WorldWideScience

Sample records for financial market integration

  1. Integration of European Banking and Financial Markets

    OpenAIRE

    Marques Ibanez, David; Molyneux, Philip

    2002-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Michal Janovec

    2018-02-01

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

  3. Essays on financial market integration

    NARCIS (Netherlands)

    Pungulescu, C.

    2009-01-01

    The four essays in this dissertation address these main questions and alternate a general perspective with focused analysis on specific measures of integration and regions, providing several novel answers. First, new relevant proxies are proposed to measure financial market integration. They give

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

    OpenAIRE

    Nasir, M; Du, M

    2017-01-01

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

  6. 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.

  7. 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.

  8. Market-based approach to financial architecture

    NARCIS (Netherlands)

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

    2013-01-01

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

  9. 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

  10. EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES

    Directory of Open Access Journals (Sweden)

    Małgorzata Mikita

    2012-04-01

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

  11. Financial integration and liquidity crises

    NARCIS (Netherlands)

    Castiglionesi, Fabio; Feriozzi, F.; Lorenzoni, G.

    2017-01-01

    This paper analyzes the effects of financial integration on the stability of the banking system. Financial integration allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a common interbank market. We show under which conditions financial integration

  12. 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.

  13. Financial Integration and Asset Returns

    OpenAIRE

    P Martin; H Rey

    2000-01-01

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

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

    OpenAIRE

    European Central Bank ; Center for Financial Studies (CFS)

    2008-01-01

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

  15. Integration scenarios of Demand Response into electricity markets: Load shifting, financial savings and policy implications

    International Nuclear Information System (INIS)

    Feuerriegel, Stefan; Neumann, Dirk

    2016-01-01

    Demand Response allows for the management of demand side resources in real-time; i.e. shifting electricity demand according to fluctuating supply. When integrated into electricity markets, Demand Response can be used for load shifting and as a replacement for both control reserve and balancing energy. These three usage scenarios are compared based on historic German data from 2011 to determine that load shifting provides the highest benefit: its annual financial savings accumulate to €3.110 M for both households and the service sector. This equals to relative savings of 2.83% compared to a scenario without load shifting. To improve Demand Response integration, the proposed model suggests policy implications: reducing bid sizes, delivery periods and the time-lag between market transactions and delivery dates in electricity markets. - Highlights: •Comparison of 3 scenarios to integrate Demand Response into electricity markets. •These are: optimize procurement, offer as control reserve, avoid balancing energy. •Ex post simulation to quantify financial impact and policy implications. •Highest savings from load shifting with a cost reduction of 3%. •Model suggests reducing bid sizes, delivery periods and time lags as policy issues.

  16. The concept of integrated marketing communications in financial organizations

    OpenAIRE

    Domazet, Ivana

    2013-01-01

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

  17. Financial Integration of European Money Market: from EMU to the Global Crisis and Beyond

    OpenAIRE

    Avadanei Andreea; Avadanei Anamaria; Ghiba Nicolae

    2010-01-01

    The scope of this article is to illustrate the general issues relevant for understanding the implications of the global crisis on European money market integration. We structured our paper on chapters that present the evolution of the considered market from the launch of euro until the financial turmoil, its main features in the actual context, and the central banks response to the rising tensions on the money market. Given its function of channeling funds to enable banks to cover their most ...

  18. The European Financial Market Stress Index

    OpenAIRE

    Shaen Corbet

    2014-01-01

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

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

    OpenAIRE

    Yulia Yelnikova

    2016-01-01

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

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

    NARCIS (Netherlands)

    Underhill, G.R.D.

    2010-01-01

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

  1. Financial integration of stock markets among new EU member states and the euro area

    Czech Academy of Sciences Publication Activity Database

    Babetskii, Ian; Komárek, L.; Komárková, Z.

    2007-01-01

    Roč. 57, 7-8 (2007), s. 341-362 ISSN 0015-1920 Grant - others:GA ČR(CZ) GA402/05/2758 Institutional research plan: CEZ:AV0Z70850503 Keywords : financial integration * stock markets * European Union Subject RIV: AH - Economics Impact factor: 0.382, year: 2007 http://journal.fsv.cuni.cz/storage/1083_fau_7_8_2007_000000000039.pdf

  2. RURAL FINANCIAL MARKETS: AN OVERVIEW

    OpenAIRE

    Spio, Kojo; Groenewald, Jan A.

    1997-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Yulia Yelnikova

    2016-11-01

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

  4. 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 ...

  5. 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

  6. International Good Market Segmentation and Financial Market Structure

    OpenAIRE

    Basak, Suleyman; Croitoru, Benjamin

    2003-01-01

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

  7. 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…

  8. 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.

  9. 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.

  10. Markets for financial transmission rights

    International Nuclear Information System (INIS)

    Kristiansen, T.

    2004-01-01

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

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

    OpenAIRE

    Musílek, Petr

    2008-01-01

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

  12. INTEGRATION OF ROMANIAN INSURANCES MARKET IN EU

    Directory of Open Access Journals (Sweden)

    Gheorghe MOROŞAN

    2015-08-01

    Full Text Available One of the most important phenomena of the last decade has been the convergence of the financial services industry, especially the capital and insurance markets. The convergence in the insurance industry was determined by the increased frequency and the severity of catastrophic risks, market inefficiency in the past, and the new technologies in IT and communications. These globally developments can be observed much better at EU level, one of the most integrated areas of the world, which aimed the convergence of financial market, including an important component such as insurance market. As part of the EU, Romania also aims to financial market convergence with the EU countries. The article offers an overview and an analysis of the insurance market in the EU and Romania. Through a wide series of indicators such as: the amount of insurance premiums, degree of penetration, number of employees or number of insurance companies, it will analyze the evolution of this market convergence, as per all EU countries and Romania. It will identify the stage in which the insurance market in Romania is, regarding the requirements of full integration. Finally, there will be identified factors encouraging and particularly those who are impediments to insurance market convergence in Romania.

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

    OpenAIRE

    Nemat Tahmasebi

    2016-01-01

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

  14. Marketing Financial Aid

    Science.gov (United States)

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

    1978-01-01

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

  15. 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.

  16. Marketing particularities in financial organizations

    Directory of Open Access Journals (Sweden)

    Hanić Hasan

    2012-01-01

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

  17. 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.

  18. 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.

  19. 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

  20. 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

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

    OpenAIRE

    Robert Jacobson; Natalie Mizik

    2009-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Nemat Tahmasebi

    2016-11-01

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

  3. Quantum Bohmian model for financial market

    Science.gov (United States)

    Choustova, Olga Al.

    2007-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Nataša Simić

    2018-01-01

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

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

    OpenAIRE

    Valls Ruiz, Natàlia

    2014-01-01

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

  6. 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

  7. Banks, markets, and financial stability

    OpenAIRE

    Eder, Armin; Fecht, Falko; Pausch, Thilo

    2014-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Irina Burdenko

    2016-07-01

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

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

    Science.gov (United States)

    Huber, Tobias A.; Sornette, Didier

    2016-12-01

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

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

    OpenAIRE

    Mishkin, Frederic S.

    2001-01-01

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

  11. Financial Markets and Compliance

    NARCIS (Netherlands)

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

    2017-01-01

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

  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...... institutions' excessive risk-taking. If such risk-taking would be judged by market discipline instead of posing a risk to global financial stability, the main downside of regulatory competition could be restrained. Within the boundaries of such a system, competition could then operate and contribute...... their standards solely to attract business and thereby impose externalities on the worldwide financial market by undermining financial stability as a global public good. Policymakers worldwide are experimenting with remedies to respond to the phenomenon. I introduce the importance of an effective special...

  13. Marketing in current financial crisis

    OpenAIRE

    Mariánek, Lukáš

    2009-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Raquel A. Ramos

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

  15. RETROSPECTIVE OF FINANCIAL REPORTING ON CAPITAL MARKET

    OpenAIRE

    Diana Muresan

    2012-01-01

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

  16. 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.

  17. 76 FR 18445 - Financial Market Utilities

    Science.gov (United States)

    2011-04-04

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

  18. 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.

  19. Dynamic bifurcations on financial markets

    International Nuclear Information System (INIS)

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

    2016-01-01

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

  20. Financial instability from local market measures

    International Nuclear Information System (INIS)

    Bardoscia, Marco; Livan, Giacomo; Marsili, Matteo

    2012-01-01

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

  1. Applying an international CAPM to herding behaviour model for integrated stock markets

    Directory of Open Access Journals (Sweden)

    Najmudin Najmudin

    2017-12-01

    Full Text Available Development of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence of herding behavior. All this time, the herding behavior model of individual stocks towards market consensus has been referring to CAPM theory. The basic assumption of CAPM is that financial assets at a domestic stock market are segmented from the financial assets’ movement at the global market. Therefore, this paper aims to provide an alternative view in the form of an international herding model that should be applied in the context of an integrated stock market. The model was created with reference to the international CAPM. This paper combined ICAPM method and international CSAD model to identify herding for eight stock markets, the sample period being from January 2003 to December 2016. The result found that for segmented stock markets, represented by China and the Philippines, herding happened for both overall the sample period and the market crisis period. In addition, for the integrated stock markets, represented by Indonesia, Japan, Malaysia, Singapore, Thailand, and the UK, herding behavior was only found during the market crisis period. Therefore, classification of market integrations should be considered in assessing the herding behaviour at stock markets.

  2. Financial markets and interest rate

    Directory of Open Access Journals (Sweden)

    Dudić Zdenka

    2012-01-01

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

  3. Derivative Market: An Integral Part Of The Zimbabwe Stock Exchange

    OpenAIRE

    Kosmas Njanike

    2010-01-01

    The study assesses the need for a derivative market as an integral of Zimbabwe Stock Exchange. It also aims to evaluate the feasibility of establishing a derivative market as an essential element of Zimbabwe Stock Exchange. The research identifies factors that need to be addressed to facilitate such a market. Views of various fund managers, financial analysts and dealers drawn from asset management firms were used. Changes in market trends are influenced by hyper inflation and acute financial...

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

    OpenAIRE

    Frederic S. Mishkin

    2001-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Ivkov Danijela M.

    2010-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Domazet Ivana

    2013-01-01

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

  7. 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

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

    Directory of Open Access Journals (Sweden)

    Charlene Gerber

    2013-05-01

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

  9. Regulatory Competition in Global Financial Markets

    DEFF Research Database (Denmark)

    Ringe, Georg

    2015-01-01

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

  10. Why Ecologists Should Care about Financial Markets.

    Science.gov (United States)

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

    2015-10-01

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

  11. The Economic Efficiency of Financial Markets

    Science.gov (United States)

    Wang, Yougui

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

  12. 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.

  13. 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.

  14. 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.

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

    OpenAIRE

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

    2013-01-01

    The pressure for financial accountability contributed to widespread concern about the function of marketing within the company. Consequently, marketers have become preoccupied with measuring the performance of marketing activity. Diverse financial and non-financial methods have been developed to provide evidence of how marketing activity impacts on the bottom line. This article proposes an approach whereby financial and non-financial performance measures are combined to measure the contributi...

  16. The Empirical Evidence on Government Bond Market Integration in East Asia

    Directory of Open Access Journals (Sweden)

    Lian Liu

    2016-03-01

    Full Text Available This research intends to investigate the progress made in East Asian bond market integration thus far. Price-based measures (AAD indicator and beta-convergence measure, quantity-based measures and econometric techniques (co-integration test, error correction model based Granger causality test are employed in the analysis. Even though East Asian government bond markets have become more integrated since 2001, the differentials among the markets still remain significantly high. The bond market integration process seems slow. The convergence of bond markets sped up in 2003 and after the 2008 world financial crisis, implying the important role of government policies in integrating the regional bond markets. East Asian bond market integration may need more government-directed measures.

  17. 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.

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

    Science.gov (United States)

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

    2014-05-22

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

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

    Science.gov (United States)

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

    2014-01-01

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

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

    OpenAIRE

    Dalia SIMION; Daniel TOBA

    2008-01-01

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

  1. Integration and shock transmissions across European electricity forward markets

    International Nuclear Information System (INIS)

    Bunn, Derek W.; Gianfreda, Angelica

    2010-01-01

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

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

    International Nuclear Information System (INIS)

    Simonetti, S.

    2007-01-01

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

  3. 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.

  4. ECONOMIC-LAW COLLISIONS IN FINANCIAL MARKETS RESEARCH

    Directory of Open Access Journals (Sweden)

    S. Naumenkova

    2013-11-01

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

  5. Business Ethics in Globalized Financial Markets

    OpenAIRE

    Peter Koslowski

    2006-01-01

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

  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. 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.

  8. Traditional Market Accounting: Management or Financial Accounting?

    OpenAIRE

    Wiyarni, Wiyarni

    2017-01-01

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

  9. 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....

  10. 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.

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

    Directory of Open Access Journals (Sweden)

    Foo Jennifer

    2017-06-01

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

  12. 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

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

    OpenAIRE

    International Monetary Fund

    2007-01-01

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

  14. 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

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

    OpenAIRE

    Thomas Stratmann; Bernardin Akitoby

    2009-01-01

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

  16. Models for the financial-performance effects of Marketing

    NARCIS (Netherlands)

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

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

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

    OpenAIRE

    Philippe Martin and Hélène Rey.

    2000-01-01

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

  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

  19. Financial Markets Analysis by Probabilistic Fuzzy Modelling

    NARCIS (Netherlands)

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

    2003-01-01

    textabstractFor successful trading in financial markets, it is important to develop financial models where one can identify different states of the market for modifying one???s actions. In this paper, we propose to use probabilistic fuzzy systems for this purpose. We concentrate on Takagi???Sugeno

  20. Financial markets analysis by probabilistic fuzzy modelling

    NARCIS (Netherlands)

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

    2003-01-01

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

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

    NARCIS (Netherlands)

    Boot, A.W.A.; Marinč, M.

    2010-01-01

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

  2. 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.

  3. THE GENESIS OF CONCEPTS OF INSTITUALIZATION OF THE EU REGIONAL FINANCIAL INTEGRATION

    Directory of Open Access Journals (Sweden)

    Y. Poshtar

    2013-05-01

    Full Text Available The article deals with an analysis of modern theories and conceptions of monetary and financial integration in the EU. Main characteristics of the development of supranational regulation over financial markets were provided. Moreover, contemporary tendencies and perspectives of economic convergence development were defined as well.

  4. Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries

    Directory of Open Access Journals (Sweden)

    Chin-Hong Puah

    2015-07-01

    Full Text Available This study revisits the long-run relationships and short-run dynamic causal linkages among BRIC stock market, with the particular attention to the 2008 subprime mortgage crisis. Extending related empirical studies, comparative analyses of pre-crisis, and post-crisis periods were conducted to comprehensively evaluate how stock market integration was affected by financial crises. In general, after employing cointegration test and VAR test, the results reveal the increase of stock market integration in BRICs after the subprime crisis. The evidence also found that China stock market is the most influential among the BRICs, in which China stock market has the ability to Granger cause the other three BRICs member countries. An important implication of our findings is that the degree of integration among countries tends to change over time, especially around periods marked by financial crises.

  5. Financial markets as adaptive systems

    Science.gov (United States)

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

    1998-02-01

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

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

    Science.gov (United States)

    Tuckett, David; Taffler, Richard

    2008-04-01

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

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

    OpenAIRE

    Philippe Martin; Helene Rey

    2001-01-01

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

  8. Financial development in emerging markets: The Indian experience

    OpenAIRE

    Krishnan, K. P.

    2011-01-01

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

  9. 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.

  10. 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.

  11. The role of professional economists in the financial markets

    OpenAIRE

    Porzecanski, Arturo C.

    2006-01-01

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

  12. 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

  13. Integral marketing auditing: Basic features

    Directory of Open Access Journals (Sweden)

    Rakić Mira

    2006-01-01

    Full Text Available Instead of emphasize the "primacy of planning" in management process marketing control should be viewed as an activity that counterbalances marketing planning and strategy, and not as a "post hoc" adjunct to the planning function. Rather, it is a separate marketing function, which by continuously checking on the validity of plans, provides time and flexibility to an organization. Therefore, in this view, marketing planning and control are counterbalances processes which are performed simultaneously. The essence of feedback control is a measurement of the actual and desired states after action has been taken, and a subsequent correction of activities. In feedforward control the activities are corrected by predicting whether current activities would lead to desired states. The single most important reason why feedforward control is different from feedback control is that its use of information is prognostic. While feedback control tries to solve problems that have occurred, feedforward control tries to discover problems waiting to occur. It is also important to distinguish between financial non-financial and multiple control. Financial control of marketing activities involves control of sales revenue, profitability and return on marketing investment (ROMI. Non-financial control of marketing activities consists of control market share, customer satisfaction, customer loyalty, brand equity and customer equity. Key components of multiple control marketing activities are control of efficiency, effectiveness and marketing audit. Marketing performance measures have moved in three consistent directions over the years: from financial to non-financial output measures, from output to input measures and from undimensional to multidimensional measures.

  14. 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.

  15. Interest Parity Conditions as Indicators of Financial Integration in East Asia

    OpenAIRE

    Gordon de Brouwer

    1997-01-01

    Market participants and policymakers have a growing interest in the development of East Asian financial markets, and to the extent to which these markets are open and influenced by world markets. This paper examines the information contained in interest parity conditions about the international integration of a wide range of economies in East Asia. Legal restrictions on the capital account and tests of covered, uncovered and real interest parity are presented in some detail. Using standard re...

  16. Detecting price manipulation in the financial market

    OpenAIRE

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

    2014-01-01

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

  17. 76 FR 17047 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2011-03-28

    ... functioning is integral to the soundness of the financial system and the overall economy. The importance of... Council to apply a transparent and clear communication strategy surrounding all designation decisions. The..., Better Markets, The Clearing House, Debevoise & Plimpton, The Depository Trust & Clearing Corporation...

  18. Correlation dimension of financial market

    Science.gov (United States)

    Nie, Chun-Xiao

    2017-05-01

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

  19. Hierarchical structure of stock price fluctuations in financial markets

    International Nuclear Information System (INIS)

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

    2012-01-01

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

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

    OpenAIRE

    Boris Snoj; Vladimir Gabrijan; Borut Milfelner

    2010-01-01

    The concept of internal marketing has been discussed in marketing literature for over 30 years. Despite this fact there is little theoretical and empirical evidence of the way in which the internal market orientation impacts market and financial performance. On the other hand, there is considerable empirical evidence concerning the impact of the external market orientation on market and financial performance. Consequently, very few research projects have dealt with the impact of both market o...

  1. 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

  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

    International Nuclear Information System (INIS)

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

    2007-01-01

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

  4. 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.

  5. Regulation of Banking and Financial Markets

    NARCIS (Netherlands)

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

    2011-01-01

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

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

    OpenAIRE

    Mehrdad Alipour; Reza Ahmadi; Hamed Abasi Nami

    2012-01-01

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

  7. Integral or integrated marketing

    Directory of Open Access Journals (Sweden)

    Davčik Nebojša

    2006-01-01

    Full Text Available Marketing theorists and experts try to develop business efficient organization and to get marketing performance at higher, business integrated level since its earliest beginnings. The core issue in this paperwork is the dialectic and practical approach dilemma should we develop integrated or integral marketing approach in the organization. The presented company cases as well as dialectic and functional explanations of this dilemma clearly shows that integrated marketing is narrower approach than integral marketing if we take as focal point new, unique and completed entity. In the integration the essence is in getting different parts together, which do not have to make necessary the new entity. The key elements in the definition of the integral marketing are necessity and holistic, e.g. necessity to develop new, holistic entity.

  8. Capital Market Integration and Consumption Risk Sharing over the Long Run

    DEFF Research Database (Denmark)

    Rangvid, Jesper; Santa-Clara, Pedro; Schmeling, Maik

    integration. We also calculate the welfare costs of imperfect capital market integration and risk sharing and find that these costs vary a lot over time. Finally, we show that consumption risk sharing is higher during times of crises, i.e. at times when marginal utility is high and risk sharing is most......We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher...... capital market integration forecasts more consumption risk sharing in the future. This finding is robust is to controlling for trade openness and exchange rate volatilities. Hence, financial integration seems to drive consumption risk sharing whereas we find no evidence that risk sharing forecasts market...

  9. 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.

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

    Directory of Open Access Journals (Sweden)

    Luiza Loredana Nastase

    2016-12-01

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

  11. 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-...

  12. Ising model of financial markets with many assets

    Science.gov (United States)

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

    2016-11-01

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

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

    Directory of Open Access Journals (Sweden)

    Igor Masten

    2011-12-01

    Full Text Available

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

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

    Directory of Open Access Journals (Sweden)

    Barli Suryanta

    2012-01-01

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

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

    OpenAIRE

    Alexander Abramov

    2014-01-01

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

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

    OpenAIRE

    Alexander Abramov

    2013-01-01

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

  17. 75 FR 79982 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2010-12-21

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

  18. 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.

  19. Financial literacy and stock market participation

    NARCIS (Netherlands)

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

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

  20. Introduction : Energy economics and financial markets

    NARCIS (Netherlands)

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

    2015-01-01

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

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

    Science.gov (United States)

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

    2013-12-20

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

  2. 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.

  3. Methodology of the Integrated Analysis of Company's Financial Status and Its Performance Results

    OpenAIRE

    Mackevičius, Jonas; Valkauskas, Romualdas

    2010-01-01

    Information about company's financial status and its performance results is very important for the objective evaluation of company's position in the market and competitive possibilities in the future. Such information is provided in the financial statement. It is important to apply and investigate this information properly. The methodology of company's financial status and performance results integrated analysis is recommended in this article. This methodology consists of these three elements...

  4. Financial Integrity Benchmarks

    Data.gov (United States)

    City of Jackson, Mississippi — This data compiles standard financial integrity benchmarks that allow the City to measure its financial standing. It measure the City's debt ratio and bond ratings....

  5. The EU Capital Markets Union and Financial Stability

    Directory of Open Access Journals (Sweden)

    Kravchuk Igor S.

    2017-06-01

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

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

    NARCIS (Netherlands)

    K. Boer-Sorban (Katalin)

    2008-01-01

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

  8. About the financial market infrastructure improvement

    OpenAIRE

    Zheleznyak, V.

    2009-01-01

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

  9. Multivariate multiscale entropy of financial markets

    Science.gov (United States)

    Lu, Yunfan; Wang, Jun

    2017-11-01

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

  10. Financial Markets Interactions between Economic Theory and Practice

    Directory of Open Access Journals (Sweden)

    Mihaela NICOLAU

    2010-12-01

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

  11. 76 FR 44763 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2011-07-27

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

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

    Directory of Open Access Journals (Sweden)

    Igor Rekunenko

    2014-11-01

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

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

    African Journals Online (AJOL)

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

  14. CSR Integration into the Financial Economy: A Conceptual Approach

    Directory of Open Access Journals (Sweden)

    Georgiana - Loredana FRECEA

    2016-06-01

    Full Text Available Corporate social responsibility is a complex concept and its design integrates economic, social and environmental issues, pointing out the operational effects on a voluntary basis. It is considered a strategic point in the actual evolution of the economy, due to the financial market dynamism, being identified a critical correlation between financial crises and corporate social responsibility. The main purpose of this paper is to synthesize, through a literature review, the multiple dimensions of CSR, with a special emphasis on the theoretical approach. In order to provide a coherent overview on the banking CSR, it will be proposed a division of the CSR theories according to: (1 the ethical approach, (2 the stakeholders approach, and (3 the corporate governance approach. The major aim of this paper is to fill a gap in the theoretical approach of the CSR for the banking system, due to the necessity to unify the CSR reporting elements in order to find a balance between the bank’s organizational structure and their legitimacy to operate on the financial market.

  15. 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...

  16. Complex systems: from nuclear physics to financial markets

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  17. Complex systems: from nuclear physics to financial markets

    Science.gov (United States)

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

    2010-11-01

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

  18. Financial markets theory equilibrium, efficiency and information

    CERN Document Server

    Barucci, Emilio

    2017-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Dubyna Maksym V

    2016-08-01

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

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

    NARCIS (Netherlands)

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

    2009-01-01

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

  1. 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.

  2. 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.

  3. 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...

  4. 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

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

    Directory of Open Access Journals (Sweden)

    Aldrin Herwany

    2016-12-01

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

  6. 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...

  7. 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

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

    OpenAIRE

    Škrinjarić, Tihana; Šego, Boško

    2016-01-01

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

  9. 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.

  10. Analysis of Spin Financial Market by GARCH Model

    International Nuclear Information System (INIS)

    Takaishi, Tetsuya

    2013-01-01

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

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

    Directory of Open Access Journals (Sweden)

    ALEXANDRU CRISTIAN DOBRE

    2018-02-01

    Full Text Available Financial markets are increasingly becoming an area of major interest to the European Union in its efforts to achieve competitive global development levels similar to those of the United States. The Lisbon Agenda is a testimony to this, although the latest assessments are not at all optimistic about the achievement of the target as expected for 2010. To meet its objectives, the EU has generated a comprehensive package of regulatory initiatives, composed of directives and regulations that translate its policies into the field. The paper aims at a careful review of all of them. Approximation of investment and capital markets is made from the two major chapters of Community policies whose freedom of movement within the internal market is a fundamental desideratum of the European Union: the free movement of capital and freedom of movement of services. Financial markets are an integral part of European capital under current conditions, so development regulation helps European Union member states achieve their financial goals. At the same time, by imposing these regulations, we observe the European Union's intention to act as a starter of systems to bring to the development of states and not to leave behind the countries that are in difficulty, through a rigorous and transparent regulation of the financial markets.

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

    Science.gov (United States)

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

    2017-04-01

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

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

    African Journals Online (AJOL)

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

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

    NARCIS (Netherlands)

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

    2000-01-01

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

  15. Financial Symmetry and Moods in the Market

    Science.gov (United States)

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

    2015-01-01

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

  16. 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.

  17. 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

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

    Science.gov (United States)

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

    2016-11-01

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

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

    Science.gov (United States)

    Beech, A J

    2001-11-01

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

  20. 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.

  1. Asymmetric and symmetric meta-correlations in financial markets

    International Nuclear Information System (INIS)

    Li Xiaohui; Shen Xiangying; Huang Jiping

    2016-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Alina Hagiu

    2008-05-01

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

  3. 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.

  4. 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.

  5. 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.

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

    Directory of Open Access Journals (Sweden)

    Škrinjarić Tihana

    2016-09-01

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

  7. 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

  8. 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.

  9. Trend Switching Processes in Financial Markets

    Science.gov (United States)

    Preis, Tobias; Stanley, H. Eugene

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

  10. Asset allocation and regime switching on Croatian financial market

    Directory of Open Access Journals (Sweden)

    Tihana Škrinjarić

    2016-12-01

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

  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. The structure and resilience of financial market networks.

    Science.gov (United States)

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

    2012-03-01

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

  13. The structure and resilience of financial market networks

    Science.gov (United States)

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

    2012-03-01

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

  14. Integrative smart market concept for system integration of decentralized generators and as a trading platform for grid operators; Integratives Smart Market Konzept zur Systemintegration dezentraler Erzeuger und als Handelsplattform fuer Netzbetreiber

    Energy Technology Data Exchange (ETDEWEB)

    Schmedes, Tanja [EWE AG, Oldenburg (Germany); Stadler, Michael [BTC AG, Oldenburg (Germany); Klose, Thomas [energy and meteo systems GmbH, Oldenburg (Germany); Hollinger, Raphael [Fraunhofer ISE, Freiburg im Breisgau (Germany); Ruettinger, Hannes [Fraunhofer AST, Ilmenau (Germany); Koch, Matthias [Oeko-Institut e.V., Freiburg im Breisgau (Germany); Rosinger, Christine [OFFIS - Institut fuer Informatik, Oldenburg (Germany)

    2012-07-01

    The E-Energy-Project eTelligence built and evaluated an energy market with low admission barriers. This market allowed different actors from the smart grid domain to trade electricity products. During a one year field trial the market was operated with real financial transactions between market participants taking place. To this end, it was necessary to completely integrate the market into energy trading processes currently in place. In addition to the field trial, simulations were carried out in order to demonstrate participation of a distribution system operator and to evaluate intraday-transactions with a high number of simulated market participants. This paper describes the market and gives information about the results attained during its operation. (orig.)

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

    Directory of Open Access Journals (Sweden)

    Megan A. McCoy

    2014-03-01

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

  16. 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.

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

    Directory of Open Access Journals (Sweden)

    Carmen ALBU

    2014-06-01

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

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

    OpenAIRE

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

    2009-01-01

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

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

    OpenAIRE

    Luigi Guiso

    2010-01-01

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

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

    OpenAIRE

    World Bank

    2000-01-01

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

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

    International Nuclear Information System (INIS)

    Eriksson, Svante; Eliasson, Torben; Jenssen Aasmund

    2001-11-01

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

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

    NARCIS (Netherlands)

    Boer, Katalin; Kaymak, Uzay; Spiering, Jaap

    2007-01-01

    Most agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modeling of financial markets. We study the behavior of a learning market maker in a market with information

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

    NARCIS (Netherlands)

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

    2006-01-01

    textabstractMost agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modelling of financial markets. We study the behaviour of a learning market maker in a market with

  4. The financialization of home and the mortgage market crisis

    NARCIS (Netherlands)

    Aalbers, M.B.

    2008-01-01

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

  5. 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.

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

    Directory of Open Access Journals (Sweden)

    Daj A.

    2009-12-01

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

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

    OpenAIRE

    Chengling Gou

    2006-01-01

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

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

    Czech Academy of Sciences Publication Activity Database

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

    2006-01-01

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

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

    Energy Technology Data Exchange (ETDEWEB)

    Hagena, Martin

    2011-07-01

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

  10. 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

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

    CERN Document Server

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

    2018-01-01

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

  12. 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.

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

    Directory of Open Access Journals (Sweden)

    Taiki Lee

    2009-12-01

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

  14. Newly developed integrated model to reduce risks in the electricity market

    International Nuclear Information System (INIS)

    Mo, Birger

    2001-01-01

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

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

    OpenAIRE

    Banegas, Maria Ayelen

    2011-01-01

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

  16. Financial Development and Unemployment in Emerging Market Economies

    Directory of Open Access Journals (Sweden)

    Bayar Yilmaz

    2016-06-01

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

  17. 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

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

    Science.gov (United States)

    Knight, Mary Beth

    2010-01-01

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

  19. 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.

  20. 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.

  1. Financial Development and Unemployment in Emerging Market Economies

    OpenAIRE

    Bayar Yilmaz

    2016-01-01

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

  2. Solvable stochastic dealer models for financial markets

    Science.gov (United States)

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

    2009-05-01

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

  3. 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

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

    Science.gov (United States)

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

    2015-12-01

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

  5. A statistical physics perspective on criticality in financial markets

    International Nuclear Information System (INIS)

    Bury, Thomas

    2013-01-01

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

  6. Financial development and poverty reduction in emerging market economies

    Directory of Open Access Journals (Sweden)

    Bayar Yılmaz

    2017-01-01

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

  7. The Nature and Structural Regularities of Financial Integration in the Global Dimension in the Context of «Impossible Trinity»

    Directory of Open Access Journals (Sweden)

    Krasnova Iryna V.

    2016-11-01

    Full Text Available The aim of the article is to determine the nature of financial integration and to justify its place in the system of measures on state regulation intended to search for a balanced model of economic growth of the country through the impossible trilemma reflecting the impossibility of simultaneous implementation of three macro-economic policies in one country, namely financial openness, monetary independence and exchange rate stability. On the basis of synthesis, analysis and comparison of different interpretations, the concept of «financial integration» is clarified. There identified signs of integration of financial markets, such as: the uniformity of rules (transparency; equal access (availability; common operating environment (involvement; equity of prices (unity; uniformity of the reaction of financial assets on the impact of external trends and news (response. The policy of financial integration, in particular its component of the free movement of capital is designed to provide additional incentives to domestic economic growth by attracting external financial resources. To stimulate the economy and prevent the unstable volatility of exchange rate, many countries seek to achieve such macroeconomic goals as openness of financial markets, independence of the monetary policy and exchange rate stability. Since the monetary authorities may choose at any moment only two of the three goals, the Mundell-Fleming trilemma determines a possibility of three different combinations of monetary targeting. At present science has not developed a unified methodological approach to determination of indices of financial integration. To assess the dynamics of financial integration the following basic indices of integration are used: KAOPEN, FINREFORM, KASHI, etc. Based on the analysis of the mentioned indices in the context of different countries, there can be made a conclusion about a possibility of combination of different policies with a tendency towards

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

    OpenAIRE

    Wulandari, Vera Pipin; Setiawan, Kusdhianto

    2015-01-01

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

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

    African Journals Online (AJOL)

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

  10. Multiple Time Series Ising Model for Financial Market Simulations

    International Nuclear Information System (INIS)

    Takaishi, Tetsuya

    2015-01-01

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

  11. Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science.

    Science.gov (United States)

    Gandica, Yerali; Geraci, Marco Valerio; Béreau, Sophie; Gnabo, Jean-Yves

    2018-01-01

    Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network science. Relying on a Time-Varying Parameter Vector AutoRegressive (TVP-VAR) approach on stock market returns to retrieve unobserved directed links among financial institutions, we reconstruct a fully dynamic network in the sense that connections are let to evolve through time. The financial system analysed consists of a large set of 155 financial institutions that are all the banks, broker-dealers, insurance and real estate companies listed in the Standard & Poors' 500 index over the 1993-2014 period. Looking alternatively at the individual, then sector-, community- and system-wide levels, we show that network sciences' tools are able to support well-known features of the financial markets such as the dramatic fall of connectivity following Lehman Brothers' collapse. More importantly, by means of less traditional metrics, such as sectoral interface or measurements based on contagion processes, our results document the co-existence of both fragmentation and integration phases between firms independently from the sectors they belong to, and doing so, question the relevance of existing macroprudential surveillance frameworks which have been mostly developed on a sectoral basis. Overall, our results improve our understanding of the US financial landscape and may have important implications for risk monitoring as well as macroprudential policy design.

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

    International Nuclear Information System (INIS)

    Nijman, Luuk

    2012-01-01

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

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

    NARCIS (Netherlands)

    D.S. Bodeutsch (Denice)

    2015-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Ігор Юрійович Мельников

    2015-05-01

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

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

    Science.gov (United States)

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

    2018-05-01

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

  16. 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.

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

    OpenAIRE

    Dieter, Heribert

    2002-01-01

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

  18. MARKETING SUPPORT BUSINESS ACTIVITIES OF FINANCIAL INSTITUTIONS

    OpenAIRE

    Sharova, I.; Sharova, K.

    2015-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Olivier Godechot

    2016-06-01

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

  20. 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.

  1. Financial derivatives in power marketing: The basics

    International Nuclear Information System (INIS)

    Ramesh, V.C.; Ghosh, K.

    1996-01-01

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

  2. Financial and economic approach: Financial & banking sector development pact from the perspective of the euro area European economic policy

    Directory of Open Access Journals (Sweden)

    Theodoropoulos Theodore E.

    2004-01-01

    Full Text Available Powerful obstacles to the further integration of repot, bond and equity markets remain the still fragmented securities settlement industry in Europe, which charges much higher fees for cross border transactions than for domestic transactions, and differences in legal systems. This paper describes the main developments in the euro area financial markets before and after the introduction of the single currency. It looks at the evolution of the euro area financial structure in the last few years. Interestingly in various dimensions the financial structure of euro area countries seems to become more diverse over time. We assess the progress towards financial integration in the most important euro-area financial segments, namely money and equity markets, as well as banking. The available data suggest that the unsecured money market strongly integrated with the introduction of the euro, as the single currency and related euro-area-wide large-value payment systems link the different countries well. Also, some progress occurred in the integration of euro-area equity markets, as stock exchanges in a few countries merged to form Euronext and professional asset managers replaced country allocation by sector allocation strategies. Overall, while asset holdings have become more international in the euro area since the introduction of the single currency, securities markets are still much less integrated than in the US. In the area of retail banking the increased homogeneity of interest rates seems to be driven more by macroeconomic convergence than by market integration. In addition we consider a wide range of other determinants, such as foreign debt or net foreign assets, terms of trade, government debt and regulated prices.

  3. Association of Financial Integration Between Physicians and Hospitals With Commercial Health Care Prices.

    Science.gov (United States)

    Neprash, Hannah T; Chernew, Michael E; Hicks, Andrew L; Gibson, Teresa; McWilliams, J Michael

    2015-12-01

    Financial integration between physicians and hospitals may help health care provider organizations meet the challenges of new payment models but also may enhance the bargaining power of provider organizations, leading to higher prices and spending in commercial health care markets. To assess the association between recent increases in physician-hospital integration and changes in spending and prices for outpatient and inpatient services. Using regression analysis, we estimated the relationship between changes in physician-hospital integration from January 1, 2008, through December 31, 2012, in 240 metropolitan statistical areas (MSAs) and concurrent changes in spending. Adjustments were made for patient, plan, and market characteristics, including physician, hospital, and insurer market concentration. The study population included a cohort of 7,391,335 nonelderly enrollees in preferred-provider organizations or point-of-service plans included in the Truven Health MarketScan Commercial Database during the study period. Data were analyzed from December 1, 2013, through July 13, 2015. Physician-hospital integration, measured using Medicare claims data as the share of physicians in an MSA who bill for outpatient services with a place-of-service code indicating employment or practice ownership by a hospital. Annual inpatient and outpatient spending per enrollee and associated use of health care services, with utilization measured by price-standardized spending (the sum of annual service counts multiplied by the national mean of allowed charges for the service). Among the 240 MSAs, physician-hospital integration increased from 2008 to 2012 by a mean of 3.3 percentage points, with considerable variation in increases across MSAs (interquartile range, 0.8-5.2 percentage points). For our study sample of 7,391,335 nonelderly enrollees, an increase in physician-hospital integration equivalent to the 75th percentile of changes experienced by MSAs was associated with a mean

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

    Science.gov (United States)

    Van Gunten, Tod; Navot, Edo

    2018-02-01

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

  5. Stock market development and integration in SADC (Southern African Development Community

    Directory of Open Access Journals (Sweden)

    Sunil K. Bundoo

    2017-06-01

    Full Text Available The paper analyses the extent of stock market integration in SADC by first analyzing beta and sigma convergence and then using cointegration analysis. The US market and the SSA index were used as benchmarks. The sample period was from January 1999 to December 2011 using daily market index data. We observe beta convergence but not sigma convergence; though the sigma values are falling for most of the SADC countries. Under normal conditions, no cointegrating vector was identified when using the US market as benchmark. When using the SSA index as benchmark one cointegrating vector was identified. The paper also takes stock of the extent of software and hardware stock market integration in SADC. The SADC stock exchanges must work towards greater integration so that they can attract more sustained portfolio flows rather than volatile portfolio flows and also greater FDI flows which are much needed for the financial and economic development of the SADC countries. We also need to consolidate and reduce the number of exchanges with the view to improve market capitalization, liquidity, market infrastructure, governance amongst others but most importantly to increase the visibility, robustness and reputation of SADC stock markets at the international level.

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

    OpenAIRE

    Chengling Gou

    2006-01-01

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

  7. Interconnections and market integration in the Irish Single Electricity Market

    International Nuclear Information System (INIS)

    Nepal, Rabindra; Jamasb, Tooraj

    2012-01-01

    Interconnections can be an effective way to increase competition and improve market integration in concentrated wholesale electricity markets with limited number of participants. This paper examines the potential for interconnections and increasing market integration in the Irish Single Electricity Market (SEM). We use a time-varying Kalman filter technique to assess the degree of market integration between SEM and other large, mature and interconnected wholesale electricity markets in Europe including Great Britain (GB). The results indicate no market integration between SEM and other European markets except for Elspot and GB. We show that the current state of market integration between SEM and GB is just 17% indicating potential to improve market integration via increased interconnector capacity. The results indicate that liquidity of wholesale markets might be a crucial factor in the market integration process while our results remain inconclusive in determining whether increased trade of renewables can improve market integration. - Highlights: ► We assess the degree of market integration between SEM and other EU electricity markets. ► Our results indicate no market integration between SEM and other European markets except for Elspot and GB. ► We show that the current state of market integration between SEM and GB is just 17%.

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

    OpenAIRE

    Una Okonkwo Osili; Anna L. Paulson

    2004-01-01

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

  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

  10. Rethinking Risk in International Financial Markets

    NARCIS (Netherlands)

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

    2001-01-01

    textabstractThis thesis aims to address many of the issues raised concerning the appropriate definition and measurement of risk. An alternative approach to the estimation of risk, and the risk-return trade-off in international financial markets is investigated. Rather than focusing on the deviation

  11. 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

  12. 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

  13. A Financial Market Model Incorporating Herd Behaviour

    Science.gov (United States)

    2016-01-01

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

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

    Science.gov (United States)

    Gontis, Vygintas; Kononovicius, Aleksejus

    2014-01-01

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

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

    Czech Academy of Sciences Publication Activity Database

    Horváth, Roman; Poldauf, P.

    2012-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Dutescu Adriana

    2017-07-01

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

  17. Integrating financial theory and methods in electricity resource planning

    Energy Technology Data Exchange (ETDEWEB)

    Felder, F.A. [Economics Resource Group, Cambridge, MA (United States)

    1996-02-01

    Decision makers throughout the world are introducing risk and market forces in the electric power industry to lower costs and improve services. Incentive based regulation (IBR), which replaces cost of service ratemaking with an approach that divorces costs from revenues, exposes the utility to the risk of profits or losses depending on their performance. Regulators also are allowing for competition within the industry, most notably in the wholesale market and possibly in the retail market. Two financial approaches that incorporate risk in resource planning are evaluated: risk adjusted discount rates (RADR) and options theory (OT). These two complementary approaches are an improvement over the standard present value revenue requirement (PVRR). However, each method has some important limitations. By correctly using RADR and OT and understanding their limitations, decision makers can improve their ability to value risk properly in power plant projects and integrated resource plans. (Author)

  18. Regulatory Sanctions and Reputational Damage in Financial Markets

    OpenAIRE

    Armour, John; Mayer, Colin; Polo, Andrea

    2010-01-01

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

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

    OpenAIRE

    Raquel Fonseca; Natalia Utrero González

    2004-01-01

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

  20. 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......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...

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

    OpenAIRE

    Ivkov Danijela M.

    2010-01-01

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

  2. 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.

  3. On Risks and Opportunities in Financial Markets

    OpenAIRE

    Lansdorp, Simon

    2012-01-01

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

  4. Considerations about the Informational Efficiency of Financial Markets

    OpenAIRE

    Oprean Camelia; Bratu Renate

    2012-01-01

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

  5. 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.

  6. Assessing the Financial and Market Components of the Enterprise’s Economic Security

    Directory of Open Access Journals (Sweden)

    Vakhlakova Viktoriia V.

    2017-08-01

    Full Text Available The most common in assessing economic security of an enterprise is the functional approach, but it needs to be improved on the basis of accumulated knowledge in the science of economic security at the micro-level, thus allowing for different organizing its usage. In order to assess the economic security of enterprise using a functional approach, it is proposed to abandon many functional components in favor of focusing on the financial and market ones, and to discard the traditional rollup of the normalized single and complex indicators to obtain an integral measure of the enterprise’s economic security. In order to assess the economic security of enterprise by the financial and market components, it is proposed to use the signature criteria for the selected indicators by each component, the number of which should be small. For each of the assessed components of the enterprise’s economic security four single indicators were selected, making possible to visualize the assessments by using the elliptic form of the Euler – Venn circles for the four multitudes of assessments as to each component.

  7. Digital subjectivation and financial markets: Criticizing Social Studies of Finance with Lazzarato

    Directory of Open Access Journals (Sweden)

    Tim Christiaens

    2016-08-01

    Full Text Available The recently rising field of Critical Data Studies is still facing fundamental questions. Among these is the enigma of digital subjectivation. Who are the subjects of Big Data? A field where this question is particularly pressing is finance. Since the 1990s traders have been steadily integrated into computerized data assemblages, which calls for an ontology that eliminates the distinction between human sovereign subjects and non-human instrumental objects. The latter subjectivize traders in pre-conscious ways, because human consciousness runs too slow to follow the volatility of the market. In response to this conundrum Social Studies of Finance has drawn on Actor-Network Theory to interpret financial markets as technically constructed networks of human and non-human actors. I argue that in order to develop an explicitly critical data study it might be advantageous to refer to Maurizio Lazzarato’s theory of machinic subjugation instead. Although both accounts describe financial digital subjectivation similarly, Lazzarato has the advantage of coupling his description to a clear critique of and resistance to finance.

  8. 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

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

    Directory of Open Access Journals (Sweden)

    Cwynar Andrzej

    2017-05-01

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

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

    Science.gov (United States)

    Xi, Xian; An, Haizhong

    2018-01-01

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

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

    Science.gov (United States)

    Fiedor, Paweł

    2014-11-01

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

  12. 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.

  13. 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

  14. Market integration in the crustaceans market

    DEFF Research Database (Denmark)

    Ankamah-Yeboah, Isaac; Bronnmann, Julia

    2018-01-01

    are substitutes. Price determination processes for the shrimp markets vary with the level of the value chain. The results imply that the wild and farmed crustaceans markets are interacting through substitution effects. Hence, the markets have the capability to shield volatile and rising prices that would emanate......In this paper the price dynamics and the degree of market integration in the German crustaceans market is examined using cointegration methods. The study focuses on wild caught cold water shrimp, farmed warm water shrimp as well as lobster and derives implications for the fisheries sector....... In the analysis, both the import market and the retail market price reactions are distinguished. Therefore, it is evaluated how price changes affect competing commodities within and between the value chain of a given crustaceans commodity. Evidence of partial market integration is found for all species under...

  15. 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.

  16. Spring 2008 Industry Study: Financial Services Industry

    Science.gov (United States)

    2008-01-01

    04/24/can-wall-street-regulate- itself/. Mishkin , Frederic S. and Stanley G. Eakins. Financial Markets and Institutions . 4th ed. 2004, Addison...Security Strategy that designates as a priority the “pressing for open markets , financial stability, and deeper integration of the world economy.”1...were lured to new, innovative, and often very complex financial vehicles. In order to address the shortcomings of the free market , new regulatory

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

    Directory of Open Access Journals (Sweden)

    Inna Strelchenko

    2017-11-01

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

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

    Directory of Open Access Journals (Sweden)

    Kardison Lumban Batu

    2017-01-01

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

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

    Science.gov (United States)

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

    2017-11-01

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

  20. 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

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

    International Nuclear Information System (INIS)

    Naimzada, Ahmad; Pireddu, Marina

    2015-01-01

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

  2. Financial markets and innovation in the 21st century

    NARCIS (Netherlands)

    Brouwer, M.

    2012-01-01

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

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

    DEFF Research Database (Denmark)

    Xie, Peihong; Li, Xin; Xie, Xuemei

    2014-01-01

    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...... explore how to seamlessly coordinate non-market and market strategies in order to gain maximal synergies. Originality/value: This paper is the first to examine the key notion of integration in a systematic manner. It is the first to propose a three-question solution to systematic understanding......) research that shows the existing literature does not offer a clear and systematic account of the key notion of integration. It suggests any systematic account of integration should address at least three interrelated questions, i.e. why, what and how to integrate non-market and market strategies? Findings...

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

    Science.gov (United States)

    Lahmiri, Salim

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

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

    Directory of Open Access Journals (Sweden)

    Fatos UKAJ

    2016-09-01

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

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

    African Journals Online (AJOL)

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

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

    OpenAIRE

    Eswar S. Prasad

    2010-01-01

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

  8. 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.

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

    Directory of Open Access Journals (Sweden)

    Kuo-Jung Lee

    2018-03-01

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

  10. Taxing the Financially Integrated Multinational Firm

    DEFF Research Database (Denmark)

    Johannesen, Niels

    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......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...... the perspective of a small, open economy. This finding contrasts the standard result that the optimal source based capital tax is zero. Intuitively, to the extent that multinational firms finance investment in country i with loans from affiliates in country j, the burden of corporate taxes in the latter country...

  11. Chapter 2: The Financial Crisis

    OpenAIRE

    Hans-Werner Sinn; John Hassler; Gilles Saint-Paul; Giancarlo Corsetti; Michael P. Devereux; Tim Jenkinson; Jan-Egbert Sturm; Xavier Vives

    2009-01-01

    The financial turmoil that originated in 2007 and developed into an unprecedented crisis battering financial and real markets is the latest manifestation, on a grand scale and with new attributes, of a welldefined pathology in the process of market liberalization and integration in the post-Bretton Woods era. At the root of the crisis lies a fundamental inconsistency between financial globalisation – the process of liberalization and deregulation driving the impressive growth of world finan...

  12. 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.

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

    OpenAIRE

    Supreena Narayanan

    2005-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Paul Hofmarcher

    2013-06-01

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

  15. 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.

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

    International Nuclear Information System (INIS)

    Finon, D.

    2000-11-01

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

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

    Science.gov (United States)

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

    2013-01-01

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

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

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  19. Market integration and market concentration in horizontally differentiated industries

    OpenAIRE

    Eckel, Carsten

    2001-01-01

    This paper derives the impact of market integration on equilibrium firm size and market concentration in horizontally differentiated industries. We show that market concentration (measured by the number of firms) can rise as a consequence of market integration if firms engage in R&D competition. We also demonstrate that whether concentration occurs or not depends on the R&D production function and on consumer preferences. This result implies that the welfare effects of market integration are ...

  20. Integrating financial and strategic planning.

    Science.gov (United States)

    Pivnicny, V C

    1989-09-01

    As hospitals face mounting profitability and liquidity concerns, the need to integrate strategic and financial planning also will continue to grow. This article describes a process for integrating these planning functions and the ideal organizational framework to facilitate the process. Obstacles to the integration of these planning processes also are discussed.

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

    Science.gov (United States)

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

    2015-01-01

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

  2. 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.

  3. 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…

  4. THEORETICAL ASPECTS OF FINANCIAL LIBERALIZATION PROCESS

    Directory of Open Access Journals (Sweden)

    Ciupac-Ulici Maria-Lenuta

    2013-07-01

    Full Text Available Financial liberalization process and its implications on financial emerging markets have been multidisciplinary research since 1970. Reform of financial liberalization is a complex and long phenomena. This implies that the impact of this reform on financial markets should not be immediate, but rather gradually during a long time period. It is also important to note that liberalization does not occur in the same way on all financial markets. Each country, according to his specification regarding the economic climate and the specificity of financial markets, has differently set its progress of liberalization process. It is generally accepted that the process of financial liberalization is not composed of a single event, but a series of events. The idea is that market reform is a gradual process where the data identified above only refers to the most significant events. Regarding the effect of liberalization reform on emerging markets has been shown; on the one hand, that liberalization helps to reduce the cost of capital, helps to integrate the emerging markets in the global market, enhances economic growth and allows emerging markets to become more mature. On the other hand, financial liberalization process has a very ambiguous and inconclusive impact on informational efficiency and volatility in emerging markets. Launching liberalization reforms provided an analytical framework for studies that attempt to investigate the effectiveness of emerging markets and empirical links between liberalization and efficiency. The first reason is that with liberalization, the authors believe that emerging markets have become more speculative and more competitive. So there is a chance to see if the weak form market efficiency is verified. The second reason is that the authors explore the relationship between liberalization and efficiency. Researchers and regulators seek an answer to the fundamental question: financial liberalization helps the stock market

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

    Science.gov (United States)

    Berman, Yonatan; Shapira, Yoash; Schwartz, Moshe

    2016-12-01

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

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

    NARCIS (Netherlands)

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

    2013-01-01

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

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

    Czech Academy of Sciences Publication Activity Database

    Bena, J.; Jurajda, Štěpán

    2011-01-01

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

  8. Topological isomorphisms of human brain and financial market networks

    Directory of Open Access Journals (Sweden)

    Petra E Vértes

    2011-09-01

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

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

    Science.gov (United States)

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

    2011-01-01

    Although metaphorical and conceptual connections between the human brain and the financial markets have often been drawn, rigorous physical or mathematical underpinnings of this analogy remain largely unexplored. Here, we apply a statistical and graph theoretic approach to the study of two datasets - the time series of 90 stocks from the New York stock exchange over a 3-year period, and the fMRI-derived time series acquired from 90 brain regions over the course of a 10-min-long functional MRI scan of resting brain function in healthy volunteers. Despite the many obvious substantive differences between these two datasets, graphical analysis demonstrated striking commonalities in terms of global network topological properties. Both the human brain and the market networks were non-random, small-world, modular, hierarchical systems with fat-tailed degree distributions indicating the presence of highly connected hubs. These properties could not be trivially explained by the univariate time series statistics of stock price returns. This degree of topological isomorphism suggests that brains and markets can be regarded broadly as members of the same family of networks. The two systems, however, were not topologically identical. The financial market was more efficient and more modular - more highly optimized for information processing - than the brain networks; but also less robust to systemic disintegration as a result of hub deletion. We conclude that the conceptual connections between brains and markets are not merely metaphorical; rather these two information processing systems can be rigorously compared in the same mathematical language and turn out often to share important topological properties in common to some degree. There will be interesting scientific arbitrage opportunities in further work at the graph-theoretically mediated interface between systems neuroscience and the statistical physics of financial markets.

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

    OpenAIRE

    Dellas, Harris; Hess, Martin K.

    2000-01-01

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

  11. The Relationship between Sentiment and Risk in Financial Markets

    Directory of Open Access Journals (Sweden)

    Ana Luiza Paraboni

    2018-03-01

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

  12. 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.

  13. The Fractal Market Hypothesis: Applications to Financial Forecasting

    OpenAIRE

    Blackledge, Jonathan

    2010-01-01

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

  14. Cyber Threats for Organizations of Financial Market Infrastructures

    OpenAIRE

    Natalia Georgievna Miloslavskaya; Svetlana Alexandrovna Tolstaya

    2016-01-01

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

  15. 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.

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

    NARCIS (Netherlands)

    Noussair, Charles; Xu, Yilong

    2015-01-01

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

  17. 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.

  18. Market Integration of Fish in Europe

    NARCIS (Netherlands)

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

    2009-01-01

    This paper examines market integration between fish species in Europe, taking international market integration into account. Based on Juselius (2006), market integration is found both on the fresh and frozen markets. The Law of One Price is in force on the fresh market within the segments of

  19. Barriers in EU retail financial markets

    OpenAIRE

    Micuda, Dan

    2007-01-01

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

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

    Science.gov (United States)

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

    2017-07-01

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

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

    Science.gov (United States)

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

    2013-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Liao Qunfeng

    2016-06-01

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

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

    Science.gov (United States)

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

    2003-05-15

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

  4. 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.

  5. 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.

  6. Complexity analysis based on generalized deviation for financial markets

    Science.gov (United States)

    Li, Chao; Shang, Pengjian

    2018-03-01

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

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

    Directory of Open Access Journals (Sweden)

    Ionel Eduard Ionescu

    2013-12-01

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

  8. Investors’ Risk Appetite and Global Financial Market Conditions

    OpenAIRE

    Brenda Gonzalez-Hermosillo

    2008-01-01

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

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

    OpenAIRE

    Alexander Abramov

    2015-01-01

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

  10. 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.

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

    Directory of Open Access Journals (Sweden)

    Дмитро Сергійович Богач

    2016-03-01

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

  12. Integrating Financial Aid and Financial Policies: Case Studies from Five States. Changing Direction: Integrating Higher Education Financial Aid and Financing Policies.

    Science.gov (United States)

    Western Interstate Commission for Higher Education, Boulder, CO.

    This report is a collection of five state case studies comprising a major component of the first phase of the project, "Changing Direction: Integrating Higher Education Financial Aid and Financing Policies." The project explored state-level strategies to better align financing and financial aid policies and support more informed decision…

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

    Science.gov (United States)

    Ailon, Galit

    2018-05-13

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

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

    International Nuclear Information System (INIS)

    Sarzynski, Andrea; Larrieu, Jeremy; Shrimali, Gireesh

    2012-01-01

    Many states have adopted financial incentives to encourage market deployment of solar energy technology. This paper employs a cross-sectional time-series approach to evaluate the extent to which state solar financial incentives systematically encouraged market deployment of solar photovoltaic (PV) technology from 1997 to 2009. The results demonstrate that states offering cash incentives such as rebates and grants experienced more extensive and rapid deployment of grid-tied PV technology than states without cash incentives over the study period. The analysis also finds that the presence of state renewable energy portfolio standards and specific solar carve-out provisions within them heavily influenced the market deployment of grid-tied solar PV technology through 2009. - Highlights: ► We evaluate the impact of state financial incentives on solar technology adoption. ► Cash incentives and renewable portfolio standards strongly influenced deployment. ► The impact of cash incentives and RPS grew significantly over time. ► Tax incentives had little systematic effect on solar market deployment.

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

    Science.gov (United States)

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

    2013-01-01

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

  16. Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

    Directory of Open Access Journals (Sweden)

    Alexander M. Karminsky

    2015-01-01

    Full Text Available Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress-testing of the portfolio of different financial instruments. These days the topic of the paper is highly acute due to the fact that now stress-testing is becoming an integral part of anticrisis risk-management amid macroeconomic instability and appearance of new risks together with close interest to the problem of risk-aggregation. The paper outlines the notion of stress-testing and gives coverage of goals, functions of stress-tests and main criteria for market risk stress-testing classification. The paper also stresses special aspects of scenario analysis. Novelty of the research is explained by elaborating the programme of aggregated complex multifactor stress-testing of the portfolio risk based on scenario analysis. The paper highlights modern Russian and foreign models of stress-testing both on solo-basis and complex. The paper lays emphasis on the results of stress-testing and revaluations of positions for all three complex models: methodology of the Central Bank of stress-testing portfolio risk, model relying on correlations analysis and copula model. The models of stress-testing on solo-basis are different for each financial instrument. Parametric StressVaR model is applicable to shares and options stress-testing;model based on "Grek" indicators is used for options; for euroobligation regional factor model is used. Finally some theoretical recommendations about managing market risk of the portfolio are given.

  17. Electrodynamical Model of Quasi-Efficient Financial Markets

    Science.gov (United States)

    Ilinski, Kirill N.; Stepanenko, Alexander S.

    The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications [1], whilst the practical side of the problem has clear relevance to portfolio management [2] and derivative pricing [3]. Up till now all market models contain "smart money" traders and "noise" traders whose joint activity constitutes the market [4, 5]. On a short time scale this traditional separation does not seem to be realistic, and is hardly acceptable since all high-frequency market participants are professional traders and cannot be separated into "smart" and "noisy." In this paper we present a "microscopic" model with homogenuous quasi-rational behaviour of traders, aiming to describe short time market behaviour. To construct the model we use an analogy between "screening" in quantum electrodynamics and an equilibration process in a market with temporal mispricing [6, 7]. As a result, we obtain the time-dependent distribution function of the returns which is in quantitative agreement with real market data and obeys the anomalous scaling relations recently reported for both high-frequency exchange rates [8], S&P500 [9] and other stock market indices [10, 11].

  18. Financial Integration in ASEAN-5

    Directory of Open Access Journals (Sweden)

    Laura Grace Gabriella

    2016-04-01

    Full Text Available The financial integration in South East Asia has varied over time. This paper focuses on three periods: before, during, and after the global financial crisis in 2008. This paper finds that ASEAN-5 countries have indeed taken a step towards financial integration. While we do not observe any (cointegrating long-run relationships between the ASEAN-5 countries, we find that there has been a significant increase in the volatility spillovers between them. This is particularly true in the recovery period following the global financial crisis.    Abstrak Integrasi keuangan di Asia Tenggara telah mengalami perubahan dari waktu ke waktu. Penelitian ini berfokus pada tiga periode waktu, yaitu pada sebelum, saat, dan setelah Krisis Keuangan Global tahun 2008. Hasil penelitian ini menemukan bahwa negara ASEAN-5 memiliki kecenderungan kearah integrasi keuangan. Walaupun kami belum melihat adanya hubungan jangka panjang dari kelima negara tersebut, namun kami menemukan adanya peningkatan signifikan dari volatility spillover diantara mereka. Hal ini khususnya benar terjadi sepanjang periode pemulihan dari Krisis Keuangan Global. Kata kunci: Integrasi Keuangan; Krisis Keuangan Global; ASEAN; GARCH JEL classifications: F21; F33

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

    DEFF Research Database (Denmark)

    Kleinnijenhuis, Jan; Schultz, Friederike; Oegema, Dirk

    2013-01-01

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

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

    Science.gov (United States)

    Wheeler, J R; Smith, D G

    2001-01-01

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

  1. 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

  2. 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.

  3. Correlating stock exchange indices under both normal and financial crisis conditions

    Directory of Open Access Journals (Sweden)

    Gabriela-Victoria ANGHELACHE

    2012-11-01

    Full Text Available Until the years 1980 the financial crisis were considered as being limited to the level of the capital market (individually, without bearing a systemic character. If considering the intensification of the globalization process, we attended at the increase of the degree of commercial and financial integration of the states all over the world. Thus, gradually, the local financial crisis have propagated at the level of the world financial system. The consequences of these financial crisis did not limited to the markets of the countries where they launched, but spread rapidly on the world markets – an effect known in the literature as contagion. In this article we have tried to evaluate the importance of the contagion effects on the capital markets, by utilizing certain econometric methods, from the correlation tests, to the co-integration tests. Meantime, we have tried to show that during the period of the most severe financial crisis from the Second World War up to date, the degree of correlation of the markets amplifies.

  4. Integrated marketing communications at solar energy equipment market

    OpenAIRE

    I.L. Litovchenko; I.A. Shkurupskaya

    2013-01-01

    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 c...

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

    Directory of Open Access Journals (Sweden)

    Magdalena Fedorowicz

    2012-12-01

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

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

    Directory of Open Access Journals (Sweden)

    Christian Ambrosius

    2014-06-01

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

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

    OpenAIRE

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

    2016-01-01

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

  8. Evidence of market manipulation in the financial crisis

    OpenAIRE

    Vedant Misra; Marco Lagi; Yaneer Bar-Yam

    2011-01-01

    We provide direct evidence of market manipulation at the beginning of the financial crisis in November 2007. The type of manipulation, a "bear raid," would have been prevented by a regulation that was repealed by the Securities and Exchange Commission in July 2007. The regulation, the uptick rule, was designed to prevent manipulation and promote stability and was in force from 1938 as a key part of the government response to the 1929 market crash and its aftermath. On November 1, 2007, Citigr...

  9. Linear and nonlinear market correlations: Characterizing financial crises and portfolio optimization

    Science.gov (United States)

    Haluszczynski, Alexander; Laut, Ingo; Modest, Heike; Räth, Christoph

    2017-12-01

    Pearson correlation and mutual information-based complex networks of the day-to-day returns of U.S. S&P500 stocks between 1985 and 2015 have been constructed to investigate the mutual dependencies of the stocks and their nature. We show that both networks detect qualitative differences especially during (recent) turbulent market periods, thus indicating strongly fluctuating interconnections between the stocks of different companies in changing economic environments. A measure for the strength of nonlinear dependencies is derived using surrogate data and leads to interesting observations during periods of financial market crises. In contrast to the expectation that dependencies reduce mainly to linear correlations during crises, we show that (at least in the 2008 crisis) nonlinear effects are significantly increasing. It turns out that the concept of centrality within a network could potentially be used as some kind of an early warning indicator for abnormal market behavior as we demonstrate with the example of the 2008 subprime mortgage crisis. Finally, we apply a Markowitz mean variance portfolio optimization and integrate the measure of nonlinear dependencies to scale the investment exposure. This leads to significant outperformance as compared to a fully invested portfolio.

  10. Segmentation across International Equity, Bond, and Foreign Exchange Markets

    OpenAIRE

    Cathy Ning; Stephen Sapp

    2009-01-01

    In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is assumed to hold in most empirical studies, but has only been tested for certain countries and certain asset classes. We test for the integration of international equity, bond and foreign exchange markets. Our results indicate that the three classes of assets are segmented. Investigating potential explanations for this segmentation, we ...

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

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2013-03-15

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

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

    Directory of Open Access Journals (Sweden)

    Nayia MAHAJAN

    2015-11-01

    Full Text Available 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 growth of the economy positively; and change in economic growth due to it through financial development is approximately 8.63 percent. The study also suggests that the structural reforms that took place in India in early nineties did not affect the existing relationship of global financial integration and economic growth significantly.

  13. 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...

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

    Directory of Open Access Journals (Sweden)

    Abiodun Eniola Alao

    2014-07-01

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

  15. Integrating Physical Actions and Financial Instruments to Manage Environmental Financial Risk

    Science.gov (United States)

    Foster, B.

    2016-12-01

    Exposure to extreme weather events can be reduced through physical actions (e.g., dams/reservoirs) or mitigated financially (e.g., insurance). Often physical actions involve investments in expensive infrastructure that reduce exposure, but whose benefits are only occasionally realized. Financial risk management does not reduce the impacts of an event, but rather redistributes them temporally, albeit at a cost. Nonetheless, these costs are typically much smaller, at least in the short run, than those incurred for physical actions. Financial strategies are also more flexible than physical ones in the face of an uncertain future. Financial contracts specifically designed to manage extreme environmental risks are becoming more common and can either replace or complement infrastructural investments as part of a risk management portfolio. In order to make optimal decisions as to the relative levels of physical and financial risk mitigation to employ, it is necessary to understand the relative merits of each strategy. This research develops a method for analyzing tradeoffs between physical and financial risk management strategies. We identify the unique cost and benefit properties of each strategy and integrate them into a single model that details the tradeoffs involved in various portfolios of physical and financial strategies. These methods are then applied to evaluate decisions to pursue emergency dredging during drought on the Mississippi River, which is used to mitigate the increased costs and/or reduced revenues barge operators face when water levels are low. Currently the U.S. Army Corps of Engineers funds most emergency dredging operations during major droughts and they are considering more intensive strategies for future droughts. Barge carriers and shippers though could manage at least some portion of their financial risks through a series of existing and experimental financial contracts. This work involves the formulation of these experimental contracts and

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

    Science.gov (United States)

    McCue, Michael J; Hall, Mark A

    2017-10-01

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

  17. 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

  18. THE IMPACT OF THE FINANCIAL CRISIS ON THE THEORY AND PRACTICE OF FINANCIAL SYSTEM SUPERVISION

    Directory of Open Access Journals (Sweden)

    Roxana Heteș

    2013-04-01

    Full Text Available The recent global financial crisis has reopened the debate about macroeconomic policies’ objectives, but also the need and extent of state involvement in the functioning of the economy, either directly or indirectly. This has exposed some weaknesses in the system of regulation and supervision of the financial system and the its architecture, especially in the treatment of systemic risks and vulnerabilities, but also the financial implications of the globalization process. The global nature of financial crisis highlighted the fact that, although integrated financial markets offer a number of significant benefits, risks involved are not negligible. Therefore, to ensure the financial stability of an increasingly integrated landscape there was felt the need for reform of the financial system architecture, both nationally and internationally.

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

    OpenAIRE

    Meisam Shirkhodaei; Mansoreh Aligholi; Soheil Askari

    2014-01-01

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

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

    Science.gov (United States)

    Lamba, H.

    2010-09-01

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

  1. 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.

  2. Econophysics: Two-phase behaviour of financial markets

    Science.gov (United States)

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

    2003-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Shirley Malope

    2017-09-01

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

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

    OpenAIRE

    Crystal Ossolinski; Andrew Zurawski

    2010-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2015-11-01

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

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

    Science.gov (United States)

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

    2013-08-02

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

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

    NARCIS (Netherlands)

    Hodgson, V.L.; Hodgson, A.

    2008-01-01

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

  8. 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.

  9. 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.

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

    Science.gov (United States)

    Fiedor, Paweł

    2014-08-01

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

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

    Science.gov (United States)

    Shen, Xiangguang; Song, Xiaozhong

    2009-07-01

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

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

    Science.gov (United States)

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

    2011-01-01

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

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

    Science.gov (United States)

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

    2011-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Wei-Xing Zhou

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

  15. Impact of Global Financial Crisis on Nigerian Stock Market

    African Journals Online (AJOL)

    DrNneka

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

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

    NARCIS (Netherlands)

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

    1999-01-01

    The financial services industry is one of the fastest growing service industries. The financial services industry includes financial derivatives markets such as options and futures markets. In order to ensure survival, firms providing financial services show a rapid product innovation. However, for

  17. Accountable Care Organizations: Integrated Care Meets Market Power.

    Science.gov (United States)

    Scheffler, Richard M

    2015-08-01

    Will accountable care organizations (ACOs) deliver high-quality care at lower costs? Or will their potential market power lead to higher prices and lower quality? ACOs appear in various forms and structures with financial and clinical integration at their core; however, the tools to assess their quality and the incentive structures that will determine their success are still evolving. Both market forces and regulatory structures will determine how these outcomes emerge. This introduction reviews the evidence presented in this special issue to tackle this thorny trade-off. In general the evidence is promising, but the full potential of ACOs to improve the health care delivery system is still uncertain. This introductory review concludes that the current consensus is to let ACOs grow, anticipating that they will make a contribution to improve our poor-quality and high-cost delivery system. Copyright © 2015 by Duke University Press.

  18. THE IMPACT OF EUROPEAN INTEGRATION AND FINANCIAL GLOBALIZATION ON PRUDENTIAL SUPERVISION

    Directory of Open Access Journals (Sweden)

    Filip Angela Maria

    2009-05-01

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

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

    Science.gov (United States)

    Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

    2014-09-01

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

  20. 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.

  1. Testing the financial market informational efficiency in emerging states

    OpenAIRE

    Camelia Oprean

    2012-01-01

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

  2. Cyber Threats for Organizations of Financial Market Infrastructures

    Directory of Open Access Journals (Sweden)

    Natalia Georgievna Miloslavskaya

    2016-03-01

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

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

    Directory of Open Access Journals (Sweden)

    María Esperanza González-del Foyo

    2016-01-01

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

  4. 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.

  5. Pros and cons of exposing renewables to electricity market risks-A comparison of the market integration approaches in Germany, Spain, and the UK

    International Nuclear Information System (INIS)

    Klessmann, Corinna; Nabe, Christian; Burges, Karsten

    2008-01-01

    The article examines how renewable electricity (RES-E) producers are integrated into the electricity market under the support legislations and regulatory frameworks of Germany, Spain, and the UK. Focus is on wind power, which faces the highest market integration challenge of all RES-E. The analysis shows that the three countries follow contrasting approaches of exposing RES-E producers to the market risks of forward electricity markets, balancing markets and system planning requirements. Risk exposure is highest in the UK and lowest in Germany. From a policy maker's perspective, there is a trade-off between a 'high risk' and a 'low risk' approach. When RES-E face high market risks, a higher level of financial support is required to stimulate RES-E development than in a low risk environment, but the exposure to market risks may also give an incentive to make efficient use of the respective market, thus limiting the indirect costs to society. The special characteristics of wind energy, however, put natural limits to the response of wind power plants to market prices and locational price signals and will increasingly influence electricity markets and grid infrastructure. These interdependencies should be recognised in the design of RES-E policies and market regulations

  6. A Transmission-Cost-Based Model to Estimate the Amount of Market-Integrable Wind Resources

    DEFF Research Database (Denmark)

    Morales González, Juan Miguel; Pinson, Pierre; Madsen, Henrik

    2012-01-01

    are made to share the expenses in transmission derived from their integration, they may see the doors of electricity markets closed for not being competitive enough. This paper presents a model to decide the amount of wind resources that are economically exploitable at a given location from a transmission......In the pursuit of the large-scale integration of wind power production, it is imperative to evaluate plausible frictions among the stochastic nature of wind generation, electricity markets, and the investments in transmission required to accommodate larger amounts of wind. If wind producers......-cost perspective. This model accounts for the uncertain character of wind by using a modeling framework based on stochastic optimization, simulates market barriers by means of a bi-level structure, and considers the financial risk of investments in transmission through the conditional value-at-risk. The major...

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

    OpenAIRE

    Yanhui Xi; Hui Peng; Yemei Qin

    2016-01-01

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

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

    Directory of Open Access Journals (Sweden)

    ANTON Sorin Gabriel

    2013-12-01

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

  9. The stability of financial market networks

    Science.gov (United States)

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

    2014-08-01

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

  10. Traders' strategy with price feedbacks in financial market

    OpenAIRE

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

    2003-01-01

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

  11. 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.

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

    Science.gov (United States)

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

    2013-01-01

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

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

    Directory of Open Access Journals (Sweden)

    S. Z. Moshenskyi

    2016-12-01

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

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

    Science.gov (United States)

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

    2013-01-01

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

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

    Science.gov (United States)

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

    2013-09-18

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

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

    OpenAIRE

    Benamraoui, Abdelhafid

    2003-01-01

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

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

    Science.gov (United States)

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

    2017-10-01

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

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

    Directory of Open Access Journals (Sweden)

    JAN KREGEL

    2015-06-01

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

  19. 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

  20. 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.

  1. 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.

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

    International Nuclear Information System (INIS)

    Knoepfel, Ivo

    1999-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Piotr Tarka

    2015-10-01

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

  4. Understanding the source of multifractality in financial markets

    Czech Academy of Sciences Publication Activity Database

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

    2012-01-01

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

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

    International Nuclear Information System (INIS)

    Lemming, Jacob

    2003-01-01

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

  6. 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.

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

    Science.gov (United States)

    Langabeer, J

    1998-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Lina Song

    2018-01-01

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

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

    Science.gov (United States)

    Lima, L. S.

    2017-09-01

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

  10. 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

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

    International Nuclear Information System (INIS)

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

    2014-01-01

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

  13. Integrated marketing communications in sport organizations

    OpenAIRE

    Gašović Milan

    2011-01-01

    Integrated marketing communications represent the unification of organization's marketing and communication activities. Sports organizations have the emphasized need for effective communication with their environment (the public, the media, advertisers, sponsors, and other subjects interested in their offer). Elements of the integrated marketing communications are: advertising, personal selling, sales promotion, publicity, public relations, direct marketing, Internet communications etc. Each ...

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

    OpenAIRE

    Dahiru A. Bala; Taro Takimoto

    2017-01-01

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

  15. Time Varying Market Integration and Expected Rteurns in Emerging Markets

    NARCIS (Netherlands)

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

    2001-01-01

    We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market value

  16. Theory of earthquakes interevent times applied to financial markets

    Science.gov (United States)

    Jagielski, Maciej; Kutner, Ryszard; Sornette, Didier

    2017-10-01

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

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

    Science.gov (United States)

    Gupta, Nachi; Hauser, Raphael; Johnson, Neil

    2005-12-01

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

  18. 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.

  19. 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

  20. Financial Integration and Financial Crisis: Croatia Approaching the EMU

    Directory of Open Access Journals (Sweden)

    Dražen Derado

    2009-09-01

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

  1. INTEGRATED MARKETING COMMUNICATION IN POLITICS?

    Directory of Open Access Journals (Sweden)

    Ovidiu-Aurel GHIUŢĂ

    2009-06-01

    Full Text Available The current study has practical applicability in politic al domain and theoretical involvement at politicalmarketing communication level. The type of the research is a qualitative one, using as survey methods scientificobservation and documentary search. The aim of the research is to prove the applicability of marketing communicationconcept integrated in political marketing and global marketing communication. There are also exceptions, justanalyzing the industry – politics, in which integrated communication can’t be considered global communication.The subject of integrated marketing communication is relatively a new one in marketing (two decades, but itsapplicability in political domain and the specifications that assumes this application represents o new vision atEuropean and worldwide level. This study clearly presents the differences between the integrated marketingcommunication and global marketing communication.In documentary research, the author used studies belonging to Anglo – Saxons theoreticians and practitioners(Americans, Canadians, British but also Europeans (French, Belgians, Romanians. The main reason is the fact that inmarketing domain on extremely narrow scientific sections the visions belonging to these two main orientations aren’talways equable. Also, in scientific observation, t he research analyses political events from United States of America,France and Romania. Due to this reason, we can affirm that the current study has not only a regional applicability butalso a global one.

  2. Detecting wash trade in the financial market

    OpenAIRE

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

    2014-01-01

    Wash trade refers to the activities of traders who utilise deliberately designed collusive transactions to increase the trading volumes for creating active market impression. Wash trade can be damaging to the proper functioning and integrity of capital markets. Existing work focuses on collusive clique detections based on certain assumptions of trading behaviours. Effective approaches for analysing and detecting wash trade in a real-life market have yet to be developed. T...

  3. Time-Varying Market Integration and Expected Returns in Emerging Markets

    OpenAIRE

    de Jong, Frank; de Roon, Frans

    2001-01-01

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

  4. Time Varying Market Integration and Expected Rteurns in Emerging Markets

    OpenAIRE

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

    2001-01-01

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

  5. 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…

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

    Science.gov (United States)

    Bose, Ranjan; Hamacher, Kay

    2012-11-01

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

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

    Directory of Open Access Journals (Sweden)

    Ercegovac Dajana

    2012-01-01

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

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

    Science.gov (United States)

    Rusnak, James E.

    1987-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Hiroshi Takahashi

    2010-01-01

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

  10. Integrated marketing communications in sport organizations

    Directory of Open Access Journals (Sweden)

    Gašović Milan

    2011-01-01

    Full Text Available Integrated marketing communications represent the unification of organization's marketing and communication activities. Sports organizations have the emphasized need for effective communication with their environment (the public, the media, advertisers, sponsors, and other subjects interested in their offer. Elements of the integrated marketing communications are: advertising, personal selling, sales promotion, publicity, public relations, direct marketing, Internet communications etc. Each of these elements has some specifics which marketing specialists in sports organizations need to understand.

  11. 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.…

  12. 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.

  13. FINANCIAL STABILITY - A THEORETICAL APPROACH

    Directory of Open Access Journals (Sweden)

    Maria Vasilescu

    2012-03-01

    Full Text Available Central banks have become poles of stability and decisive factors of globalization. Financialstability represents a national issue, a public asset, that requires both an intervention of public judicious authoritiesand their cooperation with private sector. Given the integration of financial markets during the last decades in bothdeveloped and developing countries, as direct result of globalization, liberalization and deregulation processes, andthe high degree of innovation they felt over time, a shift in market participants’ perceptions on the importance ofstable financial systems in economic growth arose. The global context characterized by the interdependence ofmarkets and institutions, emergence of new techniques and instruments, increasing international capital flowsstressed the new meanings of the analysis of financial stability.

  14. Testing market integration for Kenyan pineapples. | Onyuma ...

    African Journals Online (AJOL)

    The market structure was found to be oligopsonistic in nature with aspects of collusion amongst the urban middlemen and local market traders thus barring further entry by other potential actors. There was little market integration between urban markets and producing markets, and very low or no integration between the ...

  15. An Integral Evaluation of the Financial State of the Regional Enterprises

    Directory of Open Access Journals (Sweden)

    Sergey Panteleyevich Kyurdzhiev

    2016-06-01

    Full Text Available The subject matter of the article is the development of theoretical positions and methodical approaches to the integral evaluation of the financial state of the region’s metallurgical enterprises. The purpose is to show the possibility of dividing the integral evaluation into separate elements for using this tool to build individual models based on the forecasting of the various coordinates of the financial position of enterprise. The hypothesis of the study is based on the objective need to improve the integral evaluation of the financial position of enterprises. This involves the modernization of existing theoretical and methodological approaches to the increase of the quality of analysis by eliminating certain shortcomings of discriminant models in order to clarify the algorithm of constructing the integral index. The methodological bases of systemic approach and mathematical modelling in economics are applied: the methods of financial analysis, grouping, abstraction, comparison which give the possibility of determining the financial indicators needed to build the predictive models of financial state; the methods of correlation and regression analysis, which allow to improve the integral value and to build the mathematical forecasting models. With the purpose of improving the integral evaluation of the financial condition of enterprise, the geometric interpretation is used, which involves the dividing of the integral indicator on the individual elements. The special feature of the proposed methodological approach consists in the implementation rules for the certain procedures of the evaluation of financial position and generalization of the analysis results. The proposed approach can be used by financial analysts to elaborate the strategic plans of company development and structure optimization of financial resources. This research allows to define the quantitative influence of separate parameters on the general assessment of the financial

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

    International Nuclear Information System (INIS)

    Yang, Ge; Wang, Jun; Fang, Wen

    2015-01-01

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

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

    Science.gov (United States)

    Yang, Ge; Wang, Jun; Fang, Wen

    2015-04-01

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

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

    Energy Technology Data Exchange (ETDEWEB)

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

    2015-04-15

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

  19. The impact of technological improvements on developing financial markets: The case of the Johannesburg Stock Exchange

    Directory of Open Access Journals (Sweden)

    Mehmet F. Dicle

    2013-07-01

    Full Text Available Can a significant technological improvement make an economically justifiable contribution to a financial market's development? The Johannesburg Stock Exchange (JSE incorporated the SETS system from the London Stock Exchange in 2002. It is certain that SETS is a technologically efficient trading system, and it would undoubtedly improve trading in the JSE. We test whether SETS represents a structural break by examining whether there was an increase in the JSE's liquidity, market efficiency and international integration after the introduction of SETS. While SETS is certainly a technological improvement with increased liquidity, it is not a sufficient factor to render it efficient. After the incorporation of SETS, the JSE has become more independent and it now offers better diversification opportunities for international investors.

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

    DEFF Research Database (Denmark)

    Andersen, Torben M.; Rose Skaksen, Jan

    2004-01-01

    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......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...... 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....

  1. 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.

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

    Directory of Open Access Journals (Sweden)

    Tanase (Rosca Laura Daniela

    2011-12-01

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

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

    Science.gov (United States)

    Zeng, Yayun; Wang, Jun; Xu, Kaixuan

    2017-04-01

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

  4. 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.

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

    OpenAIRE

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

    2009-01-01

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

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

    OpenAIRE

    Elofsson, Mattias; Salén, Caroline

    2006-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Yanhui Xi

    2016-01-01

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

  8. Stock Market Integration Measurement: Investigation of Malaysia and Singapore Stock Markets

    OpenAIRE

    B. K. Yeoh; Z. Arsad; C. W. Hooy

    2010-01-01

    This paper tests the level of market integration between Malaysia and Singapore stock markets with the world market. Kalman Filter (KF) methodology is used on the International Capital Asset Pricing Model (ICAPM) and the pricing errors estimated within the framework of ICAPM are used as a measure of market integration or segmentation. The advantage of the KF technique is that it allows for time-varying coefficients in estimating ICAPM and hence able to capture the varying degree of market int...

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

    NARCIS (Netherlands)

    Kuper, Gerard H.; Lestano, [No Value

    2006-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Dahiru A. Bala

    2017-03-01

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

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

    Science.gov (United States)

    Bolgorian, Meysam; Raei, Reza

    2013-11-01

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

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

    OpenAIRE

    Tao Wu

    2011-01-01

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

  13. 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

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

    Directory of Open Access Journals (Sweden)

    Kliber Agata

    2016-03-01

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

  15. A Marketing Perspective on Mergers and Acquisitions : How Marketing Integration Affects Postmerger Performance

    OpenAIRE

    Homburg, Christian; Bucerius, Matthias

    2004-01-01

    Previous research on mergers and acquisitions (M&A) has neglected marketing issues by and large. This paper examines the effects of post merger integration (PMI) in marketing (ex tent and speed of marketing integration) on M&A performance mediated by integration outcomes (magnitude of cost savings and market-related performance). Results from a survey of 232 horizontal mergers and acquisitions show that market-related performance after the merger or acquisition has a much stronger impac...

  16. The Single Market and Synchronized Mechanisms for the Exercise of Administrative Functions: Converging Pathways or New Pathways for Integration? The Case of the European Banking Union

    Directory of Open Access Journals (Sweden)

    Giglioni Fabio

    2017-11-01

    Full Text Available The EBU represents a clear investment in administrative integration with clear implications for the constitutional features of the EU. This paper aims to give an analysis of the administrative arrangements, through which the functions of supervision and resolution are affecting the single financial market. This case study is very interesting because these functions represent a genuine novelty in the history of financial integration since they are pre-ordained to a specific public interest: financial stability. Particularly, they cause a shift in the decision gradient from the technical to the political, as market integrity is less and less the key interest compared to financial stability. However, this wider discretionary power is not adequately counteracted by checks and balances in favour of accountability. As a result, the EBU makes a new contribution to the well-known ‘fragmentation of the executive power’ of the EU by introducing a new governance tool positioned between the Communitarian and Intergovernmental Method, but its development is still full of uncertainties given that constitutional equilibrium is far from being definitively reached.

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

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2014-11-01

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

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

    Science.gov (United States)

    Dastkhan, Hossein; Gharneh, Naser Shams

    2018-02-01

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

  19. 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.

  20. Integrating physical and financial approaches to manage environmental financial risk

    Science.gov (United States)

    Characklis, Gregory; Meyer, Eliot; Foster, Benjamin

    2017-04-01

    Physical and/or engineered solutions have long been used to manage risks associated with adverse environmental events. Examples include reservoirs as a tool for mitigating drought-related supply risk, levees for managing flood risk and dredging of inland waterways to ensure navigability during low flow periods. These measures can reduce many types of risk (e.g., loss of life), but are often employed as a means of protecting against financial losses. When the focus is on managing environmental financial risk, physical solutions can be effective, but also costly. In many cases, non-physical tools can provide a less expensive means of managing financial risk, with these often taking the form of financial instruments such as hedging contracts, contingency funds or insurance. Some of these instruments, such as flood insurance, are widely available, but historically many environmental financial risks have been managed primarily (or solely) via physical solutions without much consideration of alternatives, thereby opening opportunities for innovation in developing financial solutions. Recent research has demonstrated that financial instruments can play a significant role in managing drought-related financial risk in sectors as diverse as water utilities, energy generation and inland navigation. Nonetheless, this work has largely considered the use of these instruments within systems in which physical solutions are already in place (but failing to achieve desired performance). The next step in the evolution of managing environmental financial risk involves developing methods for designing risk management strategies that do not assume an established physical system. Here the goal is to identify the relative role that physical solutions and financial instruments should play as they are integrated into a comprehensive risk management strategy. This is not a straightforward challenge as one approach reduces the risk of financial losses and the other redistributes those losses

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

    NARCIS (Netherlands)

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

    1995-01-01

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

  2. 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.…

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

    Directory of Open Access Journals (Sweden)

    CONSTANTIN LAURA-GABRIELA

    2014-12-01

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

  4. 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.

  5. Increasing competitiveness with intercompany integration of logistics and marketing functions

    Directory of Open Access Journals (Sweden)

    Darja Topolšek

    2016-03-01

    Full Text Available Researchers of different scientific disciplines, such as management strategies, organizational theories and marketing, have in the past explored relations of mutual influences and the importance of cooperation between different functions in a company. The increased focus on the logistics function has potential to increase competitiveness. This is especially true for globally aimed production companies. In any company, logistics functions cooperate with various related functions such as production, marketing, procurement, engineering or developing new products as well as with financial functions. Each of the aforementioned connections or cooperation among logistics and its complementary functions can have a decisive effect on the company's competitiveness. Using a survey, we determined which activities in the surveyed companies are performed by the logistical function together with the marketing function and which activities they suggest should be performed together but are currently not, meaning they are co-dependent. Since interfunctional integration between logistics and marketing increases the success of a company, we also examined the connection between the current joint performance of activities and the suggested joint performance of activities among the before mentioned sectors, connected to the effectiveness of the company. To examine the mentioned connections among the logistical and marketing functions, Explanatory Factor Analysis (EFA, Confirmatory Factor Analysis (CFA and Structural Equation Modelling (SEM were performed.

  6. 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.

  7. Dynamic effects of increasing heterogeneity in financial markets

    International Nuclear Information System (INIS)

    Naimzada, Ahmad K.; Ricchiuti, Giorgio

    2009-01-01

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

  8. Simultaneous Use of the Financial Literacy Level and the Financial Inclusion Degree as a Result of Financial Education Efficiency in Visegrad Group Countries

    Directory of Open Access Journals (Sweden)

    Bożena Frączek

    2017-02-01

    Full Text Available The appropriate level of financial knowledge and the degree of financial integration needed in today's financialized world. This paper studies the level of financial literacy and the degree of financial inclusion among the students who study economic fields. These students are a special target group - very important for future development of financial markets. They are not only the future participants, but also the potential animators and creators of the financial market as well as the future financial advisors. The research sample comes from Visegrad Group countries (4V Countries, as the representatives from Central and Eastern Europe countries, where the level of financial literacy and degree of financial inclusion seems to be lower in comparison to the West European Countries. The research also contributes to knowledge in the area of expanding the methods of assessments of efficiency of financial education. The Authors decided to verify the new assessment of effectiveness of financial education. It will be conducted by a separate and simultaneous assessment of financial literacy and financial inclusion. The main results of research confirm the very low level of financial literacy and financial inclusion of young future economists in 4V Countries in both groups: starting and finishing the professional financial education. In addition, examining the degree of financial inclusion among the students who at the same time are educated at the basic level confirms the much lower level of informed financial inclusion.

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

    Science.gov (United States)

    Lucas, Iris; Cotsaftis, Michel; Bertelle, Cyrille

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

  10. 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...

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

    Directory of Open Access Journals (Sweden)

    Sabine Dörry

    2011-11-01

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

  12. Integrated Financial Management Program

    Science.gov (United States)

    Pho, Susan

    2004-01-01

    Having worked in the Employees and Commercial Payments Branch of the Financial Management Division for the past 3 summers, I have seen the many changes that have occurred within the NASA organization. As I return each summer, I find that new programs and systems have been adapted to better serve the needs of the Center and of the Agency. The NASA Agency has transformed itself the past couple years with the implementation of the Integrated Financial Management Program (IFMP). IFMP is designed to allow the Agency to improve its management of its Financial, Physical, and Human Resources through the use of multiple enterprise module applications. With my mentor, Joseph Kan, being the branch chief of the Employees and Commercial Payments Branch, I have been exposed to several modules, such as Travel Manager, WebTads, and Core Financial/SAP, which were implemented in the last couple of years under the IFMP. The implementation of these agency-wide systems has sometimes proven to be troublesome. Prior to IFMP, each NASA Center utilizes their own systems for Payroll, Travel, Accounts Payable, etc. But with the implementation of the Integrated Financial Management Program, all the "legacy" systems had to be eliminated. As a result, a great deal of enhancement and preparation work is necessary to ease the transformation from the old systems to the new. All this work occurs simultaneously; for example, e-Payroll will "go live" in several months, but a system like Travel Manager will need to have information upgraded within the system to meet the requirements set by Headquarters. My assignments this summer have given me the opportunity to become involved with such work. So far, I have been given the opportunity to participate in projects resulting from a congressional request, several bankcard reconciliations, updating routing lists for Travel Manager, updating the majordomo list for Travel Manager approvers and point of contacts, and a NASA Headquarters project involving

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

    NARCIS (Netherlands)

    K. Bannouh (Karim)

    2013-01-01

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

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

    OpenAIRE

    Solodukhin Stanislav V.

    2013-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Chyan-long Jan

    2018-02-01

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

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

    Science.gov (United States)

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

    2014-07-01

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

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

    Directory of Open Access Journals (Sweden)

    Banu DİNCER

    2010-01-01

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

  18. Marketing communications in conditions of crisis

    Directory of Open Access Journals (Sweden)

    Ognjanov Galjina

    2009-01-01

    Full Text Available The paper aims to reveal potential economic benefits deriving from implementation of regionally integrated marketing communications strategy in the period of the global financial crisis. Possibilities for implementation of regionally integrated marketing communications strategy in the Western Balkans are analyzed based on the assessment of macro-marketing environmental factors and consumers attitudes. Study results have shown satisfactory conditions for the implementation of regionally integrated marketing communications in four countries of the region. Consequently, in the period of the most recent economic crisis companies operating on this market which decide to implement regionally integrated marketing communications strategy may make significant cost-savings through centralization of their marketing communications activities, organizational learning and synergy rather then from cutting their media budgets.

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

    Science.gov (United States)

    Gagnon, Marc-André

    2013-01-01

    This paper explains how the current architecture of the pharmaceutical markets has created a misalignment of financial incentives and public health that is a central cause of harmful practices. It explores three possible solutions to address that misalignment: taxes, increased financial penalties, and drug pricing based on value. Each proposal could help to partly realign financial incentives and public health. However, because of the limits of each proposal, there is no easy solution to fixing the problem of financial incentives. © 2013 American Society of Law, Medicine & Ethics, Inc.

  20. An international integration history of the Zagreb Stock Exchange

    Directory of Open Access Journals (Sweden)

    Luka Sikic

    2017-06-01

    Full Text Available We investigate stock market co-movements among the Croatian and several other markets (in the US, UK, Germany, Austria, Poland, Czech Republic and Hungary in the period from 3 September 1997 to 19 August 2016 with dynamic correlation coefficient models. This allows us to analyse long-term trends of the international financial integration of the Zagreb Stock Exchange in the last two decades as well as the separate impacts of major events that influenced financial markets during that period. Our results imply a relatively low level of international financial integration of the Croatian stock market, but some convergence in co-movement with the analysed markets over time is present. The strongest market co-movement is related to the subprime mortgage crisis, and EU accession seems to have made Croatian international integration less segmented.

  1. Effects of the Financial Crisis on Stock Market of the Czech Republic and Spain

    OpenAIRE

    Titizov, Toško

    2013-01-01

    The paper analyzes effects of the financial crisis on stock market of the Czech Republic and Spain. We employ BEKK-GARCH model in order to study volatility spillovers and transmissions from the US stock market to stock markets of the Czech Republic and Spain. The multivariate GARCH models results show statistically significant, but relatively small, almost irrelevant volatility spillovers from the US stock market to stock markets of the Czech Republic and Spain. The Czech stock market exhibit...

  2. The Impact of the Asian Crisis on International Financial Markets

    Directory of Open Access Journals (Sweden)

    Sang-Uck Loh

    1998-12-01

    Full Text Available Among the influences of the Asian financial crisis on the international market and its monetary policy and situation, the sharp backwash of the international private capital which has been continually related to the emerging market since the early 1990s is considered as the most important one. Though this trend is partly the result of the internal causes of the emerging countries, such as the inflexible policy of the exchange rate, the accumulation of the frequent income and expenses deficit and the stagnation of the economy in the countries hit by the Asian economic crisis, the unstable internal structure of the application system of the international monetary market probably also brought a tremendous influence. This thesis takes a look at the situation and is directed towards the direction and scale of the future international capital based on the studies of the unsteady factors of the structure of the economic market, which appeared in the period of the Asian economic crisis. After the moratorium of Russia, the liquidity of the international private capital in the international monetary market became various with the implement of the policy which lowered the exchange rate under the cooperation of the developed countries. Meanwhile, the Asian countries strived to establish the structure of enterprises and financial department in a full speed and with a high intensity after the economic crisis. So it is believed that they were fully qualified to enter the emerging market, and would be again in case of need. As the international investors experienced the Asian economic crisis, they faced and estimated the risk of investing into the emerging markets again. As the case stands, the strengthened joint of finance and trade among countries lead to a higher risk of the possibility that the crisis of one country expands to a worldwide crisis. So it is predicted that the inflow of the capital to the emerging market will be in a gradual way. The selection

  3. 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...

  4. Building credibility in international banking and financial markets

    DEFF Research Database (Denmark)

    Jørgensen, Poul Erik Flyvholm; Isaksson, Maria

    2008-01-01

    . There is also clear evidence that corporate advertising is in fact strongly focussed on communicating credibility with less than 10% of discourse and visuals devoted to credibility-free themes and issues. Research implications/limitations - The study takes a production perspective, using discourse......Purpose - The research draws a detailed picture of how international corporate banks and financial institutions approach image advertising to enhance impressions of their credibility. The purpose of the work is twofold, namely to demonstrate (1) how corporate credibility can be conceptualised...... appeal forms. A corpus of 74 print adverts was then analysed in order to establish how financial marketers use the appeal forms to strengthen their corporate reputations. The patterns of credibility appeals obtained were then linked to the supporting visuals to provide a fuller picture of the industry...

  5. Financial Derivatives Market for Grid Computing

    CERN Document Server

    Aubert, David; Lindset, Snorre; Huuse, Henning

    2007-01-01

    This Master thesis studies the feasibility and properties of a financial derivatives market on Grid computing, a service for sharing computing resources over a network such as the Internet. For the European Organization for Nuclear Research (CERN) to perform research with the world's largest and most complex machine, the Large Hadron Collider (LHC), Grid computing was developed to handle the information created. In accordance with the mandate of CERN Technology Transfer (TT) group, this thesis is a part of CERN's dissemination of the Grid technology. The thesis gives a brief overview of the use of the Grid technology and where it is heading. IT trend analysts and large-scale IT vendors see this technology as key in transforming the world of IT. They predict that in a matter of years, IT will be bought as a service, instead of a good. Commoditization of IT, delivered as a service, is a paradigm shift that will have a broad impact on all parts of the IT market, as well as on the society as a whole. Political, e...

  6. Financial Market Implications of India’s Pension Reform

    OpenAIRE

    Helene Poirson Ward

    2007-01-01

    India's planned pension reform will set up a proper regulatory framework for the pension industry and open up the sector to private fund managers. Drawing on international experiences, the paper highlights pre-conditions for the reform to kick-start financial development, including: (i) the buildup of critical mass; (ii) sufficiently flexible investment guidelines and regulations, including on investments abroad; and (iii) concurrent reforms in capital markets. Given the limited scale of the ...

  7. Dynamics of cluster structures in a financial market network

    Science.gov (United States)

    Kocheturov, Anton; Batsyn, Mikhail; Pardalos, Panos M.

    2014-11-01

    In the course of recent fifteen years the network analysis has become a powerful tool for studying financial markets. In this work we analyze stock markets of the USA and Sweden. We study cluster structures of a market network constructed from a correlation matrix of returns of the stocks traded in each of these markets. Such cluster structures are obtained by means of the P-Median Problem (PMP) whose objective is to maximize the total correlation between a set of stocks called medians of size p and other stocks. Every cluster structure is an undirected disconnected weighted graph in which every connected component (cluster) is a star, or a tree with one central node (called a median) and several leaf nodes connected with the median by weighted edges. Our main observation is that in non-crisis periods of time cluster structures change more chaotically, while during crises they show more stable behavior and fewer changes. Thus an increasing stability of a market graph cluster structure obtained via the PMP could be used as an indicator of a coming crisis.

  8. 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.

  9. Development of Spreadsheet-Based Integrated Transaction Processing Systems and Financial Reporting Systems

    Science.gov (United States)

    Ariana, I. M.; Bagiada, I. M.

    2018-01-01

    Development of spreadsheet-based integrated transaction processing systems and financial reporting systems is intended to optimize the capabilities of spreadsheet in accounting data processing. The purpose of this study are: 1) to describe the spreadsheet-based integrated transaction processing systems and financial reporting systems; 2) to test its technical and operational feasibility. This study type is research and development. The main steps of study are: 1) needs analysis (need assessment); 2) developing spreadsheet-based integrated transaction processing systems and financial reporting systems; and 3) testing the feasibility of spreadsheet-based integrated transaction processing systems and financial reporting systems. The technical feasibility include the ability of hardware and operating systems to respond the application of accounting, simplicity and ease of use. Operational feasibility include the ability of users using accounting applications, the ability of accounting applications to produce information, and control applications of the accounting applications. The instrument used to assess the technical and operational feasibility of the systems is the expert perception questionnaire. The instrument uses 4 Likert scale, from 1 (strongly disagree) to 4 (strongly agree). Data were analyzed using percentage analysis by comparing the number of answers within one (1) item by the number of ideal answer within one (1) item. Spreadsheet-based integrated transaction processing systems and financial reporting systems integrate sales, purchases, and cash transaction processing systems to produce financial reports (statement of profit or loss and other comprehensive income, statement of changes in equity, statement of financial position, and statement of cash flows) and other reports. Spreadsheet-based integrated transaction processing systems and financial reporting systems is feasible from the technical aspects (87.50%) and operational aspects (84.17%).

  10. 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

  11. Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis

    Science.gov (United States)

    Mensi, Walid; Tiwari, Aviral Kumar; Yoon, Seong-Min

    2017-04-01

    This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.

  12. A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets

    Directory of Open Access Journals (Sweden)

    Raisul Islam

    2014-06-01

    Full Text Available The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian markets. The selection criteria of specific Asian markets of different peripheries depend particularly on the roles and structure of these markets. The impact of the global financial contagion and the lingering financial linkage in the aftermath of crisis will explain the reaction of the majority of Asian markets to global linkage. While majority of the studies focused on dynamic short term association in European and MENA contagions in the post global financial crisis period; after the global financial crisis, attention paid to long term Asian contagion adds new perspective to hitherto disorganized theories.

  13. International Product Market Integration, Rents and Wage Formation

    DEFF Research Database (Denmark)

    Sørensen, Allan

    including product market rents and the possibility that jobs may be relocated across national labour markets. Possibilities and threats, however, will not in general be uniformly distributed across firms and therefore groups in the labour market. These issues are explored in a Ricardian trade model......International product market integration enhances both export possibilities through easier access to foreign markets, but also the import threat arising from foreign firms penetrating into the domestic market. These mechanisms affect wage formation and employment creation through many channels...... with imperfect competition, heterogeneity in the labour market, and decentralized wage-bargaining. The Paper analyses how product market integration affects wage formation, and identifies characteristics of winners and losers in the integration process....

  14. 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…

  15. Financial technical indicator based on chaotic bagging predictors for adaptive stock selection in Japanese and American markets

    Science.gov (United States)

    Suzuki, Tomoya; Ohkura, Yuushi

    2016-01-01

    In order to examine the predictability and profitability of financial markets, we introduce three ideas to improve the traditional technical analysis to detect investment timings more quickly. Firstly, a nonlinear prediction model is considered as an effective way to enhance this detection power by learning complex behavioral patterns hidden in financial markets. Secondly, the bagging algorithm can be applied to quantify the confidence in predictions and compose new technical indicators. Thirdly, we also introduce how to select more profitable stocks to improve investment performance by the two-step selection: the first step selects more predictable stocks during the learning period, and then the second step adaptively and dynamically selects the most confident stock showing the most significant technical signal in each investment. Finally, some investment simulations based on real financial data show that these ideas are successful in overcoming complex financial markets.

  16. Brexit and the European financial system: mapping markets, players and jobs

    OpenAIRE

    Batsaikhan, Uuriintuya; Kalcik, Robert; Schoenmaker, Dirk

    2017-01-01

    London is an international financial centre, serving European and global clients. A hard Brexit would lead to a partial migration of financial firms from London to the EU27 (EU minus UK) to ensure they can continue to serve their EU27 clients. Four major cities will host most of the new EU27 wholesale markets - Frankfurt, Paris, Dublin and Amsterdam. These cities have far fewer people employed in finance than London. Moreover, they host the European headquarters of fewer large companies. The ...

  17. Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts

    Science.gov (United States)

    Cavalli, F.; Naimzada, A.; Pecora, N.

    2017-10-01

    In the present paper, we investigate the dynamics of a model in which the real part of the economy, described within a multiplier-accelerator framework, interacts with a financial market with heterogeneous speculators, in order to study the channels through which the two sectors influence each other. Employing analytical and numerical tools, we investigate stability conditions as well as bifurcations and possible periodic, quasi-periodic, and chaotic dynamics, enlightening how the degree of market interaction, together with the accelerator parameter and the intervention of the fiscal authority, may affect the business cycle and the course of the financial market. In particular, we show that even if the steady state is locally stable, multistability phenomena can occur, with several and complex dynamic structures coexisting with the steady state. Finally, simulations reveal that the proposed model is able to explain several statistical properties and stylized facts observed in real financial markets, including persistent high volatility, fat-tailed return distributions, volatility clustering, and positive autocorrelation of absolute returns.

  18. Is Swedish district heating operating on an integrated market? – Differences in pricing, price convergence, and marketing strategy between public and private district heating companies

    International Nuclear Information System (INIS)

    Åberg, M.; Fälting, L.; Forssell, A.

    2016-01-01

    The deregulation of the Swedish electricity market in 1996 made it possible to operate municipal district heating commercially. Until that time district heating had been organized mainly as municipal utilities. After 1996 district heating is instead expected to function on a market. In competitive and integrated markets, prices are expected to be equal, or converging. To find out if district heating operates on an integrated market the differences in price levels, price convergence, price strategy, and business goals, among municipal, private and state owned district heating companies are investigated. Price statistics was used along with results from a questionnaire that was answered by representatives for 109 Swedish district heating companies. The results show that prices among district heating systems do not converge significantly and that variations in prices among municipal systems are larger than among private and state owned systems. Furthermore, despite the fact that district heating is supposed to be commercial, a vast majority of district heating companies apply cost-based pricing and not market pricing. The municipal companies give priority to political goals before financial goals. The conclusion is that a Swedish integrated market for heat has not yet evolved, and some district heating price-controlling mechanism is necessary. - Highlights: • Price statistics and owner type data were used along with results from a questionnaire. • Results show that prices among district heating systems do not converge. • Municipal district heating companies still apply cost-based pricing to a large extent. • District heating companies are not operating on an integrated market for heat. • Some price-controlling mechanism for district heating is necessary.

  19. 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)."

  20. Vertical integration and market power: A model-based analysis of restructuring in the Korean electricity market

    International Nuclear Information System (INIS)

    Bunn, Derek W.; Martoccia, Maria; Ochoa, Patricia; Kim, Haein; Ahn, Nam-Sung; Yoon, Yong-Beom

    2010-01-01

    An agent-based simulation model is developed using computational learning to investigate the impact of vertical integration between electricity generators and retailers on market power in a competitive wholesale market setting. It is observed that if partial vertical integration creates some market foreclosure, whether this leads to an increase or decrease in market power is situation specific. A detailed application to the Korean market structure reveals this to be the case. We find that in various cases, whilst vertical integration generally reduces spot prices, it can increase or decrease the market power of other market generators, depending upon the market share and the technology segment of the market, which is integrated, as well as the market concentrations before and after the integration.