainment and employment status (χ 2  = 4.07, p = 0.04), with greater education associated with lower odds of short versus long telomeres only among those not employed (OR=0.10, p = 0.040). Cellular aging associated with multiple dimensions of socioeconomic adversity may contribute to poor aging-related health outcomes among African American men. Subjective appraisal of financial difficulty may impact LTL independently of objective dimensions of SES. Self-appraised success in fulfilling traditionally masculine gender roles, including being an economic provider, may be a particularly salient aspect of identity for African American men and have implications for cellular aging in this population.

  12. Measuring and Forecasting Financial Market Volatility using High-Frequency Data

    NARCIS (Netherlands)

    K. Bannouh (Karim)

    2013-01-01

    textabstractThis dissertation consists of three studies on the use of intraday asset price data for accurate measurement and forecasting of financial market volatility. Chapter 2 proposes a refined heuristic bias-correction for the two time scales realized range-based volatility estimator in the

  13. Methodological Analysis of Gregarious Behaviour of Agents in the Financial Markets

    OpenAIRE

    Solodukhin Stanislav V.

    2013-01-01

    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.

  14. An Effective Financial Statements Fraud Detection Model for the Sustainable Development of Financial Markets: Evidence from Taiwan

    Directory of Open Access Journals (Sweden)

    Chyan-long Jan

    2018-02-01

    Full Text Available This study aims to establish a rigorous and effective model to detect enterprises’ financial statements fraud for the sustainable development of enterprises and financial markets. The research period is 2004–2014 and the sample is companies listed on either the Taiwan Stock Exchange or the Taipei Exchange, with a total of 160 companies (including 40 companies reporting financial statements fraud. This study adopts multiple data mining techniques. In the first stage, an artificial neural network (ANN and a support vector machine (SVM are deployed to screen out important variables. In the second stage, four types of decision trees (classification and regression tree (CART, chi-square automatic interaction detector (CHAID, C5.0, and quick unbiased efficient statistical tree (QUEST are constructed for classification. Both financial and non-financial variables are selected, in order to build a highly accurate model to detect fraudulent financial reporting. The empirical findings show that the variables screened with ANN and processed by CART (the ANN + CART model yields the best classification results, with an accuracy of 90.83% in the detection of financial statements fraud.

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

    Science.gov (United States)

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

    2014-07-01

    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.

  16. Comprehension of marketing research textbooks among South African students: An investigation

    OpenAIRE

    Berndt, Adele; Petzer, Daniel; Wayland, Jane P.

    2014-01-01

    Reading is a skill people require in order to operate successfully in all spheres of life.  Mastering this skill is even more critical when pursuing academic studies. This study investigated the reading comprehension of final year undergraduate marketing students at a South African higher education institution (HEI) relating to their comprehension of marketing research textbooks. Two measurement instruments were used to test their reading comprehension. One instrument contained two passages f...

  17. Rethinking Brands in the Emerging Financial Markets(Gelişmekte olan Finansal Piyasalarda Markayı Yeniden Düşünmek

    Directory of Open Access Journals (Sweden)

    Banu DİNCER

    2010-01-01

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

  18. CONSIDERATIONS REGARDING REGULATIONS ON FINANCIAL MARKETS IN THE CONDITIONS OF ROMANIA AS A EU MEMBER STATE

    Directory of Open Access Journals (Sweden)

    ALEXANDRU CRISTIAN DOBRE

    2018-02-01

    Full Text Available Financial markets are increasingly becoming an area of major interest to the European Union in its efforts to achieve competitive global development levels similar to those of the United States. The Lisbon Agenda is a testimony to this, although the latest assessments are not at all optimistic about the achievement of the target as expected for 2010. To meet its objectives, the EU has generated a comprehensive package of regulatory initiatives, composed of directives and regulations that translate its policies into the field. The paper aims at a careful review of all of them. Approximation of investment and capital markets is made from the two major chapters of Community policies whose freedom of movement within the internal market is a fundamental desideratum of the European Union: the free movement of capital and freedom of movement of services. Financial markets are an integral part of European capital under current conditions, so development regulation helps European Union member states achieve their financial goals. At the same time, by imposing these regulations, we observe the European Union's intention to act as a starter of systems to bring to the development of states and not to leave behind the countries that are in difficulty, through a rigorous and transparent regulation of the financial markets.

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

    Science.gov (United States)

    Gagnon, Marc-André

    2013-01-01

    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. © 2013 American Society of Law, Medicine & Ethics, Inc.

  20. Effects of the Financial Crisis on Stock Market of the Czech Republic and Spain

    OpenAIRE

    Titizov, Toško

    2013-01-01

    The paper analyzes effects of the financial crisis on stock market of the Czech Republic and Spain. We employ BEKK-GARCH model in order to study volatility spillovers and transmissions from the US stock market to stock markets of the Czech Republic and Spain. The multivariate GARCH models results show statistically significant, but relatively small, almost irrelevant volatility spillovers from the US stock market to stock markets of the Czech Republic and Spain. The Czech stock market exhibit...

  1. The Impact of the Asian Crisis on International Financial Markets

    Directory of Open Access Journals (Sweden)

    Sang-Uck Loh

    1998-12-01

    Full Text Available Among the influences of the Asian financial crisis on the international market and its monetary policy and situation, the sharp backwash of the international private capital which has been continually related to the emerging market since the early 1990s is considered as the most important one. Though this trend is partly the result of the internal causes of the emerging countries, such as the inflexible policy of the exchange rate, the accumulation of the frequent income and expenses deficit and the stagnation of the economy in the countries hit by the Asian economic crisis, the unstable internal structure of the application system of the international monetary market probably also brought a tremendous influence. This thesis takes a look at the situation and is directed towards the direction and scale of the future international capital based on the studies of the unsteady factors of the structure of the economic market, which appeared in the period of the Asian economic crisis. After the moratorium of Russia, the liquidity of the international private capital in the international monetary market became various with the implement of the policy which lowered the exchange rate under the cooperation of the developed countries. Meanwhile, the Asian countries strived to establish the structure of enterprises and financial department in a full speed and with a high intensity after the economic crisis. So it is believed that they were fully qualified to enter the emerging market, and would be again in case of need. As the international investors experienced the Asian economic crisis, they faced and estimated the risk of investing into the emerging markets again. As the case stands, the strengthened joint of finance and trade among countries lead to a higher risk of the possibility that the crisis of one country expands to a worldwide crisis. So it is predicted that the inflow of the capital to the emerging market will be in a gradual way. The selection

  2. Foreign direct investment in the financial sector of emerging market economies

    OpenAIRE

    Bank for International Settlements

    2004-01-01

    Executive summary Foreign participation in the financial sectors of emerging market economies (EMEs) increased rapidly during the 1990s. It has continued to expand so far in this decade, on balance – although its pace fell somewhat following problems in Argentina in 2002 and the global slowdown in mergers and acquisitions. While banks accounted for the majority of financial sector foreign direct investment (FSFDI), they were joined during this period by securities and investment firms. In a n...

  3. Peer mentoring and financial incentives to improve glucose control in African American veterans: a randomized trial.

    Science.gov (United States)

    Long, Judith A; Jahnle, Erica C; Richardson, Diane M; Loewenstein, George; Volpp, Kevin G

    2012-03-20

    Compared with white persons, African Americans have a greater incidence of diabetes, decreased control, and higher rates of microvascular complications. A peer mentorship model could be a scalable approach to improving control in this population and reducing disparities in diabetic outcomes. To determine whether peer mentors or financial incentives are superior to usual care in helping African American veterans decrease their hemoglobin A(1c) (HbA(1c)) levels. A 6-month randomized, controlled trial. (ClinicalTrials.gov registration number: NCT01125956) Philadelphia Veterans Affairs Medical Center. African American veterans aged 50 to 70 years with persistently poor diabetes control. 118 patients were randomly assigned to 1 of 3 groups: usual care, a peer mentoring group, and a financial incentives group. Usual care patients were notified of their starting HbA(1c) level and recommended goals for HbA(1c). Those in the peer mentoring group were assigned a mentor who formerly had poor glycemic control but now had good control (HbA(1c) level ≤7.5%). The mentor was asked to talk with the patient at least once per week. Peer mentors were matched by race, sex, and age. Patients in the financial incentive group could earn $100 by decreasing their HbA(1c) level by 1% and $200 by decreasing it by 2% or to an HbA(1c) level of 6.5%. Change in HbA(1c) level at 6 months. Mentors and mentees talked the most in the first month (mean calls, 4; range, 0 to 30), but calls decreased to a mean of 2 calls (range, 0 to 10) by the sixth month. Levels of HbA(1c) decreased from 9.9% to 9.8% in the control group, from 9.8% to 8.7% in the peer mentor group, and from 9.5% to 9.1% in the financial incentive group. Mean change in HbA(1c) level from baseline to 6 months relative to control was -1.07% (95% CI, -1.84% to -0.31%) in the peer mentor group and -0.45% (CI, -1.23% to 0.32%) in the financial incentive group. The study included only veterans and lasted only 6 months. Peer mentorship

  4. Building credibility in international banking and financial markets

    DEFF Research Database (Denmark)

    Jørgensen, Poul Erik Flyvholm; Isaksson, Maria

    2008-01-01

    . There is also clear evidence that corporate advertising is in fact strongly focussed on communicating credibility with less than 10% of discourse and visuals devoted to credibility-free themes and issues. Research implications/limitations - The study takes a production perspective, using discourse......Purpose - The research draws a detailed picture of how international corporate banks and financial institutions approach image advertising to enhance impressions of their credibility. The purpose of the work is twofold, namely to demonstrate (1) how corporate credibility can be conceptualised...... appeal forms. A corpus of 74 print adverts was then analysed in order to establish how financial marketers use the appeal forms to strengthen their corporate reputations. The patterns of credibility appeals obtained were then linked to the supporting visuals to provide a fuller picture of the industry...

  5. Financial Derivatives Market for Grid Computing

    CERN Document Server

    Aubert, David; Lindset, Snorre; Huuse, Henning

    2007-01-01

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

  6. Financial Market Implications of India’s Pension Reform

    OpenAIRE

    Helene Poirson Ward

    2007-01-01

    India's planned pension reform will set up a proper regulatory framework for the pension industry and open up the sector to private fund managers. Drawing on international experiences, the paper highlights pre-conditions for the reform to kick-start financial development, including: (i) the buildup of critical mass; (ii) sufficiently flexible investment guidelines and regulations, including on investments abroad; and (iii) concurrent reforms in capital markets. Given the limited scale of the ...

  7. Dynamics of cluster structures in a financial market network

    Science.gov (United States)

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

    2014-11-01

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

  8. South African exporter performance: new research into firm-specific and market characteristics

    Directory of Open Access Journals (Sweden)

    Christopher May

    2012-05-01

    Full Text Available The export marketing performance of any firm is influenced by a multitude of different factors. Given the multi-faceted nature of the export market, this research study investigated specific factors such as how firm-specific characteristics, product characteristics, market characteristics and export marketing strategies impact on the export marketing performance of South African manufacturing firms. Some of the findings of this research study indicated that firm size, investment commitment and careful planning, as firm-specific characteristics, had a significant influence on export marketing performance. The relationship between export experience and export marketing performance was insignificant. The degree of pricing adaptation and product adaptation had a significant effect on export marketing performance, while this was not the case with respect to the degree of promotion adaptation and distributor support.

  9. Financial crisis and market risk premium: Identifying multiple structural changes

    Directory of Open Access Journals (Sweden)

    Juan J. García-Machado

    2011-03-01

    Full Text Available The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, in this article we examine the long-run relationship between stock and bond markets returns over the period from 1991:11 to 2009:11, using Bai and Perron’s multiple structural change approach. Findings indicate that while the market risk premium is usually positive, periods with negative values appear only in three periods (1991:1-1993:2, 1998:3-2002:2 and from 2007:1-2009:11 leading to changes in the GDP evolution. Thereby, the study shows the presence of structural breaks in the Spanish market risk premium and its relationship with business cycle. These findings contribute to a better understanding of close linkages between the financial markets and the macroeconomic variables such as GDP. Implications of the study and suggestions for future research are provided.

  10. Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis

    Science.gov (United States)

    Mensi, Walid; Tiwari, Aviral Kumar; Yoon, Seong-Min

    2017-04-01

    This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.

  11. Financial technical indicator based on chaotic bagging predictors for adaptive stock selection in Japanese and American markets

    Science.gov (United States)

    Suzuki, Tomoya; Ohkura, Yuushi

    2016-01-01

    In order to examine the predictability and profitability of financial markets, we introduce three ideas to improve the traditional technical analysis to detect investment timings more quickly. Firstly, a nonlinear prediction model is considered as an effective way to enhance this detection power by learning complex behavioral patterns hidden in financial markets. Secondly, the bagging algorithm can be applied to quantify the confidence in predictions and compose new technical indicators. Thirdly, we also introduce how to select more profitable stocks to improve investment performance by the two-step selection: the first step selects more predictable stocks during the learning period, and then the second step adaptively and dynamically selects the most confident stock showing the most significant technical signal in each investment. Finally, some investment simulations based on real financial data show that these ideas are successful in overcoming complex financial markets.

  12. Brexit and the European financial system: mapping markets, players and jobs

    OpenAIRE

    Batsaikhan, Uuriintuya; Kalcik, Robert; Schoenmaker, Dirk

    2017-01-01

    London is an international financial centre, serving European and global clients. A hard Brexit would lead to a partial migration of financial firms from London to the EU27 (EU minus UK) to ensure they can continue to serve their EU27 clients. Four major cities will host most of the new EU27 wholesale markets - Frankfurt, Paris, Dublin and Amsterdam. These cities have far fewer people employed in finance than London. Moreover, they host the European headquarters of fewer large companies. The ...

  13. Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts

    Science.gov (United States)

    Cavalli, F.; Naimzada, A.; Pecora, N.

    2017-10-01

    In the present paper, we investigate the dynamics of a model in which the real part of the economy, described within a multiplier-accelerator framework, interacts with a financial market with heterogeneous speculators, in order to study the channels through which the two sectors influence each other. Employing analytical and numerical tools, we investigate stability conditions as well as bifurcations and possible periodic, quasi-periodic, and chaotic dynamics, enlightening how the degree of market interaction, together with the accelerator parameter and the intervention of the fiscal authority, may affect the business cycle and the course of the financial market. In particular, we show that even if the steady state is locally stable, multistability phenomena can occur, with several and complex dynamic structures coexisting with the steady state. Finally, simulations reveal that the proposed model is able to explain several statistical properties and stylized facts observed in real financial markets, including persistent high volatility, fat-tailed return distributions, volatility clustering, and positive autocorrelation of absolute returns.

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

    CERN Multimedia

    2003-01-01

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

  15. Private Sector Investments from Small States in Emerging Markets: Can International Financial Institutions Help Handle the Risks?

    Directory of Open Access Journals (Sweden)

    Hilmar Þór Hilmarsson

    2008-12-01

    Full Text Available The private sector plays an important role in the economic reconstruction of emerging market economies, and international financial institutions (IFIs increasingly work in partnership with the private sector to increase economic growth and reduce poverty in those economies. IFIs, for example, offer: (i equity financing and/or loans for private sector projects, (ii investment guarantees against political risks (or non-commercial risks, (iii technical assistance, and (iv advisory services, etc. This article will briefly discuss the services that IFIs offer the private sector in emerging markets and cases in which these services could be useful for Icelandic companies. The institutions discussed are (i the World Bank Group, (ii the European Bank for Reconstruction and Development (EBRD, (iii the Asian Development Bank (AsDB, (iv the Inter-American Development Bank (IDB, and (v the African Development Bank (AfDB. A few Icelandic firms already have plans for relatively large projects in emerging market economies, especially in the energy sector, some of them in countries that could be classified as being risky. The ongoing economic crisis in Iceland will make project financing in emerging markets more problematic than before and therefore investments in partnership with international financial institutions could be an option that Icelandic firms will increasingly need to consider if they intend to invest abroad. However, increased private sector and IFI partnerships will not happen without government action. Iceland is a member of only two of the above-mentioned IFIs: the World Bank Group and the EBRD. The decision for Iceland to become member of the AsDB, IDB and AfDB rests solely with the government. Further government inaction in this area could become an impediment for foreign direct investment from Iceland to emerging markets and increase risks when the Icelandic private sector invests in those economies. Unnecessary risks might not only hurt

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

    International Nuclear Information System (INIS)

    Ma Shihao

    2009-01-01

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

  17. Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets

    OpenAIRE

    Arestis, Philip; Phelps, P

    2017-01-01

    Relatively little is known about the financial market impact of international monetary surprises arising on the same trading day. This paper estimates a suite of multi-security factor models, which captures international monetary surprise effects on UK and Euro Area government-bond markets over the period 1999–2014. In doing so, we shed light on the relative importance of coinciding, non-coinciding monetary surprises and non-monetary surprises across the yield curve. We find some support for ...

  18. African electricity market liberalization, competition and structuring: Should double bid markets be set up?

    International Nuclear Information System (INIS)

    Founanou, M.

    2011-01-01

    In this paper, we analyse the possibility of using double auction mechanisms in the organization of the electricity markets in African countries. Today's electricity markets around the world are de-regulated and going through a restructuring process. In a context marked by the opening up to competition, a double auction for electricity supply is henceforth used to set prices in wholesale and retail electricity markets. Game theory analysis useful for studying the double auction prices proprieties. The double auction is a non-cooperative game, which is strategically equivalent to the auctions theory. The price formed, depending on the buyers and sellers' strategies, is a competitive price, which tends to the ideal price when competition operates intensely on both sides of market. For Africa, the presence of congestion costs and a chronic lack of capacity require the search for other solutions. We investigate optimal strategic behaviour when buyers and sellers are separated by a possibly constrained transmission line and show that bidders' strategies converge to truth-telling behaviour as the number of market participants increases. In the congestion case, this fails to occur. We also investigate how participants in wholesale electricity markets modify their bidding strategies as a function of the influence and behaviour of a transmission line owner. (author)

  19. Dislocations in FX Swap and Money Markets in Hong Kong and Policy Actions during the Financial Crisis of 2008

    OpenAIRE

    Laurence Fung; Ip-wing Yu

    2009-01-01

    When US dollar interbank markets malfunctioned during the global financial crisis of 2008, many non-US financial institutions relied heavily on the foreign-exchange (FX) swap markets for US-dollar funds. This one-sided market induced a risk premium of the FX swap-implied US-dollar rate across a range of funding currencies, i.e. a deviation from the covered interest parity (CIP) condition. The turbulence in the global interbank markets therefore spilled over to the FX swap markets, including t...

  20. The Differences between Multilevel Marketing and the Financial Pyramids or “Pyramid Scheme”

    Directory of Open Access Journals (Sweden)

    Vanessa Braga Santos

    2017-06-01

    Full Text Available This research aims to analyze and understand the difference between the concept of Multilevel Marketing and the Financial Pyramids. The main objective of this work is to clarify the differences between these two business models that are growing worldwide and also present concepts that show the success of professionals in this kind of new business model. Multilevel Marketing shows a sustainable system, a direct selling business that includes recruiting distributors with a profit share and also by recruiting new members. In the Financial Pyramid concept, the problem is that business support is the network itself, and often there are no products to be commercialized, so this model is unsustainable and considered as an illegal business in several countries, including Brazil. Within this approach, a case study was conducted with one of the largest Multilevel Marketing companies in the world, Mary Kay. We conducted a direct interview with one of Mary Kay Independent Sales Directors from the city of Piracicaba, held in October 2016, and collected data surveys from the internet. The markets today are based on moving products, so we concluded that Multilevel Marketing is a great business opportunity to make an extra income by marketing services and products.

  1. EVIDENCE FROM THE GERMAN CAPITAL MARKET REGARDING THE VALUE RELEVANCE OF CONSOLIDATED VERSUS PARENT COMPANY FINANCIAL STATEMENTS

    Directory of Open Access Journals (Sweden)

    Muller Victor - Octavian

    2011-07-01

    Full Text Available Financial statements main objective is to give information on the financial position, performance and changes in financial position of the reporting entity, which is useful to investors and other users in making economic decisions. In order to be useful, financial information needs to be relevant to the decision-making process of users in general, and investors in particular. Hence, the following question arises logically which of the two sets best serves the information needs of investors (and other categories of users, respectively which of the two sets is more relevant for investors? Of course, the possibility of both sets at the same time best serving the information needs should not be ruled out. In our scientific endeavor we conducted an empirical association study on the problem of market value relevance of consolidated financial statements and of individual financial statements of the parent company, searching for an answer to the above question. In this sense, we analyze the absolute and relative market value relevance of consolidated accounting information of listed companies on the Frankfurt Stock Exchange (one of the largest three stock markets in the European Union between 2003 and 2008. Through this empirical study we intend to contribute to the relatively limited literature on this topic with a comparative time analysis of the absolute and incremental relevance of financial information supplied by the two categories of financial statements (group and individual. The results obtained indicate a statistically significant superiority of the relevance of consolidated statements (in detriment of individual ones. However, we could not statistically prove a superior value relevance of information provided together by consolidated and parent company financial statements as opposed to consolidated information. On the one hand, these results prove the importance (usefulness of consolidated financial statements especially for investors on

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

    International Nuclear Information System (INIS)

    Koppelaar, R.

    2008-11-01

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

  3. Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations.

    Science.gov (United States)

    Almog, Assaf; Besamusca, Ferry; MacMahon, Mel; Garlaschelli, Diego

    2015-01-01

    The mesoscopic organization of complex systems, from financial markets to the brain, is an intermediate between the microscopic dynamics of individual units (stocks or neurons, in the mentioned cases), and the macroscopic dynamics of the system as a whole. The organization is determined by "communities" of units whose dynamics, represented by time series of activity, is more strongly correlated internally than with the rest of the system. Recent studies have shown that the binary projections of various financial and neural time series exhibit nontrivial dynamical features that resemble those of the original data. This implies that a significant piece of information is encoded into the binary projection (i.e. the sign) of such increments. Here, we explore whether the binary signatures of multiple time series can replicate the same complex community organization of the financial market, as the original weighted time series. We adopt a method that has been specifically designed to detect communities from cross-correlation matrices of time series data. Our analysis shows that the simpler binary representation leads to a community structure that is almost identical with that obtained using the full weighted representation. These results confirm that binary projections of financial time series contain significant structural information.

  4. Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations.

    Directory of Open Access Journals (Sweden)

    Assaf Almog

    Full Text Available The mesoscopic organization of complex systems, from financial markets to the brain, is an intermediate between the microscopic dynamics of individual units (stocks or neurons, in the mentioned cases, and the macroscopic dynamics of the system as a whole. The organization is determined by "communities" of units whose dynamics, represented by time series of activity, is more strongly correlated internally than with the rest of the system. Recent studies have shown that the binary projections of various financial and neural time series exhibit nontrivial dynamical features that resemble those of the original data. This implies that a significant piece of information is encoded into the binary projection (i.e. the sign of such increments. Here, we explore whether the binary signatures of multiple time series can replicate the same complex community organization of the financial market, as the original weighted time series. We adopt a method that has been specifically designed to detect communities from cross-correlation matrices of time series data. Our analysis shows that the simpler binary representation leads to a community structure that is almost identical with that obtained using the full weighted representation. These results confirm that binary projections of financial time series contain significant structural information.

  5. Analyzing the impact of global financial crisis on the interconnectedness of Asian stock markets using network science

    OpenAIRE

    Jitendra Aswani

    2015-01-01

    As importance of Asian Stock Markets (ASM) has increased after the globalization, it is become significant to know how this network of ASM behaves on the onset of financial crises. For this study, the Global Financial Crisis is considered whose origin was in the developed country, US, unlike the Asian crisis of 1997. To evaluate the impact of financial crisis on the ASM, network theory is used as a tool here. Network modeling of stock markets is useful as it can help to avert the spillover of...

  6. South Africa's marketing strategies towards major African regional economic players: the case of the 2010 FIFA World Cup –was it truly an African event?

    Directory of Open Access Journals (Sweden)

    PPS Sifolo

    2014-01-01

    Full Text Available This article critically examines the effect and the dynamics of the 2010 FIFA World Cup in relation to major African regional economic players. It was conducted with an assumption that the branding of the 2010 FIFA World Cup as „Africa‟s Time‟, „Africa‟s moment‟, and „Africa‟s turn‟ to the benefit of the continent would be viewed with pessimism, at least by the (Egypt, Algeria, Kenya, Ethiopia, Ghana and Nigeria major African regional economic players, as an event that did not benefit the continent as a whole but South Africa and the Southern African Development Community (SADC region. This article used phenomenological strategy under qualitative methods whereby face to face interviews were conducted from a sample drawn from the pool of diplomatic community and the staff of relevant Non-Governmental Organisations (NGOs and Inter-Governmental Organisations (IGOs in Addis Ababa, Ethiopia. The results revealed that an event was a tremendous boost to the pride and confidence of Africa and its people. Credit should be given to South Africa for taking the leading role in marketing an event as African and not as South African. Such marketing strategy did not only ensure African ownership but instilled the sense of African pride.

  7. Model uncertainty in financial markets : Long run risk and parameter uncertainty

    NARCIS (Netherlands)

    de Roode, F.A.

    2014-01-01

    Uncertainty surrounding key parameters of financial markets, such as the in- flation and equity risk premium, constitute a major risk for institutional investors with long investment horizons. Hedging the investors’ inflation exposure can be challenging due to the lack of domestic inflation-linked

  8. Financial globalisation uncertainty/instability is good for financial development

    OpenAIRE

    Asongu, Simplice A.; Koomson, Isaac; Tchamyou, Vanessa S.

    2015-01-01

    Purpose – This study assesses the effect of time-dynamic financial globalisation uncertainty on financial development in 53 African countries for the period 2000-2011. Design/methodology/approach – Financial globalisation uncertainty is estimated as time-dynamic to capture business cycle disturbances while all dimensions identified by the Financial Development and Structure Database of the World Bank are employed, namely: financial depth (money supply and liquid liabilities), financial sy...

  9. Bank disclosure and market assessment of financial fragility: Evidence from Turkish banks' equity prices

    NARCIS (Netherlands)

    Tumer Alkan, G.; Penas, M.F.

    2010-01-01

    In this paper we explore whether Turkish banks with worsening indicators of financial fragility were subject to market monitoring during the years leading to the 2000/2001 crisis, and how the quality and timeliness of the disclosure affect market reaction. We find that shareholders reacted

  10. Financial stress in emerging markets: Patterns, real effects, and cross-country spillovers

    OpenAIRE

    Mikhail Stolbov; Maria Shchepeleva

    2016-01-01

    We extend the conventional approach to the construction of financial stress indices (FSI) for emerging economies proposed by Balakrishnan et al. (2011). Based on the principal component analysis, our index accounts for developments in the residential real estate market, adopts distinctive indicators for the banking sector and sovereign debt risks, covering the period from February 2008 to September 2015 for 14 emerging economies. The FSIs accurately capture the periods of impaired financial i...

  11. Generalized Hurst exponent approach to efficiency in MENA markets

    Science.gov (United States)

    Sensoy, A.

    2013-10-01

    We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed.

  12. Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

    Science.gov (United States)

    Lucas, Iris; Cotsaftis, Michel; Bertelle, Cyrille

    2017-12-01

    Multiagent systems (MAS) provide a useful tool for exploring the complex dynamics and behavior of financial markets and now MAS approach has been widely implemented and documented in the empirical literature. This paper introduces the implementation of an innovative multi-scale mathematical model for a computational agent-based financial market. The paper develops a method to quantify the degree of self-organization which emerges in the system and shows that the capacity of self-organization is maximized when the agent behaviors are heterogeneous. Numerical results are presented and analyzed, showing how the global market behavior emerges from specific individual behavior interactions.

  13. Performance of African Agricultural Exports and External Market Access Conditions under International Trade Reforms

    OpenAIRE

    Nyangito, Hezron Omare

    2004-01-01

    Sub Saharan African agriculture is currently facing challenges in international trade with respect to external market access conditions and competition in world markets as a result of trade liberalization efforts under the world trade organization (WTO) agreements and in particular the agreement on agriculture (AoA). This paper presents the performance of agricultural exports for selected countries and indicates external market barriers faced and the resulting implications of the barriers on ...

  14. Long-range dependence in returns and volatility of global gold market amid financial crises

    Science.gov (United States)

    Omane-Adjepong, Maurice; Boako, Gideon

    2017-04-01

    Using sampled historical daily gold market data from 07-03-1985 to 06-01-2015, and building on a related work by Bentes (2016), this paper examines the presence of long-range dependence (LRD) in the world's gold market returns and volatility, accounting for structural breaks. The sampled gold market data was divided into subsamples based on four global crises: the September 1992 collapse of the European Exchange Rate Mechanism (ERM), the Asian financial crisis of mid-1997, the Subprime meltdown of 2007, and the recent European sovereign debt crisis, which hit the world's market with varying effects. LRD test was carried-out on the full-sample and subsample periods using three semiparametric methods-before and after adjusting for structural breaks. The results show insignificant evidence of LRD in gold returns. However, very diminutive evidence is found for periods characterized by financial/economic shocks, with no significant detections for post-shock periods. Collectively, this is indicative that the gold market is less speculative, and hence could be somehow less risky for hedging and portfolio diversification.

  15. Social media marketing and business competitiveness: evidence from South African tourism SMMEs

    OpenAIRE

    Patient Rambe

    2017-01-01

    The increasing prominence of social media marketing in advancing the global reach and visibility of products and services is ideal for the South African tourism industry, which depends on local and international visitors for leveraging its business activities and competitiveness. However, what remains under-explored in tourism literature is the depth of integration of social media marketing into the competitive strategies of emerging tourism small, micro and medium enterprises (SMMEs). To add...

  16. Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system

    Science.gov (United States)

    Lu, Yunfan; Wang, Jun; Niu, Hongli

    2015-10-01

    Based on the epidemic dynamical system, we construct a new agent-based financial time series model. In order to check and testify its rationality, we compare the statistical properties of the time series model with the real stock market indices, Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index. For analyzing the statistical properties, we combine the multi-parameter analysis with the tail distribution analysis, the modified rescaled range analysis, and the multifractal detrended fluctuation analysis. For a better perspective, the three-dimensional diagrams are used to present the analysis results. The empirical research in this paper indicates that the long-range dependence property and the multifractal phenomenon exist in the real returns and the proposed model. Therefore, the new agent-based financial model can recurrence some important features of real stock markets.

  17. Market Structure, Financial Dependence and Industrial Growth: Evidence from the Banking Industry in Emerging Asian Economies.

    Science.gov (United States)

    Khan, Habib Hussain; Ahmad, Rubi Binit; Gee, Chan Sok

    2016-01-01

    In this study, we examine the role of market structure for growth in financially dependent industries from 10 emerging Asian economies over the period of 1995-2011. Our approach departs from existing studies in that we apply four alternative measures of market structure based on structural and non-structural approaches and compare their outcomes. Results indicate that higher bank concentration may slow down the growth of financially dependent industries. Bank competition on the other hand, allows financially dependent industries to grow faster. These findings are consistent across a number of sensitivity checks such as alternative measures of financial dependence, institutional factors (including property rights, quality of accounting standards and bank ownership), and endogeneity consideration. In sum, our study suggests that financially dependent industries grow more in more competitive/less concentrated banking systems. Therefore, regulatory authorities need to be careful while pursuing a consolidation policy for banking sector in emerging Asian economies.

  18. The Finance Growth Link: Comparative Analysis of Two Eastern African Countries

    Directory of Open Access Journals (Sweden)

    Fanta Ashenafi Beyene

    2016-09-01

    Full Text Available This paper examines the finance growth link of two low-income Sub-Saharan African economies – Ethiopia and Kenya – which have different financial systems but are located in the same region. Unlike previous studies, we account for the role of non-bank financial intermediaries and formally model the effect of structural breaks caused by policy and market-induced economic events. We used the Vector Autoregressive model (VAR, conducted impulse response analysis and examined variance decomposition. We find that neither the level of financial intermediary development nor the level of stock market development explains economic growth in Kenya. For Ethiopia, which has no stock market, intermediary development is found to be driven by economic growth. Three important inferences can be made from these findings. First, the often reported positive link between finance and growth might be caused by the aggregation of countries at different stages of economic growth and financial development. Second, country-specific economic situations and episodes are important in studying the relationship between financial development and economic growth. Third, there is the possibility that the econometric model employed to test the finance growth link plays a role in the empirical result, as we note that prior studies did not introduce control variables.

  19. FINANCIAL TECHNOLOGY (FINTECH AND ITS IMPLEMENTATION ON THE ROMANIAN NON-BANKING CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Ion MICU

    2016-07-01

    Full Text Available This paper presents the particularities of the financial technology industry, how is FinTech defined and how can the financial technology solutions implemented by companies be categorised. Also it approaches FinTech’s appeal to the consumer and the effects, both disruptive and positive, that it had on the financial industry, as well as the growth this industry has seen in recent years. It will also analyse the implementation of FinTech solutions by the financial service providers active on the Bucharest Stock Exchange (BVB, which were determined by the market institutions or by the regulatory framework set by Romanian Financial Supervisory Authority as well as solutions aimed to provide better services to their customers, in the form on online trading platforms.

  20. The Emerging Markets of Africa: Business Opportunities for Central and Eastern Europe

    Directory of Open Access Journals (Sweden)

    Gina Cook

    2013-12-01

    Full Text Available This paper discusses the increasing importance of emerging markets, particularly those in Africa, in terms of international business opportunities in the post-financial crisis period; while BRIC economies have received a lot of attention in the preceding decade, other emerging markets – especially in Africa – show indications of taking on more prominence in the upcoming period. In fact, at present, the continent of Africa represents one of the fastest growing markets in the world. This paper focuses on growth indicators and trends in the African markets as well as potential future international business opportunities; specifically, it examines the competitiveness of African nations, the business environments of countries in Africa, the continent’s international trade situation and urbanization in Africa. The paper concludes with a brief discussion on existing business opportunities together with some challenges which remain on the continent.

  1. Multifractal analysis of Asian markets during 2007-2008 financial crisis

    Science.gov (United States)

    Hasan, Rashid; Mohammad, Salim M.

    2015-02-01

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

  2. Efficiency of financial transmission rights markets in centrally coordinated periodic auctions

    International Nuclear Information System (INIS)

    Adamson, Seabron; Noe, Thomas; Parker, Geoffrey

    2010-01-01

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

  3. Quantifying reflexivity in financial markets: Toward a prediction of flash crashes

    Science.gov (United States)

    Filimonov, Vladimir; Sornette, Didier

    2012-05-01

    We introduce a measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes is due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, which combines in a natural and parsimonious way exogenous influences with self-excited dynamics, to the E-mini S&P 500 futures contracts traded in the Chicago Mercantile Exchange from 1998 to 2010. We find that the level of endogeneity has increased significantly from 1998 to 2010, with only 70% in 1998 to less than 30% since 2007 of the price changes resulting from some revealed exogenous information. Analogous to nuclear plant safety measures concerned with avoiding “criticality,” our measure provides a direct quantification of the distance of the financial market from a critical state defined precisely as the limit of diverging trading activity in the absence of any external driving.

  4. Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton

    International Nuclear Information System (INIS)

    Dhesi, Gurjeet; Ausloos, Marcel

    2016-01-01

    Following a Geometrical Brownian Motion extension into an Irrational fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We specifically discuss the role of financial news or economic information positive or negative feedback of such irrational (or contrarian) agents upon the price evolution. We observe a kink-like effect reminiscent of soliton behaviour, suggesting how analysts' forecasts errors induce stock prices to adjust accordingly, thereby proposing a measure of the irrational force in a market.

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

    Directory of Open Access Journals (Sweden)

    Mitran Paula Cornelia

    2009-06-01

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

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

    Directory of Open Access Journals (Sweden)

    Tim Engartner

    2010-07-01

    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.

  7. Stock Market Liquidity and Investment Decisions of Non-Financial Quoted Companies in Nigeria

    Directory of Open Access Journals (Sweden)

    Rafiu Oyesola Salawu

    2016-01-01

    Full Text Available The study examined the impact of market liquidity on investment decision of 50 non-financial quoted companies in Nigeria between 2006 and 2012. The study employed secondary source of data collection. Data collected were analyzed using descriptive statistics and inferential statistics such as pool OLS and fixed effect model. The results showed that Size of the Firm (FS and Firms’ Age (FAGE were the only significant determinants of Return on Investment (ROI. The turnover ratio (TOR which is a proxy for market liquidity had positive but insignificant effect on ROI. Based on the above findings, the study concluded that for most of the companies operating in the non-financial sector of the Nigerian economy, the influence of market liquidity on investment decision is positive, but not significant. The study recommended that management should place more emphasis on the firm age and in particular firm size as they can be employed to predict the return on investment.

  8. Market Structure, Financial Dependence and Industrial Growth: Evidence from the Banking Industry in Emerging Asian Economies

    Science.gov (United States)

    Khan, Habib Hussain; Ahmad, Rubi Binit; Gee, Chan Sok

    2016-01-01

    In this study, we examine the role of market structure for growth in financially dependent industries from 10 emerging Asian economies over the period of 1995–2011. Our approach departs from existing studies in that we apply four alternative measures of market structure based on structural and non-structural approaches and compare their outcomes. Results indicate that higher bank concentration may slow down the growth of financially dependent industries. Bank competition on the other hand, allows financially dependent industries to grow faster. These findings are consistent across a number of sensitivity checks such as alternative measures of financial dependence, institutional factors (including property rights, quality of accounting standards and bank ownership), and endogeneity consideration. In sum, our study suggests that financially dependent industries grow more in more competitive/less concentrated banking systems. Therefore, regulatory authorities need to be careful while pursuing a consolidation policy for banking sector in emerging Asian economies. PMID:27490847

  9. Market Structure, Financial Dependence and Industrial Growth: Evidence from the Banking Industry in Emerging Asian Economies.

    Directory of Open Access Journals (Sweden)

    Habib Hussain Khan

    Full Text Available In this study, we examine the role of market structure for growth in financially dependent industries from 10 emerging Asian economies over the period of 1995-2011. Our approach departs from existing studies in that we apply four alternative measures of market structure based on structural and non-structural approaches and compare their outcomes. Results indicate that higher bank concentration may slow down the growth of financially dependent industries. Bank competition on the other hand, allows financially dependent industries to grow faster. These findings are consistent across a number of sensitivity checks such as alternative measures of financial dependence, institutional factors (including property rights, quality of accounting standards and bank ownership, and endogeneity consideration. In sum, our study suggests that financially dependent industries grow more in more competitive/less concentrated banking systems. Therefore, regulatory authorities need to be careful while pursuing a consolidation policy for banking sector in emerging Asian economies.

  10. Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

    Czech Academy of Sciences Publication Activity Database

    Krištoufek, Ladislav

    2012-01-01

    Roč. 15, č. 6 (2012), 1250065-1-1250065-13 ISSN 0219-5259 R&D Projects: GA ČR GA402/09/0965 Grant - others:GA UK(CZ) 118310; SVV(CZ) 265 504 Institutional support: RVO:67985556 Keywords : fractal markets hypothesis * scaling * fractality * investment horizons * efficient markets hypothesis Subject RIV: AH - Economics Impact factor: 0.647, year: 2012 http://library.utia.cas.cz/separaty/2012/E/kristoufek-fractal markets hypothesis and the global financial crisis scaling investment horizons and liquidity.pdf

  11. Interplay between endogenous and exogenous fluctuations in financial markets

    OpenAIRE

    Gontis, Vygintas

    2016-01-01

    We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical properties of high volatility return intervals. By exogenous noise we mean information flow or/and order flow fluctuations. Numerical results based on the proposed model reveal that the ...

  12. Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

    Science.gov (United States)

    Anagnostidis, P.; Varsakelis, C.; Emmanouilides, C. J.

    2016-04-01

    In this paper, the impact of the 2008 financial crisis on the weak-form efficiency of twelve Eurozone stock markets is investigated empirically. Efficiency is tested via the Generalized Hurst Exponent method, while dynamic Hurst exponents are estimated by means of the rolling window technique. To account for biases associated with the finite sample size and the leptokurtosis of the financial data, the statistical significance of the Hurst exponent estimates is assessed through a series of Monte-Carlo simulations drawn from the class of α-stable distributions. According to our results, the 2008 crisis has adversely affected stock price efficiency in most of the Eurozone capital markets, leading to the emergence of significant mean-reverting patterns in stock price movements.

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

    Directory of Open Access Journals (Sweden)

    Leda D. Minkova

    1996-01-01

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

  14. Jump Telegraph Processes and Financial Markets with Memory

    Directory of Open Access Journals (Sweden)

    Nikita Ratanov

    2007-01-01

    Full Text Available 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 has some features of models with memory, but it is more simple.

  15. The Evolution of Non-Banking Financial Markets in Hungary: The Case of Mutual Funds

    Directory of Open Access Journals (Sweden)

    Luminiţa NICOLESCU

    2016-12-01

    Full Text Available The non-banking sector has an important place in financial markets. Therefore, the performance of financial markets can be looked at in different countries by analyzing the evolution of mutual funds, in terms of their inflows and outflows. This is even more important in the recent period, due to the recent global financial distress. Numerous studies, most of them conducted in the US, illustrate that flows are highly dependent on the previous performance and that a common behavior of investors is rather to look for highly performing funds than to give up the poorly performing ones. This paper studies the flows of funds into and out of Hungarian mutual funds during the period 2007-2014. The evolution of the mutual funds market depends on investor’s behavior and the paper analyzes the behavior of investors. The paper also tries to evaluate if and how the financial crisis affected the investing behavior of Hungarian investors. The main findings of the research illustrate that there are a number of factors that influence the way investors make their decisions. Among those fund flows in the previous month is the factor that influences the most the current flows, illustrating that Hungarians invest only in funds that attracted previously more new money. Other factors with a significant influence on the investors’ behavior are the size of the fund (measured through the net assets and the risk (measured through the standard deviations of returns. The factor that surprisingly seems to have less influence on Hungarian inv estors’ decisions is the performance either measured as the evolution of the fund category or the rank and the square rank of the fund in its category. Another important finding was that data proved that the financial crisis had an impact on the capital market in Hungary, as investments decreased in that particular period and mutual funds performances were lower.

  16. Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

    Science.gov (United States)

    Kristoufek, Ladislav

    2013-10-01

    We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power spectra which give the crucial information about the variance distribution across scales and its evolution in time. We show that the most turbulent times of the Global Financial Crisis can be very well characterized by the dominance of short investment horizons which is in hand with the assertions of the fractal markets hypothesis.

  17. A Query Evaluation Approach using Opinions of Turkish Financial Market Professionals

    Directory of Open Access Journals (Sweden)

    Bora Uğurlu

    2015-08-01

    Full Text Available People who do not have expertise in the financial area may not see the relationship between the numerical and linguistic data. In our study, a knowledge discovery approach using Turkish natural language processing is recommended in order to respond to meaningful queries and classify them with high accuracy. Query corpus consists of randomly selected unique keywords. Quantitative evaluation is done in order to measure the classification performance. Experimental results indicate that our proposed approach is sufficiently consistent with and able to make categorical classifications correctly. The approach highlights the relationship between numerical and linguistic data obtained from Turkish financial market.

  18. The impact of the financial crisis on the Romanian advertising market

    Directory of Open Access Journals (Sweden)

    Radbâţă, A.

    2010-12-01

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

  19. Democracy versus dictatorship in self-organized models of financial markets

    Science.gov (United States)

    D'Hulst, R.; Rodgers, G. J.

    2000-06-01

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

  20. ICT and Stock Market Nexus in Africa: Evidence from Nigeria and South Africa

    Directory of Open Access Journals (Sweden)

    Andy Titus Okwu

    2016-08-01

    Full Text Available Several studies have examined ICT in relation to stock market development, economic growth and development and other macroeconomic variables. Most of the studies have been on the developed and emerging economies. Studies have been relatively scanty for the developing economies, especially Sub-Saharan Africa. Thus, knowledge gap has been identified in the literature for the African Continent. Pooled data were used in this paper to spur further studies on financial markets in Africa. This paper employed data on functional models adapted from Gompertz curve model for technology diffusion to investigate the effects of ICT on market outcomes of two leading stock exchange markets in Africa during the 1995-2015 periods. Results showed mixed effects of most ICT metrics and moderating variables in the study. Specifically, the effect of mobile telephone on all market indicators was positive and significant. Further, aggregate effect of the ICT proxies and moderating variables on all market indices was statistically significant. The ICT proxies accounted for positive dynamics in market outcomes, market operations and, thus, sine quo non to growth and development of the markets and financial sectors in the Continent. Therefore, more investments in ICT wares and innovation by the stock exchanges and financial sectors in Africa were recommended.