WorldWideScience

Sample records for financial market integration

  1. Financial integration in emerging market economies

    OpenAIRE

    Pasricha, Gurnain

    2008-01-01

    This paper analyzes the de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parities in the last 10 years. It tests for modified market efficiency conditions in the presence of real world frictions and arrives at a single measure of de-facto integration for some Emerging Market Economies in the post-globalization era. An Asymmetric Self Exciting Threshold Autoregressive model (SETAR) is used to estimate bands of speculative inaction. Ma...

  2. Recent policies for financial market integration in Indonesia

    OpenAIRE

    Sell, Friedrich L.

    1987-01-01

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

  3. Financial Market Integration of South Asian Countries: Panel data Analysis

    OpenAIRE

    Mohsin, H; Rivers, P

    2010-01-01

    According to Frankel (1992) in order to find financial integration from Feldstein Horoika (FH, 1980) model, the real interest parity must hold. This paper estimates the degree of financial market integration of South Asian countries i.e. Pakistan, India, Bangladesh, Sri Lanka and Nepal with both the techniques. The study finds some degree of integration with FH model has which increased after 1990s, post liberalization period. Furthermore, Panel Unit Root techniques i.e. LLC, IPS and Hadri ha...

  4. 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.

  5. 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 op

  6. 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.

  7. 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.

  8. The Impacts of the Global Financial Crisis on Stock Market Integration and Hedging Effectiveness : Evidence from Six Selected Asian Markets

    OpenAIRE

    Mponeja, Grace Faustine

    2013-01-01

    The 2007-2009 Global Financial Crisis (GFC) is documented to have marked a tremendous decline in Asian stock market prices and, at the same time, increased the trading volume of the Asian stock index futures contracts. While this decline in stock markets has brought an eminent concern on the Asian stock market integration with developed markets like the US, the increase in trading volume of stock index futures has raised a special interest to know how effective these Asian futures markets wer...

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

    Directory of Open Access Journals (Sweden)

    Madalina Antoaneta RADOI

    2011-12-01

    Full Text Available The latest four decades have marked by their width, speed and radicality a true “revolution” on the financial market, a transformation and restructuring of financial services, of financial instruments which were used, of transaction systems, but also of competitive processes. The importance that should be given to such transformations of financial systems is given, as well, by their impact, both at the micro- and at the macro- levels, on the economy as a whole.The evolution of the European financial market at the beginning of the 21st century has followed the general trend of global markets. As a main tendency of financial market restructuring at the European level we should keep in mind the fact that there was an opening towards private financing according to the American model, due to the necessity to attract international capital resources, a process which is still ongoing.The integration of the European financial markets at the beginning of the 21st century follows the general process of financial globalization which develops rapidly on several structures of financial systems.

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

    Science.gov (United States)

    Zhuang, Enyu; Small, Michael; Feng, Gang

    2014-09-01

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

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

    Directory of Open Access Journals (Sweden)

    Morosan Danila Lucia

    2010-12-01

    Full Text Available In recent years, as the efforts linked to the elimination of the capital movements control between countries have intensified, the preoccupations concerning the explanation of the financial integration concept have multiplied, in their turn. An integrated financial market is necessary particularly to the distribution of liquidity between the institutions in the euro zone, and, implicitly, for the enforcement of a common monetary policy. Thus, the problem of the integration of the financial market, respectively of the monetary one, appears as a premise for a homogenous transmission of the financial policy impulses all throughout the euro zone. The financial integration is defined in conformity with the law of a single price. According to this definition, in case the markets are integrated, the financial assets bearing identical characteristics should have the same price, regardless of their geographic origin.

  12. Welfare effects of financial integration

    OpenAIRE

    Hartmann, Philipp; Grüner, Hans Peter; Fecht, Falko

    2007-01-01

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

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

    Directory of Open Access Journals (Sweden)

    M. SARCINELLI

    2013-12-01

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

  14. Market-based approach to financial architecture

    NARCIS (Netherlands)

    G.R.D. Underhill

    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 t

  15. 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…

  16. Financial integration in emerging market economies: Effects on volatility transmission and contagion

    Directory of Open Access Journals (Sweden)

    Aymen Ben Rejeb

    2015-09-01

    Full Text Available The purpose of this paper is to examine the volatility relationship that exists between emerging and developed markets in normal times and in times of financial crises. The Vector Autoregressive methodology and the Bai and Perron (2003a, 2003b's technique are used. The paper results lead to very interesting conclusions. First, it has been found that volatility spillovers are effective across financial markets. Second, it has been proven that geographical proximity is of great importance in amplifying the volatility transmission. Finally, it has been shown that financial liberalization contributes significantly in amplifying the international transmission of volatility and the risk of contagion.

  17. Emerging Markets, Financial Openness and Financial Development

    OpenAIRE

    Wei Huang

    2006-01-01

    We examine the effect of financial openness on the development of financial systems in a panel of 35 emerging markets during the period of 1976 to 2003. A group of indicators including variables from banking sector, stock market, and national capital accounts are used as measures of financial openness and financial development. In addition, aggregate index measures are developed to incorporate information from different areas of the financial system. Our empirical results generally suggest th...

  18. Net Capital Flows, Financial Integration, and International Reserve Holdings: The Recent Experience of Emerging Markets and Advanced Economies

    OpenAIRE

    Woon Gyu Choi; Sunil Sharma; Maria Strömqvist

    2009-01-01

    The paper examines the link between net capital flows and international reserves emphasizing the external financing of reserve accumulation in the context of increasing international financial integration. The paper finds that the effect of net capital flows on reserve accumulation has shifted from negative to positive for emerging markets but not for advanced countries. The empirical results suggest that in recent years emerging markets, with concerns about sudden stops in capital flows, hav...

  19. Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

    Directory of Open Access Journals (Sweden)

    Olbryś Joanna

    2015-06-01

    Full Text Available The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE stock markets during the 2007-2009 Global Financial Crisis (GFC. As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

  20. 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

  1. Financial Markets and Persistence

    CERN Document Server

    Jain, S

    2005-01-01

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

  2. Turbocharging the Financial Markets

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    Introduction of new financial instruments may not put China’s markets in the fast lane just yet, a market analyst warns China has introduced new sources of leverage into the financial system, which will enable participants to have "new opportunities both to hedge their bets and lever them up using futures, options and margin trading," according to Mark A DeWeaver, a research analyst in Shenzhen who now manages a fund investing in Asian equities called Quantrarian Asia Hedge. He compares these measures to "turbocharging a car," which he says can damage it if the engine’s basic structure cannot handle the pressure. His main ideas follow:

  3. 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 ...

  4. Banking Crises and Financial Integration

    OpenAIRE

    Caballero, Julian

    2012-01-01

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

  5. Integration between the Romanian and the Euro Area Financial Markets and its Impact on the Growth Rate of Romanian Listed Companies

    Directory of Open Access Journals (Sweden)

    Maricica Moscalu

    2015-08-01

    Full Text Available The paper aims at investigating the impact of integration between the Romanian and the euro area financial markets, with focus on the banking and stock market segments, on the growth rate of Romanian listed firms. Previous research has showed that financial integration accelerates growth especially for firms acting in industries more dependent on external finance. The paper uses quarterly firm-level data and a panel fixed effects model in order to control for firm heterogeneity. The model specification controls for firm-level attributes and the development in the two segments of the domestic financial market. The paper brings evidence on the significant impact of financial integration on firms’ growth with regard to both price- and volume-based measures. Integration in banking markets positively impacts on growth while integration in stock markets seems to tighten firm’s growth opportunities. Additionally, the Gibrat’s law is rejected. The findings have implications on researchers and Romanian policy makers alike. They call for action to deepen the integration in the banking markets. The paper contributes to the debate on the relationship between financial development and financial integration respectively, on growth in an emerging economy.

  6. 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.

  7. Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns1

    Directory of Open Access Journals (Sweden)

    Mobeen Ur Rehman

    2016-05-01

    Full Text Available This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling beta estimation. Market integration variable between these two countries is constructed using the International Capital Asset Pricing Model (ICAPM. To check the impact of market integration, foreign portfolio equity holding and inflation rate on Pakistan-Indian stock market co-movement, we applied autoregressive distributed lag (ARDL estimation. ARDL estimation is applied due to different stationarity levels of the included variables. The level of convergence speed is measured by the introduction of error correction term (ECT followed by variance decomposition analysis. Results of the study indicated presence of long term relationship among the included variables along with significance variance in bilateral co-movement due to inflation rate differential. The significance of inflation rate differences between these two countries are in accordance with portfolio balance theory stating that investors possess information about the macroeconomic variables thereby readjusting their portfolios for effective diversification.

  8. FINANCIAL MARKETING CHALLENGES FOR THE ROMANIAN MARKET

    OpenAIRE

    Oana PREDA

    2013-01-01

    The reason I choose to analyze this issue is the fact that the proper functioning of the market economy is based on a solid and profitable banking financial system. The experience of the last 20 years in corroboration with the global financial crisis shows that banks in our country must face the challenges coming from both the international market and especially the national market. In this context, it becomes increasingly clear that to obtain a good market positioning (which will automatical...

  9. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD

    OpenAIRE

    Yuanhua Feng; Chen Zhou

    2013-01-01

    This paper discusses forecasting of long memory and a nonparametric scale function in nonnegative financial processes based on a fractionally integrated Log-ACD (FI-Log-ACD) and its semiparametric extension (Semi-FI-Log-ACD). Necessary and sufficient conditions for the existence of a stationary solution of the FI-Log-ACD are obtained. Properties of this model under log-normal assumption are summarized. A linear predictor based on the truncated AR(oo) form of the logarithmic process is propose...

  10. 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

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

    OpenAIRE

    M. SARCINELLI

    2013-01-01

    The new phase of European integration is being developed in parallel with a gradual strengthening of international cooperation in the field of macroeconomics. This has coincided with the rejection of positions that reflected the belief that markets were self-regulating and an over-confidence in the rationality of expectations. Indeed, the emergence and worsening of fiscal, trade and payments imbalances with foreign countries has led to a reconsideration of the approach to the problems of inte...

  12. Integration versus Segmentation in Asian Financial Market: The Prospect of Regionalism in Asia

    Directory of Open Access Journals (Sweden)

    Herlina Yoka Roida

    2014-08-01

    Full Text Available This paper draws the prospect of regionalism among inancial market in Asia (Indonesia, Malaysia,  Philippine,  Singapore,  China,  Hong  Kong,  Japan  and  South  Korea.  The  irst part  examines  the  correlation  among  them  that  lead  to  regional  integration.  The  second part shows the possibility of integration or segmentation between Asia countries and world. The  next  part,  tries  to  draw  whether  last  inancial  crises  1997  gave  different  result  to  the integration process. The correlation between Asia regional return and world return is tested by F-test (degree of signiicant 5%. The inal part of this paper gives a picture as to how the prospect  of  integration  or  segmentation  return  of Asia  and  world  can  initiate  a  process  of economic integration   towards a trade block development. ";} // -->activate javascript

  13. Financial Crises in Emerging Markets

    OpenAIRE

    Roberto Chang; Andres Velasco

    1998-01-01

    We present a simple model that can account for the main features of recent financial crises in emerging markets. The international illiquidity of the domestic financial system is at the center of the problem. Illiquid banks are a necessary and a sufficient condition for financial crises to occur. Domestic financial liberalization and capital flows from abroad (especially if short term) can aggravate the illiquidity of banks and increase their vulnerability to exogenous shocks and shifts in ex...

  14. Financial Market Volatility: A Survey

    OpenAIRE

    Louis O. Scott

    1991-01-01

    Volatility in financial markets has forced economists to re-examine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. This paper presents a review of recent studi...

  15. Trading strategies for financial market

    OpenAIRE

    Drbohlavová, Veronika

    2011-01-01

    Thesis deals with trading on financial market – concretely forex market. This market is quit new but for sure very interesting and full of potential for trading or investments. Thesis then gives an overview of possible methods of analysis of such a market as also utilization of those methods in following determination of trading strategies. Those methods are technical and fundamental analyses which provide valuable information about market and its possible future development.

  16. Report on EU financial integration

    OpenAIRE

    EFC

    2002-01-01

    Despite progress in implementing the internal market programme and the introduction of the euro, the EU still does not have a fully integrated financial market. Much has been achieved on the road towards integration, but there is more work still to do. The European Council at Lisbon set the key strategic goal for the EU to become by 2010 ‘the most competitive and dynamic knowledge-based economy in the world'. As recognised by Heads of State and Government, a crucial element to achieve this ...

  17. 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 dev

  18. Liquidity and Financial Market Runs

    OpenAIRE

    Antonio Bernardo; Ivo Welch

    2003-01-01

    We model a run on a financial market, in which each risk-neutral investor fears having to liquidate shares after a run, but before prices can recover back to fundamental values. To avoid having to possibly liquidate shares at the marginal post-run price - in which case the risk-averse market-making sector wi

  19. 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

  20. 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.

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

    Directory of Open Access Journals (Sweden)

    Adwin Surja Atmadja

    2009-01-01

    Full Text Available This study attempts to examine the existence of cointegration relationship and the short run dynamic interaction among the five ASEAN stock market indices in the period of before and during the 2007 financial crisis. The multivariate time series analysis frameworks are employed to the series in both sub-sample periods in order to answer the hypotheses.The study finds two cointegrating vectors in the series before the financial crisis period, however it fails to detect any cointegrating vector in the period of financial crisis. Granger causality tests applied to the series reveal that number of significant causal linkages between two variables increase during the crisis period. Moreover, the accounting innovation analysis shows an increase in the explanatory power of an endogenous variable to another within the system during the crisis period, indicating that the contagious effect of the 2007-US financial crisis has entered into the ASEAN capital market, and significantly influenced the regional indices’ movements.

  2. 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

  3. 78 FR 76973 - Financial Market Utilities

    Science.gov (United States)

    2013-12-20

    ... CFR Part 234 RIN 7100 AD-94 Financial Market Utilities AGENCY: Board of Governors of the Federal... through the account provide certain financial services to, financial market utilities (``FMUs'') that are..., upon which the financial markets and the broader economy rely to function effectively. FMUs...

  4. 78 FR 14024 - Financial Market Utilities

    Science.gov (United States)

    2013-03-04

    ... CFR Part 234 RIN No. 7100-AD 94 Financial Market Utilities AGENCY: Board of Governors of the Federal... maintain an account for, and through the account provide certain financial services to, financial market... financial markets and the broader economy rely to function effectively. FMUs operate multilateral systems...

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

    CERN Document Server

    Kleinert, Hagen

    2009-01-01

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

  6. Offshoring and financial markets

    Directory of Open Access Journals (Sweden)

    Gianfranco Battisti

    2014-06-01

    Full Text Available The paper analyses the nature and extent of the offshore world, a grey area that is playing a major role in present-day economy. The main institutions moulding this peculiar environment are discussed: preferential tax regimes, tax havens and offshore financial centers. Their role in the globalised world is outlined after a scrutiny of the specialized literature, reports by non-governmental bodies and companies’ advertisings. Finally, we present a tentative reconstruction of its geographical organization, inclusive of cartographic representations of the main international networks.

  7. Practical .NET for financial markets

    CERN Document Server

    Shetty, Vivek

    2006-01-01

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

  8. 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...

  9. Financial Spillovers to Emerging Markets during the Global Financial Crisis

    OpenAIRE

    Nathaniel Frank; Heiko Hesse

    2009-01-01

    In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these financial variables across markets. The findings indicate that the notion of possible de-coupling (in the financial markets) had been misplaced. While EM stock markets reached their peak in the last quarter ...

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

    OpenAIRE

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

    2014-01-01

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

  11. 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 t

  12. Dynamics of financial markets in the context of globalization

    OpenAIRE

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

    2008-01-01

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

  13. Fractal properties of financial markets

    Science.gov (United States)

    Budinski-Petković, Lj.; Lončarević, I.; Jakšić, Z. M.; Vrhovac, S. B.

    2014-09-01

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

  14. Financial information processing and development of emerging financial markets

    Institute of Scientific and Technical Information of China (English)

    Shuo BAI; Shouyang WANG; Lean YU; Aoying ZHOU

    2010-01-01

    @@ With the rapid development and globalization of financial markets (especially emerging financial markets), financial information processing has become a hot research area due to its immense practical applications. Such applications include stock market analysis, foreign exchange rate forecasting, option pricing, bank failure prediction, financial risk management, credit rating and scoring, bank loan management, customer relationship management, and antimoney laundering. Accordingly, there has been an increasing demand in using financial information processing techniques for many core financial tasks. Nevertheless, as a new cross-disciplinary field, the existing financial information processing methods are far from practical for scenarios in the global financial market; it is currently not clear how the information processing techniques, which are rapidly emerging, can be used to improve the quality of financial information processing.

  15. 77 FR 45907 - Financial Market Utilities

    Science.gov (United States)

    2012-08-02

    ... CFR Part 234 RIN 7100-AD 71 Financial Market Utilities AGENCY: Board of Governors of the Federal..., Designated Financial Market Utilities. This rule implements provisions of sections 805(a) and 806(e) of the... risk-management standards for financial market utilities (``FMUs'') that are designated as...

  16. Savings Groups and Rural Financial Markets: Japanese and Thai Experiences

    Directory of Open Access Journals (Sweden)

    Ohno Akihiko

    2015-03-01

    Full Text Available Savings groups/credit unions serve as a financial intermediary within a village by mobilizing savings from rural households and extending loans to them. This system often encounters an issue of excess funds when total savings exceed loan demands within a credit union. In Thailand rural financial markets created by savings groups are segregated not only from those created by other savings groups but also from formal financial markets. Excess funds become a critical issue for some savings groups and hinder their development. On the other hand, in Japan, the market integration with respect to excess funds was pursued by organizing segregated rural credit markets (horizontal integration and aligning rural credit markets with formal financial markets (vertical integration. This paper discusses the contrasting evolutionary paths of Japanese credit unions and Thai savings groups to offer practical insights for Lao savings group movement.

  17. 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. PMID:26411614

  18. Globalization and its Effects on Financial Markets

    OpenAIRE

    Sorin Claudiu RADU

    2012-01-01

    This paper addresses aspects of globalization, a process which has become a symbol of the present days and an important factor of change for international financial markets. The paper highlights the main economic benefits and risks of financial globalization, its impact on financial markets and the premises for the extent of the economic crisis.

  19. Financial instability from local market measures

    OpenAIRE

    Marco Bardoscia; Giacomo Livan; Matteo Marsili

    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...

  20. 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.

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

    Directory of Open Access Journals (Sweden)

    Mehrdad Alipour

    2012-08-01

    Full Text Available In competitive world, having expertise, knowledge and marketing experience for financial market activities, especially brokerage firms has proven inevitable. This should be accompanied by performing marketing operations along with intermediary roles and carrying on the daily transactions of shares in the Tehran stock exchange market. The current study aims investigating the level of marketing knowledge used in stock exchange market, identifying the reasons behind deficient use of the marketing knowledge by the financial institutions (financial intermediaries, brokerage firms and etc, matching the marketing activities with the financial activities of the brokerage firms in the Tehran stock exchange and finally improving the investment in Tehran stock exchange market. Independent variables were selected based on services marketing mix such as product, price, place, promotion, physical facilities, people and process. The method used is survey-based and the universe has been drawn from among the financial institutions active in Tehran stock exchange and the regional branches of the country. The results obtained from the research show that, during the period reviewed, the dynamic marketing system in the financial market was the traditional system without attending to the modern criteria of financial service marketing in the areas relating communication and determination of the shares prices, services of conduct transactions of the financial analyses and encouragement the big companies to enter the Tehran Stock Exchange.

  2. 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.

  3. 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.

  4. Financial Integration into EU: The Romanian Case

    Directory of Open Access Journals (Sweden)

    Ibrahim Bozkurt

    2016-05-01

    Full Text Available The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed with daily stock returns of 24 EU members including Romania for 2002-2012 period using panel data gravity models and correlations are investigated. Findings reveal that the following factors have significant and robust effects on the financial integration process of Romania with other 23 EU members; (i EU membership, (ii bilateral trade, (iii GDP per capita, (iv 2012 sovereign debt crisis and (v East European location. The results emphasize that intensifying economic relations with EU members can contribute the integration of Romanian stock market with other EU members. designed & hoste

  5. THE GLOBAL FINANCIAL MARKET: ANALYSIS AND PERSPECTIVES

    OpenAIRE

    COLESNICOVA Tatiana

    2015-01-01

    The assessment of the situation on the global financial market is analyzed in the paper. The actuality of this research proceeded from the reality facing the entire global financial system. The purpose of this work is to research the situation on the global financial market based on the complex analysis of the sector. In the process of developing of this work were used the following methods: comparative analysis, synthesis, logical analysis. The results from the well-known companies which pro...

  6. 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.

  7. Algorithmic complexity of real financial markets

    Science.gov (United States)

    Mansilla, R.

    2001-12-01

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

  8. MEASURING INTEGRATED MARKETING COMMUNICATION

    OpenAIRE

    Jerman, Damjana; ZAVRŠNIK Bruno

    2011-01-01

    The concept of integrated marketing communications continues to gain widespread attention and interest among academics and practitioners around the world. Among the objectives of our paper may be considered dealing with changes in the conceptualization of integrated marketing communication and measuring the dimensions of this conceptual area. Two priorities guide our paper: 1) a more complete view for the conceptualization of integrated marketing communication; and 2) an empirical analysis fo...

  9. 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.

  10. Financial instability from local market measures

    International Nuclear Information System (INIS)

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

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

    Directory of Open Access Journals (Sweden)

    Lin Blossom Yen-Ju

    2007-06-01

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

  12. Regulatory Competition in Global Financial Markets

    DEFF Research Database (Denmark)

    Ringe, Georg

    2015-01-01

    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...... or operations of financial institutions to other jurisdictions. Where this happens, such arbitrage can trigger regulatory competition between jurisdictions that may respond to the relocation of financial services (or threats to relocate) by moderating regulatory standards. Both arbitrage and regulatory...... 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...

  13. 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.

  14. 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. PMID:27031110

  15. 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.

  16. 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.

  17. 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.

  18. EME banking systems and regional financial integration

    OpenAIRE

    Bank for International Settlements

    2014-01-01

    This report - prepared by a Study Group chaired by Andrew Khoo (Monetary Authority of Singapore) - develops a central bank perspective on the regional integration of EME banking systems and financial markets, assesses the drivers of these developments, and draws broad conclusions for policymakers. The findings are based on data from the BIS international banking statistics (IBS) and various other public sources, interviews with the private sector, inputs from central banks from non-CGFS juris...

  19. The Development of Financial Markets in Poland

    OpenAIRE

    Orlowski, Lucjan T

    1999-01-01

    This project analyzing the development of Polish financial markets sponsored by the USAID grant was aimed at examining selected problems of the banking system and financial markets in Poland. The main criterion for selection of these problems was their potential usefulness for policy-makers at the present stage of the economic transformation. The studies within the project address the issues that require special attention of policy-makers in their efforts to design future stages of the econom...

  20. Corporate social responsibility and financial markets

    OpenAIRE

    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 the financial performance of a company? What kind of role can a stock market play in trying to achieve sustainable development? What is the relation between corporate social responsibility, economic ...

  1. Herd behavior and contagion in financial markets

    OpenAIRE

    Cipriani, Marco; Guarino, Antonio

    2008-01-01

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

  2. Financial literacy and stock market participation

    NARCIS (Netherlands)

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

    2011-01-01

    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 com

  3. 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 risk

  4. 76 FR 18445 - Financial Market Utilities

    Science.gov (United States)

    2011-04-04

    ... Board would expect a designated FMU to meet the sound practices set forth in the ``Interagency Paper on... (``cover one''); or should the Board require sufficient financial resources to withstand defaults by the... CFR Part 234 RIN 7100-AD71 Financial Market Utilities AGENCY: Board of Governors of the...

  5. Financial Crisis, Financial Integration and Economic Growth: The European Case

    OpenAIRE

    Maudos Villarroya Joaquín; Fernández de Guevara Radoselovics Juan

    2010-01-01

    The aim of the paper is to analyze the process of financial integration in Europe and its impact on economic growth since the introduction of the Euro in 1999. In particular, we focus on how the international financial crisis that started in 2007 has affected integration and growth. By combining information at country, sector and firm level, we quantify the effect of financial integration on financial development and therefore on economic growth. Our results illustrate that a significant part...

  6. FINANCIAL MARKET IN NOVEMBER 2013

    OpenAIRE

    Nikita Andrievskiy; Elizaveta Khudko

    2013-01-01

    The MICEX index was declining in the first decade in November 2013 until the middle of the month when the stock market saw the beginning of insignificant uptrend in response to oil price recovery. The stock market capitalization reached Rb 24,68 trillion (38.05% of GDP) as of November 26, 2013. The domestic corporate bond market saw a downtrend determined by adverse trends in the Russian economy. Investment activity was deteriorating, although market trading indicators still remained at a hig...

  7. Degree of correlation inside a financial market

    Science.gov (United States)

    Mantegna, Rosario Nunzio

    1997-05-01

    I present an empirical study of the correlations observed between pairs of time series of stock prices in the New York Stock Exchange. I verify that various degrees of correlations or anti-correlations are present inside a financial market and I study the time evolution of these correlations. I briefly discuss how these empirical observations might be consistent with the well accepted hypothesis of absence of arbitrage in an efficient financial market (i.e. that there is no way of extracting money from the market in a continuous way without risk).

  8. Audit Conservatism Versus Unique Regulation of Financial Markets in Romania

    OpenAIRE

    Pepi Miticã; Nicolae Traian Cristin

    2013-01-01

    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. Recent developments in the regulation of financial markets require a new perspective on the role and place of financial audit in Romania. The main elements of our study are: the relationship between the audit committee and regulatory authority; quality of financial reporting for financial market entities. In this case, financial regul...

  9. Financial derivatives in power marketing: The basics

    International Nuclear Information System (INIS)

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

  10. Investigating Contagion and Market Interdependence during the Global Financial Crisis

    Directory of Open Access Journals (Sweden)

    Filip Iorgulescu

    2015-06-01

    Full Text Available This paper examines the roles played by market interdependence and contagion in the propagation of the 2007-2009 global financial crisis. For this purpose, five aggregate indices were employed, representing all the major financial markets from each geographical region. The data series are daily and they cover the period between 2002 and 2014. The presence of contagion and market interdependence was assessed by means of the values and value changes of the correlation coefficients between the ante crisis (2002-2007, the crisis (2007-2009 and the post crisis (2009-2014 intervals, as well as with the aid of a spillover index. The results indicate a high degree of interdependence between the global financial markets even before the occurrence of the crisis. On the other hand, there is evidence that the crisis spread through contagion mainly from the developed financial markets of Europe and North America to the emerging centers in Africa and Latin America while the markets from the Asia/Pacific region displayed lower correlations which may have given opportunities for the mitigation of losses. Moreover, since the majority of the correlation coefficients have not decreased significantly after the 2007-2009 period, it seems that the crisis intensified the degree of global financial integration.

  11. Banks, Financial Markets and Growth

    OpenAIRE

    Deidda, Luca Gabriele; Fattouh, Bassam

    2005-01-01

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

  12. 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......, such arbitrage can trigger regulatory competition between jurisdictions that may respond to the relocation of financial services (or threats to relocate) by moderating their regulatory standards. This study develops a framework for the assessment of both phenomena in the context of financial regulation...... and the evaluation of their merits. I argue that regulatory competition has many advantages over alternative global approaches, notably international harmonization of regulation, by offering a dynamic process for the discovery of efficient regulatory standards. However, the risk is that countries lower...

  13. THE GLOBAL FINANCIAL MARKET: ANALYSIS AND PERSPECTIVES

    Directory of Open Access Journals (Sweden)

    Tatiana COLESNICOVA

    2015-04-01

    Full Text Available The assessment of the situation on the global financial market is analyzed in the paper. The actuality of this research proceeded from the reality facing the entire global financial system. The purpose of this work is to research the situation on the global financial market based on the complex analysis of the sector. In the process of developing of this work were used the following methods: comparative analysis, synthesis, logical analysis. The results from the well-known companies which provided each year the analysis and ratings between the high net worth individuals wealth levels and growth by world regions, the most successfully International Financial Centres, leading wealth managers, wealth management innovators, Private Banks of the year, Private Bankers of the year etc. are analyzed in the paper.

  14. Scaling Exponents in Financial Markets

    Science.gov (United States)

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

    2007-03-01

    We study the dynamical behavior of four exchange rates in foreign exchange markets. A detrended fluctuation analysis (DFA) is applied to detect the long-range correlation embedded in the non-stationary time series. It is for our case found that there exists a persistent long-range correlation in volatilities, which implies the deviation from the efficient market hypothesis. Particularly, the crossover is shown to exist in the scaling behaviors of the volatilities.

  15. Essays on financial crises in emerging markets

    OpenAIRE

    Komulainen, Tuomas

    2004-01-01

    The financial crises in emerging markets in 1997-1999 were preceded by financial liberalisation, rapid surges in capital inflows, increased levels of indebtedness, and then sudden capital outflows. The study contains four essays that extend the different generations of crisis literature and analyse the role of capital movements and borrowing in the recent crises. Essay 1 extends the first generation models of currency crises. It analyses bond financing of fiscal deficits in domestic and forei...

  16. Agent-based Models of Financial Markets

    OpenAIRE

    Samanidou, E.; E. Zschischang; 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 sel...

  17. 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

    2014-01-01

    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.

  18. 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

  19. 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-...

  20. Financial market outlook for inflation

    OpenAIRE

    Bauer, Michael D.; Jens H. E. Christensen

    2014-01-01

    Prices of special financial instruments called inflation derivatives can provide valuable insight into investors’ views of future inflation. Projections from inflation swap rates suggest inflation will remain low for some time and return only slowly to levels consistent with the Federal Reserve’s notion of price stability. Inflation caps and floors give evidence that investors seem less uncertain about inflation forecasts than in recent years, and that they perceive a favorable inflation outc...

  1. Integrated Marketing Communications

    Science.gov (United States)

    Black, Jim

    2004-01-01

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

  2. Assessing financial integration: a comparison between Europe and East Asia

    OpenAIRE

    Rossella Calvi

    2010-01-01

    Summary for non-specialistsTwo parallel analyses are carried out in order to assess the degree of integration of financial markets within Europe, within East Asia, between these two regions, and with the external financial community. The investigation is based on cointegration and Granger causality techniques, to detect the presence of short-run and long-run cross-country relationships in equity and bond markets.The empirical analysis performed for seven European and eleven East Asian financi...

  3. 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.

  4. A quantitative description for efficient financial markets

    Science.gov (United States)

    Immonen, Eero

    2015-09-01

    In this article we develop a control system model for describing efficient financial markets. We define the efficiency of a financial market in quantitative terms by robust asymptotic price-value equality in this model. By invoking the Internal Model Principle of robust output regulation theory we then show that under No Bubble Conditions, in the proposed model, the market is efficient if and only if the following conditions hold true: (1) the traders, as a group, can identify any mispricing in asset value (even if no one single trader can do it accurately), and (2) the traders, as a group, incorporate an internal model of the value process (again, even if no one single trader knows it). This main result of the article, which deliberately avoids the requirement for investor rationality, demonstrates, in quantitative terms, that the more transparent the markets are, the more efficient they are. An extensive example is provided to illustrate the theoretical development.

  5. Rethinking Consumer Protection Policy in Financial Markets

    Directory of Open Access Journals (Sweden)

    Liran Haim

    2013-10-01

    Full Text Available Normal 0 false false false EN-US JA HE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:Calibri; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-language:HE;} Financial products for consumers usually are characterized by complexity and incomprehensibility. Consumers typically find themselves defeated when attempting to control their financial destiny by understanding these products. This Article explores the economic and social factors that lead to this reality, analyzes its highly negative private and social ramifications and proposes an appropriate policy response. I argue that the current market structure creates a reality in which financial institutions are motivated to produce complex financial products for consumers in order to maximize their profits. This market structure, combined with inadequate policy, induces inefficiency by allocating the comprehension costs of financial products to the consumer.   My thesis is that a fundamental change in risk allocation policy will steer the market toward consumer comprehension of financial products and, therefore, will reduce private and social costs, increase consumer trust in financial institutions and promote social cohesion. I propose a new default liability rule under which financial institutions would be required to introduce internal procedures and mechanisms to ensure product comprehension among all of their consumers. To encourage maximum compliance with my proposal, I suggest implementing a reputation-based incentives method that

  6. Taxing the Financially Integrated Multinational Firm

    DEFF Research Database (Denmark)

    Johannesen, Niels

    This paper develops a theoretical model of corporate taxation in the presence of financially integrated multinational firms. Under the assumption that multinational firms at least partly use internal loans to finance foreign investment, we find that the optimal corporate tax rate is positive from...... partly fall on investment and thus workers in the former country. This tax exporting mechanism introduces a scope for corporate taxes, which is not present in standard models of international taxation. Accounting for the internal capital markets of multinational firms thus represents a way to resolve...

  7. Rent Seeking and Corruption in Financial Markets

    OpenAIRE

    Asim Ijaz Khwaja; Atif Mian

    2011-01-01

    We describe recent advances in the study of rent seeking and corruption in financial markets. We outline three areas of inquiry: (a) conceptualizing rent seeking, (b) identifying rent-provision channels and their general equilibrium impact, and (c) designing feasible remedial mechanisms. We provide suggestions for making further progress in these areas and review a variety of approaches taken in the recent literature.

  8. COMPETITION BUILDS STRENGTH IN FINANCIAL MARKETS

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese economy, says U.S.Ambassador Alan Holmer.Hol

  9. 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 th

  10. 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

  11. 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...

  12. Open dynamic behaviour of financial markets

    Science.gov (United States)

    Gong, F. F.; Gong, F. X.; Gong, F. Y.

    2006-02-01

    Open dynamic behaviour of financial markets with internal interactions between agents and with external “fields” from other systems are investigated using the approach of Grossman and Stiglitz for inefficient markets, and Keynes for interference of the market using physics of finance (referred to hereafter as phynance). The simulation results indicate that the NYSE data analyzed in Plerou, V. et al., Nature 421, 130 (2003) can be fitted by an equation of order parameter Φ and local deviation R of type: -(R+0.03) Φ+ 0.6 Φ3 + 0.02 = 0, which is shown to be in remarkable agreement with Plerou's data.

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

    OpenAIRE

    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 interacting financial networks. Coupling financial institutions’ multiplex networks with financial market infrastructures’ networks removes modularity, which augments financial instability because the n...

  14. Financial market and growth: Evidence from post-reforms India

    OpenAIRE

    Prity Sinha; Brinda Viswanathan; Badri Narayanan

    2015-01-01

    A significant boom occurred in the Indian financial market and growth in the post-liberalization era. This motivates us to analyze the impact of stock market and credit market (two components of financial market) for the growth of financial market. This paper attempts to show the linkage between stock and credit markets and their impact on the Indian economy taking the period after post-liberalization. The period of analysis is from 1994 to 2010; we identify the three variables as stationary ...

  15. An Analysis of Indian Financial Derivatives Market and its Position in Global Financial Derivatives Market

    OpenAIRE

    Bhagwat, Dr. Shree; Omre, Ritesh; Chand, Deepak

    2012-01-01

    The past decade has witnessed the multiple growth in the volume of international trade and business due to the wave of globalization and liberalization all over the world. As a result, the demand for the international money and financial instruments increased significantly at the global level. In this respect, change in exchange rates, interest rates and stock prices of different financial markets have increased the financial risk to the corporate world. Adverse changes have even threatened t...

  16. 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.

  17. 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.

  18. Nature and composition of institutional investors of financial market

    OpenAIRE

    Raisa Kvasnytska

    2015-01-01

    The article deals with the nature of institutional investors of financial market. The analysis of the functional features of institutions-investors of financial market that relate specifically to institutional investors is conducted. It is detailed the composition of representatives of institutional investors of financial market that form a system of institutional investment in Ukraine.

  19. Canonical momenta indicators of financial markets and neocortical EEG

    CERN Document Server

    Ingber, L

    1996-01-01

    A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a recursive ASA optimization process to tune trading rules. These trading rules are then used on out-of-sample data, to demonstrate that they can profit from the SMFM model, to illustrate that these markets are likely not efficient. This methodology can be extended to other systems, e.g., electroencephalography. This approach to complex systems emphasizes the utility of blending an intuitive and powerful mathematical-physics formalism to generate indicators which are used by AI-type rule-based models of management.

  20. Design and Factors Affecting State Supervision of the Financial Market

    Directory of Open Access Journals (Sweden)

    Mirosław Jeżowski

    2015-03-01

    Full Text Available Purpose: The purpose of the paper is to identify the factors that affect the development of the models of financial market state supervision and to identify the factors that have influenced the evolution of the supervision model in Poland. Methodology: critical analysis of literature, legal provisions and documents. Findings: The completely integrated and the fully dispersed model of supervision are located at the opposite ends of the spectrum. A variety of the hybrid models can be identified between them. Factors that affect supervision organization are both economic and non-economic. Factors that have influenced the Polish model of supervision include political aspects, administration costs and, in due course, also the development of the financial market. Research implications: The variety of state supervision structures, combined with the ambiguity and multiplicity of factors that affect their evolution create a new research challenge. Significant problems in accessing documents have been identified. Originality: The author presents an overview of models of state supervision of financial markets and factors affecting the evolution and structure of supervision. Conclusions drawn from the analysis were used to identify factors that influence the evolution and supervision of the Polish financial market.

  1. 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. PMID:26327593

  2. 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

  3. 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

  4. Forecasting financial markets with online information

    OpenAIRE

    Gaskell, Paul

    2015-01-01

    This thesis explores the relationship between what investors say on online social media and price movements in financial markets. Recent studies have applied techniques from the natural language processing literature to distil the content of blogs, micro-blogs and user generated content sites to a ‘sentiment’ measure, pertaining to whether the content is good or bad for a given stock. Sentiment is then measured over a time series and compared to stock price returns. There is general agreement...

  5. Information and hierarchical structure in financial markets

    Science.gov (United States)

    Mantegna, R. N.

    1999-09-01

    I investigate the information content present in the time series of stock prices of a portfolio of stocks traded in a financial market. By investigating the correlation coefficient between pairs of stocks I provide a working definition of a generalized distance between the stocks of the portfolio. This generalized distance is used to obtain an ultrametric distance matrix between the stocks. The ultrametric structure of the portfolio investigated has associated a taxonomy which is meaningful from an economic point of view.

  6. Essays in comovement of financial markets.

    OpenAIRE

    Mathias, Charles

    2012-01-01

    Comovement is ubiquitous in financial markets. The evolution of asset characteristics, such as price, volatility or liquidity, exhibits a high degree of correlation across assets---a phenomenon that in this thesis will generically be denoted with the term comovement. The origins of suchcomovement are legion. In their investment decisions, economic agents are not only influenced by their idiosyncrasies---a large part of investment motivations are shared over a population. Demographics or the p...

  7. Financial Market Turmoil: Implications for Monetary Policy Transmission in China

    Institute of Scientific and Technical Information of China (English)

    Chengsi Zhang; Joel Clovis

    2009-01-01

    The recent financial market turmoil has initiated another search for insightful understanding of the interactions between the financial market and monetary policy. This paper explores these interactions in terms of the transmission mechanism of monetary policy in China. We argue that evolving financial development, enhanced by the expansion of the financial market, has altered the conventional channel for monetary transmission in China. Analyzing marked changes in the financial landscape and taking into account policy regime shifts in China, the paper provides clear evidence showing that the financial market has become a new and important channel for transmission of monetury policy in China.

  8. 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

  9. 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

  10. 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

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

    OpenAIRE

    Mitica Pepi; Traian Cristin Nicolae

    2013-01-01

    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...

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

    OpenAIRE

    He, Hongbo

    2012-01-01

    The Chinese government has implemented a series of financial liberalisation policies in stock market after China’s accession into the WTO in 2001. However, it remains somewhat unclear whether and to what extent China’s financial liberalisation has influenced its stock market in the post-WTO accession period. This thesis examines this issue from the perspectives of international market integration and market interdependence. This thesis mainly includes three empirical studies: 1) gauging the d...

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

    OpenAIRE

    Ho Szee Yah, Cynthia; Dinh, Anh Thi Quynh

    2010-01-01

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

  14. The consequence of financial crises in Albanian insurance market

    Directory of Open Access Journals (Sweden)

    Edmira Cakrani

    2010-06-01

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

  15. Risk and Market Segmentation in Financial Intermediaries’ Returns

    OpenAIRE

    Linda Allen; Julapa Jagtiani

    1996-01-01

    This study examines both the quantity and price of risk exposure for different segments of financial intermediaries in order to determine whether market segmentation exists in the financial services industry in the United States. We distinguish between depository institutions, securities firms, insurance companies, mutual funds, and other financial firms using each company s SIC code. We find evidence of market segmentation in both market risk levels and market risk premiums. The results prov...

  16. FINANCIAL MARKET OF AZERBAIJAN: CURRENT CONDITION AND FUTURE PERSPECTIVES

    Directory of Open Access Journals (Sweden)

    R. Guliyev

    2014-01-01

    Full Text Available This article discusses the economic model of Azerbaijan. Main components of the financial market are being analyzed: state budget, state oil fund, banking system, foreign debt and etc. This article assesses the impact of the global financial crisis on the national economy. Moreover, future development perspectives of the financial market and the economy are being examined as well.

  17. 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.

  18. Essays on financial integration and institutional quality

    OpenAIRE

    Dadašov, Ramin Rufat Oglu

    2013-01-01

    This thesis comprises four individual essays and deals with the question of how international financial integration may influence quality of economic institutions in developing countries. While the first three essays provide theoretical models of different channels, through which financial integration may affect institutional quality, the last work is an empirical investigation into the influence of liberalization of the financial account on institutional development. The first essay „Financi...

  19. Financial Convergence Analysis: Implication for Insurance and Pension Markets

    Directory of Open Access Journals (Sweden)

    Natalia P. Kuznetsova

    2016-06-01

    Full Text Available The proposed paper is one of a set of articles dedicated to the new phenomenon in the global and national financial marketsfinancial convergence – and is focused on theoretical issues. The hypothesis of the article is to argue whether the financial convergence determines the directions of financial market (namely, insurance and pension sectors development. Adequately the goal of this paper is to analyze the existence of convergence processes in the insurance and pension markets. Methods of systematic and logical analysis are used. In the first part authors give brief history of the convergence phenomenon research. Then the paper analyses influence of financial convergence on insurance and pension markets, manifested in the following effects: mix of financial institutions functions; distribution channels advantages, increase of insurance and pension funds companies’ competitiveness; governance models convergence. The major results of the study are: demographic shifts in different developed and emerging markets countries caused the need to reform the social security systems and public pension schemes and refocus them to the market-based financial convergence model; pension funds, acting as institutional investors, are the leading players in the contemporary global financial market; competition at the financial market causes the expansion of a number of services offered by various organizations: banks, insurance companies, pension funds and so on, which offer a wide range of services not directly related to their core businesses; the mixing of financial institutions functions from the insurance, pension and banking sectors, increased competition for customers at the national and global financial market.

  20. Rough paths in idealized financial markets

    OpenAIRE

    Vladimir Vovk

    2010-01-01

    This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2; in this sense, typical price paths are not rougher than typical paths of Brownian motion. We do not make any stochastic assumptions and only assume that the price path is positive and right-continuous. The qualification "typical" means that there is a trading strategy (constructed explicitly in the proof) that risks only one...

  1. Geo-Financial Association of Ukrainian Stock Market with European Stock Exchanges: Modern Trends

    Directory of Open Access Journals (Sweden)

    Olena Slozko

    2015-06-01

    Full Text Available The paper investigates geo-financial association of Ukrainian stock market within the system of European stock exchange mechanisms. It analyzes current trends on Ukrainian stock exchanges and aims at considering and drawing possible ways and paths for integrating the Ukrainian stock market into the European stock exchange market framework. The authors believe that IT network is a strong background for further sustainable transformation of Ukrainian stock market and its consolidation with the EU stock market.

  2. Financial market and growth: Evidence from post-reforms India

    Directory of Open Access Journals (Sweden)

    Prity Sinha

    2015-12-01

    Full Text Available A significant boom occurred in the Indian financial market and growth in the post-liberalization era. This motivates us to analyze the impact of stock market and credit market (two components of financial market for the growth of financial market. This paper attempts to show the linkage between stock and credit markets and their impact on the Indian economy taking the period after post-liberalization. The period of analysis is from 1994 to 2010; we identify the three variables as stationary and find a relationship between the financial market and gross domestic product (GDP and a long-run effect of lagged differences in credit market on GDP. It has been inferred that stock market development has larger and more significant long-run mutual effects on economic growth than credit market development in India.

  3. MARKETING MIX IN FINANCIAL INVESTMENT SERVICES COMPANIES

    Directory of Open Access Journals (Sweden)

    Ioana Ancuța IANCU

    2016-05-01

    Full Text Available Given that services of Financial Investment Services Companies can be very similar (described by law, it's very important that they be distinguished by certain elements from competitors, thereby gaining market share. How can they do that? By adding value for customers. International literature offers views on creating competitive advantage considering the elements of the Marketing Mix: product, price, placement, promotion, personnel, process and physical evidence. From our experience in brokerage business, but also from our research in this field, we conclude that product and prices policies should be considered in periods of economic growth and stagnation. If in times of crisis we find no significant differences between companies (regardless of the number of products or the fees they have, in a stabilized economy, precisely this policies makes the difference between competitors.

  4. Threat, Intimidation, and Student Financial Market Knowledge: An Empirical Study

    Science.gov (United States)

    Ford, Matthew W.; Devoto, Steve; Kent, Daniel W.; Harrison, Todd

    2007-01-01

    Threat emanating from financial markets may intimidate college students to some degree. In this article, the authors considered the influence of such intimidation on student financial market knowledge. They hypothesized a negative relationship between intimidation and market knowledge. An empirical study of over 150 undergraduate business school…

  5. The implications of electronic trading in financial markets

    OpenAIRE

    Bank for International Settlements

    2001-01-01

    Preface The Committee on the Global Financial System (CGFS), known until 1999 as the Euro-Currency Standing Committee, serves as a discussion forum for the central bank community on financial stability questions. The CGFS has frequently been asked to examine the potential implications of innovations in global financial market practices. Recent projects by CGFS working groups have concerned the functioning of international interbank markets, financial derivatives and the systemic consequences ...

  6. 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.

  7. Waiting time distributions in financial markets

    Science.gov (United States)

    Sabatelli, L.; Keating, S.; Dudley, J.; Richmond, P.

    2002-05-01

    We study waiting time distributions for data representing two completely different financial markets that have dramatically different characteristics. The first are data for the Irish market during the 19th century over the period 1850 to 1854. A total of 10 stocks out of a database of 60 are examined. The second database is for Japanese yen currency fluctuations during the latter part of the 20th century (1989-1992). The Irish stock activity was recorded on a daily basis and activity was characterised by waiting times that varied from one day to a few months. The Japanese yen data was recorded every minute over 24 hour periods and the waiting times varied from a minute to a an hour or so. For both data sets, the waiting time distributions exhibit power law tails. The results for Irish daily data can be easily interpreted using the model of a continuous time random walk first proposed by Montroll and applied recently to some financial data by Mainardi, Scalas and colleagues. Yen data show a quite different behaviour. For large waiting times, the Irish data exhibit a cut off; the Yen data exhibit two humps that could arise as result of major trading centres in the World.

  8. 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....

  9. Greece’s Stock Market Integration with Southeast Europe

    OpenAIRE

    Khaled Guesmi; Zied Ftiti; Ilyes Abid

    2014-01-01

    This paper analyzes the time-varying integration of the Greek stock market from a regional perspective by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market currency risk, and local market risk. We show that the prices of risk are extremely sensitive to major international economic and political events such as the different monetary and financial crises in Asian and Latin Americ...

  10. Basic trends of the global financial market development

    Directory of Open Access Journals (Sweden)

    Luchian Ivan

    2013-01-01

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

  11. Malliavin method for optimal investment in financial markets with memory

    Directory of Open Access Journals (Sweden)

    An Qiguang

    2016-05-01

    Full Text Available We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market. We show a sufficient and necessary condition for the optimal investment in this financial market with memory by mean-field stochastic maximum principle.

  12. 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

  13. 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.

  14. 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.

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

    Directory of Open Access Journals (Sweden)

    MĂDĂLINA RĂDOI

    2014-05-01

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

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

    CERN Document Server

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

    2006-01-01

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

  17. When Can Social Media Lead Financial Markets?

    Science.gov (United States)

    Zheludev, Ilya; Smith, Robert; Aste, Tomaso

    2014-02-01

    Social media analytics is showing promise for the prediction of financial markets. However, the true value of such data for trading is unclear due to a lack of consensus on which instruments can be predicted and how. Current approaches are based on the evaluation of message volumes and are typically assessed via retrospective (ex-post facto) evaluation of trading strategy returns. In this paper, we present instead a sentiment analysis methodology to quantify and statistically validate which assets could qualify for trading from social media analytics in an ex-ante configuration. We use sentiment analysis techniques and Information Theory measures to demonstrate that social media message sentiment can contain statistically-significant ex-ante information on the future prices of the S&P500 index and a limited set of stocks, in excess of what is achievable using solely message volumes.

  18. Geo-Financial Association of Ukrainian Stock Market with European Stock Exchanges: Modern Trends

    OpenAIRE

    Olena Slozko; Anna Glazova

    2015-01-01

    The paper investigates geo-financial association of Ukrainian stock market within the system of European stock exchange mechanisms. It analyzes current trends on Ukrainian stock exchanges and aims at considering and drawing possible ways and paths for integrating the Ukrainian stock market into the European stock exchange market framework. The authors believe that IT network is a strong background for further sustainable transformation of Ukrainian stock market and its consolidation with the ...

  19. Integration of European Bond Markets

    DEFF Research Database (Denmark)

    Christiansen, Charlotte

    2014-01-01

    I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU memb......-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries....

  20. 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.

  1. Financial european integration policy of Ukraine

    Directory of Open Access Journals (Sweden)

    Kateryna Kovtonyuk

    2013-07-01

    Full Text Available The article reviews the theoretical foundations of legitimate nature of formation of the global financial space and its regional subsystems, which primarily influenced by the objective economic laws. It was proven that systemic interaction of these laws creates the foundation for the global financial space based on a comprehensive process of internationalisation of economic life in the form of integration and globalisation. Increased influence of these laws helps define integration as a leading pattern of the global financial space. The multilevel system of the regional financial space contributes to its harmonisation and facilitation of accession of new players. It was ascertained that the European Union is one of the most successful integration associations. The necessity of Ukraine’s integration into the European financial sector was reasoned. The article contains the comparative analysis of statistics and financial and economic convergence indicators showing the prerequisites for expanding of the integration kernel (the Eurozone as well as of the most effective integration mechanism.

  2. Financial market breakdown due to strategy constraints and information asymmetry

    OpenAIRE

    Hu, Jie

    1995-01-01

    This paper demonstrates the relevance of strategy constraints on market makers to the possibility of financial market breakdown when there is information asymmetry between market makers and investors; both the case of competitive market makers and the case of a monopolistic market marker are included. Specifically, the paper discusses three types of strategy constraints on the market makers and their implications for the equilibria. The results call attention to the need for more precise spec...

  3. Approaches to the formation of financial security companies in the insurance market

    OpenAIRE

    Kravchenko, V.

    2014-01-01

    The features of the insurance market as a special sphere of financial relations that arise between the subjects of the insurance market and financial market and economic relations in the insurance market, which form the 1st level of financial security of insurance companies, especially the investment activities of insurers in the financial market, where a 2 level of financial security insurance companies.

  4. The financialization of home and the mortgage market crisis

    NARCIS (Netherlands)

    M.B. Aalbers

    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

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

    Science.gov (United States)

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

    2013-01-01

    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.

  6. 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...

  7. FINANCIAL MARKET TESTS OF INFORMATIONAL EFFICIENCY: THE CASE OF EMERGENT MARKETS

    OpenAIRE

    OPREAN Camelia; BRATIAN Vasile

    2012-01-01

    Efficient Market Hypothesis (EMH) has attracted a considerable number of studies in empirical finance, particularly in determining the market efficiency of an emerging financial market. These efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the presence of market efficiency in terms of information. This paper tests the weak-form market informational efficiency in Romania. We test the random walk hypothesis of stock exchange index BET of B...

  8. 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.

  9. Hierarchical structure of stock price fluctuations in financial markets

    International Nuclear Information System (INIS)

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

  10. UNREGULATED MARKETS AND INTERNET FINANCIAL COMMUNICATION: QUALITATIVE AND QUANTITATIVE APPROACHES

    OpenAIRE

    Laetitia Pozniak

    2015-01-01

    This research examines voluntary financial communication on the Internet by companies quoted on Brussels’ unregulated markets. In the absence of obligation to communicate, we wish to know if companies quoted on these markets are proactive regarding financial disclosure on their website? We also identify determinants of the level of internet financial communication. Have the characteristics of the SME an impact on this level? What brought the managers of these SME to disclose or not financia...

  11. Practical volatility and correlation modeling for financial market risk management

    OpenAIRE

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

    2005-01-01

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

  12. INTEGRATED MARKETING COMMUNICATION IN POLITICS?

    OpenAIRE

    Ovidiu-Aurel GHIUŢĂ

    2009-01-01

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

  13. Integration of financial and non-financial reports under management conditions

    Directory of Open Access Journals (Sweden)

    Prodanciuk Mihail

    2013-02-01

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

  14. INTEGRATION OF FINANCIAL AND NON-FINANCIAL REPORTS UNDER MANAGEMENT CONDITIONS

    Directory of Open Access Journals (Sweden)

    Mihail PRODANCIUK

    2013-02-01

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

  15. Market Failure, Regulation and Education of Financial Advisors

    OpenAIRE

    Adam Steen; Dianne McGrath; Alfred Wong

    2016-01-01

    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 combinati...

  16. Financial Crises in Emerging Markets: The Lessons from 1995

    OpenAIRE

    Sachs, Jeffrey D; Aaron Tornell; Andrés Velasco

    1996-01-01

    In this paper we examine closely the financial events following the Mexican peso devaluation to uncover new lessons about the nature of financial crises. We explore the question of why, during 1995, some emerging markets were hit by financial crises while others were not. To this end, we ask whether there are some fundamentals that help explain the variation in financial crises across countries or whether the variation just reflects contagion. We present a simple model identifying three facto...

  17. Integration of Asean-5 Stock Markets: A Revisit

    OpenAIRE

    Bakri Abdul Karim; Zulkefly Abdul Karim

    2012-01-01

    This study re-examines the integration among five selected ASEAN emerging stock markets Malaysia, Thailand, Indonesia, the Philippines and Singapore) based on Autoregressive Distributed Lag (ARDL) bound testing approach proposed by Pesaran, Shin and Smith 2001). This study finds that the stock markets in the ASEAN region are integrated during the pre-, post-1997 and post U.S. subprime financial crisis. In line with many studies on international interdependences of stock markets, our study fin...

  18. 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 inter

  19. Marketing-oriented organizations: an integrated approach.

    Science.gov (United States)

    Stensrud, R; Arrington, B

    1988-03-01

    Organizations can be oriented toward marketing from a production, product, sales, or marketing perspective. Strategies, structures, and cultures, which reflect a company's basic orientation, must be integrated to ensure that marketing efforts communicate a clear corporate position. In a study of 31 hospitals, the Center for Health Services Education Research, St. Louis University, found that no hospital's organization fit neatly into a single category. For example, a hospital may have some service lines that were marketing oriented while other lines were production oriented. The majority of hospitals, however, were product oriented, focusing on productivity and financial performance rather than on market factors. The most effective sales orientation was observed in the for-profits. Their selling efforts, however, tended to be internally focused, with product development activities divorced from the planning and marketing functions. Only the for-profit hospitals showed the beginning of a marketing orientation. Developing a marketing orientation, especially in line divisions, requires a careful, well-orchestrated effort and the presence of several key factors: Access to capital and an emphasis on long-range planning and strategic spending The availability of hospital-specific market research. Key distribution channels. Talented middle managers. Up-to-date systems and structures equipped to serve new values and strategies. Leaders capable of communicating to the organization a vision of its role in the community. PMID:10302251

  20. Sovereign wealth funds in the globalization of financial markets

    Directory of Open Access Journals (Sweden)

    Djordje Cuzovic

    2012-05-01

    Full Text Available This paper analyses the investment funds with special emphasis on Sovereign Wealth Funds (SWFs, as new participants in the financial market. Considering that financial markets are one of the main carriers of globalization, our goal is to investigate development and the role of these investment funds with reference to contemporary theory and progressive practice of the market of developed countries. Although SWFs emerged in practice more than fifty years ago, they are not sufficiently explored in the theory.

  1. 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

  2. Crisis of financial system and evolution of commodities market

    OpenAIRE

    Varshavsky , Leonid

    2010-01-01

    The main stages and history of the current financial crisis are studied. The evolution of commodities market over the last decade is analyzed, as well as measures on strengthening regulation and control of the markets. Some problems of applied econometric modeling and forecasting development of commodities market are considered

  3. Financial Literacy and Stock Market Participation

    NARCIS (Netherlands)

    van Rooij, M.C.J.; Lusardi, A.; Alessie, R.

    2007-01-01

    Individuals are increasingly put in charge of their financial security after retirement. Moreover, the supply of complex financial products has increased considerably over the years. However, we still have little or no information about whether individuals have the financial knowledge and skills to

  4. Piecewise-linear maps and their application to financial markets

    Directory of Open Access Journals (Sweden)

    Fabio Tramontana

    2016-08-01

    Full Text Available The goal of this paper is to review some work on agent-based financial market models in which the dynamics is driven by piecewise-linear maps. As we will see, such models allow deep analytical insights into the functioning of financial markets, may give rise to unexpected dynamics effects, allow explaining a number of important stylized facts of financial markets, and offer novel policy recommendations. However, much remains to be done in this rather new research field. We hope that our paper attracts more scientists to this area.

  5. 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.

  6. Strategic Opportunities Afforded by Integrated Marketing

    OpenAIRE

    CONSTANTIN SASU

    2006-01-01

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

  7. The 2007-? financial crisis: a money market perspective

    OpenAIRE

    Nuno Cassola; Claudio Morana

    2010-01-01

    The evolution of the spreads between unsecured money market rates of various maturities and central banks’ key policy rates has been subject to considerable debate and controversy in relation to the worldwide financial market turbulence that started in August 2007. Our contribution to the ongoing debate on the dynamics of money market spreads is empirical and methodological, motivated by the “shocking” evidence of non-stationary behaviour of money market spreads. In fact, in our view, empiric...

  8. Risk Aversion and Herd Behavior in Financial Markets

    OpenAIRE

    Décamps, Jean-Paul; Lovo, Stefano

    2003-01-01

    We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that financial market prices do not converge to the asset's fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. These results are obtained without introducing multidimensional uncertainty.

  9. Keynes' theory of conventional decision-making in financial markets

    Directory of Open Access Journals (Sweden)

    Radonjić Ognjen

    2009-01-01

    Full Text Available The question addressed in this paper is whether financial markets actually function in the manner described by the today still dominant modern theory of efficient financial markets. We argue that the theory's conclusions are based on unreal assumptions that the future is predictable and ergodic. Since assumptions of a model determine its conclusions, unreal assumptions imply incorrect and inapplicable theoretical models. In contrast to neoclassical theory, Keynes insisted that future was fundamentally uncertain and nonergodic. Under such circumstances, when it is not possible to calculate the future, the only rational thing for agents in financial markets to do is to base their decisions on socially acceptable conventions. Consequently, since convention-based expectations are unstable and since expectations create future it is possible to prove that financial markets are inherently unstable.

  10. The average behaviour of financial market by 2 scale homogenisation

    CERN Document Server

    Wojnar, R

    2006-01-01

    The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a market in long terms, such as year intervals, is different from that in short terms. A diffusion equation with a time dependent diffusion coefficient that describes the fluctuations of the financial market, is subject to a two-scale homogenisation, and long term characteristics of the market such as mean behaviour of price and variance, are obtained. We indicate also that introduction of convolution into diffusion equation permits to obtain L- stable behaviour of finance.

  11. Capital Markets and Financial Intermediation in the Baltic States

    OpenAIRE

    International Monetary Fund

    2003-01-01

    This paper analyzes the capital markets and financial intermediation in the Baltic States. It provides a comprehensive overview of the structure and level of development of the financial system, discussing some of the unique characteristics of the Baltics, such as leasing; and comparing the structure of the Baltic financial systems to other European Union accession countries and/or euro zone averages, both of which serve as benchmarks. The paper also addresses some of the broader analytical q...

  12. A Dilution Cost Approach to Financial Intermediation and Securities Markets

    OpenAIRE

    Bolton, P; X. Freixas

    1998-01-01

    This paper proposes a model of financial markets and corporate finance, with asymmetric information and no taxes, where equity issues, Bank debt and Bond financing may all co-exist in equilibrium. The paper emphasizes the relationship Banking aspect of financial intermediation: firms turn to banks as a source of investment mainly because banks are good at helping them through times of financial distress. The debt restructuring service that banks may offer, however, i...

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

    OpenAIRE

    Andrei Alaev; Arseny Mamedov; Vladimir Nazarov

    2013-01-01

    This paper deals with the issue of intergovernmental fiscal relations and subnational finances in Russia. The authors focus on the issue of subnational budgets in 2012, financial support from the federal budget. The point out to how the federal authorities stimulate the constitutent territories on the Russian Federation.

  14. 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. PMID:18546970

  15. A multilayer approach for price dynamics in financial markets

    CERN Document Server

    Biondo, Alessio Emanuele; Rapisarda, Andrea

    2016-01-01

    We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to previous studies, the order book dy- namics, by considering two assets with variable fundamental prices. Fat tails in the probability distributions of normalized returns are observed, together with other features of real financial markets.

  16. 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...

  17. Marking to Market for Financial Institutions: A Common Sense Resolution

    OpenAIRE

    Franklin Allen; Elena Carletti; Finn Poschmann

    2009-01-01

    Debate has intensified in recent years on the advantages and disadvantages of moving towards a full mark-to-market accounting system for banks and insurance companies. The debate has been heated by moves by the International Accounting Standards Board (IASB) and the US Financial Accounting Standards Board to harmonize accounting standards across countries. Proponents contend that mark-to-market accounting has the advantage of reflecting the relevant value of financial institution balance shee...

  18. Complex Systems: From Nuclear Physics to Financial Markets

    OpenAIRE

    Speth, J.(Institut für Kernphysik, Forschungszentrum Jülich, Jülich, D-52425, Germany); S. Drozdz; Grümmer, F.

    2009-01-01

    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 relati...

  19. The Political Production of Superfund: Some Financial Market Results

    OpenAIRE

    Brett Dalton; David Riggs; Bruce Yandle

    1996-01-01

    In this article, we assess the prospective effects of different legislative packages by examining how financial markets reacted to alternate proposals and the final law. The use of financial markets analysis provides at least one avenue for identifying interest groups that won and lost as the major features of proposed legislation were modified. The analysis indirectly determines who pays for Superfund. Significant shareholder losses indicate shareholders pay. By contrast, the absence of weal...

  20. Multiple Time Series Ising Model for Financial Market Simulations

    International Nuclear Information System (INIS)

    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

  1. Estimating a Structural Model of Herd Behavior in Financial Markets

    OpenAIRE

    Cipriani, Marco; Guarino, Antonio

    2014-01-01

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

  2. Causality between FDI and Financial Market Development: Evidence from Emerging Markets

    OpenAIRE

    Soumaré, Issouf; TCHANA TCHANA, Fulbert

    2011-01-01

    This paper studies the causal relationship between foreign direct investment (FDI) and financial market development (FMD) using panel data from emerging markets. Most studies of the relationship between FDI and FMD have focused on the role of FMD in the link between FDI and economic growth, with no deep understanding of direct causality between FDI and FMD, especially in emerging markets, where financial markets are in the development stage. We document bidirectional causality between FDI and...

  3. Financial Literacy: Getting beyond the Markets

    Science.gov (United States)

    Stanford, Jim

    2010-01-01

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

  4. A Bull Market for Financial Literacy

    Science.gov (United States)

    Finkel, Ed

    2010-01-01

    School districts across the country have been taking a harder look at what they are teaching students about financial literacy in the wake of the financial crisis of the past few years, caused in part by excessive credit card and mortgage debt. While economics courses have been common for many years, particularly at the high school level,…

  5. Financial crises and volatility spillovers among emerging European equity markets

    Directory of Open Access Journals (Sweden)

    Ugur Ergun

    2014-08-01

    Full Text Available Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical result indicates that volatility of Serbian stock price is influenced by the volatility of Bosnian and Croatian stock prices. There is one way volatility transmission from Bosnian and Croatian stock markets to Serbian stock market. High degree of volatility is observed in the stock markets during latest financial crises.

  6. Financial Market Regulation in Germany - Capital Requirements of Financial Institutions

    Directory of Open Access Journals (Sweden)

    Daniel Karl Detzer

    2015-03-01

    Full Text Available This paper examines capital adequacy regulation in Germany. The first part reviews capital adequacy regulation from the 1930s up to the financial crisis and identifies two main trends: a gradual softening of the eligibility criteria for equity and increasing reliance on internal risk models. While the first trend has been reversed following the financial crisis, internal risk models still play a central role. Therefore, the second part discusses the problems with the use of internal risk models and discusses the potentials of Basel 2.5 and Basel III to alleviate the identified problems. It is concluded that the relevant problems are not resolved. Therefore, in the final part some suggestions of how the problems could be addressed properly are given.

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

    OpenAIRE

    Radu CIOBANU; Sebastian Mădălin MUNTEANU; Irina-Eugenia IAMANDI

    2011-01-01

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

  8. Higher-order phase transitions on financial markets

    Science.gov (United States)

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

    2010-08-01

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

  9. Special Features of Development of the Present World Financial Market Structure

    Directory of Open Access Journals (Sweden)

    Oleh Patsenko

    2012-03-01

    Full Text Available The article analyzes the different approaches to definition of the world financial market. Basic criterion approaches to the present world financial market structuring have been examined. The own world financial market structure model has been proposed. Current trends in development of the world financial market have been revealed in the perspective of its geographical, functional, monetary and institutional structure.

  10. The role of the FX swap market in the Hungarian financial system

    OpenAIRE

    István Mák; Judit Páles

    2009-01-01

    During the intensifying integration of the global financial system experienced in recent years FX swap has become one of the most common financial products having the most liquid market. The scope of application of the FX swap transactions is extremely wide; they can be used for liquidity management, risk coverage, short-term yield speculation, and – combined with a spot foreign exchange transaction – for taking exchange rate positions. In recent years the Hungarian banking system financed fo...

  11. Financial policy and corporate investment in imperfect capital markets : the case of Korea

    OpenAIRE

    Dailami, Mansoor

    1990-01-01

    Central to the effectiveness of financial policies geared towards promoting real business investment is the interaction between corporations'financing and investment decisions. The objectives of this paper are twofold : 1) develop an integrated approach towards the problem of optimal corporate real investment and finance in the context of a financial model of a developing economy characterized by credit rationing, controlled banking sector and an organized equity market; and 2) apply the mode...

  12. Marketing of Professional and Financial Services in Croatia

    OpenAIRE

    Ozretić Došen, Đurđana; Kesić, Tanja; PREVIŠIĆ, Jozo

    1999-01-01

    Based on sample survey of professional and financial service companies in Croatia, in this article, the authors try to analyse their marketing orientation in business practices. With the help of the data they assess the extent of companies’ understanding of usefulness of marketing — concepts, methods and techniques — in their daily operations.

  13. Minimal Martingale Measures for Discrete-time Incomplete Financial Markets

    Institute of Scientific and Technical Information of China (English)

    Ping Li; Jian-ming Xia

    2002-01-01

    In this note, we give a characterization of the minimal martingale measure for a general discretetime incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.

  14. Algorithmic complexity theory and the relative efficiency of financial markets

    Science.gov (United States)

    Giglio, R.; Matsushita, R.; Figueiredo, A.; Gleria, I.; Da Silva, S.

    2008-11-01

    Financial economists usually assess market efficiency in absolute terms. This is to be viewed as a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. We employ such an approach in order to rank 36 stock exchanges and 20 US dollar exchange rates in terms of their relative efficiency.

  15. The Values Distribution in a Competing Shares Financial Market Model

    OpenAIRE

    Ponzi, A.; Aizawa, Y

    1999-01-01

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

  16. 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.

  17. FINANCIAL RATIOS AND STOCK PRICES ON DEVELOPED CAPITAL MARKETS

    Directory of Open Access Journals (Sweden)

    BOGDAN DIMA

    2013-03-01

    Full Text Available This study empirically tests for the relevance of a set of financial ratios designed to capture issuers’ financial performance for the dynamics of stock prices, on a dataset of quarterly values for 495 trading quotes from major European capital markets as well as from S&P 500 market covering a time span between 2003/1 and 2011/1. The research hypothesis is that financial ratios reflecting issuers’ financial health matter in the selection of portfolios’ structure. We tested this hypothesis in a GMM methodological framework and found that such relationship holds on long run, even if there appears to be some differences in the reactions of European and United States’ stocks to financial information.

  18. 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.

  19. A statistical physics perspective on criticality in financial markets

    International Nuclear Information System (INIS)

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

  20. 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.

  1. Credit Rating Agencies, Financial Regulations and the Capital Markets

    OpenAIRE

    Shahzad, Khurram

    2013-01-01

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

  2. Dynamics of a financial market index after a crash

    OpenAIRE

    Fabrizio Lillo; Mantegna, Rosario N.

    2002-01-01

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

  3. 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.

  4. 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.

  5. The multiplex dependency structure of financial markets

    CERN Document Server

    Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana; Latora, Vito

    2016-01-01

    We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear, non-linear, tail, and partial correlations among a set of financial time series. We construct the sparse graph on each layer using a standard network filtering procedure, and we then analyse the structural properties of the obtained multiplex networks. The study of the time evolution of the multiplex constructed from financial data uncovers important changes in intrinsically multiplex properties of the network, and such changes are associated with periods of financial stress. We observe that some features are unique to the multiplex structure and would not be visible otherwise by the separate analysis of the single-layer networks corresponding to each dependency measure.

  6. Predicting Financial Distress in the Hong Kong Growth Enterprises Market from the Perspective of Financial Sustainability

    Directory of Open Access Journals (Sweden)

    Hui Hu

    2015-01-01

    Full Text Available The present study, according to our knowledge, is the first attempt to establish a financial distress prediction model for a unique set of enterprises, which are the enterprises listed on the specialized Hong Kong Growth Enterprise Market. It also makes an analysis of corporate financial sustainability and its relationship to financial distress prediction. The logistic regression and jackknife method are used to test the predictability of various models with data drawn from the Growth Enterprise Market for the years 2000–2010. The study finds that a model that includes firm-specific financial variables, firm-specific non-financial variables and a macro-economic variable is a better predictor of financial distress than is a model that includes only the first set of variables or a model that includes the latter two sets of variables. It also finds that a model that includes the latter two sets of variables is a better predictor of financial distress than is a model that includes only the first set of variables. These findings are vital for financial sustainability, as investors, policymakers, auditors and stakeholders of this market would find the conclusions emanating from the study extremely useful.

  7. Efficiency of financial markets and algorithmic complexity

    Science.gov (United States)

    Giglio, R.; da Silva, S.; Gleria, Iram; Ranciaro, A.; Matsushita, R.; Figueiredo, A.

    2010-09-01

    In this work we are interested in the concept of market efficiency and its relationship with the algorithmic complexity theory. We employ a methodology based on the Lempel-Ziv index to analyze the relative efficiency of high-frequency data coming from the Brazilian stock market.

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

    OpenAIRE

    Achim Koberstein; Elmar Lukas; Marc Naumann

    2013-01-01

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

  9. Integration of liberalised energy market

    International Nuclear Information System (INIS)

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

  10. Dynamical Analyses Using Visibilities in Financial Markets

    Science.gov (United States)

    Min, Seungsik; Lim, Kyuseong; Chang, Ki-Ho; Park, Il-Hwan; Kim, Kyungsik

    2016-04-01

    In this paper, the network metrics are studied in a time series of the KOSPI and the KOSDAQ indices converting by the visibility graph algorithm. The degree distributions for the KOSPI and the KOSDAQ are proportional to a power law rather than the Poisson distribution. Since we mainly simulate and analyze the network metrics from the nodes and its links, our result cannot be found unambiguously to have universal and characteristic properties of statistical quantities via financial networks. Particularly, these topological properties may improve by implementing the statistical method and its technique from altered data of financial networks.

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

    Science.gov (United States)

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

    1980-01-01

    The importance of the marketing plan is stressed as an integrative device for teaching marketing management, and a structure is presented to assist students in designing a marketing plan. Components of this plan include marketing objectives, targeting market and buying motives, external environment and competition, product, price, and promotion.…

  12. 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

  13. 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.

  14. 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. PMID:27652108

  15. Analysis of Spin Financial Market by GARCH Model

    International Nuclear Information System (INIS)

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

  16. 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.

  17. 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.

  18. The Effect of Information on Financial Markets: A Survey

    OpenAIRE

    Chouliaras, Andreas

    2016-01-01

    Researchers in finance have since long ago been attempting to quantify information, and assess its impact on financial markets. Recent advances in computational linguistics, natural language processing, machine learning and econometrics, along with improved data access to media articles, online discussions and social networks, have enabled researchers to apply such techniques in multiple fields of financial research. The applications include (but are not limited to): the effect of media colum...

  19. The Effect of Infomation on Financial Markets: A Survey

    OpenAIRE

    Chouliaras, Andreas

    2016-01-01

    Researchers in finance have since long ago been attempting to quantify information, and assess its impact on financial markets. Recent advances in computational linguistics, natural language processing, machine learning and econometrics, along with improved data access to media articles, online discussions and social networks, have enabled researchers to apply such techniques in multiple fields of financial research. The applications include (but are not limited to): the effect of media colum...

  20. Marketing, financial goals play into CCRC refund plan.

    Science.gov (United States)

    Wynd, W R; Stewart, M I; Hunter, H O

    1991-02-01

    An entry fee refund is the marketing tool for continuing care retirement communities (CCRCs) with the most easily assessed financial effects. The financial results of refund schedules can be measured in terms of a CCRC's ability to generate pools of cash and withdraw cash from these pools to fund operations. A CCRC's choice of refund schedule also will affect net present value of an investment in retirement housing.

  1. Climate change, markets and standards: the case of financial accounting

    OpenAIRE

    Lovell, Heather

    2014-01-01

    The paper examines unresolved attempts since 2005 to develop financial accounting standards for greenhouse gas emission allowances. It is a detailed empirical case study into how the large-scale experiment of carbon markets has manifested in a particular area of professional expertise – financial accounting. Theories about the role of standards usefully draw attention to the hidden work of standards in society and help explain why some things are difficult to standardise. However, there are n...

  2. Community Analysis of Global Financial Markets

    Directory of Open Access Journals (Sweden)

    Irena Vodenska

    2016-05-01

    Full Text Available We analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002–2012. We build a network model consisting of two layers, one being the stock market indices and the other the foreign exchange markets. Synchronous and lagged correlations are used as measures of connectivity and causality among different parts of the global economic system for two different time intervals: non-crisis (2002–2006 and crisis (2007–2012 periods. We study community formations within the network to understand the influences and vulnerabilities of specific countries or groups of countries. We observe different behavior of the cross correlations and communities for crisis vs. non-crisis periods. For example, the overall correlation of stock markets increases during crisis while the overall correlation in the foreign exchange market and the correlation between stock and foreign exchange markets decrease, which leads to different community structures. We observe that the euro, while being central during the relatively calm period, loses its dominant role during crisis. Furthermore we discover that the troubled Eurozone countries, Portugal, Italy, Greece and Spain, form their own cluster during the crisis period.

  3. 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.

  4. The economic and financial gains from water markets in Chile

    OpenAIRE

    Hearne, Robert R.; Easter, K. William

    1997-01-01

    Chile is one of the few countries that has encouraged the use of markets in water resource management. In order to assess the impact of water markets and transactions costs in Chile, four river valleys, the Maipo, Elqui, Limari, and the Azapa were selected as case studies. Transactions from the Elqui and Limari valleys, during the years 1986 to 1993, were analyzed to determine the gains-from-trade from market transfers. In the economic and financial analysis of water markets, crop budgets wer...

  5. THE ROLE OF THE FINANCIAL SYSTEM IN MARKET ECONOMY

    Directory of Open Access Journals (Sweden)

    CĂRUNTU GENU ALEXANDRU

    2015-12-01

    Full Text Available Financial system can be approached from the perspective of sales in socio-economic system, namely a global financing mechanism, taking version account specific components, such as: normative base regulatory a financialmonetary methods, forms and techniques version running streams Monetary Financial methods, techniques usable forms and version carrying cash flows, financial levers. Integration contexts, the financial system becomes part of gear intended to ensure implementation and regulation of money flows version compared with the normal performance requirements of real processes in the economy.

  6. The Intrinsic Instability of Financial Markets

    OpenAIRE

    Sabiou Inoua

    2015-01-01

    In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input, which is well-known to be a generic power-law generating process, and which could thus easily explain the well-established power-law distribution of returns, and other related variables. Moreover, the theory we develop here is a general framework where comp...

  7. 76 FR 38059 - Defining Larger Participants in Certain Consumer Financial Products and Services Markets

    Science.gov (United States)

    2011-06-29

    ... Financial Products and Services Markets AGENCY: Bureau of Consumer Financial Protection. ACTION: Notice and.... For other markets for consumer financial products or services, the supervision program generally will... and assess risks to consumers and to the consumer financial markets.\\5\\ In implementing...

  8. ACCOUNTING FOR MARKETING: MARKETING PERFORMANCE THROUGH FINANCIAL RESULTS

    OpenAIRE

    Levent KOSAN

    2014-01-01

    Accounting, especially strategic management accounting, provides significant contributions to companies for decisions in environments of intense competition. Accounting, which has positive effects of company strategy development and management, has become a required facet of marketing, another area that has gained significance. The aim of this study is to assess the contributions of accounting to marketing performance management and other areas related to marketing development and to evaluate...

  9. Indexation and causation of financial markets

    CERN Document Server

    Tanokura, Yoko

    2015-01-01

    This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box–Cox transformed prices is estimated by fitting a trend model with time-varying observation noises. By applying state space modeling, the estimation is performed and missing observations are automatically interpolated. Finally, the index is defined by taking the inverse Box–Cox transformation of the optimal long-term trend. This book applies the method to various financial data. ...

  10. Subprime crisis and instability of global financial markets

    Directory of Open Access Journals (Sweden)

    Radonjić Ognjen

    2010-01-01

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

  11. 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.

  12. Risk efficiency of hedging strategy in China financial market

    Directory of Open Access Journals (Sweden)

    Haochen Guo

    2016-03-01

    Full Text Available This paper presents the analysis of China financial market and method of hedging optimization for compute expected shortfall risk based on attitude towards risk under the Black–Scholes model. The application demonstrates an example of the efficient hedging strategy for call option in the Black–Scholes model based on geometric Brownian motion with loss function. The data of illustrations which applies in China financial market. The resulting efficient hedges allow the investor to interpolate in a systematic way extreme of partial hedging (between no hedge and full hedge that depend on the accepted level of shortfall risk.

  13. General autocatalytic theory and simple model of financial markets

    Science.gov (United States)

    Thuy Anh, Chu; Lan, Nguyen Tri; Viet, Nguyen Ai

    2015-06-01

    The concept of autocatalytic theory has become a powerful tool in understanding evolutionary processes in complex systems. A generalization of autocatalytic theory was assumed by considering that the initial element now is being some distribution instead of a constant value as in traditional theory. This initial condition leads to that the final element might have some distribution too. A simple physics model for financial markets is proposed, using this general autocatalytic theory. Some general behaviours of evolution process and risk moment of a financial market also are investigated in framework of this simple model.

  14. Forecasting Financial Time-Series using Artificial Market Models

    CERN Document Server

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

    2005-01-01

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

  15. Asymmetric and symmetric meta-correlations in financial markets

    Science.gov (United States)

    Li, Xiaohui; Shen, Xiangying; Huang, Jiping

    2016-10-01

    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. Project supported by the National Natural Science Foundation of China (Grant No. 11222544), the Fok Ying Tung Education Foundation (Grant No. 131008), and the Program for New Century Excellent Talents in University, China (Grant No. NCET-12-0121).

  16. Empirical analyses for financial convergence of Russian insurance market

    Directory of Open Access Journals (Sweden)

    Sergey Anatolyevich Belozyorov

    2014-09-01

    Full Text Available This paper analyses peculiarities of Russian insurance market development, the factors of convergence that lay behind the Russian insurance market. Concerns a brief review of financial convergence, its impact on the insurance business, development of Russian insurance market. The purpose of the paper is to find whether there is a diminution of dispersion of performance among Russian regional and federal insurance companies. Research methodology is based on testing the set of selected Russian insurance companies for σ-convergence or divergence. Selected companies represent maximum regional coverage of Russian Federation. Authors study balance sheet data of chosen federal and regional insurance companies for sigma-convergence and conclude that there are regional disproportions in the development of Russian insurance market, centralization of administrative and financial recourses that causes the weakness of regional players. Ideas suggested in this paper can help regulator in the decision-making process for improving situation and formation of insurance services demand in the country.

  17. MONETARY POLICY AND PARALLEL FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Adela IONESCU

    2015-07-01

    Full Text Available Monetary policy is one of the economic policy "tools" through which it acts on the currency demand and supply in the economy. The importance of monetary policy results from its primary objective - price stability, plus limiting inflation and maintaining internal and external value of the currency. Responsibility for achieving these objectives rests with the Central Bank, which has a monopoly in the formulation and the implementation of monetary policy targets. Price stability is the primary objective of monetary policy and also the central objective of economic policy, alongside with: sustainable economic growth, full employment of labor force, balance of external payments equilibrium. To achieve these overall objectives of economic policy, monetary policy acts through currency as an instrument of action and it represents the overall action exercised by the monetary authority to influence economic development and to ensure price stability. In economic processes numerous factors emerge to the sale or purchase of capital available for a shorter or longer period and to achieving their aspirations of maximize capital gains, they are negotiating, they are confronting and agreeing within specific market relationships. The entirety of relations between various economic issues, enterprises and individuals, between them and the banking intermediaries, as well as the relationship between banks and other credit institutions on the transfer of cash money as specific form of debt and fructification of capital, form capital markets or credit markets. These markets are carved up according to the nature and purposes of the participants.

  18. Financial Derivatives Market and Storage Management

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    It's known to all that under ideal condition the s to rage cost is kept in lower level when storage management be arranged by Economic Order Quantity(EOQ).Does this mean that any companies should set up their own storing system in proportion to the scale of the commodities' producing or sell ing Furthermore, even if they manage storage in EOQ, because of different oper ation scale, geographical condition or ability borrowing money from financial ma rket, different companies pay unequal cost in storing the...

  19. Integrating Renewables in Electricity Markets

    DEFF Research Database (Denmark)

    Morales González, Juan Miguel; Conejo, Antonio J.; Madsen, Henrik;

    such as: • The modeling and forecasting of stochastic renewable power production. • The characterization of the impact of renewable production on market outcomes. • The clearing of electricity markets with high penetration of stochastic renewable units. • The development of mechanisms to counteract...... in the electricity market. • The development of procedures to enable demand response and to facilitate the integration of stochastic renewable units. This book is written in a modular and tutorial manner and includes many illustrative examples to facilitate its comprehension. It is intended for advanced...... undergraduate and graduate students in the fields of electric energy systems, applied mathematics and economics. Practitioners in the electric energy sector will benefit as well from the concepts and techniques explained in this book....

  20. Infering Forward Looking Financial Market Risk Premia from Derivatives Prices

    OpenAIRE

    Ram Bhar; Carl Chiarella

    2000-01-01

    This paper focuses on a topical and important area of theory and practice ie. The risk premium in financial markets. While there exists a vast amount of research into its behaviour, particularly in US markets, this is largely based on regression based techniques which do not capture well the dynamic and forward looking nature of the risk premium. In this paper the variation of the unobserved risk premium is modelled by a system of stochastic differential equations connected by arbitrage argum...

  1. Financial Transmission Rights in Europe’s Electricity Market

    OpenAIRE

    Duthaler, Christof; Finger, Matthias

    2008-01-01

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

  2. Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

    OpenAIRE

    Mathias Drehmann; Joerg Oechssler; Andreas Roider

    2002-01-01

    We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavior, which can (partly) be rationalized via error models, distorts prices, and even after 20 decisions c...

  3. Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

    OpenAIRE

    Mathias Drehmann; Jörg Oechssler

    2004-01-01

    We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that the presence of a flexible market price prevents herding. However, the presence of contrarian behavior, which can (partly) be rationalized via error models, distorts prices, and even after 20 decisions c...

  4. Herding and Contrarian Behavior in Financial Markets: An Internet Experiment

    OpenAIRE

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

    2005-01-01

    We report results of an Internet experiment designed to test the theory of informational cascades in financial markets (Christopher Avery and Peter Zemsky, 1998). More than 6,400 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. We find that the presence of a flexible market price prevents herding. The presence of contrarian behavior distorts prices, however, and even after 20 decisions, convergence to the fundamental val...

  5. The Integration of EU Banking Markets

    OpenAIRE

    Gual, Jordi

    2004-01-01

    The goal of this Paper is to provide an assessment of the EU policies that pursue the creation of a single banking market. The Paper evaluates the degree of integration of EU banking markets and discusses whether current policies are the most appropriate instruments for market integration. After comparing the key features of EU policy with alternative methods of market opening, the analysis stresses that market opening in regulated markets such as banking faces a difficult trade-off between r...

  6. 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

  7. The Integration of Corporate Non-Market and Market Strategies

    DEFF Research Database (Denmark)

    Xie, Peihong; Li, Xin; Xie, Xuemei

    2014-01-01

    : For the why question, the authors use a formal model to demonstrate that the essence of the most important type of integration synergy lies in the positive spillover or externality from non-market to market strategies. For the what question, the authors identify the contents of integration at three levels, i.......e. the level of non-market environment analysis, the level of NMS choice, and the level of non-market dynamic interactions. For the how question, the authors argue that the combination of non-market and market strategies should be seamless in terms of horizontal, vertical and intentional coordination. Overall......Purpose: This paper aims to systematically examine the key notion of integration of non-market and market strategies in the increasingly popular study of corporate non-market strategies. Design/methodology/approach: This paper is based on a brief literature review of the non-market strategy (NMS...

  8. Portfolio Construction in Global Financial Markets

    OpenAIRE

    Dallas Brozik; Zapalska, Alina M.

    2007-01-01

    This paper presents a classroom simulation that can be used to introduce the concepts of portfolio management and asset allocation in the presence of global markets. While there are portfolio management games and stock trading games that are designed to cover an entire semester, this simulation provides a single period introduction to portfolio management. The simulation also creates an environment in which students discover how exchange rate volatility can affect investment returns of global...

  9. Chicanery, Intelligence, and Financial Market Equilibrium

    OpenAIRE

    Subrahmanyam, Avanidhar

    2002-01-01

    We present a dynamic model of production in which a firm’s output increases when its managers share their information. Communication of ideas depends on the quality of the firm’s internal language. We prove that firms with richer languages (i.e., more organizational capital) will have higher market values. Organizational capital generates static complementarities among incumbents which implies that firms with richer languages will experience greater employee retention and higher wages. Dy...

  10. Using an Artificial Financial Market for studying a Cryptocurrency Market

    OpenAIRE

    Luisanna Cocco; Giulio Concas; Michele Marchesi

    2014-01-01

    This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which interact with each other by trading Bitcoins. Each agent is initially endowed with a finite amount of crypto and/or fiat cash and issues buy and sell orders, according to her strategy and resources. The number of Bitcoins increases over time with a rate pro...

  11. An adaptive stochastic model for financial markets

    International Nuclear Information System (INIS)

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

  12. 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.

  13. Financial markets with data-driven investment decisions

    NARCIS (Netherlands)

    Adriaens, H.P.J.M.

    2008-01-01

    This thesis addresses several topics in finance and consists of two parts. The central theme is formed by economic agents making investment decisions for financial markets using available past and present information. Part I is of a more analytical nature and discusses the influence of ambiguity and

  14. Pricing Asian options in financial markets using Mellin transforms

    Directory of Open Access Journals (Sweden)

    Indranil SenGupta

    2014-11-01

    Full Text Available We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.

  15. Russian financial market and the prospect of its innovative development

    Directory of Open Access Journals (Sweden)

    Ukolova Nadezhda Viktorovna

    2013-05-01

    Full Text Available A lively problem of innovative development of Russia's economy is the subject of the article. The author focuses attention on direct targeting of financial market on innovations. It may be possible in case of co-operation of state and business.

  16. 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)."

  17. 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.

  18. Coherent Patterns in Nuclei and in Financial Markets

    CERN Document Server

    Drozdz, S; Speth, J

    2010-01-01

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

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

    OpenAIRE

    Khan, Aftab; Masih, Mansur

    2014-01-01

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

  20. Financial Networks in the Korean Stock Exchange Market

    CERN Document Server

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

    2005-01-01

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

  1. Global Economic Crisis. Case Study on the Romanian Financial Market

    Directory of Open Access Journals (Sweden)

    Prof. Ph. D. Stelian Stancu

    2009-05-01

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

  2. Financial market and the macroeconomic variables

    OpenAIRE

    Gomes, Carla Cindy Mendes

    2013-01-01

    Mestrado em Finanças This study aims to examine the effect of the macroeconomic variables on the stock market price index from Germany and Portugal, using the OLS regression model and quarterly data from 2000(Q1) to 2011(Q4). The group of the macroeconomic variables used in this study is composed by GDP, consumer price index, long term domestic interest rate, exchange rate, and by the ratio of government deficit, tax revenue, net lending or borrowing of an economy and gross fixed capital f...

  3. FINANCIAL CYCLES – THE SYNCHRONIZATION WITH FINANCIAL CRISES

    Directory of Open Access Journals (Sweden)

    Liliana DONATH

    2014-11-01

    Given the multidimensional interactions between financial and economic cycles, a close monitoring of cycles in financial markets should be an integral part of macroeconomic surveillance and policy design.

  4. 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.

  5. Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets

    International Nuclear Information System (INIS)

    A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/fβ 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.

  6. Business Process Management Integration Solution in Financial Sector

    Directory of Open Access Journals (Sweden)

    2009-01-01

    Full Text Available It is vital for financial services companies to ensure the rapid implementation of new processes to meet speed-to-market, service quality and compliance requirements. This has to be done against a background of increased complexity. An integrated approach to business processes allows products, processes, systems, data and the applications that underpin them to evolve quickly. Whether it’s providing a loan, setting up an insurance policy, or executing an investment instruction, optimizing the sale-to-fulfillment process will always win new business, cement customer loyalty, and reduce costs. Lack of integration across lending, payments and trading, on the other hand, simply presents competitors who are more efficient with a huge profit opportunity.

  7. 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.

  8. 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.

  9. DEEPENING SERVICES MARKET INTEGRATION - A CRITICAL ASSESSMENT

    Directory of Open Access Journals (Sweden)

    Jacques Pelkmans

    2007-12-01

    Full Text Available The greatest asset of the European Union is undoubtedly its internal market. However, the internal market is not completed: it suffers from a giant hole with respect to many services. The present contribution addresses the status of services in the internal market and, in particular, the horizontal liberalisation (or, the lack of it of services outside the two large sectors which greatly deepened market integration (6 modes of transport and 3 financial services markets. Because a horizontal perspective on services in the EU is still little understood, it is briefly summarized what services really are and how their regulatory logic in the internal market can help to classify them. The (strong economic case for deepening services market integration is built on recent empirical economic analysis as well as simulation. This is followed by a discussion, with flowchart, of the Bolkestein draft directive, against the backdrop of the frustrating lack of, or at best, selective progress on services for decades. A survey of economic impact studies of the draft directive is provided, too, underpinning its importance even when the infamous origin principle is taken out. Some light is subsequently shed on the tumultuous politicisation of the services debate. Emphasis is laid on the socio-economic context (which, it is submitted, sharpened the discussion at times into polarisation and a series of other factors such as the diversity of the national regulatory frameworks of services and the labour employed, the complexity of the draft directive, the potentially radical nature of the origin principle (especially for those not aware of the case law of the ECJ, the dominant role of the EP and the opportunism of leading national politicians. Finally, directive 2006/123 –meanwhile in force – is explained and briefly assessed. Apart from the conspicuous manifestation of 'Angst' in drafting the directive, the (de merits are set out. The conclusion is that a badly

  10. 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.

  11. Time series analysis for minority game simulations of financial markets

    CERN Document Server

    Ferreira, F F; Machado, B S; Muruganandam, P

    2003-01-01

    The minority game model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, we draw conclusions about the generating mechanism for this kind of evolution. The trajectories of the model are found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.

  12. Theory of earthquakes interevent times applied to financial markets

    CERN Document Server

    Jagielski, Maciej; Sornette, Didier

    2016-01-01

    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 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.

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

    Directory of Open Access Journals (Sweden)

    Seyed Komail Tayebi

    2011-01-01

    Full Text Available Implementing a currency union may lead members to face financial crisis if their financial markets are not ready to adopt themselves to a new situation. There are still problems like ownership concentration and self-governing states cause limitation in economic growth, financial development, and the ability of a country to take advantage of financial integration. The evidence is that the proportion of global financial flows dedicated to the low- and middle-income developing economies, decreased after the Asian crisis of 1997-98 (Das, 2006. These problems explain why the impact of financial integration has been limited and why it can lead to capital flight and financial crises. In this study, we develop an analytical framework of economic growth and assessing special and differential treatment of currency union (a subject of financial integration members (like the EU and apply this framework to MENA countries. We propose specifically that one can evaluate the "average" impact of the currency union membership on growth of the countries. It reveals the fact that the routine program evaluation can be for all the EU and MENA members. We will call this treated or untreated, respectively. Next, we predict such outcomes for a group of countries based on matching of their characteristics. Hence we use the matching method to make a relationship between a response variable (economic growth and a treatment variable (financial integration experimentally in the economies of the EU and MENA.

  14. 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 seconda

  15. 77 FR 9592 - Defining Larger Participants in Certain Consumer Financial Product and Service Markets

    Science.gov (United States)

    2012-02-17

    ... and Service Markets AGENCY: Bureau of Consumer Financial Protection. ACTION: Proposed rule; request... covering additional markets for consumer financial products and services. The Bureau also proposes to... authority to supervise any ``larger participant of a market for other consumer financial products...

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

    Directory of Open Access Journals (Sweden)

    Florian Hartmann

    2013-12-01

    Full Text Available A baseline integration of commercial banks into the disequilibrium framework with behavioral traders of Charpe et al. (2011, 2012 is presented. At the core of the analysis is the impact the banking sector exerts on the interaction of real and financial markets. Potentially destabilizing feedback channels in the presence of imperfect macroeconomic portfolio adjustment and heterogeneous expectations are investigated. Given the possible financial market instability, various policy instruments have to be applied in order to guarantee viable dynamics in the highly interconnected macroeconomy. Among those are open market operations reacting to the state-of-confidence in the economy and Tobin-type capital gain taxes. The need for policy intervention is even more striking, as the banking sector is modeled in a rather stability enhancing way, fulfilling its fundamental tasks of term transformation of savings and credit granting without engaging in investment activities itself.

  17. 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.

  18. Modelling Financial Markets by Self-Organized Criticality

    CERN Document Server

    Biondo, A E; Rapisarda, A

    2015-01-01

    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.

  19. Benefits of an integrated European electricity market

    OpenAIRE

    Böckers, Veit; Haucap, Justus; Heimeshoff, Ulrich

    2013-01-01

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

  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. 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.

  2. Self-fulfilling Ising Model of Financial Markets

    CERN Document Server

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

    2005-01-01

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

  3. Self-organizing Ising model of financial markets

    Science.gov (United States)

    Zhou, W.-X.; Sornette, D.

    2007-01-01

    We study a dynamical Ising-like model of agents' opinions (buy or sell) with learning, in which the coupling coefficients are re-assessed continuously in time according to how past external news (time-varying magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we find that the stylized facts of financial markets are reproduced only when agents misattribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the Ising critical point.

  4. A New Approach to Spreadsheet Analytics Management in Financial Markets

    CERN Document Server

    Sentence, Brian

    2008-01-01

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

  5. 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.

  6. Essays on univariate and multivariate modeling of financial market risks

    OpenAIRE

    Scheffer, Marcus

    2015-01-01

    This dissertation explores risk management with regard to the univariate and multivariate modeling of financial market risks by applying three different scientific research methods: the deductive approach, the design and implementation of a model as well as the inductive analysis of simulation results. The introduction in chapter one is followed by a theory-based approach in the second chapter with the objective to investigate implications of mean reversion in asset prices with respect to the...

  7. Measuring monetary policy expectations from financial market instruments

    OpenAIRE

    Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen

    2008-01-01

    This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants’ expectations of future UK monetary policy rates. We attempt to evaluate these instruments and curves in terms of their ability to forecast policy rates over the period from October 1992, when the United Kingdom first adopted an explicit inflation target, to March 2007. We also investigate several model-based methods of estimating forward term premia, in order to calcu...

  8. What Do Financial Markets Reveal about Global Warming?

    OpenAIRE

    Ron Balvers; Ding Du; Xiaobing Zhao

    2009-01-01

    Financial market information can provide an objective assessment of expected losses due to global warming. In a Merton-type asset pricing model, with asset prices affected by changes in investment opportunities caused by global warming, the risk premium is significantly negative and growing over time, loadings for most assets are negative, and asset portfolios in more vulnerable industries have stronger negative loadings on the global warming factor. Required returns are 0.11 percent higher d...

  9. Analysis of Recent Monetary Operations & Financial Market Developments

    OpenAIRE

    Gallagher, Brian; Johnston, Paul

    2014-01-01

    As the financial crisis continued in 2012, developments in peripheral Europe and the ECB’s monetary policy continued to be closely watched by market participants as many banks remained heavily reliant on central bank funding and the level of ECB borrowing increased to record highs. In this article, we review 2012 and the first five months of 2013, examining the main changes to the ECB’s operational framework and the evolution of Eurosystem lending, particularly the allotment and subsequent Ea...

  10. Financial Market Constraints and Private Investment in a Developing Country

    OpenAIRE

    Johnson, Omotunde E G

    1990-01-01

    Firms in developing countries that seek outside financing for investment must often choose their debt-equity combinations in the face of financial market constraints on debt service, on outside equity financing, and on internal finance (endowments). Inefficiencies in the allocation of available finance and in the equity-debt choices that can ensue can be prevented by appropriate policy measures to improve information on profitable investment opportunities and about firms; to directly strength...

  11. INFORMATION CASCADES WITH FINANCIAL MARKET PROFESSIONALS: AN EXPERIMENTAL STUDY

    OpenAIRE

    Jonathan E. Alevy; Haigh, Michael S.; List, John A

    2003-01-01

    In settings where there is imperfect information about an underlying state of nature, but where inferences are made sequentially and are publicly observable, information cascades can lead to rational herding. Cascade phenomena may be seen in a variety of areas including technology adoption, financial market behavior, as well as in social processes such as mate selection or fads and fashions. Theories of rational herding have found a natural testing ground in experimental environments since th...

  12. The Financial Instruments for Risk Management on the International Financial Markets

    OpenAIRE

    Alina Hagiu

    2008-01-01

    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...

  13. INTEGRATION OF FINANCIAL AND NON-FINANCIAL REPORTS UNDER MANAGEMENT CONDITIONS

    OpenAIRE

    Prodanciuk Mihail

    2013-01-01

    The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability ...

  14. Integrated Marketing Communication plan for GSK Nordic

    OpenAIRE

    Savelius, Sanna

    2013-01-01

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

  15. Financial integration in the European Union. Measurement and determination

    NARCIS (Netherlands)

    Lemmen, J.J.G.

    1996-01-01

    The first part of this study addresses the measurement of financial integration in the European Union (EU). First, we present empirical evidence on the degree of financial integration as measured with interest parity conditions. Second, the study applies an error-correction model of saving-investmen

  16. Rice market integration in southern Sumatra, Indonesia

    OpenAIRE

    Yetty Oktarina

    2015-01-01

    This paper investigates rice market integration among five provinces in southern Sumatra using data from monthly retail rice markets during 2004-2009. The degree of integration was measured across provinces using vector error correction model. Result revealed that there is spatial market integration in southern Sumatra. Province of Bangka Belitung can make price adjustment more quickly compared to others provinces. In the long run period, rice price in Jambi province, Lampung province, and Ba...

  17. The Effects of the Global Financial Crisis on China's Financial Market and Macroeconomy

    Directory of Open Access Journals (Sweden)

    Linyue Li

    2012-01-01

    Full Text Available This paper provides a brief review of the increasing importance of China in the world economy and discusses the spillover effects of the global financial crisis on China's financial markets and macroeconomy. It presents and critiques alternative ways of estimating these effects. Contrary to much popular discussion, China was hit fairly hard by the global recession generated by the financial crisis. It suffered a huge drop in exports, and these effects on the economy were only partially offset by China's huge stimulus program. While growth remained well above international averages, its drop was of the same order of magnitude as for the United States. The paper closes with a brief discussion of some of the major challenges facing China to rebalance its economy in order to sustain high growth.

  18. 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.

  19. Financial transmission rights meet Cournot: How TCCs curb market power

    International Nuclear Information System (INIS)

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

  20. On the Modular Dynamics of Financial Market Networks

    CERN Document Server

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

    2015-01-01

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

  1. Economic and Financial Interactions between Brazil and Mexico: ¿Which Degree of Integration?

    Directory of Open Access Journals (Sweden)

    Ma. Esther Morales

    2012-01-01

    Full Text Available This paper analyzes trade and financial transactions between Brazil and Mexico in order to evaluate the magnitude of their reciprocal integration. Our results suggest that both countries have successfully got inserted into the international economy, which can be observed in their high volumes of trade, in their receiving foreign direct investment and in the size of their capital markets, as well as in the magnitude of their association with the most important countries and financial centers throughout the world. However, even if their bi-na-tional trade and financial integration has notably increased, especially after the Economic Complementation Agreements came into force in 2003 and due to the "translatinization" of Brazilian and Mexican firms, the magnitude of their reciprocal trade and financial transactions remains at very low relative levels, a situation that may significantly change in the framework of a possible strategic agreement of economic integration between these two countries.

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

    OpenAIRE

    Ghosh, Saibal

    2003-01-01

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

  3. Product Market Integration, Comparative Advantages and Labour Market Performance

    DEFF Research Database (Denmark)

    Andersen, Torben M.; Rose Skaksen, Jan

    2003-01-01

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

  4. Financial overview of integrated community energy systems

    Energy Technology Data Exchange (ETDEWEB)

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

    1977-01-01

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

  5. Stock market development and financial deepening in developing countries : some correlation patterns

    OpenAIRE

    Dong He; Pardy, Robert

    1993-01-01

    Programs to develop securities markets are now a common feature of World Bank financial sector loans. Stock market development in particular is receiving considerable attention, especially the legal and institutional underpinnings required for successful stock market development. The financial underpinnings needed have received less study. The authors contribute to such a study by exploring the relationship between the degrees of financial depth and stock market development in an economy. Usi...

  6. Problems faced by Independent Financial Advisers in the further enhancement of the market for Ethical Investments

    OpenAIRE

    Bahrdt, Katja Bahrdt

    2009-01-01

    Ethical investment is a small but growing market, particularly for retail Ethical Investment products. Within this sector of the UK financial market, Independent Financial Advisers (IFAs) hold a key position placed as they are between consumers and suppliers, and have the potential to expand the market for Ethical Investment. It is suspected that several problems inside the market for Ethical Investment and the UK financial service sector are hindering the IFAs to do so. Hence, the purpose of...

  7. Integration of Capital Markets from Central and Eastern Europe: Implications for EU Investors

    Directory of Open Access Journals (Sweden)

    Alexandra HOROBET

    2014-04-01

    Full Text Available Our paper investigates the extent of capital market co-movements between three emerging markets Czech Republic, Hungary and Poland and three developed markets from the European Union – Austria, France and Germany. We test whether an increase in correlations between the six markets took place in recent years, as revealing higher integration of capital markets in the region. We find a statistically significant positive trend in cross-market correlations between 1999 and 2008, before the emergence of the global financial crisis. Movements in national stock markets are not fully synchronized, but increases in market volatilities lead to increases in cross-country correlations. There is a long-term relationship between some of these countries capital markets, and information is transmitted from one market to the other. Our findings confirm previous studies and lead to the conclusion that stock markets from Central and Eastern Europe became more integrated with the developed markets in European Union.

  8. Five Essays on International Spillovers of Monetary Policy, Fiscal Policy and Financial Markets

    OpenAIRE

    Niehof, Britta

    2015-01-01

    The recent financial and real economic crises have made it clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real economy seriously by developing a fully dynamic theoretical model in continuous time. Starting from a standard New Keynesian framework, we reformulate an...

  9. The Study on the Market Position for China Post to Launch International Financial Service

    Institute of Scientific and Technical Information of China (English)

    LANG Qiu-hong; ZHOU Zhi-cui; DU Yu-wei

    2005-01-01

    The article studies the international financial service, which might be opened by China Post. Based on defining postal financial service, it analyses the face-to-face circumstances and challenges by using the method of normal market position and the method of General Electric Company (GEC). Finally it defines the market position of Postal Financial International Service(PFIS).

  10. 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.

  11. In which Financial Markets do Mutual Fund Theorems hold true?

    CERN Document Server

    Schachermayer, Walter; Taflin, Erik

    2007-01-01

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

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

    NARCIS (Netherlands)

    V.L. Hodgson; A. Hodgson

    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 cr

  13. 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.

  14. Time series analysis for minority game simulations of financial markets

    Science.gov (United States)

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

    2003-04-01

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

  15. 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.

  16. Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets

    Institute of Scientific and Technical Information of China (English)

    MA Shi-Hao

    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/fβ processes with possible long range correlations.Subsequently, by using the method of detrended fluctuation analysis (DFA) of the genera/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. Integrating Ethics into the Marketing Curriculum.

    Science.gov (United States)

    Martin, James H.

    1990-01-01

    Describes how John Carroll University successfully integrated ethics into existing marketing courses. Provides a summary of the current literature on marketing ethics, discusses the educational goals that are met by integrating ethics into the curriculum, examines available curricular options, and details the design and implementation of a segment…

  18. "Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes"

    OpenAIRE

    Huijian Dong; Bowers, Helen M.; William R. Latham

    2013-01-01

    This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups....

  19. Testing Onion Market Integration in Pakistan

    OpenAIRE

    Lohano, Heman D.; Mari, Fateh M.; Rajab A. Memon

    2005-01-01

    This paper analyses spatial market integration using monthly wholesale real price of onion in four regional markets located in each of the four provinces of Pakistan. Unit root test indicates that the price series in each location are stationary, and the series are represented as autoregressive model for eachlocation. The error correction model results show that the regional markets of onion have strong price linkages, and thus are spatially integrated.

  20. COMMUNICATION AND PROMOTION OF INTEGRATED MARKETING

    OpenAIRE

    Keshav Lengare

    2016-01-01

    Integrated Marketing Communication emerges as a powerful tool that guides practitionersin developing and implementing marketing communications more consistently and effectively.Despite its continuing appeal little is known about its physical or visible form in marketing communication process, but the emergence of this concept has become one of the most significantexamples of development in the marketing discipline. It is the most innovative function ofmarketing endorsed by advertising and mar...

  1. Brexit (probability) and effects on financial market stability

    OpenAIRE

    Krause, Thomas; Noth, Felix; Tonzer, Lena

    2016-01-01

    [Background] On 23 June 2016, there will be a referendum in the United Kingdom (UK) on the stay of the country in the European Union (EU). Based on recent poll data, the share of supporters and opponents of an exit varies around 50% (see Figure 1). Opponents of the UK breaking up with Brussels („Brexit“) refer to high costs in terms of stagnating economic growth if the UK leaves the EU. The risk of reduced trade, declining foreign direct investment, and a lower degree of financial market inte...

  2. Building credibility in international banking and financial markets

    DEFF Research Database (Denmark)

    Jørgensen, Poul Erik Flyvholm; Isaksson, Maria

    2008-01-01

    - The results of the research are intended to bring increased attention to the rhetorical options for managing reputations and their potential effects on corporate credibility discourse. Originality/value - The study demonstrates how dimensions of credibility can be conceptualised at a level relevant both...... 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...

  3. Influence of Terrorist Activities on Financial Markets: Evidence from KSE

    Directory of Open Access Journals (Sweden)

    Usman Bashir

    2013-05-01

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

  4. The importance of financial market development on the relationship between loan guarantees for SMEs and local market employment rates

    OpenAIRE

    CRAIG E. ARMSTRONG; Ben R. Craig; Jackson, William E.; Thomson, James B.

    2010-01-01

    We empirically examine whether a major government intervention in the small-firm credit market yields significantly better results in markets that are less financially developed. The government intervention that we investigate is SBA-guaranteed lending. The literature on financing small and medium size enterprises (SMEs) suggests that small firms may be exposed to a particular type of market failure associated with credit rationing. And SMEs in markets that are less financially developed will...

  5. Defragmenting the effect of major news announcements on financial markets

    Directory of Open Access Journals (Sweden)

    Ikhlaas Gurrib

    2014-04-01

    Full Text Available The issue of High Frequency Trading (HFT and its impact on financial markets is hitting the headlines hard nowadays. This paper looks at the effects of three major news announcements on two major currency pairs namely the Australian dollar against the US dollar and the Euro against the US dollar. The three major news announcements are the cash rate from the Reserve Bank of Australia, the minimum bid rate from European Central Bank (ECB and the official bank rate from the Bank of England.  A one minute data interval analysis is used over a time period of four years.  Findings suggest the effects of the specific news under analysis to be insignificant for a trader to benefit from the fluctuations in the two major currency markets. The use of other macroeconomic news or higher frequency data is warranted to defragment the effects of major news announcements further.

  6. The role of financial market performance in hospital capital investment.

    Science.gov (United States)

    Reiter, Kristin L; Song, Paula H

    2011-01-01

    Many not-for-profit hospitals hold large portfolios of financial investments, making them vulnerable to fluctuations in market performance. This article examines the association of bond and equity market performance with investment in property, plant, and equipment by 194 not-for-profit general hospitals in California over the period 1997 to 2006. The study combines retrospective panel data from the California Office of Statewide Health Planning and Development with year-end returns on the S&P 500 and ten-year US Treasury bonds. Using fixed-effects regression, we find a significant positive association between S&P 500 performance and hospitals' capital investment; investment is not correlated with ten-year Treasury bond performance. PMID:21528832

  7. Average cross-responses in correlated financial markets

    Science.gov (United States)

    Wang, Shanshan; Schäfer, Rudi; Guhr, Thomas

    2016-09-01

    There are non-vanishing price responses across different stocks in correlated financial markets, reflecting non-Markovian features. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-response exhibits a shorter response period with sizeable volatilities, while the corresponding period for the active cross-response is longer. The average cross-responses for a given stock are evaluated either with respect to the whole market or to different sectors. Using the response strength, the influences of individual stocks are identified and discussed. Moreover, the various cross-responses as well as the average cross-responses are compared with the self-responses. In contrast to the short-memory trade sign cross-correlations for each pair of stocks, the sign cross-correlations averaged over different pairs of stocks show long memory.

  8. Forecasting Financial Market Annual Performance Measures: Further Evidence

    Directory of Open Access Journals (Sweden)

    Edward J. Lusk

    2010-01-01

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

  9. Regulating financial markets: Costs and trade-offs

    NARCIS (Netherlands)

    L.A. Górnicka

    2015-01-01

    This thesis studies the interactions between the institutional design of financial systems, and the financial agents that regulatory institutions supervise. It explores the channels through which financial regulation affects financial agents’ lending, funding, and risk-taking decisions. By introduci

  10. 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.

  11. Product Market Integration, Comparative Advantages and Labour Market Performance

    DEFF Research Database (Denmark)

    Andersen, Torben M.; Rose Skaksen, Jan

    2004-01-01

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

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

    CERN Document Server

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

    2006-01-01

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

  13. FDI and Local Financial Market Development:A Granger Causality Test Using Panel Data

    OpenAIRE

    Abdel Aal Mahmoud, Ashraf

    2010-01-01

    This paper reports the findings of Granger causality tests on the relationship between foreign direct investment (henceforth, FDI) and local financial market development across 62 countries from 1996 to 2007. In this paper we explore whether local financial market development is important in catalyzing the flow of foreign direct investment. findings results are robust to different measures of financial market development. Furthermore, the results indicate that most of the causal links are f...

  14. 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.

  15. THE IMPACT OF FINANCIAL STATEMENTS IN FINANCIAL MARKET: EMPIRICAL VERIFICATION WITH THE COMPANIES LISTED IN IbrX-50.

    OpenAIRE

    Rodrigo Fonseca de Araújo; Roberto Silva da Penha

    2014-01-01

    The accounting information has shown great relevance in making investment decisions especially when dealing with financial market. Thus, this research aims to analyze in an empirical form whether the publication dates of the financial statements cause some influence on price and trading volume of the shares of companies that trade on the BM&FBOVESPA. Was used IBrX-50 to compose the sample, the analysis occurred with the financial statements for the first quarter of 2012. Mapped to the prices ...

  16. International financial integration and crisis intensity

    OpenAIRE

    Rose, Andrew K

    2012-01-01

    This paper analyzes the causes of the 2008–2009 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. The analysis is conducted on a cross-section of 85 economies; I focus on international financial linkages that may have both allowed the crisis to spread across economies, and/or provided insurance. The model of the cross-economy incidence of the crisis combines 2008–2009 changes in real gross domestic product (GDP), the stock marke...

  17. Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

    Directory of Open Access Journals (Sweden)

    Huijian Dong

    2013-01-01

    Full Text Available This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1 open, (2 closed, (3 intraday high, (4 intraday low, and (5 trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect.

  18. Market, Country and World Effects on Regional Equity Market Integration

    Directory of Open Access Journals (Sweden)

    Chee Wooi Hooy

    2014-08-01

    Full Text Available This study explores the fundamental driving forces of regional equity market integration in a trading bloc. The determinant factors are categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of ive regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to  August  2005.  We  measure  market  integration  based  on  pricing  errors  as  proposed  by Korajczyk (1996 and Levine and Zervos (1998. Using panel regressions, our results show that  equity  integration  in  these  trading  blocs  is  driven  internally,  where  only  individual-market  volatility  and  economic  fundamentals  play  a  signiicant  role  in  the  process.  Intra-bloc  trade  is  found  to  enhance  regional  equity  market  integration,  supporting  the  notion that  regional  convergence  extends  beyond  the  trade  sector  that  is  promoted  in  the  trade agreements.  We  also  document  regime  shifting  effects  during  stock  market  crises,  where most  of  these  markets  became  strongly  integrated  after  a  regional  crisis,  but  integration was signiicantly weakened during a crisis that affected the world markets. Also, the level of equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated. ";} // -->activate javascript

  19. Regional Inflation, Financial Integration and Dollarization

    NARCIS (Netherlands)

    de Haas, R.; Brown, M.; Sokolov, V.

    2015-01-01

    We exploit variation in consumer price inflation across 71 Russian regions to examine the relationship between the perceived stability of the domestic currency and financial dollarization. Our results show that regions with higher inflation experience an increase in the dollarization of household de

  20. 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.

  1. 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

    that new information gives immediately rise to a new equilibrium. The EMH is under discussion, however, as a result of the transformation of financial markets and of financial journalism due to new economic thoughts, new communication theories, high-frequency trading and high-frequency sentiment analysis......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....... 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...

  2. A review on the Integrated Marketing Communication

    OpenAIRE

    Kumar, G. Santosh

    2016-01-01

    In the present world of business companies are majorly following the Integrated marketing communication when compared to the traditional marketing communications /marketing mix as a consumer oriented approach that has significantly influenced thinking and acting among all types of companies and organizations facing the realities of competition in the present open economy where the consumer decision is playing a vital role in the purchasing pattern of goods and services that lead to go for IMC...

  3. IMMIGRANTS’ LABOUR MARKET INTEGRATION IN ROMANIA

    OpenAIRE

    Aurica-Iris ALEXE

    2015-01-01

    This paper analyses the labour immigration trends in Romania in the context of an evolving institutional, social and economic environment. It investigates the access and participation of the immigrant workforce into the Romanian labour market through the main labour market indicators and it provides an overall view on the immigrants’ labour market integration by using different migrant specific data and descriptive statistics. The paper discusses the advantages and possible socio-economic con...

  4. Integrating Strategic Marketing on an Institutional Level.

    Science.gov (United States)

    Liu, Sandra S.

    1998-01-01

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

  5. The Integration of Arab Emerging Markets

    OpenAIRE

    Naser I Abumustafa

    2006-01-01

    Naser I. Abumustafa presents a review of the functions, regulations, and definitions of Arab emerging stock markets, identifying the barriers and solutions to potential integration of Arab stock markets. Development (2006) 49, 81–85. doi:10.1057/palgrave.development.1100249

  6. Merging Advertising and PR: Integrated Marketing Communications.

    Science.gov (United States)

    Rose, Patricia B.; Miller, Debra A.

    1994-01-01

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

  7. Integrating Sustainability Education into International Marketing Curricula

    Science.gov (United States)

    Perera, Chamila Roshani; Hewege, Chandana Rathnasiri

    2016-01-01

    Purpose: The purpose of this study is to extend the current knowledge of curriculum developments in international business and marketing curricula. Integrating sustainability into business and marketing curricula of the universities are widely debated in previous literature. Sustainability is a global phenomenon; however, curriculum development…

  8. Dynamical Stochastic Processes of Returns in Financial Markets

    CERN Document Server

    Lim, G; Kim, S Y; Yoon, S M; Zhou, J; Kim, Kyungsik; Kim, Soo Yong; Lim, Gyuchang; Yoon, Seong-Min; Zhou, Junyuan

    2005-01-01

    We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S$&$P 500 stock index, which can be described by means of the Fokker-Planck equation. We show that the Fokker-Planck equation and the Langevin equation from the estimated Kramers-Moyal coefficients are estimated directly from the empirical data. By analyzing the statistics of the returns, we present quantitatively the deterministic and random influences on financial time series for both markets, for which we can give a simple physical interpretation. We particularly focus on the diffusion coefficient that may be significantly important for the creation of a portfolio.

  9. Data Mining for Customer Segmentation in Personal Financial Market

    Science.gov (United States)

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

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

  10. Critical dynamics and global persistence exponent on Taiwan financial market

    CERN Document Server

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

    2006-01-01

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

  11. Is oil supply choked by financial market pressures?

    International Nuclear Information System (INIS)

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

  12. Is oil supply choked by financial market pressures?

    International Nuclear Information System (INIS)

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

  13. 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.

  14. Central Banks Leadership and their Influence over Financial Markets

    Directory of Open Access Journals (Sweden)

    Valentin Mihai Leoveanu

    2015-12-01

    Full Text Available In the years after the global financial crisis, central banks have undergone to a tremendous pressure from financial markets, from the real economy, but also from the population and politicians. Each part is interrelated with each other, but is in different positions in terms of the influence exerted on the other, in terms of the means and instruments through which their interest must prevail against the other parties. In this context, the leadership of a central bank is the key to the proper functioning of a central bank and also to its effectiveness and efficiency. Based on the central bank functions and on some important principles of decision and action, such as independence, transparency and accountability, the leaders of the central banks should provide guidance for the national economy in turbulent times. As a result, the main focus must be concentrate on aspects like: monitoring policy performance, monitoring efficiency of resources, setting functional goals, managing capital adequacy, balance sheet and liquidity, awareness of external perceptions and reputational risks, ensuring good institutional governance.

  15. 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.…

  16. Product market integration, rents and wage inequality

    DEFF Research Database (Denmark)

    Andersen, Torben M.; Sørensen, Allan

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

  17. Integrating historical clinical and financial data for pharmacological research

    Directory of Open Access Journals (Sweden)

    Deshmukh Vikrant G

    2011-11-01

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

  18. 76 FR 44763 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2011-07-27

    ... thereby threaten the stability of the United States financial system. This final rule describes the... financial transactions, and their smooth operation is integral to the soundness of the financial system and... amount of risk in the financial system due, in large part, to the interdependencies, either...

  19. 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.

  20. Market Integration in the Prewar Japanese Rice Markets

    OpenAIRE

    Ito, Mikio; Maeda, Kiyotaka; Noda, Akihiko

    2016-01-01

    This paper examines the integration process of the Japanese major rice markets (Tokyo and Osaka) from 1881 to 1932. Using a non-Bayesian time-varying vector error correction (VEC) model, we argue that the process strongly depended on the government's policy on the network system of telegram and telephone; rice traders with an intention in using the modern communication tools were usually affected by the changes of the policy. We find that (i) the Japanese rice markets had been integrated in t...

  1. Toward an integrative explanation of corporate financial performance

    CERN Document Server

    Capon, Noel; Hoenig, Scott

    1996-01-01

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

  2. IMMIGRANTS’ LABOUR MARKET INTEGRATION IN ROMANIA

    Directory of Open Access Journals (Sweden)

    Aurica-Iris ALEXE

    2015-04-01

    Full Text Available This paper analyses the labour immigration trends in Romania in the context of an evolving institutional, social and economic environment. It investigates the access and participation of the immigrant workforce into the Romanian labour market through the main labour market indicators and it provides an overall view on the immigrants’ labour market integration by using different migrant specific data and descriptive statistics. The paper discusses the advantages and possible socio-economic consequences related to filling labour shortages by means of immigration and the how the labour immigration in Romania is taking shape as a result of employment policies and immigration regime. Furthermore, it reflects on the relevant legislative, institutional and policy developments that impact on the immigrants’ labour market integration in Romania. This research highlights how Romania makes use of the immigrant human capital and whether the characteristics and skills of the immigrant workforce represent a competitive resource on the national labour market.

  3. 75 FR 79982 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2010-12-21

    ... thereby threaten the stability of the financial system of the United States. The DFA generally defines a ``financial market utility'' as any person that manages or operates a multilateral system for the purpose of... soundness of the financial system and overall economic performance. The importance of these arrangements...

  4. Gender Differences in Student Financial Market Attitudes and Awareness: An Exploratory Study

    Science.gov (United States)

    Ford, Matthew W.; Kent, Daniel W.

    2010-01-01

    Female college students are generally thought to possess lower levels of financial market knowledge than their male counterparts. However, previous studies have lacked conceptual and methodological focus on market-based dimensions of financial literacy. We hypothesize that male and female college students respond differently to perceptions of…

  5. Characterization of large price variations in financial markets

    Science.gov (United States)

    Johansen, Anders

    2003-06-01

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

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

    CERN Document Server

    Grech, D

    2007-01-01

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

  7. Risky collateral: Three essays on the use of collateral in financial markets

    OpenAIRE

    Stig Helberg, Stig

    2015-01-01

    The financial crisis and the euro sovereign debt crisis highlighted the need to strengthen the resilience of the financial markets. One consequence is that financial market participants today use collateral extensively in a range of transactions. In lending, in securities and derivatives trading, and in payment and settlement systems. Likewise, central banks generally require collateral in their credit operations. With the growth of collateral, the range of assets accepted as collateral has b...

  8. Integrated marketing communications at solar energy equipment market

    Directory of Open Access Journals (Sweden)

    I.L. Litovchenko

    2013-12-01

    Full Text Available The aim of the article. The article is devoted to the development of the concept of «integrated marketing communications», as well as its adaptation to a specific market of solar energy equipment. The theoretical development of foreign and domestic scholars in the field of IMC is considered. The aim of the article is to define the concept of «integrated marketing communications» and use them in the market of solar еnergy equipment in an information economy. The author's definition of the concept of IMC is given, including the achievement of synergies. The reasons for the transition to the use of modern enterprises IMC in marketing activities are explored, as well as the tendencies of their distribution. The results of the analysis. The article identified the following reasons for the transition to the concept of IMC: reducing the efficiency of the individual instruments of marketing communications policy, the rapid growth of the flow of information and the development of technology marketing communications under the influence of the Internet, and the transition to the individualization of consumption and, consequently, to a two-way interactive marketing communication; glut similar services and products. The study identified the following reasons for the transition to the concept of IMC: reducing the efficiency of the individual instruments of marketing communications policy, the rapid growth of the flow of information and the development of technology marketing communications under the influence of the Internet, and the transition to the individualization of consumption and, consequently, to a two-way interactive marketing communication; glut similar services and products. Trends of the present stage of development of the IMC are demonstrated. The factors that influence formation of the IMC complex of enterprise in the market of solar energy equipment are identified. They are the goals of the firm and its strategies are used , the type of

  9. SEPARATION OF MARKETS AND FINANCIAL INSTABILITY: A CLOSER LOOK TO CLASSICAL DICHOTOMY

    Directory of Open Access Journals (Sweden)

    Mehdi HADIAN

    2016-08-01

    Full Text Available Several financial crises occurred over the past three decades have provoked debates in the literature of liberalization and deregulation of financial markets. By surveying the theory of classical dichotomy and its critiques, the notion of “separation” between the financial and real sectors has been introduced in this paper. It argues that the existence and expansion of this separation will lead to financial crisis. In order to identify the separation “price-to-earnings ratio” index has been proposed. By applying the data of Tehran’s Stock Exchange during 2002:2-2015:1, several episodes of this separation are recognizable. Considering the factors causing the expansion of the separation, it is essential to reestablish regulations and mechanisms of financial markets in a way that reduces the separation and hence lessen financial crises. In this view, Islamic financial rules can provide an economic system with mechanisms bringing harmony between the real and the financial sectors.

  10. The co-integration of European stock markets after the launch of the euro

    Directory of Open Access Journals (Sweden)

    da Soares Fonseca José

    2008-01-01

    Full Text Available This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis. .

  11. The effects of financial liberalization and new bank entry on market structure and competition in Turkey

    OpenAIRE

    Denizer, Cevdet

    1997-01-01

    Until 1980 Turkey's financial system was shaped to support state-oriented development. After the 1960s the financial system, dominated by commercial banks, became an instrument of planned industrialization. Turkey had an uncompetitive financial market and an inefficient banking system. Controlled interest rates, directed credit, high reserve requirements and other restrictions on financial intermediation, and restricted entry of new banks -plus the exit of many banks between 1960 and 1980- cr...

  12. Capital Market Integration and Wages

    OpenAIRE

    Peter Henry; Diego Sasson

    2009-01-01

    For three years after the typical developing country opens its stock market to inflows of foreign capital, the average annual growth rate of the real wage in the manufacturing sector increases by a factor of seven. No such increase occurs in a control group of developing countries. The temporary increase in the growth rate of the real wage drives up the level of average annual compensation for each worker in the sample by 609 US dollars—an increase equal to 25 percent of their annual pre-libe...

  13. Capital Market Integration and Wages

    OpenAIRE

    Anusha Chari; Peter Blair Henry; Diego Sasson

    2009-01-01

    For three years after the typical emerging economy opens its stock market to inflows of foreign capital, the average annual growth rate of the real wage in the manufacturing sector increases by a factor of three. No such increase occurs in a control group of countries. The temporary increase in the growth rate of the real wage drives up the level of average annual compensation for each worker in the sample by 487 US dollars--an increase equal to nearly one-fifth of their annual pre-liberaliza...

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

    Directory of Open Access Journals (Sweden)

    Razvan STEFANESCU

    2009-01-01

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

  15. The Role of Informational Asymmetries in Financial Markets and the Real Economy

    OpenAIRE

    Vanasco, Victoria Magdalena

    2014-01-01

    The stability of national and, increasingly more often, the global economy relies on well-functioning financial markets. Households' consumption and saving decisions, firms' investment choices, and governments' financing strategies critically depend on the stability of financial markets. These markets, however, are composed of individuals and institutions that may have different objectives, information sets, and beliefs, making them a very complex object that we do not fully comprehend. Motiv...

  16. South Africa; Financial Sector Assessment Program-Reforms in the OTC Derivatives Market-Technical Note

    OpenAIRE

    International Monetary Fund

    2015-01-01

    This Technical Note analyzes over-the-counter (OTC) derivatives market reforms in South Africa and identifies vulnerabilities that may potentially impact financial stability. South Africa is committed to reform its OTC derivatives market to reduce vulnerabilities and increase transparency. Reforms are being implemented through the Financial Market Act and Regulations for banks, reflecting the Basel III capital requirements. Swift progress on the consultation and issuance of FMA regulations, t...

  17. Geography and distance effect on financial dynamics in the Chinese stock market

    OpenAIRE

    Li, Xing; Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Jiang, Xiong-Fei

    2016-01-01

    Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The Shanghai city and the Guangdong province can be identified in the stock geographical sector. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further s...

  18. ADR Effects on Domestic Latin American Financial Market

    Directory of Open Access Journals (Sweden)

    Alfredo Mendiola

    2010-06-01

    Full Text Available The purpose of this paper is to revisit and extend previous research work that examines the ADR-listing effects on the trading process of all the domestically-listed stocks in the main Latin American exchanges. The most important result is consistent with the idea of a greater isolation (from global markets of the singly-listed stocks in the post-cross-listing period. These results persist over the cross-listing months. As expected, the cross-listed stocks become more integrated in the post-cross listing period.

  19. Graduates’ integration on the labour market

    OpenAIRE

    Palade, A.; Constantin, C

    2013-01-01

    This paper contains a research study about the integration of 1st cycle graduates on the labour market. Marketing research was carried out among university graduates, emphasising their career path after graduating, taking into account that graduates’ job placement has acquired great importance in higher education. The conclusion drawn in the paper is that career counselling and orientation should be fostered for students, while more weight should be given to practical placements in the st...

  20. Global integration of European tuna markets

    Science.gov (United States)

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

    2010-07-01

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

  1. Transparency through Financial Claims with Fingerprints – A Free Market Mechanism for Preventing Mortgage Securitization Induced Financial Crises

    OpenAIRE

    Gründl, Helmut; Post, Thomas

    2009-01-01

    Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 2007–2009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process to obtain easily full information about the underlying original risks and the superior claims that need to be satisfied before receiving their own payoffs. The fingerprint mechanism would considerably enh...

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

    OpenAIRE

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

    2012-01-01

    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...

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

    OpenAIRE

    Tarim, Emre

    2011-01-01

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

  4. 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

  5. AN AGENT-BASED SIMULATION MODEL FOR THE ANALYSIS OF MARKET INTEGRATION OF RENEWABLE ENERGY FOR THE GERMAN ELECTRICITY MARKET

    OpenAIRE

    Reeg, Matthias; Nienhaus, Kristina; Deissenroth, Marc; Wassermann, Sandra; Hauser, Wolfgang; Klann, Uwe; Kast, Thomas

    2014-01-01

    To further ensure a successful integration of renewable energies, technical, financial and organizational aspects of the electricity system have to be redesigned. A main challenge lies in the alignment of generation and demand of energy due to the fluctuating character of renewables. Several possibilities are being discussed to align this imbalance. One possibility is the market integration of renewables by linking the generation of renewable electricity to the price signals of the energy exc...

  6. Market Integration, Choice of Technology and Welfare

    DEFF Research Database (Denmark)

    Hansen, Jørgen Drud; Nielsen, Jørgen Ulff-Møller

    2010-01-01

    This paper develops an international trade model where firms in a duopoly may diversify their technologies for strategic reasons. The firms face the same set of technologies given by a tradeoff between marginal costs and fixed costs, but depending on trade costs firms may choose different...... technologies. Market integration may induce a technological restructuring where firms either diversify their technologies or switch to a homogeneous technology. In general, market integration improves welfare. However, a small decrease of trade costs which induces a switch from heterogeneous technologies...

  7. 75 FR 34530 - Analysis by the President's Working Group on Financial Markets on the Long-Term Availability and...

    Science.gov (United States)

    2010-06-17

    ... Analysis by the President's Working Group on Financial Markets on the Long-Term Availability and.... 110-160, 121 Stat. 1839), requires the President's Working Group on Financial Markets to perform an on.... The President's Working Group on Financial Markets (established by Executive Order 12631) is...

  8. 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…

  9. Strings and brane world scenarios in financial market data

    Directory of Open Access Journals (Sweden)

    Richard Pincak

    2013-05-01

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

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

    Directory of Open Access Journals (Sweden)

    I.M. Burdenko

    2012-09-01

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

  11. Financial integration in Europe : Evidence from Euler equation tests

    NARCIS (Netherlands)

    Lemmen, J.J.G.; Eijffinger, S.C.W.

    1995-01-01

    This paper applies Obstfeld's Euler equation tests to assess the degree of financial integration in the European Union. In addition, we design a new Euler equation test which is intimately related to Obstfeld's Euler equation tests. Using data from the latest Penn World Table (Mark 6), we arrive at

  12. Simulation of financial market via nonlinear Ising model

    Science.gov (United States)

    Ko, Bonggyun; Song, Jae Wook; Chang, Woojin

    2016-09-01

    In this research, we propose a practical method for simulating the financial return series whose distribution has a specific heaviness. We employ the Ising model for generating financial return series to be analogous to those of the real series. The similarity between real financial return series and simulated one is statistically verified based on their stylized facts including the power law behavior of tail distribution. We also suggest the scheme for setting the parameters in order to simulate the financial return series with specific tail behavior. The simulation method introduced in this paper is expected to be applied to the other financial products whose price return distribution is fat-tailed.

  13. Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

    Directory of Open Access Journals (Sweden)

    Adam Zaremba

    2016-01-01

    Full Text Available The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term spreads are tested against a risk model. The analysis covers the listing of 26 commodities in the period 1986 – 2013. First and foremost, the paper provides a fresh evidence for the validity of strategies based on momentum and term structure investing in commodity markets. Secondly, it proves that term structure strategies generate significantly higher performance results in non-financialized markets. Moreover, it supports the thesis that market financialization adversely affects momentum profits. The results are important in terms of tactical and strategic asset allocation in commodity markets. They imply that investors who implement momentum or term structure based strategies should also consider the composition of market participants.

  14. Managing Financial Innovations In The Indian Financial Market: Lessons from the UK

    OpenAIRE

    Aggarwal, Risha

    2011-01-01

    India is a developing country and economic development is foremost in its overall growth. Through this research, an important aspect of financial sector, that is, financial innovation is presented. In this research, the existing financial products and the scope for new financial products in an emerging economy like India have been highlighted. A systemic approach to studying various pieces of literature like journal articles, essays, discussion papers and government circulars was adopted with...

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

    OpenAIRE

    Gomes, Rafael A.R. Pereira

    2011-01-01

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

  16. Monetary and Financial Integration in East Asia: The Relevance of European Experience

    OpenAIRE

    Yung Chul Park; Charles Wyplosz

    2008-01-01

    This report examines the process of economic and financial integration in East Asia in the light of Europe's experience. The report provides a comprehensive analysis of East Asian monetary and financial integration process (including a deep analysis of East Asia's response to the 1997-98 financial crisis), a comprehensive critical survey of the literature on monetary and financial integration in East Asia, and an assessment of the various initiatives undertaken in the region for financial co...

  17. The Private Equity Secondaries Market During the Financial Crisis and the “Valuation Gap”

    OpenAIRE

    Hege, Ulrich; Nuti, Alessandro

    2011-01-01

    This descriptive paper analyzes the performance of the private equity secondaries market during the financial crisis 2008-2009, in order to understand the effective liquidity of private equity investments during this episode of market stress. We document that the secondaries market followed the development of the crisis very closely, with effective market liquidity contracting in early 2009 to only a fraction of the volume earlier, and a quick recovery afterwards that showed no signs of more...

  18. Farm Operator Benefits from Direct Marketing Strategies: How Does Local Food Impact Farm Financial Performance?

    OpenAIRE

    Park, Timothy A.; Mishra, Ashok K.; Wozniak, Shawn J.

    2011-01-01

    In the era of a global economy, farmers face increasing pressure in developing a portfolio of various marketing channels. However, the literature on direct marketing strategies has mainly focused on consumers. Using farm-level data this study investigates factors associated with the choice of three direct marketing strategies. We apply a selectivity based approach for the multinomial logit model to assess the relationship between the choice of direct sales marketing strategy on the financial ...

  19. Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis

    OpenAIRE

    WenShwo Fang; Miller, Stephen M.

    2002-01-01

    Structural shifts characterize the volatility of the Korean stock and foreign exchange markets during the 1997 Asian financial crisis. This paper employs an unrestricted bivariate GARCH-M model of stock market returns to investigate empirically the effects of daily currency depreciation on Korean stock market returns. The evidence shows that currency depreciation significantly affects stock market performance through three distinct channels: exchange rate depreciation adversely affects stock ...

  20. MARKETING STRATEGY OF RUP «BMZ» IN THE PERIOD OF WORLD FINANCIAL-ECONOMIC CRISIS

    Directory of Open Access Journals (Sweden)

    V. V. Zaitsev

    2010-01-01

    Full Text Available The marketing strategy of RUP «BMZ» in the period of worldwide financial-economic crisis is disclosed. It is shown that it is aimed at the maximum increase of export in all directions.

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

    Directory of Open Access Journals (Sweden)

    Terezie Vyprachticka

    2011-09-01

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

  2. 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.

  3. 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

  4. Capital structure: a comparison between market-based and bank-based financial systems

    OpenAIRE

    Ρεκαντζή, Αδαμαντία Δ.

    2014-01-01

    This thesis explores the equity market timing effect on capital structure decisions in the U.K. which is considered a Market-based financial system and Germany which is regarded as a Bank-based financial system. In contrast with previous studies, we find no evidence supporting Market timing Theory in both countries. No significant and conclusive results are found to indicate that in the U.K. firms tend to issue equity when their market values are high whereas in Germany firms tend to have hig...

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

    Directory of Open Access Journals (Sweden)

    Nicolae, C. M.

    2013-12-01

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

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

    OpenAIRE

    Bubbico, Rossana; Giorgino, Marco; Monda, Barbara

    2012-01-01

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

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

    International Nuclear Information System (INIS)

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

  8. The Main Aspects of Implementing the Accumulation Function by the Financial Markets of European Countries

    OpenAIRE

    Svetlana Biloocaia

    2016-01-01

    Significant changes, which happened in the last decades in the structure of the society as a whole and in its economic and financial fields in particular, have determined the necessity of creating new modern analysis tools. In the article, using elaborated by the author indicative and functional method of assessment of financial market development, it is performed the analysis of realization of accumulation (mobilization) function by the capital market and banking sector institutions, both in...

  9. Graduates’ integration on the labour market

    Directory of Open Access Journals (Sweden)

    Palade, A.

    2013-12-01

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

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

    Institute of Scientific and Technical Information of China (English)

    MA Jin-long; MA Fei-te

    2007-01-01

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

  11. 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

  12. 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.

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

    Directory of Open Access Journals (Sweden)

    Dalia Simion

    2007-12-01

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

  14. 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.

  15. Reporting of Non-Financial Performance Indicators – a Useful Tool for a Sustainable Marketing Strategy

    Directory of Open Access Journals (Sweden)

    Adriana Calu

    2015-08-01

    Full Text Available The current research has as objective to identify the reporting practices of non-financial information through the indicators proposed by the Global Reporting Initiative (GRI and the degree in which, for marketing purposes, there is a preference for the communication on positive aspects. In this respect we used the information published into the non-financial reports of 19 organizations that had adhered to the pilot programme of the International Integrated Reporting Council (IIRC. We selected a number of 30 environment and social indicators reflecting both positive and negative aspects, and we analysed the manner in which they are presented within the reports published by the organizations, following the activities to be taken into consideration for the development of a sustainable marketing strategy: supply – production – distribution. The results of the study emphasized the fact that, regardless of the sector where the organizations run their activity, though there is no homogenous display, they report mainly the indicators presenting positive information 53 %, whereas the indicators presenting negative information are reported only in proportion of 33%. The organizations holding information regarding suppliers’ sustenability emphasize this aspect in order to create a brand value whereas the rest of the organizations state that they shall proceed to such evaluations in the future. Interpreting these results through the agency of the institutional theory leads to the conclusion that certain organizations’ option to voluntarily report according to a certain referential is carried out mainly in order to obtain rightfulness. Moreover, the sustainable conduct adopted by the main market competitors generates a mimetic-type isomorphism

  16. International Financial Integration and Economic Growth in India: An Empirical Investigation

    OpenAIRE

    Nayia MAHAJAN; Verma, Satish

    2015-01-01

    This study endeavors to estimate relationship between international financial integration and economic growth in India during 1981-2011. Apart from direct impact of international financial integration on growth, indirect impact (via financial development) has also been studied empirically. Models of co-integration and Vector Error Correction Model (VECM) have been applied to examine the relationships. The study observes that international financial integration affects the gr...

  17. Energy market integration in South America

    International Nuclear Information System (INIS)

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

  18. China: Between Social Stability and Market Integration

    Institute of Scientific and Technical Information of China (English)

    Giovanni B. Andornino; Russell G. Wilcox

    2006-01-01

    China's gradual integration with the global market is responsible for exceptional rates of economic growth and for the substantial sociopolitical stability enjoyed by the country over the past decades. Nevertheless, the choice to increasingly adhere to the competitive dynamic of the market has thrown up a battery of problems for China's leadership, as increasing affluence has favored the pluralization and diversification of social interests. In a country where the existence of divergent and competing social claims has traditionally been regarded as a grave threat to stability, marketization, whereas on the one hand acting as a source of political legitimacy, has, on the other, paved the way for a potentially more strained relationship between relevant corporative interests and the central government. By studying China's recent development from the complementary perspectives of the "horizontal" and "vertical" forms of decentralization and devolution, this paper aims to highlight the tensions with which China has had to contend since its adoption of reform and opening-up policies in the late 1970s. It aims also to suggest how the Chinese leadership's instinct for continued social control has cut against market reform just enough to effect a process of controlled macroeconomic integration that has been more successful than wholesale resistance or immediate unquestioning acceptance would have been.

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

    Directory of Open Access Journals (Sweden)

    Guillermo Jopen Sánchez

    2013-06-01

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

  20. European integration and financial crisis: causes, implications and policy directions

    OpenAIRE

    Laurence Boone

    2010-01-01

    The financial crises which unfolded in the course of 2008 had a coincident impact on all countries, with an unprecedented contraction on real economies, In Europe, the crisis underlined two main issues: first, 10 years after the inception of the Euro, structural divergences persist across countries; second, European economic policy integration is mostly confined to monetary and competition policy. The crisis revealed how one-size-fits-all monetary policies could "nurture" structural divergenc...

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

    OpenAIRE

    Tuckett, D.; Taffler, R.

    2008-01-01

    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 approa...

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

    Directory of Open Access Journals (Sweden)

    Achim Koberstein

    2013-11-01

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

  3. European Integration, Labour Market Dynamics and Migration Flows

    Directory of Open Access Journals (Sweden)

    Martinoia, Michela

    2011-06-01

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

  4. Socially Situated Financial Markets: A Neo-Behavioral Perspective on Firms, Investors and Practices

    NARCIS (Netherlands)

    I. Naumovska (Ivana)

    2014-01-01

    markdownabstract__Abstract__ In this dissertation I seek to redirect the conversation on stock market evaluations from the more traditional economic and behavioral finance theories, by proposing a neo-behavioral perspective, which views financial markets as socially situated. Specifically I combine

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

    International Nuclear Information System (INIS)

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

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

    Directory of Open Access Journals (Sweden)

    JANUSZ RYBAK

    2010-12-01

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

  7. 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 mor

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

    CERN Document Server

    Ponzi, A

    1999-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Edirin Jeroh

    2013-04-01

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

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

    Directory of Open Access Journals (Sweden)

    Duguleana, L.

    2013-12-01

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

  11. 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

  12. 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.

  13. 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.

  14. 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

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

    Science.gov (United States)

    Grech, Dariusz

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

  16. BANKING DEREGULATION AND FINANCIAL STABILITY IN EMERGING MARKET ECONOMIES

    Directory of Open Access Journals (Sweden)

    Adnen CHOCKRI

    2011-12-01

    Full Text Available Since the 80’s, an increasing number of emergent countries have begun in the process of banking deregulation. This policy of liberalization of the financial systems was stimulated by the increase of the national debts and the inconsistency of the restrictions with the new economic and financial world. However, these last decades were marked by great financial crises which became world extensive. From there arose the question whether the process of deregulation, started by the developed countries since the sixties and accentuated in the eighties by the emergent and developing countries, contributed to the recent crises. Several theoretical and empirical studies investigated this question to show that these crises concern various fields: macroeconomic imbalances, structural weakness of the financial systems, instability of international flows of capital, etc.

  17. Risk and Intermediation in a Dual Financial Market Model

    OpenAIRE

    Bloise, Gaetano; Reichlin, Pietro

    2001-01-01

    This Paper investigates the relationship between risk and productive activity and the degree of financial intermediation in a model with moral hazard. Entreprenuers can simultaneously get credit from two types of competing institutions: ‘financial intermediaries’ and ‘local lenders’. The former are competitive firms with a comparative advantage in diversifying credit risks, and the latter have superior information about the investment returns of a ‘nearby’ entrepreneur. This information advan...

  18. THE IMPACT OF GLOBAL FINANCIAL CRISIS UNDER THE ROMANIAN FINANCIAL MARKET

    Directory of Open Access Journals (Sweden)

    Cristina Ciuraru-Andrica

    2008-12-01

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

  19. FINANCIAL CRISIS AND ITS IMPLICATION ON OBTAINING FOUNDS ON THE CAPITAL MARKET

    OpenAIRE

    Ilie Vasile; George Horia Ionescu; Elena Radu

    2008-01-01

    Issues emerged on the subprime mortgage market in United States lead to a very important global financial crisis. In this frame, Romania its affected by the problem of the financial accessibility of having a house and that’s why the mortgage offer linked with a reasonable interest rate it’s not enough to support the market. Right now, taking into account the prices on the locative market and the interest rate of the mortgage credits, the percent of population which can afford monthly paym...

  20. Geography and distance effect on financial dynamics in the Chinese stock market

    Science.gov (United States)

    Li, Xing; Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Jiang, Xiong-Fei

    2016-09-01

    Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The stocks in the Shanghai city and the Guangdong province are found to greatly contribute to the Shanghai and Shenzhen markets in the geographical sector, respectively. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further studied, with the probability of the short distance observed to be much greater than that of the long distance. The distance is found to only affect the stock correlation of the Shanghai stock market, but has no effect on the Shenzhen stock market.

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

    International Nuclear Information System (INIS)

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

  2. 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.

  3. 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.

  4. 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...

  5. FINANCIAL INFORMATION AS A FACTOR IN CREATION OF THE VALUE ADDED IN THE INNOVATION MARKET ECONOMY

    OpenAIRE

    Ryazanova, Nadiya

    2014-01-01

    The objective of the work consists in studying financial information as a factor in creation of the value added in the innovation market economy. The innovation market economy is characteristic of the developed information (postindustrial) society and replaced the classical market economy at the beginning of the 21st century. This transformation gives rise to significant challenges which consist in the need for understanding the forthcoming informational changes, forming corresponding economi...

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

    OpenAIRE

    Şteliac Nela

    2013-01-01

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

  7. EMERGING RISKS IN BANK CREDIT ACTIVITY IN TERMS OF FINANCIAL BANKING MARKETING

    OpenAIRE

    Emanuela Maria Avram; Iulia Furdui; Ioana Preda

    2010-01-01

    "Whether you know it or not, we all practice marketing. The difference arises between those who do it by ear and those who turn it into a successful career”.1 The role of marketing in the financial-banking sphere resides in identifying and meeting the criteria of the most profitable market segments, determining and assessing present and future needs of these particular clients, establishing the activities’ objectives of development and prepare plans for their achievement, promote various prod...

  8. Bank Accounting and Market Valuation in Japan: An Overview of Accounting Issues of Financial Instruments

    OpenAIRE

    Marie Ogawa; Takashi Kubota

    1995-01-01

    This paper considers a framework for introducing market valuation to Japanese bank accounting, focusing on practical issues to be solved. Reflecting the growing concern over the present historical cost accounting, it is argued that market valuation should be introduced to bank accounting for disclosure purpose in Japan. Particularly, there are strong arguments for market valuation of certain types of financial instruments. Specific considerations include: the overview of present accounting in...

  9. Financial innovations and the organisation of stock market trading

    Directory of Open Access Journals (Sweden)

    J.A. KREGEL

    2013-12-01

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

  10. Economic embeddedness and materiality in a financial market setting

    OpenAIRE

    Roscoe, Philip John

    2013-01-01

    The notion of embeddedness (Granovetter 1985) neglects of the material dimension of economic relations. This paper contributes to the literature of market devices (Callon, et al., 2007) with an exploration of the material dimensions of economic embeddedness in the case of the everyday market activities of a group of non-professional investors in the UK. It examines the attributes of a materially embedded market through the categories of socio-economic embeddedness specified by Uzzi (1997) and...

  11. 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

  12. 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

  13. 17 CFR Appendix B to Part 1 - Fees for Contract Market Rule Enforcement Reviews and Financial Reviews

    Science.gov (United States)

    2010-04-01

    ... to Part 1—Fees for Contract Market Rule Enforcement Reviews and Financial Reviews (a) Within 60 days... costs in conducting contract market rule enforcement reviews and financial reviews. (b) The Commission... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Fees for Contract Market...

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

    Directory of Open Access Journals (Sweden)

    Stefea Petru

    2013-07-01

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

  15. Prospecting for Sustainable Investment Possibilities in Financial Markets

    Directory of Open Access Journals (Sweden)

    Aleksandras Vytautas Rutkauskas

    2009-06-01

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

  16. Managing gas plant margins through the financial commodities market

    International Nuclear Information System (INIS)

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

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

    Directory of Open Access Journals (Sweden)

    Meisam Shirkhodaei

    2014-01-01

    Full Text Available 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 their contribution in the variations of changes in the company, is one of the most important reasons why no attention to the marketing unit in the Short-term and long-term planning. So, in this study, we survey the identification and determination of a comprehensive collection of the marketing performance measurement criteria, and the effects of them on the financial performance in the Parsian Bank. The results of study show that the market share impact on the brand value, but customer satisfaction have not any effect on the brand value and also the brand value and the financial performance. There is a negative relationship between innovation and brand value

  18. 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.

  19. Credit Rating Agencies, Financial Regulations and the Capital Markets

    NARCIS (Netherlands)

    K. Shahzad (Khurram)

    2013-01-01

    textabstractThis thesis studies the role of credit rating agencies (CRAs) in capital markets, and the effects of two important regulatory decisions that are taken to improve the quality of information available to the capital markets. In particular, this thesis examines a) the importance of credit r

  20. OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS

    OpenAIRE

    Balling, Morten

    2003-01-01

    The European Commission’s Financial Services Action Plan, FSAP, (1999) is a key document in the political process of building a common framework for financial markets in the EU area. The FSAP and financial regulation at the EU Member state level are derived from a complicated mix of policy objectives. Decisions to regulate are based on a very broad spectrum of analysis and research. Important analytical contributions come from financial economics and company and capital market law. Within the...

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

    Directory of Open Access Journals (Sweden)

    Srdjan Redzepagic

    2009-06-01

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

  2. Random matrix approach to group correlations in development country financial market

    Science.gov (United States)

    Qohar, Ulin Nuha Abdul; Lim, Kyuseong; Kim, Soo Yong; Liong, The Houw; Purqon, Acep

    2015-12-01

    Financial market is a borderless economic activity, everyone in this world has the right to participate in stock transactions. The movement of stocks is interesting to be discussed in various sciences, ranging from economists to mathe-maticians try to explain and predict the stock movement. Econophysics, as a discipline that studies the economic behavior using one of the methods in particle physics to explain stock movement. Stocks tend to be unpredictable probabilistic regarded as a probabilistic particle. Random Matrix Theory is one method used to analyze probabilistic particle is used to analyze the characteristics of the movement in the stock collection of developing country stock market shares of the correlation matrix. To obtain the characteristics of the developing country stock market and use characteristics of stock markets of developed countries as a parameter for comparison. The result shows market wide effect is not happened in Philipine market and weak in Indonesia market. Contrary, developed country (US) has strong market wide effect.

  3. Review Study on Main Models of Market Integration

    Institute of Scientific and Technical Information of China (English)

    He Feng

    2008-01-01

    With the endless strengthening of the economic globalization trend, the world market gradually steps into a new turn of the market integration period. Market integration in China is always the key study field of academic communities, but it is developed late, whatever content system or methodology shall be greatly improved as expected. This paper aims at summarizing and reviewing the study on the content system and main demonstrations of market integration in order to provide theoretical guide and methodological basis for related studies.

  4. 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.

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

    International Nuclear Information System (INIS)

    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)

  6. Oil price and financial markets: Multivariate dynamic frequency analysis

    International Nuclear Information System (INIS)

    The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters' markets than in the importers' ones. - Highlights: • A new time-varying measure for the stock markets and oil price relationship in different horizons. • We propose a new empirical methodology: multivariate frequency approach. • We propose a comparison between oil importing and exporting countries. • We show that oil is not always countercyclical with respect to stock markets. • When high oil prices originate from supply shocks, oil is countercyclical with stock markets

  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. 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.

  9. The long memory and the transaction cost in financial markets

    Science.gov (United States)

    Li, Daye; Nishimura, Yusaku; Men, Ming

    2016-01-01

    In the present work, we investigate the fractal dimensions of 30 important stock markets from 2006 to 2013; the analysis indicates that the Hurst exponent of emerging markets shifts significantly away from the standard Brownian motion. We propose a model based on the Hurst exponent to explore the considerable profits from the predictable long-term memory. We take the transaction cost into account to justify why the market inefficiency has not been arbitraged away in the majority of cases. The empirical evidence indicates that the majority of the markets are efficient with a certain transaction cost under the no-arbitrage assumption. Furthermore, we use the Monte Carlo simulation to display "the efficient frontier" of the Hurst exponent with different transaction costs.

  10. Financial Benefits of Florida Generic Orange Juice Marketing

    OpenAIRE

    Thomas, Arthur M.; Canter, Neil

    2009-01-01

    The benefits to Florida orange growers of generic orange juice advertising are assessed using additive, nonlinear, regional econometric models, measuring the impact of category and brand marketing efforts on category demand while controlling for pricing and various other factors. The study shows that generic marketing efforts increased orange juice category demand by 8.3 percent, resulting in increased orange prices and a benefit-to-cost ratio to Florida growers of 3.5 to 1. Branded promotion...

  11. 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.

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

    Science.gov (United States)

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

    2013-01-01

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

  13. 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.

  14. 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...

  15. Market Efficiency after the Financial Crisis: It's Still a Matter of Information Costs

    OpenAIRE

    Gilson, Ronald; Reinier H. Kraakman

    2014-01-01

    Compared to the worldwide financial carnage that followed the Subprime Crisis of 2007–2008, it may seem of small consequence that it is also said to have demonstrated the bankruptcy of an academic financial institution: the Efficient Capital Market Hypothesis (“ECMH”). Two things make this encounter between theory and seemingly inconvenient facts of consequence. First, the ECMH had moved beyond academia, fueling decades of a deregulatory agenda. Second, when economic theory moves from academi...

  16. Advanced Text Mining Methods for the Financial Markets and Forecasting of Intraday Volatility

    OpenAIRE

    Pieper, Michael J.

    2011-01-01

    The flow of information in financial markets is covered in two parts. An high-order estimator of intraday volatility is introduced in order to boost risk forecasts. Over the last decade, text mining of news and its application to finance were a vibrant topic of research as well as in the finance industry. This thesis develops a coherent approach to financial text mining that can be utilized for automated trading.

  17. Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix

    OpenAIRE

    Erie Febrian; Aldrin Herwany

    2009-01-01

    In measuring risk, practitioners have practiced one of the two extreme approaches for so long, i.e. historical simulation or risk metrics. Meanwhile, academicians tend to apply methods based on the latest development in financial econometrics. In this study, we try to assess one of important issues in financial econometric development that focuses on market risk measurement and management employing asset-based models, i.e. models that apply dimensional covariance matrix, which is relevant to ...

  18. Modified multidimensional scaling approach to analyze financial markets

    Science.gov (United States)

    Yin, Yi; Shang, Pengjian

    2014-06-01

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

  19. Information of group-correlations in Korean financial market

    Science.gov (United States)

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

    2011-01-01

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

  20. Flexible reserve markets for wind integration

    Science.gov (United States)

    Fernandez, Alisha R.

    The increased interconnection of variable generation has motivated the use of improved forecasting to more accurately predict future production with the purpose to lower total system costs for balancing when the expected output exceeds or falls short of the actual output. Forecasts are imperfect, and the forecast errors associated with utility-scale generation from variable generators need new balancing capabilities that cannot be handled by existing ancillary services. Our work focuses on strategies for integrating large amounts of wind generation under the flex reserve market, a market that would called upon for short-term energy services during an under or oversupply of wind generation to maintain electric grid reliability. The flex reserve market would be utilized for time intervals that fall in-between the current ancillary services markets that would be longer than second-to-second energy services for maintaining system frequency and shorter than reserve capacity services that are called upon for several minutes up to an hour during an unexpected contingency on the grid. In our work, the wind operator would access the flex reserve market as an energy service to correct for unanticipated forecast errors, akin to paying the generators participating in the market to increase generation during a shortfall or paying the other generators to decrease generation during an excess of wind generation. Such a market does not currently exist in the Mid-Atlantic United States. The Pennsylvania-New Jersey-Maryland Interconnection (PJM) is the Mid-Atlantic electric grid case study that was used to examine if a flex reserve market can be utilized for integrating large capacities of wind generation in a lowcost manner for those providing, purchasing and dispatching these short-term balancing services. The following work consists of three studies. The first examines the ability of a hydroelectric facility to provide short-term forecast error balancing services via a flex