2024-03-28T15:47:32Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:49
2019-09-27T08:51:19Z
7374617475733D696E7072657373
7375626A656374733D45:4533:453332
7375626A656374733D42:4235:423533
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7375626A656374733D47:4731:473138
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7375626A656374733D4B:4B33:4B3339
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7375626A656374733D45:4534:453432
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https://mpra.ub.uni-muenchen.de/49/
Review of Huerta de Soto´s `Money, Bank Credit, and Economic Cycles´
van den Hauwe, Ludwig
E32 - Business Fluctuations ; Cycles
B53 - Austrian
P34 - Financial Economics
N23 - Europe: Pre-1913
G18 - Government Policy and Regulation
N24 - Europe: 1913-
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
K39 - Other
E00 - General
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
G0 - General
K0 - General
P3 - Socialist Institutions and Their Transitions
N2 - Financial Markets and Institutions
H11 - Structure, Scope, and Performance of Government
This article reviews the first English edition of Prof. Jesús Huerta de Soto´s book `Dinero, Crédito Bancario y Ciclos Económicos´ which first appeared in Spain in 1998.
2006-10-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/49/1/MPRA_paper_49.pdf
van den Hauwe, Ludwig (2006): Review of Huerta de Soto´s `Money, Bank Credit, and Economic Cycles´. Forthcoming in: New Perspectives on Political Economy , Vol. 2, No. 2 (November 2006): pp. 135-141.
en
oai:mpra.ub.uni-muenchen.de:120
2019-09-27T04:53:48Z
7374617475733D696E7072657373
7375626A656374733D45:4535:453530
7375626A656374733D45:4533:453332
7375626A656374733D45:4534:453432
7375626A656374733D42:4235:423533
7375626A656374733D4B:4B33:4B3339
7375626A656374733D47:4731:473138
7375626A656374733D50:5033:503334
7375626A656374733D48:4831:483131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/120/
The Uneasy Case for Fractional-Reserve Free Banking
van den Hauwe, Ludwig
E50 - General
E32 - Business Fluctuations ; Cycles
E42 - Monetary Systems ; Standards ; Regimes ; Government and the Monetary System ; Payment Systems
B53 - Austrian
K39 - Other
G18 - Government Policy and Regulation
P34 - Financial Economics
H11 - Structure, Scope, and Performance of Government
Since a few decades several sub-disciplines within economics have witnessed a reorientation towards institutional analysis. This development has in particular also affected the fields of macroeconomics and monetary theory where it has led to several proposals for far-reaching financial and monetary reform. One of the more successful of these proposals advocates a fractional-reserve free banking system, that is, a system with no central bank, but with permission for the banks to operate with a fractional reserve. This article exposes several conceptual flaws in this proposal. In particular several claims of the fractional-reserve free bankers with respect to the purported working characteristics of this system are criticized from the perspective of economic theory. In particular, the claim that a fractional-reserve free banking system would lead to the disappearance of the business cycle is recognized as false. Furthermore an invisible-hand analysis is performed, reinforcing the conclusion that fractional-reserve free banking is incompatible with the ethical and juridical principles underlying a free society.
2006-10-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/120/1/MPRA_paper_120.pdf
van den Hauwe, Ludwig (2006): The Uneasy Case for Fractional-Reserve Free Banking. Forthcoming in: Procesos de Mercado Revista Europea de Economía Política , Vol. III, No. 2 (December 2006)
en
oai:mpra.ub.uni-muenchen.de:168
2019-09-28T04:32:42Z
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7375626A656374733D47:4731
7375626A656374733D43:4332
7375626A656374733D46:4634
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/168/
Financial systems and banking crises: An assessment
Ruiz-Porras, Antonio
G1 - General Financial Markets
C2 - Single Equation Models ; Single Variables
F4 - Macroeconomic Aspects of International Trade and Finance
Traditionally an old concern among economists has referred to the effects that specific financial systems may have on economic performance. Here we investigate the “stylised facts” among financial systems and banking crises by using individual and principal-components indicators and sets of OLS regressions. The study relies on a set of banking fragility, financial structure and development indicators for a sample of 47 economies between 1990 and 1997. The stylised facts suggest that financial development is associated to financial systems leaded by stock and securities markets. Furthermore the evidence suggests that such association is magnified during episodes of borderline or systemic banking crises. Thus what our findings might suggest is that banking crises may encourage financial development and the transformation of financial systems into market-based ones.
2006-01-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/168/1/MPRA_paper_168.pdf
Ruiz-Porras, Antonio (2006): Financial systems and banking crises: An assessment. Published in: Revista Mexicana de Economía y Finanzas (Mexican Journal of Economics and Finance) , Vol. v.5, No. Issue 1 (March 2006): pp. 13-27.
en
oai:mpra.ub.uni-muenchen.de:189
2019-09-27T05:04:33Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473130
7375626A656374733D43:4335
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/189/
An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
Vargas, Gregorio A.
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G10 - General
C5 - Econometric Modeling
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative DCC models in out-of-sample forecasting of conditional correlation in the presence of asymmetric effect between blocks of asset returns. Empirical results demonstrate that the model is able to capture the asymmetries in conditional correlations of some blocks of currencies in East Asia in the turbulent years of the late 1990s.
2006-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/189/1/MPRA_paper_189.pdf
Vargas, Gregorio A. (2006): An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. Published in: The Philippine Statistician , Vol. 55, No. 1-2 (2006): pp. 83-102.
en
oai:mpra.ub.uni-muenchen.de:207
2019-10-03T04:56:34Z
7374617475733D756E707562
7375626A656374733D47:4731:473133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/207/
Forecasting and testing a non-constant volatility
Abramov, Vyacheslav
Klebaner, Fima
G13 - Contingent Pricing ; Futures Pricing
In this paper we study volatility functions. Our main assumption is that the volatility is
deterministic or stochastic but driven by a Brownian motion independent of the stock. We propose a
forecasting method and check the consistency with option pricing theory.
To estimate the unknown volatility function we use the approach of
\cite{Goldentayer Klebaner and Liptser} based on filters for estimation of an unknown function from
its noisy observations. One of the main assumptions is that the volatility is a continuous function,
with derivative satisfying some smoothness conditions. The two forecasting methods correspond to the
the first and second order filters, the first order filter tracks the unknown function and the
second order tracks the function and it derivative. Therefore the quality of forecasting depends on
the type of the volatility function: if oscillations of volatility around its average are frequent,
then the first order filter
seems to be appropriate, otherwise the second order filter is better.
Further, in deterministic volatility models the price of options is given by the Black-Scholes formula
with averaged future volatility \cite{Hull White 1987}, \cite{Stein and Stein 1991}. This enables us
to compare the implied volatility with the averaged estimated historical volatility. This comparison
is done for five companies and shows that the implied volatility and the historical volatilities are
not statistically related.
2006-06-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/207/1/MPRA_paper_207.pdf
Abramov, Vyacheslav and Klebaner, Fima (2006): Forecasting and testing a non-constant volatility.
en
oai:mpra.ub.uni-muenchen.de:217
2019-09-26T11:40:58Z
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7375626A656374733D43:4336:433631
7375626A656374733D47:4731:473132
7375626A656374733D44:4438:443831
7375626A656374733D51:5134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/217/
Gas fired power plants: Investment timing, operating flexibility and abandonment
Fleten, Stein-Erik
Näsäkkälä, Erkka
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
D81 - Criteria for Decision-Making under Risk and Uncertainty
Q4 - Energy
We analyze investments in gas-fired power plants under stochastic electricity and natural gas prices. A simple but realistic two-factor model is used for price processes, enabling analysis of the value of operating flexibility, the opportunity to abandon the capital equipment, as well as finding thresholds for energy prices for which it is optimal to enter into the investment. Our case study uses representative power plant investment and operations data, and historical forward prices from well-functioning energy markets. We find that when the decision to build is considered, the abandonment option does not have significant value, whereas the operating flexibility and time-to-build option have significant effect on the building threshold. Furthermore, the joint value of the operating flexibility and the abandonment option is much smaller than the sum of their separate values, because both are options to shut down. The effects of emission costs on the value of installing CO2 capture technology are also analyzed.
2003-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/217/1/MPRA_paper_217.pdf
Fleten, Stein-Erik and Näsäkkälä, Erkka (2003): Gas fired power plants: Investment timing, operating flexibility and abandonment.
en
oai:mpra.ub.uni-muenchen.de:218
2019-09-26T11:32:11Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473133
7375626A656374733D51:5134:513432
7375626A656374733D51:5132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/218/
Optimal investment strategies in decentralized renewable power generation under uncertainty
Fleten, Stein-Erik
Maribu, Karl Magnus
Wangensteen, Ivar
G13 - Contingent Pricing ; Futures Pricing
Q42 - Alternative Energy Sources
Q2 - Renewable Resources and Conservation
This paper presents a method for evaluating investments in decentralized renewable power generation under price un certainty. The analysis is applicable for a client with an electricity load and a renewable resource that can be utilized for power generation. The investor has a deferrable opportunity to invest in one local power generating unit, with the objective to maximize the profits from the opportunity. Renewable electricity generation can serve local load when generation and load coincide in time, and surplus power can be exported to the grid. The problem is to find the price intervals and the capacity of the generator at which to invest. Results from a case with wind power generation for an office building suggests it is optimal to wait for higher prices than the net present value break-even price under price uncertainty, and that capacity choice can depend on the current market price and the price volatility. With low price volatility there can be more than one investment price interval for different units with intermediate waiting regions between them. High price volatility increases the value of the investment opportunity, and therefore makes it more attractive to postpone investment until larger units are profitable.
2005-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/218/1/MPRA_paper_218.pdf
Fleten, Stein-Erik and Maribu, Karl Magnus and Wangensteen, Ivar (2005): Optimal investment strategies in decentralized renewable power generation under uncertainty. Forthcoming in: Energy
en
oai:mpra.ub.uni-muenchen.de:220
2019-09-26T11:53:03Z
7374617475733D696E7072657373
7375626A656374733D47:4732:473232
7375626A656374733D47:4731:473133
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/220/
Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
Fleten, Stein-Erik
Lindset, Snorre
G22 - Insurance ; Insurance Companies ; Actuarial Studies
G13 - Contingent Pricing ; Futures Pricing
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost
increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.
2004-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/220/1/MPRA_paper_220.pdf
Fleten, Stein-Erik and Lindset, Snorre (2004): Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach. Forthcoming in: European Journal of Operational Research
en
oai:mpra.ub.uni-muenchen.de:233
2019-09-29T05:11:17Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473132
7375626A656374733D44:4438:443832
7375626A656374733D44:4438:443834
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/233/
Beauty contests under private information and diverse beliefs: how different?
Kurz, Mordecai
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
D82 - Asymmetric and Private Information ; Mechanism Design
D84 - Expectations ; Speculations
Abstract: The paper contrasts theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (in short HB). We focus on problems where agents forecast aggregates such as profit rate of the S&P500 and our model is similar to the one used in the literature on asset pricing (e.g. Brown and Jennings (1989), Grundy and McNichols (1989), Allen, Morris and Shin (2003)).
We first argue there is no a-priori conceptual basis to assuming PI about economic aggregates. Since PI is not observed, models with PI offer no testable hypotheses, making it possible to prove anything with PI. In contrast, agents with HB reveal their forecasts hence data on market belief is used to test hypotheses of HB. We show the common knowledge assumptions of the PI theory are implausible. The theories differ on four main analytical issues. (1) The pricing theory under PI implies prices have infinite memory and at each t depend upon unobservable variables. In contrast, under HB prices have finite memory and depend only upon observable variables. (2) The “Beauty Contest” implications of the two are different. Under PI today’s price depends upon today’s market belief about tomorrow’s mean belief about “fundamental” variables. Under HB it depends upon today’s market belief about tomorrow’s market beliefs. Tomorrow’s beliefs are, in part, beliefs about future beliefs and are often mistaken. Market forecast mistakes are key to Beauty Contests, and are a central cause of market uncertainty called “endogenous uncertainty.” (3) Contrary to PI, theories with HB have wide empirical implications which are testable with available data. (4) PI theories assume unobserved data and hence do not restrict behavior, while rationality conditions impose restrictions on any HB theory. We explain the tight restrictions on the model’s parameters imposed by the theory of Rational Beliefs.
2006-08-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/233/1/MPRA_paper_233.pdf
Kurz, Mordecai (2006): Beauty contests under private information and diverse beliefs: how different? Forthcoming in: Journal of Mathematical Economics , Vol. forthc, No. forthcoming
en
oai:mpra.ub.uni-muenchen.de:247
2019-10-01T12:59:40Z
7374617475733D756E707562
7375626A656374733D44:4438
7375626A656374733D47:4731:473132
7375626A656374733D44:4438:443834
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/247/
Risk Premia, diverse belief and beauty contests
Kurz, Mordecai
Motolese, Maurizio
D8 - Information, Knowledge, and Uncertainty
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
D84 - Expectations ; Speculations
We present a theoretical and empirical evaluation of the role of market belief in the structure of risk premia. To that end we employ a familiar asset pricing model for which we develop in detail the belief structure. The novelty in this development is the treatment of individual and market beliefs as Markov state variables. Moreover, the market belief is observable and the paper explains how we extract it from the data. The advantage of our formulation is that it permits a closed form solution of equilibrium prices hence we can trace the exact effect of market belief on the time variability of equilibrium risk premia. We present a model of asset pricing with diverse beliefs. We then explore the conditions under which diverse beliefs arise. We then derive the equilibrium asset pricing and the risk premium which the model implies. Since asset prices are affected by the dynamics of market belief, the component of market risk which is determined by the belief of agents is thus termed “Endogenous Uncertainty.” The theoretical conclusions are tested empirically for investments in the futures markets, the bond markets.
Our main theoretical and empirical result is that fluctuations in the market belief about state variables are a dominant factor determining the time variability of risk premia. More specifically, we show that when the market holds abnormally favorable belief about future payoffs of an asset the market views the long position as less risky and hence the risk premium on that asset declines. This means that fluctuations in risk premia are inversely related to the degree of market optimism about future prospects of asset payoffs. This effect is very strong and empirically very dominant. The strong effect of market belief on market risk premia offers two additional perspectives. First, it offers an additional way of showing (for those who have any doubt) that fundamental factors affect market dynamics but perceptions have equally important effect on volatility. Second, that market belief is actually an observable data which can be used for a deeper understanding of the basic causes of stochastic volatility and time variability of risk premia.
2006-09-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/247/1/MPRA_paper_247.pdf
Kurz, Mordecai and Motolese, Maurizio (2006): Risk Premia, diverse belief and beauty contests.
en
oai:mpra.ub.uni-muenchen.de:252
2019-09-26T20:52:52Z
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7375626A656374733D47:4731:473134
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/252/
Long memory and non-linearity in Stock Markets
Bond, Derek
Dyson, Kenneth
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
In this paper the long memory and non-linear properties of share prices
in the UK’s Stock Exchange and AIM are explored. The results suggest
that the most commonly traded shares exhibit long memory thus raising
interesting issues about the validity of normal assumptions of market
efficiencies.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/252/1/MPRA_paper_252.pdf
Bond, Derek and Dyson, Kenneth (2006): Long memory and non-linearity in Stock Markets.
en
oai:mpra.ub.uni-muenchen.de:302
2019-09-27T04:26:40Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/302/
Stock market volatiltity around national elections
Bialkowski, Jedrzej
Gottschalk, Katrin
Wisniewski, Tomasz
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G11 - Portfolio Choice ; Investment Decisions
This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an Election Day, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a coalition with a majority of seats in parliament significantly contribute to the magnitude of the election shock. Our findings have important implications for the optimal strategies of risk-averse stock market investors and participants of the option markets.
2006-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/302/1/MPRA_paper_302.pdf
Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Stock market volatiltity around national elections.
en
oai:mpra.ub.uni-muenchen.de:307
2019-09-26T23:56:18Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/307/
Political orientation of government and stock market returns
Bialkowski, Jedrzej
Gottschalk, Katrin
Wisniewski, Tomasz
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G11 - Portfolio Choice ; Investment Decisions
G15 - International Financial Markets
Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries' leadership are likely to be futile.
2006-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/307/1/MPRA_paper_307.pdf
Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Political orientation of government and stock market returns.
en
oai:mpra.ub.uni-muenchen.de:330
2019-09-28T15:08:33Z
7374617475733D756E707562
7375626A656374733D46:4632:463231
7375626A656374733D47:4731:473138
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/330/
Economic Impact of Capital Flight from Russia and its Institutional Context: Why Capital Controls cannot be a Part of a Pro-Growth Policy (updated version).
Kadochnikov, Denis
F21 - International Investment ; Long-Term Capital Movements
G18 - Government Policy and Regulation
The research presented in this paper is undertaken in response to the debate on capital flight from Russia. This debate usually involves discussion of its determinants but misses the question of its ultimate effects on the economy. Lack of understanding of the economic nature of capital flight and of its institutional context leads to numerous calls for a policy response, such as stricter capital controls, which are not grounded in any theory or empirical studies, but at the same time are not opposed on theoretical grounds, with only ideological or technical arguments employed at the very best. The purpose of the paper is to examine capital flight from Russia within the institutional environment in which it occurs and to establish whether this capital flight has detrimental effect on the economy. New Institutional Economics approach is adopted to argue that in Russia’s case capital flight might be considered not just a consequence, as some researchers have argued earlier, but also an optimal solution to the institutional deficiencies with its economic role being neutral. To support the validity of this claim modified Granger non-causality test is used to determine whether capital flight dynamics have a causal effect on that of the interest rate differential and vice versa, that is to test whether price mechanism is not working. Rethinking the nature and the economic impact of capital flight allows postulating that within the existing institutional context the observed capital flight is a normal economic process which per se does not require any policy response and restricting capital flight by imposing capital controls cannot be an element of a pro-growth policy, as it would instead lead to boom-burst sort of growth.
2005-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/330/1/MPRA_paper_330.pdf
Kadochnikov, Denis (2005): Economic Impact of Capital Flight from Russia and its Institutional Context: Why Capital Controls cannot be a Part of a Pro-Growth Policy (updated version).
en
oai:mpra.ub.uni-muenchen.de:341
2019-10-03T10:45:10Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4330:433030
7375626A656374733D47:4731:473134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/341/
The value of information in a multi-agent market model
Toth, Bence
Scalas, Enrico
Huber, Juergen
Kirchler, Michael
C63 - Computational Techniques ; Simulation Modeling
C00 - General
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the experiments and in the simulations. Particularly, averagely informed traders perform worse than the non informed and only traders with high levels of information (insiders) are able to beat
the market. The simulations and the experiments reproduce many stylized facts of stock markets, such as fast decay of autocorrelation of returns, volatility clustering and fat-tailed distribution of returns. These results have an important message for everyday life. They can give a possible explanation why, on average, professional fund managers perform worse than the market index.
2006-10-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/341/1/MPRA_paper_341.pdf
Toth, Bence and Scalas, Enrico and Huber, Juergen and Kirchler, Michael (2006): The value of information in a multi-agent market model.
en
oai:mpra.ub.uni-muenchen.de:359
2019-09-27T17:13:08Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4732:473231
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https://mpra.ub.uni-muenchen.de/359/
Information sharing in credit markets: incentives for incorrect information reporting
Semenova, Maria
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
The introduction of institutions of credit information sharing - private credit bureaus and public credit registries - in the market for bank loans represent one of the possible solutions of information asymmetry problem, - the problem which the creditors tend to face. However the possibility of information sharing influences the bank's incentives in two different ways. While it disciplines the borrowers and, therefore, reduces the share of bad loans, a bank loses the competitive advantage, namely the monopolistic knowledge about the data in its clients' credit histories. Does the bank have an opportunity at its disposal to use the benefits of information sharing without losing its competitive advantage and its clientele? One way to do so is to report false data on borrowers. This paper analyses the bank's incentives for such opportunistic behavior and describes the impact of false information reporting on the characteristics of market equilibrium. The opportunity to get extra profit and to offer less expensive credit to new clients explains why banks prefer the strategy of dishonest behavior. This paper outlines the role of the informational intermediary in quality control for the data, contained in credit reports. Also, it describes the conditions under which verification of a certain share of reports provides that the parameters characterizing the equilibrium are equal to those in no information asymmetry situation.
2006-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/359/1/MPRA_paper_359.pdf
Semenova, Maria (2006): Information sharing in credit markets: incentives for incorrect information reporting.
en
oai:mpra.ub.uni-muenchen.de:418
2019-09-26T10:08:03Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D43:4334:433433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/418/
Divisia Monetary Index
Barnett, William A.
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
C43 - Index Numbers and Aggregation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This short paper is the first draft of an encyclopedia entry on Divisia Monetary Indexes to appear in the second edition of the International Encyclopedia of the Social Sciences. The encyclopedia is edited by William A. Darity and forthcoming from Macmillan Reference USA (Thomson Gale).
2006-04-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/418/1/MPRA_paper_418.pdf
Barnett, William A. (2006): Divisia Monetary Index.
en
oai:mpra.ub.uni-muenchen.de:419
2019-10-01T00:25:45Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D43:4334:433433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/419/
Supply of Money
Barnett, William A.
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
C43 - Index Numbers and Aggregation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This short paper is the encyclopedia entry on Supply of Money to appear in the second edition of the International Encyclopedia of the Social Sciences. The encyclopedia is edited by William A. Darity and forthcoming from Macmillan Reference USA (Thomson Gale).
2006-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/419/1/MPRA_paper_419.pdf
Barnett, William A. (2006): Supply of Money.
en
oai:mpra.ub.uni-muenchen.de:442
2019-09-26T09:14:49Z
7374617475733D707562
7375626A656374733D45:4536:453633
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/442/
Stock market consequences of macro economic fundamentals
Ayub, Mehar
E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy ; Stabilization ; Treasury Policy
E52 - Monetary Policy
G18 - Government Policy and Regulation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
It is concluded in the study that the Valuation Ratio will be independent from the Equities if equity-elasticity is equal to one. However, Market Capitalization depends on the investment in equities and the market liquidity. The model has been tested in the context of Pakistan and the Monetary and Fiscal policies have been found as the significant determinants of the Market Capitalization.
2000
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/442/1/MPRA_paper_442.pdf
Ayub, Mehar (2000): Stock market consequences of macro economic fundamentals. Published in: Conference Proceedings, Montreal: McGill University, (Canadian Economic Association) , Vol. 1, No. 2001 (2002): pp. 1-17.
en
oai:mpra.ub.uni-muenchen.de:516
2019-09-26T13:43:52Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D43:4335:433530
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/516/
Calendar anomalies in the Malaysian stock market
Chia, Ricky Chee-Jiun
Liew, Venus Khim-Sen
Syed Khalid Wafa, Syed Azizi Wafa
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C50 - General
This study examines the calendar anomalies in the Malaysian stock market. Using various generalized autoregressive conditional heteroskedasticity models; this study reveals the different anomaly patterns in this market for before, during and after the Asian financial crisis periods. Among other important findings, the evidence of negative Monday returns in post-crisis period is consistent with the related literature. However, this study finds no evidence of a January effect or any other monthly seasonality. The current empirical findings on the mean returns and their volatility in the Malaysian stock market could be useful in designing trading strategies and drawing investment decisions. For instance, as there appears to be no month-of-the-year effect, long-term investors may adopt the buy-and-hold strategy in the Malaysia stock market to obtain normal returns. In contrast, to obtain abnormal profit, investors have to deliberately looking for short-run misaligned price due to varying market volatility based on the finding of day-of-the-week effect. Besides, investors can use the day-of-the-week effect information to avoid and reduce the risk when investing in the Malaysian stock market. Further analysis using EGARCH and TGARCH models uncovered that asymmetrical market reactions on the positive and negative news, rendering doubts on the appropriateness of the previous research that employed GARCH and GARCH-M models in their analysis of calendar anomalies as the later two models assume asymmetrical market reactions.
2006-09-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/516/1/MPRA_paper_516.pdf
Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen and Syed Khalid Wafa, Syed Azizi Wafa (2006): Calendar anomalies in the Malaysian stock market.
en
oai:mpra.ub.uni-muenchen.de:523
2019-09-28T00:35:28Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/523/
Risk-based decisions on assets structure of a bank — partially observed economic conditions
Hałaj, Grzegorz
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
G11 - Portfolio Choice ; Investment Decisions
A model of bank’s dynamic asset management problem in case of partially
observed future economic conditions and requirements concerning
level of risk taken has been built. It requires solving the resulting optimal
control with random terminal condition resulting from partial observation
of parameter of maximized functional. Stochastic Maximum Principle reduces
the problem to solving FBSDE. As optimization may usually imply
dependence of forward equation on solutions of backward equation we allow
the drift and diffusion of forward part to be functions of solution of
backward equation. The necessary conditions for existence of solutions of
FBSDE in such a form have been derived. A numerical scheme is then
implemented for a particular choice of parameters of the problem.
2006-08-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/523/1/MPRA_paper_523.pdf
Hałaj, Grzegorz (2006): Risk-based decisions on assets structure of a bank — partially observed economic conditions.
en
oai:mpra.ub.uni-muenchen.de:551
2019-09-30T14:09:48Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/551/
How a small open economy's asset are priced by heterogeneous international investors
Chang, Yanqin
F34 - International Lending and Debt Problems
G15 - International Financial Markets
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
We study how a small open economy’s assets are prices by heterogeneous international investors. We initially decompose the asset pricing issue into separate studies of its two ingredients: the asset’s ex post return and the investors’ stochastic discount factor.
The ex post asset return is examined in a small open economy RBC model featuring adjustment cost in investment. We derive an approximate closed-form solution for the ex post asset return using the Campbell (1994) log-linear technique. The international investors’ stochastic discount factor is taken as given by this small open economy.
To examine the international investors’ stochastic discount factor, general equilibrium analysis is called in. We do this by setting up a world economy model. In the world economy model, the production side features a world representative firm which produce the world aggregate output consumed as world aggregate consumption; the consumer side features heterogeneous international investors from N countries in a sense that there are exogenous consumption distribution shocks and the price variation across countries. The shock affects the cross-sectional distribution of consumption goods among international investors but won’t affect the world aggregate level. The market stochastic discount factor hence is derived as a function of the world aggregate consumption growth, the world aggregate price growth and the cross-sectional variances and covariance terms of individual consumption growth and price growth.
We then derive the closed-form solutions for asset prices by substituting the two ingredients, the asset’s ex post return from small open economy model and the investors’ stochastic discount factor from a general equilibrium world economy model, into the basic asset pricing formulas. Our model generates a risk premium for a small economy’s asset that tends to be low when the global economy is robust and to soar when global economy experiences a downturn. The main reason behind this is our assumption of heterogeneity across international investors. We also study the capital accumulation and capital loss/gain channels and explore their asset pricing implications. Our major finding is: For a small country that conducts fierce capital accumulation, our model predicts that its risk premium will fluctuate less broadly than one that conducts little capital accumulation.
2006-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/551/1/MPRA_paper_551.pdf
Chang, Yanqin (2006): How a small open economy's asset are priced by heterogeneous international investors.
en
oai:mpra.ub.uni-muenchen.de:561
2019-09-26T21:31:42Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D47:4731:473131
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/561/
Economic and Financial Crises and the Predictability of U.S. Stock Returns
Hartmann, Daniel
Kempa, Bernd
Pierdzioch, Christian
C53 - Forecasting and Prediction Methods ; Simulation Methods
G11 - Portfolio Choice ; Investment Decisions
E44 - Financial Markets and the Macroeconomy
We argue that the use of publicly available and easily accessible information on economic and financial crises to detect structural breaks in the link between stock returns and macroeconomic predictor variables improves the performance of simple trading rules in real time. In particular, our results suggest that accounting for structural breaks and regime shifts in forecasting regressions caused by economic and financial crises has the potential to increase the out-of-sample predictability of stock returns, the performance of simple trading rules, and the market-timing ability of an investor trading in the U.S. stock market.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/561/1/MPRA_paper_561.pdf
Hartmann, Daniel and Kempa, Bernd and Pierdzioch, Christian (2006): Economic and Financial Crises and the Predictability of U.S. Stock Returns.
en
oai:mpra.ub.uni-muenchen.de:562
2019-09-28T04:21:27Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D45:4534:453434
7375626A656374733D46:4633:463332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/562/
International Equity Flows and the Predictability of U.S. Stock Returns
Hartmann, Daniel
Pierdzioch, Christian
G11 - Portfolio Choice ; Investment Decisions
E44 - Financial Markets and the Macroeconomy
F32 - Current Account Adjustment ; Short-Term Capital Movements
We examined the link between international equity flows and U.S. stock returns. Based on the results of tests of in-sample and out-of-sample predictability of stock returns, we found evidence of a strong positive (negative) link between international equity flows and contemporaneous (one-month-ahead) stock returns. Our results also indicate that an investor, in real time, could have used information on the link between international equity flows and one-month-ahead stock returns to improve the performance of simple trading rules.
2006-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/562/1/MPRA_paper_562.pdf
Hartmann, Daniel and Pierdzioch, Christian (2006): International Equity Flows and the Predictability of U.S. Stock Returns.
en
oai:mpra.ub.uni-muenchen.de:593
2019-09-29T17:36:53Z
7374617475733D756E707562
7375626A656374733D43:4335:433532
7375626A656374733D47:4731:473135
7375626A656374733D47:4731:473130
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/593/
Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models
Frimpong, Joseph Magnus
Oteng-Abayie, Eric Fosu
C52 - Model Evaluation, Validation, and Selection
G15 - International Financial Markets
G10 - General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) is used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast performance compared with each other, using AIC and LL information criteria and BDS nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and asymmetry effects associated with stock market returns on more advanced stock markets. The random walk hypothesis is rejected for the DSI. Overall, the GARCH (1,1) model outperformed the other models under the assumption that the innovations follow a normal distribution.
2006-10-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/593/1/MPRA_paper_593.pdf
Frimpong, Joseph Magnus and Oteng-Abayie, Eric Fosu (2006): Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models.
en
oai:mpra.ub.uni-muenchen.de:656
2019-09-27T17:24:30Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/656/
Stock prices, exchange rates and causality in Malaysia: a note
Azman-Saini, W.N.W.
Habibullah, M.S.
Law, Siong Hook
Dayang-Afizzah, A.M.
G1 - General Financial Markets
F31 - Foreign Exchange
This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange rates stability is important for stock market well-being.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/656/1/MPRA_paper_656.pdf
Azman-Saini, W.N.W. and Habibullah, M.S. and Law, Siong Hook and Dayang-Afizzah, A.M. (2006): Stock prices, exchange rates and causality in Malaysia: a note.
en
oai:mpra.ub.uni-muenchen.de:657
2019-10-16T05:34:09Z
7374617475733D756E707562
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/657/
Belief merging and revision under social influence: An explanation for the volatility clustering puzzle
Siddiqi, Hammad
G1 - General Financial Markets
A share price in a stock market can be thought of as arising out of an aggregation procedure. The price of a stock aggregates many individual beliefs into a collective one, the collective will of the market, so to speak. How does this aggregation come about? And is this aggregation fair in the sense that it correctly reflects the value? Furthermore,in the context of a stock market, it becomes immediately clear that belief merging cannot be separated from belief revision since investors in the market have a direct stake in what others think and clearly find it optimal to revise their beliefs in the light of the information about what others believe. We show that if investors are revising their beliefs not only after receiving new exogenous information but also after their social interactions with other investors and these revised beliefs are getting merged to generate the stock price under the accepted principles of finance (no arbitrage) then the resulting price dynamics explain a long standing puzzle in finance, the volatility clustering puzzle.
2006-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/657/1/MPRA_paper_657.pdf
Siddiqi, Hammad (2006): Belief merging and revision under social influence: An explanation for the volatility clustering puzzle.
en
oai:mpra.ub.uni-muenchen.de:677
2019-09-28T04:05:49Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D47:4732:473233
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/677/
Institutional investors and stock market efficiency: The case of the January anomaly
Bohl, Martin T.
Gottschalk, Katrin
Pál, Rozália
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors
In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on the impact of individual versus institutional investors on the January effect. We find robust empirical results that the increase in institutional ownership has reduced the magnitude of an anomalous January effect induced by individual investors’ trading behavior.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/677/1/MPRA_paper_677.pdf
Bohl, Martin T. and Gottschalk, Katrin and Pál, Rozália (2006): Institutional investors and stock market efficiency: The case of the January anomaly.
en
oai:mpra.ub.uni-muenchen.de:698
2019-09-27T07:36:53Z
7374617475733D756E707562
7375626A656374733D47:4733:473334
7375626A656374733D47:4731:473135
7375626A656374733D46:4631:463135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/698/
Le partenariat euro méditerranéen et son impact sur le développement des marchés boursiers méditerranéens
Ben Slimane, Faten
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G15 - International Financial Markets
F15 - Economic Integration
This paper analysis the effect of the Euro-Mediterranean partnership on the stock exchanges of Mediterranean countries. After having studied the evolution of these markets, we will show their vulnerability and especially the risks which they incur if the processes of removal of the economic and financial barriers are not accompanied by substantial reforms. Vis-à-vis these threats, one of the best strategies to be followed is to opt to consolidation strategies with, in particular, European stock exchanges.
[Paper presented at annual EMMA-CNRS conference (Istanbul- MAi 2006)]
2006-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/698/1/MPRA_paper_698.pdf
Ben Slimane, Faten (2006): Le partenariat euro méditerranéen et son impact sur le développement des marchés boursiers méditerranéens.
fr
oai:mpra.ub.uni-muenchen.de:699
2019-09-27T17:25:30Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D44:4435:443531
7375626A656374733D4A:4A31:4A3130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/699/
Equilibrium price dynamics in an overlapping-generations exchange economy
Brito, Paulo
Dilao, Rui
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
D51 - Exchange and Production Economies
J10 - General
We present a continuous time overlapping generations
model for an endowment Arrow-Debreu economy with an
age-structured population. For an economy with a balanced growth
path, we prove that Arrow-Debreu equilibrium prices exist, and
their dynamic properties are age-dependent. Our model allows for an
explicit dependence of prices on critical
age-specific endowment parameters. We show that, if endowments are
distributed earlier than some critical age, then speculative bubbles
for prices do exist.
2006-10-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/699/1/MPRA_paper_699.pdf
Brito, Paulo and Dilao, Rui (2006): Equilibrium price dynamics in an overlapping-generations exchange economy.
en
oai:mpra.ub.uni-muenchen.de:701
2019-09-29T10:13:58Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/701/
The exact value for European options on a stock paying a discrete dividend
Amaro de Matos, Joao
Dilao, Rui
Ferreira, Bruno
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
In the context of a Black-Scholes
economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European
options on a stock paying a discrete dividend.
Setting the option price error below the smallest monetary unity, both bounds coincide, and we
obtain the exact value of the option.
2006-01-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/701/1/MPRA_paper_701.pdf
Amaro de Matos, Joao and Dilao, Rui and Ferreira, Bruno (2006): The exact value for European options on a stock paying a discrete dividend.
en
oai:mpra.ub.uni-muenchen.de:715
2019-10-02T04:40:13Z
7374617475733D756E707562
7375626A656374733D4F:4F34:4F3430
7375626A656374733D47:4732:473230
7375626A656374733D4F:4F31:4F3136
7375626A656374733D4F:4F31:4F3131
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/715/
Finance and growth in a small open emerging market
Law, Siong Hook
Azman-Saini, W.N.W.
Smith, Peter
O40 - General
G20 - General
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
O11 - Macroeconomic Analyses of Economic Development
G10 - General
This study contributes to the debate on financial development and economic growth in Malaysia using quarterly observations for a sample period from 1980 to 2002. It utilises a battery of financial indicators. Based on multivariate framework which takes real interest rate and capital stock into account, the findings are suggestive that finance does play a crucial role in promoting economic growth. Policymakers should, therefore, focus their attention on the creation and promotion of modern financial institutions including banks, non-banks, and stock markets in delivering both short- and long-run economic benefits.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/715/1/MPRA_paper_715.pdf
Law, Siong Hook and Azman-Saini, W.N.W. and Smith, Peter (2006): Finance and growth in a small open emerging market.
en
oai:mpra.ub.uni-muenchen.de:758
2019-10-25T18:10:05Z
oai:mpra.ub.uni-muenchen.de:759
2019-10-30T05:03:59Z
oai:mpra.ub.uni-muenchen.de:841
2019-09-26T09:58:18Z
7374617475733D756E707562
7375626A656374733D4F:4F31:4F3133
7375626A656374733D47:4731:473139
7375626A656374733D51:5131:513134
7375626A656374733D51:5132:513232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/841/
The potential use of derivatives to manage the price risk of seafood markets: the case of sole and cuttlefish in France
Bégué-Turon, Jean-Loïc
Perraudeau, Yves
Rautureau, Nicolas
O13 - Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products
G19 - Other
Q14 - Agricultural Finance
Q22 - Fishery ; Aquaculture
Taking into consideration the changes in the rules for the price support for agricultural and sea products, it seems appropriate to find out what other means could be used to cover the price risk in order to protect the commercial margin of these sectors of activity. The use of derivatives tools helps achieve this objective. We first emphasize the interest of such a study for fresh seafood markets and make a brief presentation of the various tools available to facilitate the understanding of future choices. Then we conduct a statistical analysis concerning the common sole and cuttlefish French markets which shows a good correlation level between sizes, presentations, qualities and the possibility to launch indices by species and OTC optional transactions on them. The last section brings into perspective the results and points out the various steps to take to make it functional.
2006-10-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/841/1/MPRA_paper_841.pdf
Bégué-Turon, Jean-Loïc and Perraudeau, Yves and Rautureau, Nicolas (2006): The potential use of derivatives to manage the price risk of seafood markets: the case of sole and cuttlefish in France.
en
oai:mpra.ub.uni-muenchen.de:876
2019-10-17T11:02:01Z
7374617475733D756E707562
7375626A656374733D46:4634:463431
7375626A656374733D43:4336:433633
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/876/
Equity Premiums In a Small Open Economy
Douch, Mohamed
F41 - Open Economy Macroeconomics
C63 - Computational Techniques ; Simulation Modeling
G15 - International Financial Markets
This paper studies the behaviour of asset prices in relation to consumption and other business cycle variables. While RBC models have been able to successfully explain the dynamics of macroeconomic variables, they fail to replicate similar interesting stylized facts when studying the behavior of asset prices. In an attempt to solve this shortcoming, some progress has been made in models that modify utility in order to account for habit persistence and incorporate capital adjustment costs. We have developed a framework that combines these ingredients by applying the loglinearly reduced form of the general equilibrium model and the asset pricing formula, based on the lognormality of the disturbance distribution for the small open economy case. Our ndings indicate that in a small open economy environment this kind of model fails to account for a substantial equity premium.
2004-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/876/1/MPRA_paper_876.pdf
Douch, Mohamed (2004): Equity Premiums In a Small Open Economy.
en
oai:mpra.ub.uni-muenchen.de:916
2019-09-26T11:50:52Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/916/
On a relationship between distorted and spectral risk measures
Henryk, Gzyl
Silvia, Mayoral
G11 - Portfolio Choice ; Investment Decisions
We study the relationship between two widely used risk measures,
the spectral measures and the distortion risk measures. In both
cases, the risk measure can be thought of as a re-weighting of
some initial distribution. We prove that spectral risk measures
are equivalent to distorted risk pricing measures, or
equivalently, spectral risk functions are related to distortion
functions. Besides that we prove that distorted measures are
absolutely continuous with respect to the original measure.
2006-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/916/1/MPRA_paper_916.pdf
Henryk, Gzyl and Silvia, Mayoral (2006): On a relationship between distorted and spectral risk measures.
en
oai:mpra.ub.uni-muenchen.de:936
2019-10-14T06:24:24Z
oai:mpra.ub.uni-muenchen.de:942
2019-09-29T11:59:22Z
7374617475733D707562
7375626A656374733D45:4535:453538
7375626A656374733D46:4633:463331
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/942/
El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006
Hernández Monsalve, Mauricio Alberto
Mesa Callejas, Ramón Javier
E58 - Central Banks and Their Policies
F31 - Foreign Exchange
E52 - Monetary Policy
G11 - Portfolio Choice ; Investment Decisions
El objetivo de este artículo es medir el tamaño relativo de las intervenciones cambiarias realizadas en el periodo de la revaluación del peso, entre 2004 y 2006, y calcular la efectividad de éstas en cuanto a sus efectos sobre la media y la varianza del tipo de cambio nominal. La propuesta de un modelo de determinación del tipo de cambio, que parte del modelo de balance de portafolio, y el uso de un índice de intervención construido para el caso colombiano, permiten concluir que las intervenciones del Banco de la República, con miras a defender el régimen de flotación controlada, han tenido efectos pequeños y transitorios en el nivel y la varianza del tipo de cambio, presentando rezagos de varios días y siendo descontadas rápidamente por el mercado
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/942/1/MPRA_paper_942.pdf
Hernández Monsalve, Mauricio Alberto and Mesa Callejas, Ramón Javier (2006): El efecto de las intervenciones cambiarias: la experiencia colombiana 2004-2006. Published in: Borradores del CIE No. 24 (October 2006): pp. 1-29.
es
oai:mpra.ub.uni-muenchen.de:967
2019-09-26T11:33:41Z
7374617475733D756E707562
7375626A656374733D44:4430:443030
7375626A656374733D44:4430:443031
7375626A656374733D47:4731:473132
7375626A656374733D45:4533:453332
7375626A656374733D49:4930
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/967/
Interview with Kenneth Arrow
Dubra, Juan
D00 - General
D01 - Microeconomic Behavior: Underlying Principles
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
E32 - Business Fluctuations ; Cycles
I0 - General
Arrow argues that the biggest failures of economic theory are: our failure to explain the business cycle; the missing explanations for the size of fluctuations of prices; our failure to explain the causes of growth and of the spread of innovation. He then discusses several of the existing alternatives to the rational expectations paradigm. He tells the story of his dissertation, and how Koopmans wanted to decline his Nobel Prize.Finally, he discusses health care reform, and malaria in Africa.
2005-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/967/1/MPRA_paper_967.pdf
Dubra, Juan (2005): Interview with Kenneth Arrow.
en
oai:mpra.ub.uni-muenchen.de:972
2019-09-27T17:05:09Z
7374617475733D707562
7375626A656374733D47:4732:473238
7375626A656374733D4F:4F31:4F3136
7375626A656374733D47:4731:473138
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/972/
Financial Developent and Economic Growth Nexus: Time Series Evidence from Middle Eastern and North African Countries
Abu-Bader, Suleiman
Abu-Qarn, Aamer
G28 - Government Policy and Regulation
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
G18 - Government Policy and Regulation
This paper examines the causal relationship between financial development and economic growth in five Middle Eastern and North African (MENA) countries for different periods ranging from 1960 to 2004, within a trivariate vector autoregressive (VAR) framework. We employ four different measures of financial development and apply Granger causality tests using the cointegration and vector error-correction (VEC) methodology. Our empirical results show weak support for a long-run relationship between financial development and economic growth, and for the hypothesis that finance leads growth. In cases where cointegration was detected, Granger causality was either bidirectional or it ran from output to financial development.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/972/1/MPRA_paper_972.pdf
Abu-Bader, Suleiman and Abu-Qarn, Aamer (2006): Financial Developent and Economic Growth Nexus: Time Series Evidence from Middle Eastern and North African Countries. Published in: Review of Development Economics , Vol. 12, No. 4 (2008): pp. 803-817.
en
oai:mpra.ub.uni-muenchen.de:973
2019-09-29T04:45:32Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/973/
Path dependent volatility
Pascucci, Andrea
Foschi, Paolo
G1 - General Financial Markets
C02 - Mathematical Methods
We propose a general class of non-constant volatility models with dependence on the past.
The framework includes path-dependent volatility models such as that by Hobson&Rogers and
also path dependent contracts such as options of Asian style. A key feature of the model is that market completeness is preserved. Some empirical analysis, based on the comparison with the performance of standard local volatility and Heston models, shows the effectiveness of the path dependent volatility.
2006-11-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/973/1/MPRA_paper_973.pdf
Pascucci, Andrea and Foschi, Paolo (2006): Path dependent volatility.
en
oai:mpra.ub.uni-muenchen.de:1072
2019-09-28T13:49:32Z
7374617475733D696E7072657373
7375626A656374733D45:4532:453230
7375626A656374733D45:4534:453434
7375626A656374733D43:4333:433333
7375626A656374733D45:4534:453433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1072/
An Interpretation of An Affine Term Structure Model for Chile
Juan Marcelo, Ochoa
E20 - General
E44 - Financial Markets and the Macroeconomy
C33 - Panel Data Models ; Spatio-temporal Models
E43 - Interest Rates: Determination, Term Structure, and Effects
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely the instantaneous short rate and its time-varying central tendency. The model estimates suggest that the short end of the yield curve is mainly driven by changes in first latent factor, while long-term interest rates are mainly explained by the second latent factor. Consequently, when examining movements in the term structure, one should think of at least two forces that hit the economy: temporary shocks that change short-term and medium-term interest rates by much larger amounts than long-term interest rates, causing changes in the slope of the yield curve; and long-lived innovations which have persistent effects on the level of the yield curve.
2006-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1072/1/MPRA_paper_1072.pdf
Juan Marcelo, Ochoa (2006): An Interpretation of An Affine Term Structure Model for Chile. Forthcoming in: Revista de Estudios de Economia (2006)
en
oai:mpra.ub.uni-muenchen.de:1113
2019-09-28T04:54:04Z
7374617475733D707562
7375626A656374733D47:4731:473138
7375626A656374733D4F:4F31:4F3136
7375626A656374733D47:4732:473238
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1113/
Financial Development and Economic Growth: Time Series Evidence from Egypt
Abu-Bader, Suleiman
Abu-Qarn, Aamer
G18 - Government Policy and Regulation
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
G28 - Government Policy and Regulation
This paper examines the causal relationship between financial development and economic growth in Egypt during the period 1960-2001 within a trivariate VAR setting. We employ four different measures of financial development and apply Granger causality tests using the cointegration and vector error correction methodology. Our results significantly support the view that financial development Granger-causes economic growth either through increasing investment efficiency or through increasing resources for investment. This finding suggests that the financial reforms launched in 1990 can explain the rebound in economic performance since then and that further deepening of the financial sector is an important instrument to stimulate saving/investment and therefore long-term economic growth.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1113/1/MPRA_paper_1113.pdf
Abu-Bader, Suleiman and Abu-Qarn, Aamer (2005): Financial Development and Economic Growth: Time Series Evidence from Egypt. Published in: Journal of Policy Modeling , Vol. 30, No. 5 (2008): pp. 887-898.
en
oai:mpra.ub.uni-muenchen.de:1120
2019-09-28T22:53:13Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1120/
The macroeconomic effects of monetary policy and financial crisis
Douch, Mohamed
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
G1 - General Financial Markets
In this paper we focus on postwar US data and incorporate new nancial measures and
monetary policy shocks in a vector autoregression (VAR) system in order to test whether one or the other has any real effect on the economy. We nd econometric evidence that these shocks and events are exogenous, and therefore the exogenous nature of shocks to monetary policy and stock market crashes investigated in this study may help policymakers, especially regarding debates related to eventual relationships between optimal monetary policy and nancial stability.
2005-05-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1120/1/MPRA_paper_1120.pdf
Douch, Mohamed (2005): The macroeconomic effects of monetary policy and financial crisis.
en
oai:mpra.ub.uni-muenchen.de:1261
2019-09-28T16:32:15Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D45:4533:453332
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433632
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1261/
Memory and Asset Pricing Models with Heterogeneous Beliefs
Verbic, Miroslav
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
E32 - Business Fluctuations ; Cycles
C02 - Mathematical Methods
C62 - Existence and Stability Conditions of Equilibrium
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of evolutionary adaptive systems and survival of technical trading. In order to obtain an insight into this matter two cases were analyzed; a two-type case of fundamentalists versus contrarians and a three-type case of fundamentalists versus opposite biases. It has been established that increasing memory strength has a stabilizing effect on dynamics, though it is not able to eliminate speculative traders’ short-run profit seeking behaviour from the market. Furthermore, opposite biases do not seem to lead to chaotic dynamics, even when there are no costs for fundamentalists. Apparently some (strong) trend extrapolator beliefs are needed in order to trigger chaotic asset price fluctuations.
2006-08-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1261/1/MPRA_paper_1261.pdf
Verbic, Miroslav (2006): Memory and Asset Pricing Models with Heterogeneous Beliefs.
en
oai:mpra.ub.uni-muenchen.de:1418
2019-10-08T06:25:39Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4334:433436
7375626A656374733D47:4731:473131
7375626A656374733D43:4338:433837
7375626A656374733D47:4733:473332
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473132
7375626A656374733D43:4338:433832
7375626A656374733D47:4731:473135
7375626A656374733D43:4333:433333
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1418/
The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter
C51 - Model Construction and Estimation
C46 - Specific Distributions ; Specific Statistics
G11 - Portfolio Choice ; Investment Decisions
C87 - Econometric Software
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G18 - Government Policy and Regulation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
G15 - International Financial Markets
C33 - Panel Data Models ; Spatio-temporal Models
C13 - Estimation: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used 1976-1996 quarterly data from the International Finance Corporation (IFC) and Microfit was used to analyse the data. Using the assumption that market size is positively correlated with the ability to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most important determinants of the HSE market capitalisation. The study suggests that further in-depth research into the determinants of market capitalisation for the African and other emerging stock markets is required to identify best ways of developing these markets within the global financial system while at the same time promoting local economic growth. The paper begins with an introduction about the HSE followed by short description of stock markets in developing countries. The second part of the paper outlines the theory behind market capitalisation, the development of of the general econometric model and specific cointegrating regression model and the results from the analysis. The third section provides conclusions and policy implications associated with encouraging the stock markets in the emerging stock markets with particular reference to the HSE.
2005-11-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1418/1/MPRA_paper_1418.pdf
Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm
en
oai:mpra.ub.uni-muenchen.de:1422
2019-10-03T20:31:52Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D43:4336:433630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1422/
Hermes: an Ontology-Based News Personalization Portal
Borsje, Jethro
Levering, Leonard
Embregts, Hanno
Frasincar, Flavius
G11 - Portfolio Choice ; Investment Decisions
C60 - General
Nowadays, news feeds provide Web users with access to an unlimited amount of news items, however only a subset of them is relevant. Therefore, users should be able to select the most relevant concepts, about which they want to retrieve news. Although keyword search engines provide users with the ability to filter news items, they lack the power of understanding the domain where the news items reside.
The aim of this paper is to propose a solution that provides users with the ability to ask for news items related to specific concepts they are interested in. This is accomplished by creating an ontology, developing a classifying system that populates the ontology by making use of a knowledge base, and providing an innovative graph representation of the ontology to retrieve relevant news items. A characteristic feature of our approach is the consideration of both concepts and concept relationships for the retrieval of user-relevant items.
2007-01-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1422/1/MPRA_paper_1422.pdf
Borsje, Jethro and Levering, Leonard and Embregts, Hanno and Frasincar, Flavius (2007): Hermes: an Ontology-Based News Personalization Portal.
en
oai:mpra.ub.uni-muenchen.de:1423
2019-09-28T08:06:25Z
7374617475733D707562
7375626A656374733D47:4731:473133
7375626A656374733D45:4533:453331
7375626A656374733D45:4534:453433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1423/
TIPS Options in the Jarrow-Yildirim model
Henrard, Marc
G13 - Contingent Pricing ; Futures Pricing
E31 - Price Level ; Inflation ; Deflation
E43 - Interest Rates: Determination, Term Structure, and Effects
An explicit pricing formula for inflation bond options is proposed in the
Jarrow-Yildirim model. The formula resembles that for coupon bond
options in the HJM model.
2006-01-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1423/1/MPRA_paper_1423.pdf
Henrard, Marc (2006): TIPS Options in the Jarrow-Yildirim model. Published in: Risk , Vol. 16(2), No. March 2006 (March 2006): pp. 82-83.
en
oai:mpra.ub.uni-muenchen.de:1441
2019-09-28T04:32:24Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473131
7375626A656374733D44:4438:443832
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1441/
Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias
Ruiz-Porras, Antonio
G11 - Portfolio Choice ; Investment Decisions
D82 - Asymmetric and Private Information ; Mechanism Design
F31 - Foreign Exchange
In this paper we study the hypothesis of “divergent expectations” with a signaling game. Such hypothesis points out that, in emerging economies, local investors tend to be front-runners in a currency crisis. Our analysis shows that changes in the informational structure available to the investors change their risk management practices. Particularly, if local investors have privileged information, about the likelihood of problems in the economy, they will monopolize the available asset returns and expected utilities. Furthermore the sum of expected utilities of local and foreign investors will be lower than the one achieved without information asymmetries.
2006-12-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1441/1/MPRA_paper_1441.pdf
Ruiz-Porras, Antonio (2006): Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias. Forthcoming in: Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) , Vol. 1, No. 1 (January 2007): pp. 56-63.
es
oai:mpra.ub.uni-muenchen.de:1449
2019-09-26T22:24:53Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1449/
Fixed-income instrument pricing.
ilya, gikhman
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
In this article we discuss the fundamentals of pricing of the popular financial instruments. The basic point of our approach is to extend the present value benchmark concept. The present value valuation approach plays the similar role as The Newton Laws in the Classic Mechanics. Thus our primary goal is to present a new outlook on valuation of the debt securities and its derivatives. We also, demonstrate why the present value is not a complete method of pricing either securities or derivatives. Then, as illustration we present a valuation of the floating rate, callable and convertible bonds. Next we discuss major drawbacks of the risk neutral interpretation of the derivatives pricing. At the end of the article we discuss interest rate swap and derivative valuation of some classes of the fixed income securities.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1449/1/MPRA_paper_1449.pdf
ilya, gikhman (2006): Fixed-income instrument pricing.
en
oai:mpra.ub.uni-muenchen.de:1450
2019-09-28T04:50:15Z
7374617475733D756E707562
7375626A656374733D47:4731:473133
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1450/
Corporate debt pricing I.
Ilya, Gikhman
G13 - Contingent Pricing ; Futures Pricing
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
In this article we discuss fundamentals of the debt securities pricing. We begin with a
generalization of the present value concept. Though the present value is the base
valuation method in the modern finance we will illustrate that this concept does not
sufficiently accurate in producing instrument pricing. The incompleteness of the unique
present value approach stems from variability of the interest rates. Admitting variability
of the interest rates we define two present values one for buyer other for seller. Therefore
future buyer and seller cash payments can be described by the correspondent present
values. Usually used assumption that future interest on investment over a specified time
period would be the same as before specified period is a theoretical simplification that
might be admitted or not. Admitting such assumption leads to eliminating an important
component of the market risk. Recall that the assumption that a future payment can be
invested with the same constant interest rate equal to the one used in the past is a
component of the group conditions that specify frictionless of the market. We use this
new concept that splits present value within two counterparties to outline details of the
new valuation method of the fixed income securities.
The primary goal of this paper is a credit derivative pricing method of the risky
debt instruments. First we introduce a formal definition of the default. It somewhat close
but does not coincide with the reduced form of the default setting.
2007-10-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1450/1/MPRA_paper_1450.pdf
Ilya, Gikhman (2007): Corporate debt pricing I.
en
oai:mpra.ub.uni-muenchen.de:1451
2019-10-06T05:50:34Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473133
7375626A656374733D43:4336:433633
7375626A656374733D43:4336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1451/
Some critical comments on credit risk modeling.
ilya, gikhman
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G13 - Contingent Pricing ; Futures Pricing
C63 - Computational Techniques ; Simulation Modeling
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
In this notice we are comment popular approaches to the credit risk
modeling.
2006-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1451/1/MPRA_paper_1451.pdf
ilya, gikhman (2006): Some critical comments on credit risk modeling.
en
oai:mpra.ub.uni-muenchen.de:1452
2019-10-21T10:51:50Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D47:4731:473133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1452/
Options valuation.
ilya, gikhman
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G13 - Contingent Pricing ; Futures Pricing
This paper deals with the option-pricing problem. In the first part of the paper
we study in details the discrete setting of the option-pricing problem usually referred to as
the binomial scheme. We highlight basic differences between the old and the new
approaches. The main qualitative distinction of the new pricing approach from either
binomial or Black Scholes’s is that it represents the option price as a stochastic process.
This stochastic interpretation can not give straightforward advantage for an investor due
to stochastic setting of the pricing problem. The new approach explicitly states that the
options price is more risky than represented by binomial scheme or Black Scholes theory.
To highlight the difference between stochastic and deterministic option price
definitions note that if a deterministic value is interpreted as a perfect or fair price we can
comment that the stochastic interpretation provides this number or any other with the
probability that real world option value at maturity will be bellow chosen number. This
probability is a pricing risk of the option. Thus with an investor’s motivation of the
option pricing the stochastic approach gives information about the risk taking. The
investor analyzing option price and corresponding risk makes a decision to purchase the
option or not.
Continuous setting will be considered in the second part of the paper following [1].
A significant conclusion can be drawn from the new approach. It is shown that either
binomial or Black-Scholes solutions of the option pricing problem have serious
drawbacks. In particular, the binomial scheme establishes the unique price for a stock
that takes two values and strike price K, Sd < K < Su. According the binomial scheme this
‘fair’ price does not depends on real probabilities. Thus two options with that promise
fixed income at maturity with probability close to 1 or 0 do have the same price. This of
course does not have any sense. From this follows that there is no sense in using either
neutral probabilities or ‘neutral world’ in options applications for valuation interest rates
or credit derivatives either theoretically or numerically.
Recall that Black Scholes’ approach was introduced in [2] and then later the binomial
scheme was published [3]. Here we first represent discrete scheme. In several examples
we discuss two-period plain vanilla option valuation. Note that the scheme can be applied
for arbitrary states of a security over one step market. Then we extend the discrete
scheme over an application to exotic option-pricing referred to as a compound option.
The compound option in Black Scholes setting was first studied in [4] and then in [5,6].
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1452/1/MPRA_paper_1452.pdf
ilya, gikhman (2005): Options valuation.
en
oai:mpra.ub.uni-muenchen.de:1534
2019-09-28T12:12:09Z
7374617475733D756E707562
7375626A656374733D47:4731:473133
7375626A656374733D45:4534:453433
7375626A656374733D43:4336:433633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1534/
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
Henrard, Marc
G13 - Contingent Pricing ; Futures Pricing
E43 - Interest Rates: Determination, Term Structure, and Effects
C63 - Computational Techniques ; Simulation Modeling
A simple exotic option (floor on rolled deposit) is studied in the shifted log-normal Libor Market (LMM) and Gaussian HJM models. The shifted log-normal LMM exhibits a controllable volatility skew. An explicit approach is used for both models. Using approximations the price in the LMM is obtained without Monte Carlo simulation. The more precise approximation uses a twisted version of the perdictor-corrector adapted to explicit solutions. The results of the approximation are surprisingly good.
2007-01-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1534/1/MPRA_paper_1534.pdf
Henrard, Marc (2007): Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options.
en
oai:mpra.ub.uni-muenchen.de:1576
2019-10-01T22:57:44Z
7374617475733D707562
7375626A656374733D51:5134
7375626A656374733D47:4731:473130
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1576/
The North American natural gas liquids markets are chaotic
Serletis, Apostolos
Gogas, Periklis
Q4 - Energy
G10 - General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant, and McCaffrey (1992). We conclude that there is evidence consistent with a chaotic nonlinear generation process in all five natural gas liquids markets.
1999
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1576/1/MPRA_paper_1576.pdf
Serletis, Apostolos and Gogas, Periklis (1999): The North American natural gas liquids markets are chaotic. Published in: The Energy Journal , Vol. 20, No. 1 (1999): pp. 83-103.
en
oai:mpra.ub.uni-muenchen.de:1577
2019-09-26T13:13:22Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473139
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1577/
Causality in Crude Oil Prices
Hagstromer, Bjorn
Wlazlowski, Szymon
G19 - Other
The world market of crude oil has three well established benchmarks used for pricing of other crudes: West Texas Intermediate, Europe Brent and Dubai Fateh.
The relevance of these are however declining, as the output of the benchmarks is decreasing, and as an increasing share of world crude produced is of worse quality than the benchmarks (pointed out by e.g. Montepeque, 2005). Particularly the segment of medium density, sour crudes is lacking a reliable benchmark.
We apply Granger causality tests to study the price dependencies of 32 crude oils empirically. The aim is to establish what crudes are setting the prices and what crudes are just follow the general market trend. The investigation is performed globally as well as for different quality segments, geographical segments and the segments of OPEC and non-OPEC crudes.
The results indicate that crude oil price analysts should follow at least four different crudes that are if not benchmarks, at least good price indicators. While the well-established benchmarks WTI and Brent still lead the market, they are not the only crude prices worth paying attention to. In particular, Russian Urals drives global prices in a significant way, and Iran Seri Kerir is a significant price setter within OPEC.
Dubai Fateh does not display any significant influence as a price setter. The lack of a reliable benchmark for medium density, sour crudes is thereby confirmed.
2007-01-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1577/1/MPRA_paper_1577.pdf
Hagstromer, Bjorn and Wlazlowski, Szymon (2007): Causality in Crude Oil Prices. Forthcoming in: Aston Working Paper Series
en
oai:mpra.ub.uni-muenchen.de:1592
2019-09-26T19:30:41Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D47:4731
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1592/
A local dynamic conditional correlation model
Feng, Yuanhua
G0 - General
G1 - General Financial Markets
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
This paper introduces the idea that the variances or correlations in financial returns may all change conditionally and slowly over time. A multi-step local dynamic conditional correlation model is proposed for simultaneously modelling these components. In particular, the local and conditional correlations are jointly estimated by multivariate kernel regression. A multivariate k-NN method with variable bandwidths is developed to solve the curse of dimension problem. Asymptotic properties of the estimators are discussed in detail. Practical performance of the model is illustrated by applications to foreign exchange rates.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1592/1/MPRA_paper_1592.pdf
Feng, Yuanhua (2006): A local dynamic conditional correlation model.
en
oai:mpra.ub.uni-muenchen.de:1613
2019-09-30T04:00:15Z
7374617475733D756E707562
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1613/
The Role of Loan Guarantee Schemes in Alleviating Credit Rationing in the UK
Cowling, Marc
G18 - Government Policy and Regulation
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
It is a widely held perception, although empirically contentious, that credit rationing is an important phenomenon in the UK small business sector. In response to this perception the UK government initiated a loan guarantee scheme (SFLGS) in 1981. In this paper we use a unique dataset comprised of small firms facing a very real, and binding, credit constraint, to question whether a corrective scheme such as the SFLGS has, in practice, alleviated such constraints by promoting access to debt finance for small credit constrained firms. The results broadly support the view that the SFLGS has fulfilled its primary objective.
2007-01-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1613/1/MPRA_paper_1613.pdf
Cowling, Marc (2007): The Role of Loan Guarantee Schemes in Alleviating Credit Rationing in the UK.
en
oai:mpra.ub.uni-muenchen.de:1668
2019-09-26T08:49:52Z
7374617475733D756E707562
7375626A656374733D43:4336:433630
7375626A656374733D43:4330:433032
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1668/
A comparative analysis of correlation skew modeling techniques for CDO index tranches
Claudio, Ferrarese
C60 - General
C02 - Mathematical Methods
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”. These models are extensions of the classic single factor Gaussian copula and may generate a skew. We consider examples with fat tailed distributions, stochastic and local correlation which generally provide a closer fit to market quotes. We present an additional variation of the stochastic correlation framework using normal inverse Gaussian distributions. The numerical analysis is carried out using a large homogeneous portfolio approximation.
2006-09-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1668/1/MPRA_paper_1668.pdf
Claudio, Ferrarese (2006): A comparative analysis of correlation skew modeling techniques for CDO index tranches.
en
oai:mpra.ub.uni-muenchen.de:1708
2019-10-02T04:30:03Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D45:4535:453532
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1708/
Why do markets react badly to good news? Evidence from Fed Funds Futures
Ghent, Andra
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
E52 - Monetary Policy
E44 - Financial Markets and the Macroeconomy
It is well known that U.S. monetary policy is well-approximated by a Taylor rule. This suggests a reason why good macroeconomic news sometimes depresses equity returns: good news about the real side of the economy implies tighter future monetary policy. I test this hypothesis by assessing the effect of news on equity returns after controlling for changes in expectations of future monetary policy using Fed Funds Futures data. The results do not support the theory. Furthermore, the negative response of stock markets to unanticipated inflation is unchanged by controlling for changes in monetary policy expectations.
2007-02-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1708/1/MPRA_paper_1708.pdf
Ghent, Andra (2007): Why do markets react badly to good news? Evidence from Fed Funds Futures.
en
oai:mpra.ub.uni-muenchen.de:1715
2019-09-28T01:27:00Z
7374617475733D707562
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1715/
Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan
Qayyum, Abdul
Kemal, A. R.
G1 - General Financial Markets
Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For long run relationship we use Engle Granger two step procedure and the volatility spillover is modelled through bivariate EGARCH method. The estimated results from cointegration analysis show that there is no long run relationship between the two markets. The results from the volatility modelling show that the behaviour of both the stock exchange and the foreign exchange markets are interlinked. The returns of one market are affected by the volatility of other market. Particularly the returns of the stock market are sensitive to the returns as well as the volatility of foreign exchange market. On the other hand returns in the foreign exchange market are mean reverting and they are affected by the volatility of stock market returns. There is strong relationship between the volatility of foreign exchange market and the volatility of returns in stock market.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1715/1/MPRA_paper_1715.pdf
Qayyum, Abdul and Kemal, A. R. (2006): Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan. Published in: PIDE Working Papers No. 2006:7 (2006): pp. 1-16.
en
oai:mpra.ub.uni-muenchen.de:1716
2019-09-28T22:44:51Z
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7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1716/
Stock Market Liberalisations in the South Asian Region
Husain, Fazal
Qayyum, Abdul
G1 - General Financial Markets
This study attempts to conduct an investigation of the characteristics of the
South Asian stock markets including the effects of the opening of these markets.
These markets were liberalised in early 1990s as a part of the economic reforms
started in the South Asian region about two decades ago. The analysis is conducted
for four countries in the South Asia, Bangladesh, India, Pakistan, and Sri Lanka,
covering the period from 1980 to 2003. The analysis is done with the help of tables,
regression analysis, Event Window analysis, and Error Correction Functions. The
analysis indicates significant development in stock markets indicators such as
market capitalisation and trading value in the region following liberalisation
measures. However, the development in stock markets in South Asia does not seem
to influence the real sector and the stock markets are still playing a minor role in
their respective economies. The integration analysis suggests that the markets in
South Asia are integrated with major markets, that is, of USA, UK, and Japan.
There is clear evidence that the markets in India and Pakistan are affected by the
major as well as the regional markets in the long run. In the short run, however, the
markets appear to be independent of one another
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1716/1/MPRA_paper_1716.pdf
Husain, Fazal and Qayyum, Abdul (2006): Stock Market Liberalisations in the South Asian Region. Published in: PIDE Working Papers No. 2006:6 (2006): pp. 1-19.
en
oai:mpra.ub.uni-muenchen.de:1734
2019-09-28T04:51:13Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
7375626A656374733D45:4533:453339
7375626A656374733D43:4336:433638
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1734/
Inside Money, Credit, and Investment
Dressler, Scott
Li, Victor
G11 - Portfolio Choice ; Investment Decisions
E39 - Other
C68 - Computable General Equilibrium Models
This paper presents a monetary explanation for several business-cycle facts: (i) household and business investment are procyclical, (ii) business investment lags household investment, (iii) household investment is positively correlated with M1, and (iv) household credit outstanding is positively correlated with and more volatile than household investment. We develop a dynamic general equilibrium model that features financial intermediaries accepting deposits and providing loans, credit-producing firms, and inside (bank-created) money. It is shown that the transmission of monetary shocks facilitated by credit and inside money creation is able to reconcile these real and monetary observations regarding the cyclical behavior of investment.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1734/1/MPRA_paper_1734.pdf
Dressler, Scott and Li, Victor (2007): Inside Money, Credit, and Investment.
en
oai:mpra.ub.uni-muenchen.de:1744
2019-09-27T12:41:44Z
7374617475733D707562
7375626A656374733D50:5032:503238
7375626A656374733D47:4731:473133
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1744/
Unit root behavior in energy futures prices
Serletis, Apostolos
P28 - Natural Resources ; Energy ; Environment
G13 - Contingent Pricing ; Futures Pricing
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.
1992
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1744/1/MPRA_paper_1744.pdf
Serletis, Apostolos (1992): Unit root behavior in energy futures prices. Published in: The Energy Journal , Vol. 13, No. 2 (1992): pp. 119-128.
en
oai:mpra.ub.uni-muenchen.de:1778
2019-09-27T03:32:07Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D46:4634:463431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1778/
Shadows of economic prosperity in india in retrospection of the capital market
Lahiri, Soumitra
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
F41 - Open Economy Macroeconomics
Indian share market has never been like this. Market indexes have appreciated in an unprecedented manner since June 2006 and are creating new records of attaining altitudes that were beyond dreams a couple of years back. Media and Government never give up the opportunity of going gala over new laurels of economic prosperity being achieved by the nation.
Even amidst such overall positivism question arises as to whether the achievements being flaunted about are truly real or not.
The value of Indian currency (Rs) has been gaining on value against hard currencies like US Dollar etc since mid 2002 and the Indian capital market experienced true upheaval from 2003 onwards. Furthermore, Internet trading and thereafter derivative trading was introduced by Government of India during the year 2000 when since investments from foreign institutional investors started pouring in. Therefore, besides the economic prosperity or irrespective of economic prosperity, an investment boom could happen since exchange rate decline was rendering extra income/capital appreciation for foreign institutional investors.
The article describes as to how investments from foreign investors have influenced mania in Indian share market and consequently driven the country on the verge of bankruptcy and/or virtual financial crash that may happen any ti
2007-02-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1778/1/MPRA_paper_1778.pdf
Lahiri, Soumitra (2007): Shadows of economic prosperity in india in retrospection of the capital market.
en
oai:mpra.ub.uni-muenchen.de:1780
2019-10-03T04:56:37Z
7374617475733D707562
7375626A656374733D47:4731:473138
7375626A656374733D47:4732
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1780/
Towards a new Approach to Regulation and Supervision in the EU: Post-FSAP and Comitology
Gualandri, Elisabetta
Grasso, Alessandro Giovanni
G18 - Government Policy and Regulation
G2 - Financial Institutions and Services
G1 - General Financial Markets
The aim of this paper is to analyse the progress made in the process of European integration from two points of view: regulation and supervision.
We first briefly outline the main steps in the development of the Financial Services Action Plan - FSAP and the process of Comitology, defined by the Committee of Wise Men (Lamfalussy Committee).
We then provide an initial evaluation of the new regulatory system, with its merits and flaws: while the definition and completion of the FSAP has been an undoubted success, some aspects still have to be dealt with, several of them with problematical connotations, considered in the Financial Services Agenda 2005-2010 The transposition into national regulations of a complex body of wide-ranging standards is a difficult process in terms of both times and procedures, although the functioning of the Comitology structure has been met with general approval.
There is also the problem of a supervisory structure which retains its national basis, but onto which the output generated by the Committees envisaged by the Lamfalussy process is gradually being grafted, possibly leading towards a new framework of controls at a European level.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1780/1/MPRA_paper_1780.pdf
Gualandri, Elisabetta and Grasso, Alessandro Giovanni (2006): Towards a new Approach to Regulation and Supervision in the EU: Post-FSAP and Comitology. Published in: Revue bancaire et financière Bank- en Financiewezen No. 2006/3 (April 2006): pp. 157-175.
en
oai:mpra.ub.uni-muenchen.de:1801
2019-09-30T05:27:03Z
7374617475733D756E707562
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1801/
An Empirical Investigation of Going Public Decision of Indian Companies
Mayur, Manas
Kumar, Manoj
G10 - General
This paper examines the determinants of the going public decision of the Indian companies. A probit regression model is used to analyze the influence of fundamental financial data of Indian companies on their going public decision. The size, profitability, age and leverage emerged as the significant determinants of going public decision of Indian companies. The statistically insignificant relationship between the financing needs and likelihood of an IPO found in our study is similar to the Pagano et al.,1998 and contrary to the findings of several other studies done on same issue.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1801/1/MPRA_paper_1801.pdf
Mayur, Manas and Kumar, Manoj (2006): An Empirical Investigation of Going Public Decision of Indian Companies.
en
oai:mpra.ub.uni-muenchen.de:1823
2019-10-25T17:33:19Z
oai:mpra.ub.uni-muenchen.de:1847
2019-10-14T16:24:22Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1847/
The Chinese Chaos Game
Raul, Matsushita
Iram, Gleria
Annibal, Figueiredo
Sergio, Da Silva
G15 - International Financial Markets
The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an
iterated function system clumpiness test. Yet the fractal vanishes after the revaluation.
The Sierpinski commonly emerges in the chaos game, where randomness coexists with
deterministic rules [2, 3]. Here it is explained by the yuan’s pegs to the US dollar,
which made more than half of the data points close to zero. Extra data from the
Brazilian and Argentine experiences do confirm that the fractal emerges whenever
exchange rate pegs are kept for too long.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1847/1/MPRA_paper_1847.pdf
Raul, Matsushita and Iram, Gleria and Annibal, Figueiredo and Sergio, Da Silva (2006): The Chinese Chaos Game. Forthcoming in: Physica A
en
oai:mpra.ub.uni-muenchen.de:1848
2019-09-27T13:27:05Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1848/
Disposition effect and gender
Newton, Da Costa Jr
Carlos, Mineto
Sergio, Da Silva
G11 - Portfolio Choice ; Investment Decisions
Investors seem to hold on to their losing stocks to a greater extent than they hold on to their winning stocks. This well-document behavioral regularity is termed disposition effect (Shefrin and Statman 1985). We set an experiment to replicate results from a previous study of the disposition effect (Weber and Camerer 1998), and further show that a subject’s gender may interfere with the effect’s detection.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1848/1/MPRA_paper_1848.pdf
Newton, Da Costa Jr and Carlos, Mineto and Sergio, Da Silva (2006): Disposition effect and gender. Forthcoming in: Applied Economics Letters
en
oai:mpra.ub.uni-muenchen.de:1940
2019-09-26T14:26:56Z
7374617475733D756E707562
7375626A656374733D47:4731:473131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1940/
On a relationship between distorted and spectral risk measures
Henryk, Gzyl
Silvia, Mayoral
G11 - Portfolio Choice ; Investment Decisions
We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing measures, or equivalently, spectral risk functions are related to distortion functions. Besides that we prove that distorted measures are absolutely continuous with respect to the original measure. This allows us to find a link between the risk measures based on relative entropy and spectral risk measures or measures based on distortion risk function.
2006-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1940/1/MPRA_paper_1940.pdf
Henryk, Gzyl and Silvia, Mayoral (2006): On a relationship between distorted and spectral risk measures.
en
oai:mpra.ub.uni-muenchen.de:1952
2019-09-28T23:12:11Z
7374617475733D756E707562
7375626A656374733D47:4731:473133
7375626A656374733D43:4336:433633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1952/
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
Lord, Roger
Fang, Fang
Bervoets, Frank
Oosterlee, Kees
G13 - Contingent Pricing ; Futures Pricing
C63 - Computational Techniques ; Simulation Modeling
A fast and accurate method for pricing early exercise and certain exotic options in computational finance is presented. The method is based on a quadrature technique and relies heavily on Fourier transformations. The main idea is to reformulate the well-known risk-neutral valuation formula by recognising that it is a convolution. The resulting convolution is dealt with numerically by using the Fast Fourier Transform (FFT). This novel pricing method, which we dub the Convolution method, CONV for short, is applicable to a wide variety of payoffs and only requires the knowledge of the characteristic function of the model. As such the method is applicable within exponentially Lévy models, including the exponentially affine jump-diffusion models. For
an M-times exercisable Bermudan option, the overall complexity is O(MN log(N)) with N grid points used to discretise the price of the underlying asset. It is shown how to price American options efficiently by applying Richardson extrapolation to the prices of Bermudan options.
2007-02-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1952/1/MPRA_paper_1952.pdf
Lord, Roger and Fang, Fang and Bervoets, Frank and Oosterlee, Kees (2007): A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes.
en
oai:mpra.ub.uni-muenchen.de:1964
2019-09-26T08:30:50Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4732:473231
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1964/
Banking integration and co-movements in EU banks’ fragility
Vulpes, Giuseppe
Brasili, Andrea
C51 - Model Construction and Estimation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G15 - International Financial Markets
The aim of this paper is to verify whether and to which extent co-movements in EU banks’ risk, i.e. their degree of exposures of European banks to common shocks, have increased in time, following the completion of Monetary Union, the introduction of the euro and the process of European banking integration. To this end, we provide a measure of co-movements in bank risk by means of a dynamic factor model, which allows to decompose an indicator of bank fragility, the Distance-to-Default, into three main components: an EU-wide, a country-specific and a bank-level idiosyncratic component. Our results show the commonality in bank risk appears to have significantly increased since 1999, in particular if one concentrates on large banks. We also show that co-movements in EU banks’ fragility are only in part related to common macro shocks and that a banking system specific component at the EU-wide level appears relevant. This has obvious consequences in terms of systemic stability, but may also have far reaching policy implications with regards to the structuring of banking supervision in Europe
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1964/1/MPRA_paper_1964.pdf
Vulpes, Giuseppe and Brasili, Andrea (2006): Banking integration and co-movements in EU banks’ fragility.
en
oai:mpra.ub.uni-muenchen.de:1980
2019-09-28T02:30:24Z
7374617475733D756E707562
7375626A656374733D47:4731:473134
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1980/
Informational inefficiency of the Brazilian stockmarket
Guttler, Caio
Meurer, Roberto
Da Silva, Sergio
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
E44 - Financial Markets and the Macroeconomy
Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency). We find the stockmarket to be inefficient, which is in line with most results for other emerging markets.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1980/1/MPRA_paper_1980.pdf
Guttler, Caio and Meurer, Roberto and Da Silva, Sergio (2006): Informational inefficiency of the Brazilian stockmarket.
en
oai:mpra.ub.uni-muenchen.de:1981
2019-09-29T01:42:46Z
7374617475733D756E707562
7375626A656374733D46:4633:463331
7375626A656374733D43:4336:433633
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1981/
Are Pound and Euro the Same Currency? - Updated
Matsushita, Raul
Gleria, Iram
Figueiredo, Annibal
Da Silva, Sergio
F31 - Foreign Exchange
C63 - Computational Techniques ; Simulation Modeling
G10 - General
Based on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the long range dependence over time through Hurst exponents of pound-dollar and extended euro-dollar exchange rates employing three alternative techniques, namely rescaled range analysis, detrended fluctuation analysis, and detrended moving average. We find the result above (which is based on detrended fluctuation analysis) not to be robust to the changing techniques and parameterizing.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1981/1/MPRA_paper_1981.pdf
Matsushita, Raul and Gleria, Iram and Figueiredo, Annibal and Da Silva, Sergio (2007): Are Pound and Euro the Same Currency? - Updated.
en
oai:mpra.ub.uni-muenchen.de:1983
2019-10-01T18:30:27Z
7374617475733D756E707562
7375626A656374733D43:4331
7375626A656374733D43:4336:433633
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1983/
The Levy sections theorem revisited
Figueiredo, Annibal
Gleria, Iram
Matsushita, Raul
Da Silva, Sergio
C1 - Econometric and Statistical Methods and Methodology: General
C63 - Computational Techniques ; Simulation Modeling
G10 - General
This paper revisits the Levy sections theorem. We extend the scope of the theorem to time series and apply it to historical daily returns of selected dollar exchange rates. The elevated kurtosis usually observed in such series is then explained by their volatility patterns. And the duration of exchange rate pegs explains the extra elevated kurtosis in the exchange rates of emerging markets. In the end our extension of the theorem provides an approach that is simpler than the more common explicit modeling of fat tails and dependence. Our main purpose is to build up a technique based on the sections that allows one to artificially remove the fat tails and dependence present in a data set. By analyzing data through the lenses of the Levy sections theorem one can find common patterns in otherwise very different data sets.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1983/1/MPRA_paper_1983.pdf
Figueiredo, Annibal and Gleria, Iram and Matsushita, Raul and Da Silva, Sergio (2006): The Levy sections theorem revisited.
en
oai:mpra.ub.uni-muenchen.de:2000
2019-10-01T18:03:43Z
7374617475733D756E707562
7375626A656374733D47:4731:473130
7375626A656374733D43:4338:433838
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2000/
Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program
Mishra, SK
G10 - General
C88 - Other Computer Software
C63 - Computational Techniques ; Simulation Modeling
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices.
In many cases, due to paucity of data/information or dynamic nature of the problem at hand, it is not possible to obtain a complete correlation matrix. Some elements of the matrix are unknown. Several methods exist that obtain valid complete correlation matrices from incomplete correlation matrices. In view of non-unique solutions admissible to the problem of completing the correlation matrix, some authors have suggested numerical methods that provide ranges to different unknown elements. However, they are limited to very small matrices up to order 4.
Our objective in this paper is to suggest a method (and provide a Fortran program) that completes a given incomplete correlation matrix of an arbitrary order. The method proposed here has an advantage over other algorithms due to its ability to present a scenario of valid correlation matrices that might be obtained from a given incomplete matrix of an arbitrary order. The analyst may choose some particular matrices, most suitable to his purpose, from among those output matrices. Further, unlike other methods, it has no restriction on the distribution of holes over the entire matrix, nor the analyst has to interactively feed elements of the matrix sequentially, which might be quite inconvenient for larger matrices. It is flexible and by merely choosing larger population size one might obtain a more exhaustive scenario of valid matrices.
2007-03-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2000/1/MPRA_paper_2000.pdf
Mishra, SK (2007): Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program.
en
oai:mpra.ub.uni-muenchen.de:2001
2019-09-29T00:25:58Z
7374617475733D756E707562
7375626A656374733D47:4731:473133
7375626A656374733D45:4534:453433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2001/
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
Henrard, Marc
G13 - Contingent Pricing ; Futures Pricing
E43 - Interest Rates: Determination, Term Structure, and Effects
Even if the name futures indicates a simple instrument, bond futures are complex. Several special features are embedded in the instrument. In particular the future is not written on one specific bond but on a basket of bonds, from which the short side can deliver the cheapest. This paper focuses on that feature, present in the main futures market, and its impact on the futures risk. A formula for the delivery option and the convexity adjustment due to the daily margining is proposed in the Gaussian HJM model. The approach is numerically very efficient and easy to implement. Based on this result a futures option formula is derived. The approach is similar to the one used for Canary swaptions.
2006-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2001/1/MPRA_paper_2001.pdf
Henrard, Marc (2006): Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning.
en
oai:mpra.ub.uni-muenchen.de:2021
2019-09-28T03:28:59Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D43:4331:433133
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2021/
Real Financial Integration among the East Asian Economies: A SURADF Panel Approach
Chan, Tze-Haw
Baharumshah, Ahmad Zubaidi
Lau, Evan
G15 - International Financial Markets
C13 - Estimation: General
F36 - Financial Aspects of Economic Integration
To testify RIP, this study scrutinizes the mean-reversion behavior of bilateral real interest differentials (RIDs) in eight East Asian economies. We incorporate the ASEAN-5, South Korea and China (mainland) with the US and Japan taken as base countries. Four sub-samples within 1976-2004 are being considered to accentuate the effects of institutional changes and financial crises. To rectify the deficiency in extant univariate and panel tests, the newly proposed SURADF statistics by Breuer et al. (2002) is utilized. Overall, the findings are in favor of RIP such that RIDs are found mean-reverting (except China) and with faster adjustment, especially during the post-crisis era. Such outcome is in accord with the enhanced financial integration among the ASEAN-5 and South Korea with their major trading partners, suggesting that further economic cooperation and currency arrangements in the region are bright to preserve potential financial shocks. Conversely, the real financial integration among China-US and China-Japan are not yet empirically recognized notwithstanding the recent surge of capital flows into the mainland.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2021/1/MPRA_paper_2021.pdf
Chan, Tze-Haw and Baharumshah, Ahmad Zubaidi and Lau, Evan (2005): Real Financial Integration among the East Asian Economies: A SURADF Panel Approach.
en
oai:mpra.ub.uni-muenchen.de:2029
2019-09-27T04:57:02Z
7374617475733D756E707562
7375626A656374733D47:4731:473138
7375626A656374733D47:4732:473234
7375626A656374733D47:4733:473330
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2029/
Does Misclassification of Equity Funds Exist? Evidence from Malaysia
Lau, Wee Yeap
Chan, Tze-Haw
G18 - Government Policy and Regulation
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G30 - General
Applying the style analysis developed by Sharpe (1988, 1992), this paper investigates the classification of equity funds in Malaysia. A methodology for creating purified mutual fund style indexes is used to verify existing classifications. The paper concludes that an improper classification of funds would not only cause mismatch between investors objectives and funds’ profile, it also affects the process of income smoothing in the lifecycle of investors. Besides estimating the possible economic impact due to misclassification, this study highlights the importance of a proper classification system of equity funds in Malaysian context and its implication towards investor’s protection.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2029/1/MPRA_paper_2029.pdf
Lau, Wee Yeap and Chan, Tze-Haw (2004): Does Misclassification of Equity Funds Exist? Evidence from Malaysia.
en
oai:mpra.ub.uni-muenchen.de:2032
2019-09-27T16:41:12Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D43:4331:433133
7375626A656374733D46:4633:463336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2032/
On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911
Chan, Tze-Haw
Hooy, Chee Wooi
G15 - International Financial Markets
C13 - Estimation: General
F36 - Financial Aspects of Economic Integration
The present paper examines the dynamic effects of volatility spillovers and dominant role (the second-moment) of the US, Japan and Hong Kong in the East Asian equity markets. To evaluate the recent September 11 (911) impact, two sub periods – before and after the tragedy, are being considered based on daily market returns. The upshots of our findings are five-fold. First, for all markets the constant risk components, as well as the ARCH and GARCH effects are significantly detected, implying the persistency of volatility in East Asian equity markets. Nevertheless, not all indexes show asymmetrical news effects. Though all indexes show leverage effects, they are significant only for certain countries including the US and Japan, which is consistent with empirical literature. Second, the volatilities of these equity markets are bounded in common stochastic trends, at least in the long run. Third, the Hong Kong long run coefficients are more significant than that of US or Japan before the 911 calamity. Nonetheless, there is sufficient evidence showing that the US spillovers were transmitted via Hong Kong. After the 911, the Hong Kong’s spillovers trim down while Japanese influence enhance as in Malaysia, Philippines, Thailand and Singapore. Taken as a whole (1998-2002), Japanese spillovers are relatively small and nonsignificant in some East Asian equity markets. Fourth, the ECT coefficients are significant but small (except for Hong Kong). The East Asian equity markets are thereby endogenously determined and the volatility adjustments to the long run equilibrium are slow, once being shocked. The ECT coefficients slightly improved after 911. Fifth, volatilities in the East Asian equity markets are attributed mainly to the shocks of local and regional factors rather than the world factor. In a nutshell, the volatility spillovers and the Hong Kong- and US-dominant effects have been confirmed. Hitherto, the 911 impact is relatively small and somewhat inconclusive.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2032/1/MPRA_paper_2032.pdf
Chan, Tze-Haw and Hooy, Chee Wooi (2003): On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911.
en
oai:mpra.ub.uni-muenchen.de:2069
2019-09-27T16:53:30Z
7374617475733D696E7072657373
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2069/
Is there an identity within international stock market volatilities?
Caiado, Jorge
Crato, Nuno
Peña, Daniel
G15 - International Financial Markets
Previous studies have investigated the comovements of international equity returns by using mean correlations, cointegration, common factor analysis, and other approaches. This paper investigates the evolution of the affinity among major euro and non-euro area stock markets in the period 1966-2006 by using distance-based methods for clustering analysis of time series. A periodogram-based metric for mean and squared returns is used to compute distances between the series. This method solves the shortcoming of unequal sample sizes found for different countries. Then, by using dendrogram and multidimensional scaling techniques based on the computed distances, we display clusters for the series of returns and volatilities. The data were divided into two sample periods: previous and subsequent to the introduction of the euro as an electronic currency. For market returns, euro-area countries do not seem to come closer after the introduction of the euro. There is some identity that is maintained after 1998. For squared returns, we found a clear change with the introduction of the euro. Up to 1998, there is a weak linkage among euro area countries. After 1998, the euro area stock markets volatilities have become considerably more homogenous. For reference, we explored also the correlations among the series. We found that some stock markets within the European Monetary Union are strongly correlated in returns and in squared returns, and that some euro and non-euro area markets are not correlated in returns, but are weakly correlated in squared returns.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2069/1/MPRA_paper_2069.pdf
Caiado, Jorge and Crato, Nuno and Peña, Daniel (2007): Is there an identity within international stock market volatilities? Forthcoming in: Proceedings of the 11th International Conference on Macroeconomics Analysis and International Finance
en
oai:mpra.ub.uni-muenchen.de:2074
2019-09-27T17:54:13Z
7374617475733D696E7072657373
7375626A656374733D43:4333:433332
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2074/
A GARCH-based method for clustering of financial time series: International stock markets evidence
Caiado, Jorge
Crato, Nuno
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G15 - International Financial Markets
In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the generalized autoregressive conditional heteroskedasticity (GARCH) models we estimate the distances between the stock return volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As an illustrative example, we investigate the similarities among major international stock markets using daily return series with different sample sizes from 1966 to 2006. From cluster analysis, most European markets countries, United States and Canada appear close together, and most Asian/Pacific markets and the South/Middle American markets appear in a distinct cluster. After the terrorist attack on September 11, 2001, the European stock markets have become more homogenous, and North American markets, Japan and Australia seem to come closer.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2074/1/MPRA_paper_2074.pdf
Caiado, Jorge and Crato, Nuno (2007): A GARCH-based method for clustering of financial time series: International stock markets evidence. Forthcoming in: Proceedings of the XIIth Applied Stochastic Models and Data Analysis International Conference
en
oai:mpra.ub.uni-muenchen.de:2077
2019-09-26T21:11:36Z
7374617475733D707562
7375626A656374733D43:4332:433232
7375626A656374733D43:4335:433533
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2077/
Modelling and forecasting the volatility of the portuguese stock index PSI-20
Caiado, Jorge
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C53 - Forecasting and Prediction Methods ; Simulation Methods
G10 - General
The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2077/1/MPRA_paper_2077.pdf
Caiado, Jorge (2004): Modelling and forecasting the volatility of the portuguese stock index PSI-20. Published in: Portuguese Journal of Management Studies , Vol. XI, No. Nº1 (2004): pp. 3-21.
en
oai:mpra.ub.uni-muenchen.de:2152
2019-09-26T19:37:58Z
7374617475733D707562
7375626A656374733D47:4731
7375626A656374733D47:4731:473130
7375626A656374733D47:4731:473134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2152/
Hurst exponents, Markov processes, and nonlinear diffusion equations
Bassler, Kevin E.
Gunaratne, Gemunu H.
McCauley, Joseph L.
G1 - General Financial Markets
G10 - General
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
We show by explicit closed form calculations that a Hurst exponent H≠1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial differential equations where H≠1/2. Thus Markov processes, which by construction have no long time correlations, can have H≠1/2. If a Markov process scales with Hurst exponent H≠ 1/2 then it simply means that the process has nonstationary increments. For the scaling solutions, we show how to reduce the calculation of the probability density to a single integration once the diffusion coefficient D(x,t) is specified. As an example, we generate a class of student-t-like densities from the class of quadratic diffusion coefficients. Notably, the Tsallis density is one member of that large class. The Tsallis density is usually thought to result from a nonlinear diffusion equation, but instead we explicitly show that it follows from a Markov process generated by a linear Fokker-Planck equation, and therefore from a corresponding Langevin equation. Having a Tsallis density with H≠1/2 therefore does not imply dynamics with correlated signals, e.g., like those of fractional Brownian motion. A short review of the requirements for fractional Brownian motion is given for clarity, and we explain why the usual simple argument that H≠1/2 implies correlations fails for Markov processes with scaling solutions. Finally, we discuss the question of scaling of the full Green function g(x,t;x',t') of the Fokker-Planck pde.
2005-12-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2152/1/MPRA_paper_2152.pdf
Bassler, Kevin E. and Gunaratne, Gemunu H. and McCauley, Joseph L. (2005): Hurst exponents, Markov processes, and nonlinear diffusion equations. Published in: Physica A , Vol. 369, (2006): pp. 343-353.
en
oai:mpra.ub.uni-muenchen.de:2225
2019-09-28T09:13:36Z
7374617475733D707562
7375626A656374733D47:4733:473338
7375626A656374733D47:4733:473334
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2225/
Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange
Javed, Attiya Y.
Iqbal, Robina
G38 - Government Policy and Regulation
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
We investigated whether differences in quality of firm-level corporate
governance can explain the firm-level performance in a cross-section of
companies listed at Karachi Stock Exchange. Therefore, we analysed the
relationship between firm-level value as measured by Tobin’s Q and total
Corporate Governance Index (CGI) and three sub-indices: Board, Shareholdings
and Ownership, and Disclosures and Transparency for a sample of 50 firms. The
results indicate that corporate governance does matter in Pakistan. However, not
all elements of governance are important. The board composition and ownership
and shareholdings enhance firm performance, whereas disclosure and
transparency has no significant effect on firm performance. We point out that
those adequate firm-level governance standards can not replace the solidity of
the firm. The low production and bad management practices can not be covered
with transparent disclosures and transparency standards.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2225/1/MPRA_paper_2225.pdf
Javed, Attiya Y. and Iqbal, Robina (2007): Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange. Published in:
en
oai:mpra.ub.uni-muenchen.de:2249
2019-09-28T17:12:39Z
7374617475733D756E707562
7375626A656374733D47:4731:473133
7375626A656374733D45:4534:453433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2249/
Bonds futures: Delta? No gamma!
Henrard, Marc
G13 - Contingent Pricing ; Futures Pricing
E43 - Interest Rates: Determination, Term Structure, and Effects
Bond futures are liquid but complex instruments. Here they are analysed in a one-factor Gaussian HJM model. The in-the-model delta and out-of-the-model delta and gamma are studied. An explicit formula is provided for in-the-model delta. The out-of-the-model delta and gamma are equivalent to partial derivatives with respect to discount factors. In particular cases the derivative can not be obtained by standard techniques. The same situations lead to cases where the gammas (second order partial derivatives) do not exists.
2006-04-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2249/1/MPRA_paper_2249.pdf
Henrard, Marc (2006): Bonds futures: Delta? No gamma!
en
oai:mpra.ub.uni-muenchen.de:2304
2019-09-26T21:11:42Z
7374617475733D707562
7375626A656374733D47:4731:473130
7375626A656374733D43:4335:433533
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2304/
Modelling and forecasting the volatility of the portuguese stock index PSI-20
Caiado, Jorge
G10 - General
C53 - Forecasting and Prediction Methods ; Simulation Methods
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2304/1/MPRA_paper_2304.pdf
Caiado, Jorge (2004): Modelling and forecasting the volatility of the portuguese stock index PSI-20. Published in: Portuguese Journal of Management Studies , Vol. XI, No. Nº1 (2004): pp. 3-21.
en
oai:mpra.ub.uni-muenchen.de:2317
2019-09-27T10:18:11Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D45:4530:453031
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473135
7375626A656374733D45:4532:453234
7375626A656374733D45:4530:453030
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2317/
دور سوق الأوراق المالية فى تنمية الادخار فى مصر
Alasrag, Hussien
G1 - General Financial Markets
E01 - Measurement and Data on National Income and Product Accounts and Wealth ; Environmental Accounts
G18 - Government Policy and Regulation
G15 - International Financial Markets
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
E00 - General
This thesis studies the role of the Egyptian securities market on saving development.It`s divided into two sections.section one studies the natural and importance of securities market through defining both the capital and securities markets ,determining the requirements of setting up stock market.then its studies the relation between securities market and some aggregate variables in the economy and its position in both the classical and the modern theory.the thesis goes on to studies the factors affecting the stock market performance. the importance of this market and the relation between saving and securities market.then it sheds lights on the securities in both the Egyptian and the global capital markets .section two focuses on the role of the Egyptian securities market on saving development during (1982-2000).so it studies the Egyptian securities market development.then it evaluate the role of both the primary and secondary markets on saving development during the period under review. Finally the thesis explains and recommends some policies in order to activate the Egyptian market. it also analyzes more particularly some guiding principles to develop and activate the role of both the primary and secondary markets on saving development .
2002-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2317/1/MPRA_paper_2317.pdf
Alasrag, Hussien (2002): دور سوق الأوراق المالية فى تنمية الادخار فى مصر.
ar
oai:mpra.ub.uni-muenchen.de:2325
2019-09-27T11:22:25Z
7374617475733D756E707562
7375626A656374733D4B:4B32:4B3232
7375626A656374733D47:4732:473238
7375626A656374733D47:4732:473231
7375626A656374733D47:4733:473334
7375626A656374733D47:4731:473138
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2325/
Corporate governance of banks: the current state of the debate.
Polo, Andrea
K22 - Business and Securities Law
G28 - Government Policy and Regulation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
G18 - Government Policy and Regulation
Since banks are among the most important sources not only of finance but also of external governance for firms, the corporate governance of banks is a crucial factor for growth and development. Despite its importance, this topic has been explored only by a few studies. While some authors support, with different arguments in the course of time, the specificity of banks, other authors, among whom Ross Levine and his co-authors from the World Bank, question heavily the present banking regulatory framework. The debate on the corporate governance of banks has a direct bearing on the current discussions on the future of banking regulatory design: should the regulatory intervention be the most important corporate control mechanism in banking or should regulators focus on introducing incentives for appropriate market behaviour?
2007-03-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2325/1/MPRA_paper_2325.pdf
Polo, Andrea (2007): Corporate governance of banks: the current state of the debate.
en
oai:mpra.ub.uni-muenchen.de:2364
2019-09-26T14:04:44Z
7374617475733D756E707562
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2364/
The Integration of Financial Markets: Empirical Evidence from South Asian Countries
Qayyum, Abdul
Mohsin, H
G10 - General
The study analyzed financial market integration in the five countries of South Asia, Pakistan, India, Bangladesh, Sri Lanka and Nepal. All the variables are found to be integrated of the same order in the case of Pakistan, India and Nepal. But for Bangladesh and Sri Lanka they are of different order. The study used Engle Granger (1987) two step methods to check the long run relationship in the case of three countries. There is no evidence of long run relationship between domestic savings and investments to GDP ratio. Further it is found that Indian financial market is not integrated with the world, while financial markets of other South Asian countries are integrated with the world. However, degree of integration is different for each country.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2364/1/MPRA_paper_2364.pdf
Qayyum, Abdul and Mohsin, H (2005): The Integration of Financial Markets: Empirical Evidence from South Asian Countries.
en
oai:mpra.ub.uni-muenchen.de:2387
2019-09-26T08:36:36Z
7374617475733D756E707562
7375626A656374733D45:4530:453030
7375626A656374733D47:4731:473138
7375626A656374733D45:4532:453234
7375626A656374733D47:4731
7375626A656374733D45:4530:453031
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2387/
دور سوق الأوراق المالية فى تنمية الادخار فى مصر
Alasrag, Hussien
E00 - General
G18 - Government Policy and Regulation
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
G1 - General Financial Markets
E01 - Measurement and Data on National Income and Product Accounts and Wealth ; Environmental Accounts
G15 - International Financial Markets
This thesis studies the role of the Egyptian securities market on saving development.It`s divided into two sections.section one studies the natural and importance of securities market through defining both the capital and securities markets ,determining the requirements of setting up stock market.then its studies the relation between securities market and some aggregate variables in the economy and its position in both the classical and the modern theory.the thesis goes on to studies the factors affecting the stock market performance. the importance of this market and the relation between saving and securities market.then it sheds lights on the securities in both the Egyptian and the global capital markets .section two focuses on the role of the Egyptian securities market on saving development during (1982-2000).so it studies the Egyptian securities market development.then it evaluate the role of both the primary and secondary markets on saving development during the period under review. Finally the thesis explains and recommends some policies in order to activate the Egyptian market. it also analyzes more particularly some guiding principles to develop and activate the role of both the primary and secondary markets on saving development .
2002-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2387/1/MPRA_paper_2387.pdf
Alasrag, Hussien (2002): دور سوق الأوراق المالية فى تنمية الادخار فى مصر.
ar
oai:mpra.ub.uni-muenchen.de:2424
2019-09-28T03:57:34Z
7374617475733D756E707562
7375626A656374733D45:4534:453431
7375626A656374733D47:4731:473138
7375626A656374733D45:4535:453532
7375626A656374733D47:4731:473135
7375626A656374733D45:4534:453434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2424/
An actuarial approach to short-run monetary equilibrium
Mierzejewski, Fernando
E41 - Demand for Money
G18 - Government Policy and Regulation
E52 - Monetary Policy
G15 - International Financial Markets
E44 - Financial Markets and the Macroeconomy
The extent to which the money supply affects the aggregate cash balance demanded
at a certain level of nominal income and interest rates is determined by the interest-rate-elasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors facing liquidity constraints and maintaining different expectations about risks. Under such circumstances, a level of surplus exists which maximises expected value. Moreover, when the distorted probability principle is introduced, the optimal liquidity demand is expressed as a Value-at-Risk and the comonotonic dependence structure determines the amount of money demanded by the
economy. As a consequence, the more unstable the economy, the greater the interestrate-elasticity of the money demand. Moreover, for different parametric characterisation of risks, market parameters are expressed as the weighted average of sectorial or individual estimations, in such a way that multiple equilibria of the economy are possible.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2424/1/MPRA_paper_2424.pdf
Mierzejewski, Fernando (2007): An actuarial approach to short-run monetary equilibrium.
en
oai:mpra.ub.uni-muenchen.de:2481
2019-09-27T16:54:07Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2481/
Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets
Ozun, Alper
Cifter, Atilla
C45 - Neural Networks and Related Topics
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
Long-term memory effect in stock prices might be captured, if any, with alternative models. Though Geweke and Porter-Hudak (1983) test model the long memory with the OLS estimator, a new approach based on wavelets analysis provide WOLS estimator for the memory effect. This article examines the long-term memory of the Istanbul Stock Index with the Daubechies-20, Daubechies-12, the Daubechies-4 and the Haar wavelets and compares the results of the WOLS estimators with that of OLS estimator based on the Geweke and Porter-Hudak test. While the results of the GPH test imply that the stock returns are memoryless, fractional integration parameters based on the Daubechies wavelets display that there is an explicit long-memory effect in the stock returns. The research results have both methodological and practical crucial conclusions. On the theoretical side, the wavelet based OLS estimator is superior in modeling the behaviours of the stock returns in emerging markets where nonlinearities and high volatility exist due to their chaotic natures. For practical aims, on the other hand, the results show that the Istanbul Stock Exchange is not in the weak-form efficient because the prices have memories that are not reflected in the prices, yet.
2007-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2481/1/MPRA_paper_2481.pdf
Ozun, Alper and Cifter, Atilla (2007): Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets.
en
oai:mpra.ub.uni-muenchen.de:2482
2019-09-26T11:16:31Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D46:4633:463331
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2482/
The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets
Cifter, Atilla
Ozun, Alper
C45 - Neural Networks and Related Topics
F31 - Foreign Exchange
G15 - International Financial Markets
This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.
2007-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2482/1/MPRA_paper_2482.pdf
Cifter, Atilla and Ozun, Alper (2007): The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets.
en
oai:mpra.ub.uni-muenchen.de:2484
2019-09-27T09:10:24Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D47:4731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2484/
Multiscale Systematic Risk: An Application on ISE-30
Cifter, Atilla
Ozun, Alper
G0 - General
G1 - General Financial Markets
In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets as a new analysis method in finance and economics. It introduces a new approach to the variance changing to the scale as a general risk indicator, and to multi-scale CAPM portfolio theory as a systematic risk indicator. In the study, variance changes to scale and systematic risk changes to scale of 10 stocks in ISE-30 have been determined. The ability of the investors to conduct risk based analysis up to 128 days allows them to determine the risk level to the scale (stock holding period).
According to the study results; it is determined that the variances of 10 stocks from ISE 30 change according to the scale and variance differentiation as an expression of general risk level increase starting from the 1st scale (1 to 4 days). In multi-scale CAPM, it is determined that systematic risk of all stocks is changed to frequency (scale) and increased at higher scales. The finding as to beta and return at the high levels shall be in stronger form evidenced by Gencay et al (2005) is determined as not applicable to ISE 30. The risk and return for ISE 30 are close to the positive in the 3rd scale (32 days), but they are in the same direction for the other scales. This finding shows that the risk-return maximization of a portfolio of 10 stocks from ISE may be achieved at a level of 32 days and the risk will be higher than the return in the portfolios established at those levels different than 32 days.
2007-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2484/1/MPRA_paper_2484.pdf
Cifter, Atilla and Ozun, Alper (2007): Multiscale Systematic Risk: An Application on ISE-30.
en
oai:mpra.ub.uni-muenchen.de:2504
2019-09-29T14:38:22Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2504/
Asset allocation approach to understanding stock market dynamics
Nuttall, John
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
Equity portfolio managers typically convey instructions to their traders in the form of target portfolio weights for the various shares in their portfolio. We present a set of differential equations that allows the calculation of the share prices, number of shares, and value of each manager's portfolio over time, in terms of share weights. It is also necessary to know the amount of cash flowing into each portfolio and the number of each type of shares outstanding.
We suggest some potentially useful information that might be derived from this formalism, such as a quantitative estimate of the main driver of share price changes, the influence of index investing on the market, and the origin of the equity premium.
We believe that this realistic method could be the basis for a better understanding of how financial markets operate, as compared with the conventional academic approach. In our view standard asset pricing theory makes implausible assumptions about the existence of stochastic processes, the ability of participants to foretell the future, and their capacity to make sound deductions from the information they have. Even an imperfect alternative should be better than that house of cards.
2006-08-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2504/1/MPRA_paper_2504.pdf
Nuttall, John (2006): Asset allocation approach to understanding stock market dynamics.
en
oai:mpra.ub.uni-muenchen.de:2607
2019-09-27T16:45:32Z
7374617475733D756E707562
7375626A656374733D47:4731:473135
7375626A656374733D4C:4C31:4C3130
7375626A656374733D47:4733:473334
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2607/
L'Evolution des Marchés Boursiers Européens: Enjeux et limites
Ben Slimane, FATEN
G15 - International Financial Markets
L10 - General
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
This paper analyzes the recent development of the European stock exchanges by stressing the disparities which exist between them. Within the framework of a progressive financial integration, several of these institutions, in particular of Eastern Europe and Central Europe are likely to be badly affected and their survival could even be threatened. Vis-a-vis these threats, several strategies are offered to these places. We will show that the solution which appears most effective would be to opt in the more or less long term, to consolidation strategies with, in particular, European stock exchanges.
2007-03-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2607/1/MPRA_paper_2607.pdf
Ben Slimane, FATEN (2007): L'Evolution des Marchés Boursiers Européens: Enjeux et limites.
fr
oai:mpra.ub.uni-muenchen.de:2658
2019-10-26T06:28:37Z
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