4,559 research outputs found
CEE Banking Sector Co-Movement: Contagion or Interdependence?
We study the evolution of global equity market integration using US dollar denominated iShares. Designed to mimic the movements of MSCI indices, these securities provide an easy pool of international diversification products for the investor. As such they allow us to conduct an analysis of the largest equity markets comovements devoid of problems associated with trading restrictions, exchange rates fluctuations and non-synchronous trading. In contrast to most of the previous studies, we apply time varying methodology for the analysis of both short-term and long-term comovements that provide detailed evidence on the pattern and dynamics of the equity market linkages. We find evidence in favour of increasing conditional correlations for all of the markets since 2001. Time-varying and recursive cointegration tests provide somewhat weak evidence in favour of the presence of bivariate cointegration relationships, but stronger evidence in the multivariate case, suggesting limited diversification opportunities for the U.S. based investor in the long run.Stock Market Integration, G7 Stock markets, Cointegration, GARCH
International financial integration through the law of one price
The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated withhigher volatility, rather than by more persistent deviations from the law of one price.Markets and Market Access,Economic Theory&Research,Access to Markets,Macroeconomic Management,Fiscal&Monetary Policy
Behavioral and Network Origins of Wealth Inequality: Insights from a Virtual World
Almost universally, wealth is not distributed uniformly within societies or
economies. Even though wealth data have been collected in various forms for
centuries, the origins for the observed wealth-disparity and social inequality
are not yet fully understood. Especially the impact and connections of human
behavior on wealth could so far not be inferred from data. Here we study wealth
data from the virtual economy of the massive multiplayer online game (MMOG)
Pardus. This data not only contains every player's wealth at every point in
time, but also all actions of every player over a timespan of almost a decade.
We find that wealth distributions in the virtual world are very similar to
those in western countries. In particular we find an approximate exponential
for low wealth and a power-law tail. The Gini index is found to be ,
which is close to the indices of many Western countries. We find that
wealth-increase rates depend on the time when players entered the game. Players
that entered the game early on tend to have remarkably higher wealth-increase
rates than those who joined later. Studying the players' positions within their
social networks, we find that the local position in the trade network is most
relevant for wealth. Wealthy people have high in- and out-degree in the trade
network, relatively low nearest-neighbor degree and a low clustering
coefficient. Wealthy players have many mutual friendships and are socially well
respected by others, but spend more time on business than on socializing. We
find that players that are not organized within social groups with at least
three members are significantly poorer on average. We observe that high
`political' status and high wealth go hand in hand. Wealthy players have few
personal enemies, but show animosity towards players that behave as public
enemies.Comment: 22 pages, 8 figures, 8 pages S
The Dynamic International Optimal Hedge Ratio
Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the commodity and stock markets of the U.S., the U.K., and Japan.Optimal Hedge Ratio, International Hedging, Multivariate GARCH, Currency
Asymmetric Monetary Transmission in EMU: The Robustness of VAR Conclusions and Cecchetti’s Legal Family Theory
We review studies on monetary transmission in the EU countries using the VAR approach and analyse why they often lead to divergent outcomes. Firstly, we estimate 43 VAR models across ten EU countries and compare the robustness of the ranking of the magnitudes of the price and output responses. The main specification differences between the VAR models are the use of two different sample periods; the inclusion of additional variables; and the use of recursive, long run, and structural identification schemes. Secondly, we calculate rank correlations between the output and price responses of a recursive VAR and a structural VAR to the financial structure indicators used by Cecchetti (1999), who argued that legal systems cause financial structure, which in turn causes asymmetric transmission. In contrast to Cecchetti, we find that there is little correlation.monetary transmission, VAR models, EMU
Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange
Contributing to the meagre published literature on interrelationships amongst stock market sectors of an economy, the present study sets out to examine both the long-run and short-run aspects of the inter-sectoral linkages in the Egyptian stock market. The data correspond to daily closing prices for twelve sectoral indices of the Egyptian stock market, covering the period between January 3, 2007 and January 18, 2010. The multivariate cointegration analysis reports evidence in support of existence of only a single cointegrating vector within the sectoral indices. Moreover, the results of Granger’s causality analysis show that the short-run causal relationships between the sectoral indices are considerably limited and, where they exist, virtually unidirectional. In general, these results lead to the conclusion that there is still room to derive benefits from portfolio diversification in the short run. However, investors with long-term horizon may not benefit from diversifying investments into the different sectors of the Egyptian stock market.Stock Market sectors; Egypt; Domestic portfolio diversification; Johansen’s cointegration analysis; Granger's causality analysis
Institutional Investors and Stock Market Volatility
We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size.
The History of the Quantitative Methods in Finance Conference Series. 1992-2007
This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.
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