Cross Market Effects of stocks Short-Selling Restrictions: Evidence from the September 2008 Natural Experiment

Using intraday data, this paper investigates empirically the joint stock and corporate bond markets responses to the September 2008 stocks short sell ban. The study intends to exploit the natural experiment in order to asses the impact of the stock market short sale restrictions (stock market liquidity shock) on corporate bond market variables during the nancial crisis period. The short sell ban was one of the levers that regulators pulled in order to manage the financial crisis. The economic question is whether this lever worked or should have been pulled given the complexity of financial market linkages and news dissemination. Recent financial events suggested that, when market conditions are severe, liquidity can rapidly decline or even disappear. Liquidity shocks are the potential channel through which asset prices are influenced by liquidity. However, the standard theoretical equilibrium asset pricing models do not consider trading and thus ignore the time and cost of transforming cash into financial assets and viceversa hence ignoring the impact of the liquidity shocks. Therefore, investigating liquidity shocks empirically, their transmission across markets is of high interest especially during times of high turbulence as we recently witnessed. We use vector autoregression (VAR) approach to model stock and corporate bond returns, volatilities and transaction costs simultaneously, obtaining an econometric reduced form that incorporates causal and feedback effects among the two markets variables. Using VAR tools, we found that shocks in stock market (short sell ban) had a significant negative impact on corporate bond market variables during the time under investigation.

RECENT EVOLUTIONS ON ROMANIAN CAPITAL MARKET

As Romania became member of the EU, its financial markets are operating more and more like those of a developed capitalist country and the firms have to take into consideration all the advantages and to face all the challenges regarding the new financing sources such as: the public capital market, the private equity funds.capital market, private equity funds, integration,

MODERN INDICATORS OF MEASURING A FIRM’S COMPETITIVITY

The traditional financial ratios reflect the historical performance of the companies, having a limited relevance in the forecasting of their future evolution. The modern financial ratios are based on the concept of value creation, having a high relevance on expressing the real financial performance of the firm. The main modern financial ratios used for the evaluation of the firms financial performances are: Market value added- MVA, Excess return, Economic value added-EVA, Return on Capital Invested–ROCI, Cash Flow Return on Investment–CFROI, Total Business Return–TBR, Total Shareholder Return - TRS.financial ratios, market value, profitability, capital, firm

The simulation of a PPC company using instruments

The Internet offers a lot of opportunities which may use to earn money. The big companies like Yahoo, Google or others try to attract more customers by developing new tools for better use of Internet. This paper try to show through a simulation, how can we use the instruments offered free by the Yahoo company for earn money starting from a simple click.the internet, search marketing tools, returns of investment

Transfer Pricing – a Fiscal Issue

Lately a frequently used practice to reduce fiscal costs is the commercial transactios of products between subsidiaries of multi-national entities depending on their actual purposes or strategic objectives. In this context an important role in policy’s of such companies have methods available for pricing transfer. Even a relatively late entrant into economical practice, transfer pricing has rapidly emerged because more than a half of global transactions are conducted through multinational companies. In this paper we intend to present some of the situations where use transfer pricing, the consequences of their practice and their fixing methods on the basis of the strategic objectives of companies.transfer pricing, profitability, tax

Fresnelovi i Fraunhoferovi hologrami načinjeni računalom primjenom tehnike binarnih maski

Instead of the rectangular binary masks introduced by A. W. Lohmann, D. P. Paris and B. R. Brown to construct holograms by a computer, the holograms may be computed using circular binary masks. The new holograms are equivalent to ordinary holograms only with regard to the image reconstruction. In this work, circular binary mask techniques have been established theoretically and verified experimentally.Umjesto pravokutnih binarnih maski koje su uveli A. W. Lohmann, D.P. Paris i B. R. Brown radi računalne konstrukcije holograma, hologrami se mogu izračunati primjenom kružnih maski. Novi su hologrami ekvivalentni običnim hologramima samo u pogledu rekonstrukcije slika. U ovom se radu daje teorijska osnova i eksperimentalna potvrda tehnike kružnih binarnih maski

Fresnelovi i Fraunhoferovi hologrami načinjeni računalom primjenom tehnike binarnih maski

Instead of the rectangular binary masks introduced by A. W. Lohmann, D. P. Paris and B. R. Brown to construct holograms by a computer, the holograms may be computed using circular binary masks. The new holograms are equivalent to ordinary holograms only with regard to the image reconstruction. In this work, circular binary mask techniques have been established theoretically and verified experimentally.Umjesto pravokutnih binarnih maski koje su uveli A. W. Lohmann, D.P. Paris i B. R. Brown radi računalne konstrukcije holograma, hologrami se mogu izračunati primjenom kružnih maski. Novi su hologrami ekvivalentni običnim hologramima samo u pogledu rekonstrukcije slika. U ovom se radu daje teorijska osnova i eksperimentalna potvrda tehnike kružnih binarnih maski

Backtesting Value-at-Risk Models: A Multivariate Approach

The purpose of this paper is to develop a new and simple backtesting procedure that ex- tends the previous work into the multivariate framework. We propose to use the multivariate Portmanteau statistic of Ljung-Box type to jointly test for the absence of autocorrelations and cross-correlations in the vector of hits sequences for dierent positions, business lines or nancial institutions. Simulation exercises illustrate that this shift to a multivariate hits dimension delivers a test that increases signicantly the power of the traditional backtesting methods in capturing systemic risk: the building up of positive and signicant hits cross-correlations which translates into simultaneous realization of large losses at several business lines or banks. Our multivariate procedure is addressing also an operational risk issue. The proposed technique provides a simple solution to the Value-at-Risk(VaR) estimates aggregation problem: the institution's global VaR measure being either smaller or larger than the sum of individual trading lines' VaRs leading to the institution either under- or over- risk exposure by maintaining excessively high or low capital levels. An application using Prot and Loss and VaR data collected from two international major banks illustrates how our proposed testing approach performs in a realistic environment. Results from experiments we conducted using banks' data suggest that the proposed multivariate testing procedure is a more powerful tool in detecting systemic risk if it is combined with multivariate risk modeling i.e. if covariances are modeled in the VaR forecasts.

EZINE – a way of electronic transfer for specific information?

The transfer of information is essential to any society. The channels through which the information is transferred and the support used for memorize it represents essential elements which can determine the speed of transfer, the quality of information at the reception point and the cost also. This work paper presents a way that can be used in specialized information transfer: the "ezine" concept. This concept is presented together with its advantages, a few practical aspects and a case study about the effects and the costs that can be reached if we used it.internet, ezine, market response, electronic information transfer

Price stability and financial stability in the context of EUROSYSTEM’s monetary policy

In this article we propose to review some aspects of the relationship between price stability and financial stability in the current economic context. It is acknowledged that monetary policy of the EUROSYSTEM still have as the main objective the price stability, this being one of the most important ways of supporting sustainable economic growth. Although there are many theoretical approaches of the price stability concept all converging towards the idea of measuring and control of permanent inflation. Financial stability can be seen in the broad sense as the situation in which the financial system may ensure the efficient allocation of savings to investment opportunities and may face the shock without major disruptions. Viewed from this perspective the increased complementarity between price stability and financial stability is associated with economic globalization and, in particular, eliminating impediments to the free movement of capital flows. On the other hand the financial stability may be defined as a situation characterized by the absence of banking crises and by the existence of a certain level of price stability of the assets, including interest rates.peer-reviewe