415 research outputs found

    The Shift-Contagion Effect Of Global Financial Crisis And The European Sovereign Debt Crisis On OECD Countries

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    This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008-2009) and European sovereign debt crisis (2009-2012), using multivariate asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006). The empirical analyses provide substantial evidence of shifts in the dynamic correlations and hence reconfirm shift-contagion during the global financial crisis that originated from U.S. However, there is no evidence in support of shift-contagion during the European sovereign debt crisis which originated from events in Greece. The results provide important implications for investors and policy makers

    Is corporate social responsibility an agency problem?

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    The severe consequences of the global financial crisis 2008-2009 and numerous accounting frauds and financial scandals over the last fifteen years have let to calls for more ethical and responsible actions in all economic activities including consumption, investing, governance and regulation. Despite the fact that ethics in business and corporate social responsibility rules have been adopted in various countries, more efforts have to be devoted to motivate and empower more actors to integrate ethical behavior and rules in making business and managerial decisions. The Research Handbook of Finance and Sustainability will provide the readers but particularly investors, managers, and policymakers with comprehensive coverage of the issues at the crossroads of finance, ethics and sustainable development as well as proposed solutions, while focusing on three different levels: corporations, investment funds, and financial markets

    Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis

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    Exchange rate activities have effects on capital flows and international trade that are crucial particularly for developing countries. The day of the week effect on exchange rates can also be very essential for portfolio managers and economists. Therefore, the day of the week effect should be examined carefully in order to understand the cause of the anomalies in the market. This paper evaluates the day of the week effect on the daily returns on US dollar and its volatility in the light of the global financial crisis 2008-2009

    Hungarian Economic Development Prospects – in the Light of the One Belt and One Road Initiative

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    This paper attempts to delineate the most important aspects of the historical Hungarian economic development path, while shedding light on long-term Chinese investment and trade opportunities in Hungary. In order to make the One Belt and One Road Initiative a success, China needs proper knowledge of the Central European countries’ long-term development needs and goals. This analysis delivers a first assessment of the basic long-term questions of Hungarian economic development. The paper reviews milestones of economic progress after 1990 until the present, and shortly looks into the effects of the economic transformation of the 90s, and the main repercussions of the Global Financial Crisis (2008-2009). At the end of the paper a short glimpse is given on how the Hungarian economy could develop, and what are the possible development models to be utilized by Hungarian decision-makers. At the same time, it will be clear where Hungarian and Chinese need can intersect each other

    The optimal hedge ratio and hedging effectiveness of stock index futures An empirical study of TAIEX index futures contract

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    Throughout research literature on hedging with futures, a number of techniques to estimate the optimal hedge ratio that minimizes volatility of the hedged portfolio returns have been proposed. While these techniques hold theoretical appeal, there has not consistent evidence of which the most appropriate hedging technique is. This study, using the futures contract on the Taiwan’s TAIEX total returns index, provides an empirical comparison of three different econometric techniques. Specifically, the conventional OLS regression model, the VECM, and the bivariate DCC-GARCH model are estimated, performance of which are compared among each other and with the naïve hedge to determine the best hedging strategy. Hedging effectiveness is evaluated in terms of in-sample and out-of-sample returns variance minimization, under three short-term hedging horizons. This study concludes that despite simplicity in estimation, the constant hedge ratio estimated by the OLS regression is the most reliable and effective hedging strategy for TAIEX index short-term investors. Nevertheless, under the highly volatile market condition experienced during the global financial crisis 2008-2009, a dynamic hedging strategy is favored

    The optimal hedge ratio and hedging effectiveness of stock index futures An empirical study of TAIEX index futures contract

    Get PDF
    Throughout research literature on hedging with futures, a number of techniques to estimate the optimal hedge ratio that minimizes volatility of the hedged portfolio returns have been proposed. While these techniques hold theoretical appeal, there has not consistent evidence of which the most appropriate hedging technique is. This study, using the futures contract on the Taiwan’s TAIEX total returns index, provides an empirical comparison of three different econometric techniques. Specifically, the conventional OLS regression model, the VECM, and the bivariate DCC-GARCH model are estimated, performance of which are compared among each other and with the naïve hedge to determine the best hedging strategy. Hedging effectiveness is evaluated in terms of in-sample and out-of-sample returns variance minimization, under three short-term hedging horizons. This study concludes that despite simplicity in estimation, the constant hedge ratio estimated by the OLS regression is the most reliable and effective hedging strategy for TAIEX index short-term investors. Nevertheless, under the highly volatile market condition experienced during the global financial crisis 2008-2009, a dynamic hedging strategy is favored

    Innovative financing instruments in Latin America and the Caribbean

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    In the aftermath of the global financial crisis (2008–2009), the external financing needs of Latin America and the Caribbean increased significantly, reflecting a process of external debt accumulation in all developing regions, exacerbated by the impacts of COVID-19. The region is now the most indebted in the developing world, with a debt profile that makes it highly vulnerable to changes in international lending conditions and to perceptions of risk. This has placed a major constraint on government responses to the COVID-19 emergency and undermines their capacity to build forward better. This document considers two proposals to address these challenges: (i) expand and redistribute liquidity from developed to developing countries through innovative uses of SDRs; and (ii) expand the set of innovative instruments to increase debt repayment capacity and avoid over-indebtedness.Summary .-- Introduction .-- I. Special Drawing Rights: advantages, limitations, and innovative uses / Esteban Pérez Caldentey, Francisco G. Villarreal and Nicolás Cerón Moscoso .-- II. State-contingent debt instruments as insurance against future sovereign debtcrises in Latin American / Leonardo Vera Azaf .-- III. Income-linked bonds / Fausto Hernández .-- IV. Hurricane clauses in debt contracts in the context of unsustainable debt in Barbados and Grenada / Dave Seerattan .-- V. Sustainable finance / Esteban Pérez Caldentey .-- VI. A multilateral credit rating agency / Susan K. Schroeder

    The impact of real exchange rate on real stock price

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    Purpose – The study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia. Design/methodology/approach – This study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach. Findings – The asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies. Research limitations/implications – Economic variables are important in the determination of stock prices. Originality/value – It is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price

    ANÁLISE DE ESTILO DINÂMICA DE FUNDOS MULTIMERCADOS: APLICAÇÃO PARA O MERCADO BRASILEIRO

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    This paper applies the traditional return-based style analysis (RBSA) in the presence of time-varying exposures. Often the investment style is assumed to be constant through time. Alternatively, time variation is sometimes implicitly accounted for by using rolling regressions when estimating the style analysis. We use the Kalman filter to model time-varying exposures of hedge funds explicitly. This leads to a testable model and more efficient use of the data, which reduces the influence of spurious correlation between hedge fund returns and style indices. The aim of this study is to estimate the investment styles and reveal periodic return distributions of Brazilian hedge funds for the 2006-2011 period. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary along the time. We also find that the exposition to fixed income is increasing over the last years. The results have shown that style analyses explain over 50% of the funds returns. Finally, we analyze exposures during the global financial crisis (2008-2009).Este artigo aplica o modelo de análise de estilo baseado em retornos (RBSA) considerando explicitamente a presença de exposições variantes no tempo. Inicialmente, o modelo é estimado assumindo que os estilos são constantes ao longo do tempo. Posteriormente, é utilizada a abordagem do filtro de Kalman para modelar as exposições dos fundos multimercados variantes ao longo do tempo. Usando uma base de dados de fundos multimercados brasileiros, os resultados mostram que a RBSA pode explicar mais de 50% da variância dos retornos dos fundos. Também evidencia significante exposição ao mercado de ações e que a exposição a fatores relacionados ao mercado de renda fixa vem crescendo. Finalmente, a modelagem considerada capta mudanças importantes no estilo de exposição a fatores de risco dos fundos multimercados brasileiros decorrentes da recente crise financeira global (2008-2009)
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