574,817 results on '"Financial Markets"'
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2. Generalized Disappointment Aversion and the Variance Term Structure.
- Author
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Babiak, Mykola
- Subjects
FINANCIAL markets ,RISK aversion ,DISAPPOINTMENT ,MARKET volatility - Abstract
Contrary to leading asset pricing theories, recent empirical evidence indicates that financial markets compensate only short-term equity variance risk. An equilibrium model with generalized disappointment aversion risk preferences and rare events reconciles salient features of the variance term structure. In addition, a calibration explains the variance and skew risk premiums in equity returns and the implied volatility skew of index options while capturing standard moments of fundamentals, equity returns, and the risk-free rate. The key intuition for the results stems from substantial countercyclical risk aversion induced by endogenous variation in the probability of disappointing events in consumption growth. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
3. A comparison of direct listings and IPOs.
- Author
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Brown, Anna Bergman, Byard, Donal, and Suh, Jangwon
- Subjects
GOING public (Securities) ,LISTING of securities ,FINANCIAL markets ,INVESTMENT information ,INVESTORS ,STOCKS (Finance) - Abstract
Copyright of Contemporary Accounting Research is the property of Canadian Academic Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2024
- Full Text
- View/download PDF
4. Climatic disasters and distracted analysts.
- Author
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Han, Yuqi, Mao, Connie X., Tan, Hongping, and Zhang, Chi
- Subjects
EARNINGS forecasting ,COGNITIVE bias ,DISASTERS ,SECURITIES analysts ,FINANCIAL markets - Abstract
Copyright of Contemporary Accounting Research is the property of Canadian Academic Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2024
- Full Text
- View/download PDF
5. Learning in Financial Markets: Implications for Debt-Equity Conflicts.
- Author
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Davis, Jesse and Gondhi, Naveen
- Subjects
FINANCIAL markets ,INVESTMENTS ,DECISION making in business ,MARGINAL efficiency of investment ,INVESTORS ,LEARNING - Abstract
Financial markets reveal information that firm managers can utilize when making equity value-enhancing investment decisions. However, for firms with risky debt, such investments are not necessarily socially efficient. Despite this friction, we show that learning from prices improves investment efficiency. This effect is asymmetric, however, as investors learn less about projects that decrease the riskiness of cash flows: efficiency is lower for diversifying investments than for focusing (risk-increasing) investments. This also implies that investors' endogenous learning further attenuates risk shifting but amplifies debt overhang. Our model provides a novel channel through which learning from financial markets affects agency frictions between stakeholders. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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6. Heterogeneity of Beliefs and Trading Behavior: A Reexamination.
- Author
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Füllbrunn, Sascha, Huber, Christoph, Eckel, Catherine, and Weitzel, Utz
- Subjects
SECURITIES trading ,HETEROGENEITY ,BELIEF & doubt ,ASSETS (Accounting) ,PRICES ,PRICING ,FINANCIAL markets ,SECURITIES industry ,ECONOMIC forecasting - Abstract
Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-term price forecasts, we analyze the role of heterogeneity of beliefs in the organization of trading behavior by reproducing and reconsidering earlier experimental findings. Our results confirm prior evidence that price expectations affect trading behavior. However, heterogeneity in beliefs does not seem to drive overpricing and asset market bubbles, as suggested by earlier studies, and we find no indication of short-term beliefs being better determinants of trading behavior than longer-term beliefs. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
7. Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets.
- Author
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Akinci, Özge and Queralto, Albert
- Subjects
FINANCIAL markets ,INTEREST rates ,EMERGING markets ,MONETARY policy ,INTERNATIONAL markets - Abstract
We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic "financial accelerator," leading to large cross-border spillovers of U.S. monetary policy shocks. The model implies a link between uncovered interest parity violations and local credit spreads, a prediction we show the data strongly supports. Authors have furnished an Internet Appendix , which is available on the Oxford University Press Web site next to the link to the final published paper online. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
8. Initial Margin Requirements and Market Efficiency.
- Author
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Akbas, Ferhat, Ay, Lezgin, and Koch, Paul D.
- Subjects
EFFICIENT market theory ,CAPITAL market ,FINANCIAL markets ,STOCK exchanges ,EARNINGS announcements ,PRICING ,THEORY of constraints - Abstract
We examine the association between margin requirements and the market's efficiency in incorporating firm-specific and market-level public news. Combining the Fed's 22 changes in margin requirements with a hand-collected sample of earnings announcements between 1934 and 1975, we show that higher margin requirements induce greater delay in incorporating earnings information into prices. We draw similar conclusions when we analyze the Hou and Moskowitz (2005) price delay measure, as well as indirect measures of leverage constraints over recent years. Further tests suggest that, despite the Fed's expressed intent to curtail excess speculation, higher margin requirements restrict trading by arbitrageurs more than noise traders. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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9. Insights into the Bernie Madoff financial market scandal which identify new opportunities for business market researchers.
- Author
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Boddy, Clive R.
- Subjects
PSYCHOPATHS ,RESEARCH personnel ,MARKETING research companies ,FINANCIAL markets ,SERVICE industries ,MUTUAL funds ,CAPITALISM ,CONSUMER ethics - Abstract
This article reflectively applies measurement tools to gage whether a renowned financier and champion of shareholder capitalism, in 20
th century business history, might be categorized as a corporate psychopath. The article examines aspects of the career of the outstanding financial investment manager, Bernie Madoff. Psychopaths and corporate psychopaths are defined as background to the article. Gauges of corporate psychopathy and psychopathy are outlined which could be modified by market research companies to identify corporate psychopathy in organisations as a way of aiding investment decisions into such organisations. The current article concludes that insolvencies such as those at Madoff's investment company, have been distinguished by CEOs being present who were simultaneously the lauded agents of financial market capitalism and who embodied the traits of the corporate psychopath. The examination of potential corporate psychopaths using this historical methodology helps inform ideas about what the effects of psychopathic leadership may be within economies and gives new insights into the reasons for the greed, risk taking, and unethical practices found in financial markets. Findings support the accepted view that corporate psychopaths can be discovered in senior roles in the financial services sector. This current paper provides new avenues for research offerings from market research companies. For example, business to business researchers could undertake research to identify firms more likely to be longitudinally viable, sustainable and less likely to collapse (i.e., non-psychopathic firms). Investment companies like pension funds could use such research to identify firms that are less risky, more ethical, better led, and therefore safer to invest in. [ABSTRACT FROM AUTHOR]- Published
- 2024
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10. MiFID II and the unbundling of analyst research from trading execution.
- Author
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Lourie, Ben, Shanthikumar, Devin, and Yoo, Il Sun
- Subjects
STOCKBROKERS ,INVESTORS ,FINANCIAL instruments ,STOCKS (Finance) ,EXPERIMENTAL design ,FINANCIAL markets - Abstract
Copyright of Contemporary Accounting Research is the property of Canadian Academic Accounting Association and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2023
- Full Text
- View/download PDF
11. Assimilation Effects in Financial Markets.
- Author
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Fich, Eliezer M. and Xu, Guosong
- Subjects
COGNITIVE bias ,FINANCIAL markets ,MERGERS & acquisitions ,RATE of return on stocks ,INVESTORS - Abstract
An assimilation bias occurs when people's evaluative judgment is positively influenced by a previously observed signal. We study this effect by examining investors' appraisal of M&A deals announced 1 day after other firms in the same 1-digit SIC as the merging parties release earnings surprises. Consistent with assimilation effects, acquirers' M&A announcement stock return initially correlates with the previous day's earnings surprises. This effect reverses after 1 week. Assimilation generates other distortions as more positive surprises are related to increases in bid competition, takeover premiums, and withdrawn M&As. Evidence from IPOs corroborates the presence of assimilation effects in financial markets. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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12. Latin America Monitor.
- Subjects
FINANCIAL markets ,AGRICULTURE - Abstract
A country report for Latin America is presented, from publisher Business Monitor International with topics including financial market volatility in Brazil; agricultural growth in Brazil and wage growth in Brazil.
- Published
- 2024
13. Heterogeneity in Household Inflation Expectations: Policy Implications.
- Author
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Taeyoung Doh, JiHyung Lee, and Woong Yong Park
- Subjects
HETEROGENEITY ,DEMOGRAPHIC surveys ,FINANCIAL markets ,HOUSEHOLDS - Abstract
We empirically characterize the heterogeneity in the conditional distribution of household inflation expectations across demographic groups using the Survey of Consumer Expectations and investigate how monetary policy shocks affect the conditional distribution. We find that across all demographic groups, the peak of the group-specific distribution of household inflation expectations aligns closely with the Federal Reserve's 2 percent target. However, we also find substantial heterogeneity both within and across groups, primarily on the right end of the distribution. Nevertheless, we show that a contractionary monetary policy shock identified by high-frequency financial market response reduces inflation expectations of households more vulnerable to the risk of unanchoring. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
14. Markowitz median variance and fuzzy median variance in portfolio selection problem.
- Author
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Ramli, Suhailywati and Jaaman, Saiful Hafizah
- Subjects
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FINANCIAL markets , *MARKET volatility , *FUZZY numbers , *FORECASTING - Abstract
The mean-variance Markowitz model assumes that historical data can accurately predict the condition of the securities market in the future. However, this may not be true due to the high volatility in the financial market, leading to imprecise information. Fuzzy approaches are deemed to be a sound alternative when dealing with indefinite information and abnormal data. This paper compares three models which are the mean-variance Markowitz model, the median-variance model, and the fuzzy median variance model. The median is one of the robust statistics less affected by deviations than the mean. Both approaches are demonstrated on shares of the KLCI Bursa Malaysia. The empirical result shows that the fuzzy median variance employing the trapezoidal fuzzy numbers model presents lower risk and better performance than the Markowitz mean-variance and median-variance models. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
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15. Marco regulatorio bancario en Ecuador y su impacto en el financiamiento a pymes/Banking regulatory framework in Ecuador and its impact on SME financing
- Author
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Urdaneta-Montiel, Armando José and Zambrano-Morales, Ãngel Alberto
- Published
- 2024
- Full Text
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16. Secret and Overt Information Acquisition in Financial Markets.
- Author
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Xiong, Yan and Yang, Liyan
- Subjects
INVESTORS ,FINANCIAL markets ,OBSERVATION (Psychology) ,MARKET makers ,STOCKBROKERS ,DISCLOSURE ,DISCLOSURE laws ,INFORMATION sharing - Abstract
We study the observability of investors' information-acquisition activities in financial markets. Improving observability leads to two strategic effects on information acquisition: (1) the pricing effect, which arises from interactions between investors and the market maker and can encourage or discourage information acquisition, and (2) the competition effect, which concerns interactions among investors and always encourages information acquisition. We apply our theory to study voluntary and mandatory disclosures of corporate site visits. When the competition effect dominates, investors voluntarily disclose their visits. When the pricing effect dominates, mandatory disclosure is effective. Our analysis sheds novel light on Regulation Fair Disclosure. Authors have furnished an Internet Appendix , which is available on the Oxford University Press Web site next to the link to the final published paper online. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
17. The Overnight Drift.
- Author
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Boyarchenko, Nina, Larsen, Lars C, and Whelan, Paul
- Subjects
STOCKS (Finance) ,FINANCIAL markets ,MARKETING models ,MARKET makers ,INVENTORIES ,INVENTORY control ,EQUITY management ,RATE of return - Abstract
This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive and highly economically and statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive "overnight drift" returns, we uncover an asymmetric reaction to demand shocks: market sell-offs generate robust positive overnight reversals, while reversals following market rallies are much more modest. We argue that demand shock asymmetry can arise in inventory management models with time-varying market maker risk-bearing capacity. Authors have furnished an Internet Appendix , which is available on the Oxford University Press Web site next to the link to the final published paper online. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
18. Access to Finance and Technological Innovation: Evidence from Pre-Civil War America.
- Author
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Mao, Yifei and Wang, Jessie Jiaxu
- Subjects
FINANCE ,FINANCIAL markets ,TECHNOLOGICAL innovations ,HISTORY of labor ,HISTORY of banking laws ,CHOLERA ,PANDEMICS ,IMMIGRANTS - Abstract
This article provides new evidence on how access to finance affects technological innovation and establishes the role of labor practices in shaping this relation. We exploit a unique setting, pre-Civil War America, where staggered adoption of free banking laws across states encouraged bank entry, and variation in the use of exploited workers in agriculture generated differences in producers' demands for labor-saving technologies. Results show that access to finance spurred innovation; the positive effect on agricultural innovation diminished with labor exploitation. We establish the causal role of labor exploitation using the 1850s cholera pandemic and the influx of Irish immigrants. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
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19. Interconnectedness between Islamic and conventional banks: a multilayer network view
- Author
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Miglietta, Federica, Foglia, Matteo, and Wang, Gang-Jin
- Published
- 2024
- Full Text
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20. Geography, creative workforce and access to venture capital
- Author
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Goktan, Mehmet Sinan and Ucar, Erdem
- Published
- 2024
- Full Text
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21. Reducing stock market settlement days using blockchain.
- Author
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Kumari, Supriya, Dwivedi, Rachit, Singh, Pragya, Aslam, Aqdam, and Venkatesan, S.
- Subjects
FINANCIAL markets ,DATABASES ,INDIVIDUAL investors ,MARKET design & structure (Economics) ,ARCHITECTURAL design - Abstract
The current Indian stock market structure is fully centralized, with each party's government, financial institutions, and private sector relying on one another to authenticate transactions. Because of the prior party's reliance, the settlement in client Demat accounts takes T + 2. Most of the time, the T + 2 rule causes retail short-term investors or traders to lose money or fail to make a profit. The current settlement method is extremely difficult to comprehend, resulting in anomalies in customer Demat accounts. Blockchain is an immutable append-only data chain that is always developing. The SHA-256 cryptographic technique prevents data from being removed or changed after it has been inserted. There is no central database to maintain the chain; instead, each node stores a copy and processes data locally, updating it in milliseconds. In the form of fresh blocks, new information is added to the chain, ensuring that all parties have the same picture of the blockchain at all times. Everyone has access to the information, so they may verify and confirm transactions, in the end, resulting in complete transparency for all transactions. This work proposes a decentralized stock exchange architecture based on permissioned blockchain to address the T + 2 settlement cycle rule problem. Before designing this architecture it considers every aspect so, it excludes the traditional party name custodian member party because of its traditional functionality so that our architecture becomes cost-efficient at the time of implementation. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
22. American barrier swaption pricing problem of exponential Ornstein–Uhlenbeck model in uncertain financial market.
- Author
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Li, Dongao, Jiang, Jiarui, and Jia, Lifen
- Subjects
- *
DERIVATIVE securities , *DIFFERENTIAL equations , *PRICES , *FINANCIAL markets , *INTEREST rates - Abstract
Barrier swaption is a financial derivative that integrates aspects of a traditional swaption with the distinctive features of a barrier option. In this study, based on the premise that floating interest rates obey the exponential Ornstein–Uhlenbeck model, we derive the pricing formulas for two types of American barrier swaptions for payer and receiver, respectively, and design corresponding algorithms. In the empirical part, we select the Hong Kong Interbank Offer Rate (HIBOR) data from the real financial market to estimate the parameters of the uncertain differential equation that governs floating interest rates and test the hypothesis. It is worth noting that through rigorous hypothesis testing, we verify the applicability of the equation. Finally, we use the actual estimated parameters combined with the uncertain differential equation to carry out a range of numerical experiments, which provides a strong support for the pricing of American barrier swaptions. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
23. Cryptocurrencies under climate shocks: a dynamic network analysis of extreme risk spillovers.
- Author
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Guo, Kun, Kang, Yuxin, Ji, Qiang, and Zhang, Dayong
- Subjects
FINANCIAL economics ,ECONOMIC uncertainty ,ECONOMIC policy ,FINANCIAL markets ,RISK exposure - Abstract
Systematic risks in cryptocurrency markets have recently increased and have been gaining a rising number of connections with economics and financial markets; however, in this area, climate shocks could be a new kind of impact factor. In this paper, a spillover network based on a time-varying parametric-vector autoregressive (TVP-VAR) model is constructed to measure overall cryptocurrency market extreme risks. Based on this, a second spillover network is proposed to assess the intensity of risk spillovers between extreme risks of cryptocurrency markets and uncertainties in climate conditions, economic policy, and global financial markets. The results show that extreme risks in cryptocurrency markets are highly sensitive to climate shocks, whereas uncertainties in the global financial market are the main transmitters. Dynamically, each spillover network is highly sensitive to emergent global extreme events, with a surge in overall risk exposure and risk spillovers between submarkets. Full consideration of overall market connectivity, including climate shocks, will provide a solid foundation for risk management in cryptocurrency markets. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
24. Game Theory for Predicting Stocks' Closing Prices.
- Author
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Freitas, João Costa, Pinto, Alberto Adrego, and Felgueiras, Óscar
- Abstract
We model the financial markets as a game and make predictions using Markov chain estimators. We extract the possible patterns displayed by the financial markets, define a game where one of the players is the speculator, whose strategies depend on his/her risk-to-reward preferences, and the market is the other player, whose strategies are the previously observed patterns. Then, we estimate the market's mixed probabilities by defining Markov chains and utilizing its transition matrices. Afterwards, we use these probabilities to determine which is the optimal strategy for the speculator. Finally, we apply these models to real-time market data to determine its feasibility. From this, we obtained a model for the financial markets that has a good performance in terms of accuracy and profitability. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
25. Enhancing Stock Price Prediction in the Indonesian Market: A Concave LSTM Approach with Runrelu.
- Author
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Diqi, Mohammad and Ordiyasa, I Wayan
- Subjects
- *
STOCK price forecasting , *BUSINESS forecasting , *INVESTORS , *FINANCIAL markets , *PREDICTION models - Abstract
This study addresses the pressing need for improved stock price prediction models in the financial markets, focusing on the Indonesian stock market. It introduces an innovative approach that utilizes the custom activation function RunReLU within a concave long short-term memory (LSTM) framework. The primary objective is to enhance prediction accuracy, ultimately assisting investors and market participants in making more informed decisions. The research methodology used historical stock price data from ten prominent companies listed on the Indonesia Stock Exchange, covering the period from July 6, 2015, to October 14, 2021. Evaluation metrics such as RMSE, MAE, MAPE, and R2 were employed to assess model performance. The results consistently favored the RunReLUbased model over the ReLU-based model, showcasing lower RMSE and MAE values, higher R2 values, and notably reduced MAPE values. These findings underscore the practical applicability of custom activation functions for financial time series data, providing valuable tools for enhancing prediction precision in the dynamic landscape of the Indonesian stock market. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
26. Banker, pastor, teef: Christian financial elites and vernaculars of accountability in Ghana.
- Author
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Kauppinen, Anna‐Riikka and Daswani, Girish
- Subjects
- *
ECONOMIC elites , *FINANCIAL crises , *FINANCIAL liberalization , *FINANCIAL markets , *CHAIRMAN of the board , *PENTECOSTAL churches - Abstract
When nine Ghanaian banks collapsed during the country's 2017–2019 financial crisis, a Charismatic Pentecostal pastor was at the center of public accusations as the board chairman of one of the failed banks. His role put a spotlight on the growing influence of Charismatic Pentecostal institutions and elites in Ghana's financial market. Shifting the perspective between diverse actors who reckoned with the bank's collapse, from ordinary Christians to artist‐activists, this article explores how Ghanaians evaluated the culpability of the pastor and in so doing problematized who Christian elites involved in banking and business are accountable to: God, their congregants, or the public at large? We argue that global financial liberalization has generated new types of financial elites, Pentecostal pastors among them, who become subject to new lines of accountability. Holding someone accountable comes with stakes expressed through vernacular registers that demonstrate how financial markets are engulfed in broader social relations and regimes of ethical evaluation. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
27. THE DISSIMILAR MARKET VOLATILITY IN NEIGHBORING FINANCIAL MARKETS: AN EMPIRICAL STUDY USING A MULTIVARIATE GARCH MODEL.
- Author
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Wijeweera, Albert, Goonetilleke, Ravindra Stephen, and Namwoon Kim
- Subjects
- *
MARKET volatility , *FINANCIAL markets , *GARCH model , *RATE of return on stocks , *FINANCIAL policy - Abstract
Conventional knowledge of market volatility represents that two proximate financial markets operated in the same country would display a similar pattern in their time-varying volatility. In this paper, we propose that the heterogeneity in financial policy orientation of stock markets creates significant inter-market differences in terms of the volatility of stock returns, even if they are culturally and geographically linked to each other. For the empirical investigation of our proposition, the volatility data from two major stock exchanges in the Middle East, the Abu Dhabi Securities Exchange (ADX) and the Dubai Financial Market (DFM) are used. Both the ADX and DFM stock exchanges operate in the same country, the United Arab Emirates (UAE). The ADX is based in Abu Dhabi, the administrative capital, while the DFM is based in Dubai, the commercial and business hub of the UAE. They were both established in the year 2000, and their operational headquarters are located about 150 km from each other. This paper uses a multivariate GARCH model, in particular a diagonal VECH GARCH (1, 1) model to estimate volatility measures for stock returns between ADX-listed and DFM-listed stocks. The paper finds that the stock returns are significantly less volatile in the ADX compared to those in the DFM suggesting that the volatility transmission is incomplete between these two neighboring financial markets. This difference in volatility can potentially be attributed to the relatively conservative financial policies adopted by the oil-rich emirate of Abu Dhabi compared to the more market-oriented economic policies of Dubai, the country's financial and commercial hub. Our findings have considerable implications for portfolio managers in ascertaining risk premiums when allocating investments across the two stock exchanges. For instance, this disparity in volatility should be taken into account by investors and policymakers when designing risk management strategies because it suggests that investors in the DFM may be exposed to higher levels of risk and uncertainty compared to their counterparts in the ADX. Investors operating in the DFM may require more robust risk management strategies, such as asset diversification and hedging, compared to their ASX counterparts. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
28. Testing for time‐varying nonlinear dependence structures: Regime‐switching and local Gaussian correlation.
- Author
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Gundersen, Kristian, Bacri, Timothée, Bulla, Jan, Hølleland, Sondre, Maruotti, Antonello, and Støve, Bård
- Subjects
- *
FINANCIAL markets , *GOVERNMENT securities , *RANDOM variables , *BOND market , *MODEL theory , *STATISTICAL bootstrapping - Abstract
This paper examines nonlinear and time‐varying dependence structures between a pair of stochastic variables, using a novel approach which combines regime‐switching models and local Gaussian correlation (LGC). We propose an LGC‐based bootstrap test for examining whether the dependence structure between two variables is equal across different regimes. We examine this test in a Monte Carlo study, where it shows good level and power properties. We argue that this approach is more intuitive than competing approaches, typically combining regime‐switching models with copula theory. Furthermore, LGC is a semi‐parametric approach, hence avoids any parametric specification of the dependence structure. We illustrate our approach using financial returns from the US–UK stock markets and the US stock and government bond markets, and provide detailed insight into their dependence structures. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
29. The impact of the US stock market on the BRICS and G7: a GVAR approach.
- Author
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Attílio, Luccas Assis, Faria, Joao Ricardo, and Prado, Mauricio
- Subjects
- *
FINANCIAL markets , *COMMERCIAL trusts , *BILATERAL trade , *INTEREST rates , *DEPRECIATION , *FOREIGN exchange rates ,GROUP of Seven countries - Abstract
Purpose: The authors investigate the impact of the US stock market on the economies of the BRICS and major industrialized economies (G7). Design/methodology/approach: The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. Global vector autoregressive (GVAR) empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows. Findings: The authors summarize the results in four points: (1) financial integration variables increase the effect of the US stock market on the BRICS and G7, (2) the US shock produces similar responses in these groups regarding industrial production, stock markets and confidence but different responses regarding domestic currencies: in the BRICS, the authors detect appreciation of the currencies, while in the G7, the authors find depreciation, (3) G7 stock markets and policy rates are more sensitive to the US shock than the BRICS and (4) the estimates point out to heterogeneities such as the importance of industrial production to the transmission shock in Japan and China, the exchange rate to India, Japan and the UK, the interest rates to the Eurozone and the UK and confidence to Brazil, South Africa and Canada. Research limitations/implications: The results reinforce the importance of taking into account different levels of economic development. Originality/value: The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. GVAR empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
30. The interplay between economic policy uncertainty and corporate bond yield in emerging Asian markets.
- Author
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Kumar, Mohit and Prasanna, P. Krishna
- Subjects
- *
FINANCIAL markets , *BONDS (Finance) , *INVESTORS , *ECONOMIC uncertainty , *BOND market , *CORPORATE bonds , *MARKET volatility - Abstract
Purpose: To investigate the role of domestic and foreign economic policy uncertainty (EPU) in driving the corporate bond yields in emerging markets. Design/methodology/approach: The study utilizes monthly data from January 2008 to June 2023 from the selected emerging economies. The data analysis is conducted using univariate, bivariate and multivariate statistical techniques. The study includes bond market liquidity and global volatility (VIX) as control variables. Findings: Domestic EPU has a significant role in driving corporate bond yields in these markets. The study finds weak evidence to support the role of the USA EPU in influencing corporate bond yields in emerging economies. Domestic EPU holds more weight and influence than the EPU originating from the United States of America. Research limitations/implications: The findings provide useful insights to policymakers about the potential impact of policy uncertainty on corporate bond yields and enable them to make informed decisions regarding economic policies that maintains financial stability. Understanding the relationship between EPU and corporate bond yields enables investors to optimize their investment decisions in emerging market economies, opens the scope for further research on the interaction between EPU and volatility and other attributes of fixed income markets. Originality/value: Focuses specifically on the emerging market economies in Asia, providing an in-depth analysis of the dynamics and challenges faced by these countries, Explores the influence of both domestic and the USA EPU on corporate bond yields in emerging markets, offering valuable insights into the transmission channels and impact of EPU from various sources. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
31. Fiscal extraction by sovereignty: Calculative bordering and differential entanglement in the Eurozone crisis.
- Author
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Streinzer, Andreas
- Subjects
- *
EUROPEAN Sovereign Debt Crisis, 2009-2018 , *FINANCIAL markets , *CRITICAL theory , *MARKET value , *SOVEREIGNTY - Abstract
The article analyses the relationship between sovereignty and capitalist extraction using assemblage theory. It discusses dialectical variants of assemblage theory as tools to think about the entangled relations that make economic actors. The article proposes two concepts, calculative bordering and differential entanglement, to make sense of processes that responsibilised the Greek government for the 2010s Eurozone crisis and invoked its sovereignty as a tool for extraction value for financial markets. The article contributes to anthropological theorisations of sovereignty by showing how, as a political concept, sovereignty can serve to responsibilize governments to secure accumulation and ensure capitalist extraction. The article thus aims for a refined understanding of the changing relation between extraction and sovereignty and processes of fiscal responsibilization as a performance of sovereignty. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
32. Does stock market liberalization promote entrepreneurship?
- Author
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Jiang, Chun, Qiu, Yihan, Li, Xiao-Lin, and Si, Deng-Kui
- Subjects
SOCIAL responsibility of business ,SOCIAL entrepreneurship ,FINANCIAL markets ,STOCKS (Finance) ,ECONOMIC development - Abstract
This paper investigates the impact of stock market liberalization on entrepreneurship using non-financial firm-level data from 2007 to 2022. The results show that increased stock market liberalization promotes entrepreneurship by alleviating financial constraints, reducing corporate risk-taking, and enhancing corporate social responsibility. With a one percent increase in stock market liberalization, entrepreneurship improves by 8.60 percent. These findings remain robust even after replacing variables, changing model specifications, and addressing the endogeneity concerns. We also find the positive impact of stock market liberalization on entrepreneurship is more pronounced for firms with higher financing constraints, governance efficiency, industry competition, and eastern regions. This study underscores the significance of thoughtful financial market reforms in promoting entrepreneurship and ensuring high-quality economic development. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
33. AN ANALYSIS OF ALBANIA'S BANKING SECTOR: CURRENT TRENDS AND FUTURE PROSPECTS.
- Author
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Çifligu, Eneida
- Subjects
BANKING industry ,NONPERFORMING loans ,LOANS ,ECONOMIC impact ,MONEY supply ,FINANCIAL markets - Abstract
The purpose of this research is to explore and summarize aspects of the current state and development trends in Albania's banking sector. The analysis shows that the banking system dominates the country's financial landscape, while the securities market remains nascent. Adverse inflationary dynamics are also observed. The research demonstrates dependencies between key banking indicators like non-performing loans, capital adequacy ratio and money supply on economic factors. The prospects for Albania's banking sector are challenged by the volatile global economy, however promoting lending, improving asset quality and supporting businesses can help establish stability. Expanding the securities market can also assist banking sector growth. The practical significance is that the identified trends and relationships can inform policy decisions to facilitate robust banking sector performance. [ABSTRACT FROM AUTHOR]
- Published
- 2024
34. The impact of the Digital Operational Resilience Act on financial market infrastructures in Europe.
- Author
-
Duggan, Derek
- Subjects
INFRASTRUCTURE (Economics) ,FINANCIAL markets ,INTERNET security ,GOVERNMENT agencies ,SECURITIES industry laws - Abstract
This paper provides a comprehensive overview of the approach taken by financial market infrastructures (FMIs) across Europe as they prepare for full implementation of the Digital Operational Resilience Act (DORA) in January 2025. With the final deadline so close, concerns are emerging that some FMIs and regulatory bodies will not be ready to meet all of DORA's requirements in time. The purpose of this paper is to examine those concerns based on current operational resilience practices in European FMIs, and to clarify the challenges and opportunities presented by greater attention to managing third-party cyber risk. The paper also covers industry perspectives and stakeholder feedback, based on interviews with industry experts (both internal and external) in fields such as banking, financial regulation and cyber security. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
35. Unbundling Quantitative Easing: Taking a Cue from Treasury Auctions.
- Author
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Ray, Walker, Droste, Michael, and Gorodnichenko, Yuriy
- Subjects
FINANCIAL markets ,YIELD curve (Finance) ,MARKET design & structure (Economics) ,GOVERNMENT securities ,HABITATS ,QUANTITATIVE easing (Monetary policy) - Abstract
We study the role of preferred habitat in understanding the economic effects of the Federal Reserve's quantitative easing (QE). Using high-frequency identification and exploiting the structure of the primary market for US Treasuries, we isolate demand shocks that are transmitted solely through preferred habitat channels but otherwise mimic QE shocks. We document large localized yield curve effects when financial markets are disrupted. Our calibrated model, which embeds preferred habitat in a New Keynesian framework, can largely account for the observed financial effects of QE. QE is modestly stimulative for output and inflation, but alternative policy designs can generate stronger effects. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
36. Efficiency and Welfare Effects of Fiscal Policy in Emerging Economies: The Case of Morocco.
- Author
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El Khalifi, Ahmed, Ouakil, Hicham, and Torres, José L.
- Subjects
PUBLIC spending ,PUBLIC investments ,EMERGING markets ,TAX rates ,FINANCIAL markets ,FISCAL policy - Abstract
This paper studies the welfare cost of fiscal policy in developing economies where a significant fraction of the population is government spending-dependent, using as an example Morocco. We develop a Dynamic General Equilibrium model representing an economy populated by three types of households: Standard Ricardian households with access to the financial market, households who supply labor but have no access to the financial market, and non-active government-dependent households (who behave as hand-to-mouth agents). The paper computes welfare changes of different tax rates and alternative spending policies and quantifies the trade-off of fiscal policy across the different groups of agents. We find that: (i) Distortions from some taxes can be positive due to the presence of public inputs; (ii) Output efficiency can be gained by changing the tax mix while keeping constant fiscal revenues; and (iii) Social welfare gains can be obtained by increasing public investment and reducing government consumption and keeping lump-sum transfers constant. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
37. Current Account Uncertainty and Currency Premia.
- Author
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Della Corte, Pasquale and Krecetovs, Aleksejs
- Subjects
ABNORMAL returns ,RISK premiums ,FOREIGN exchange rates ,FINANCIAL markets ,HARD currencies - Abstract
We empirically study the relationship between currency excess returns and current account uncertainty, measured as forecast dispersion. We find that investment currencies deliver low returns, whereas funding currencies offer a hedge when current account uncertainty is unexpectedly high. Moreover, an increase in current account uncertainty is associated with higher expected future excess returns on investment currencies. This mechanism is consistent with the recent advances in exchange rate theory based on capital flows in imperfect financial markets. This paper was accepted by Gustavo Manso, finance. Funding: A. Krecetovs thanks the Brevan Howard Centre at Imperial College London for financial support. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4949. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
38. Modeling of linear uncertain portfolio selection with uncertain constraint and risk index.
- Author
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Guo, Weiwei, Zhang, Wei-Guo, and Gong, Zaiwu
- Subjects
FINANCIAL markets ,RATE of return ,JUDGMENT (Psychology) ,SECURITIES - Abstract
Since securities market is subject to a great deal of uncertainty and complexity, the return of securities cannot be accurately estimated by historical data. In this case, it must use experts' knowledge and judgment. Therefore, we investigate portfolio selection problems in such uncertain environments. First, this paper regards the rate of return on security as an uncertain variable which obeys linear uncertainty distribution, and then provides the analytical expressions of the corresponding risk, return and risk index in the uncertain portfolio selection environment. Afterwards, we construct three types uncertain portfolio selection models with uncertain constraint, namely, the minimizing risk, the maximizing return and the maximizing belief degree. Meanwhile, in order to more intuitively reflect the investor's sense of loss, three types uncertain portfolio selection models considering both uncertain constraint and risk index are also constructed. These models are transformed into corresponding deterministic models. Finally, through an example analysis, this paper obtains the portfolio selection strategies under different objectives, compares the results under different models, and analyzes the sensitivity of the parameters. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
39. The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence.
- Author
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Mishra, Aswini Kumar, Nakhate, Anand Theertha, Bagra, Yash, Singh, Abinash, and Kar, Bibhu Prasad
- Subjects
ECONOMIC uncertainty ,FINANCIAL markets ,ECONOMIC policy ,MARKET volatility ,CAPITAL market ,VOLATILITY (Securities) - Abstract
This paper examines the effect of economic policy uncertainty (EPU) on the Indian capital market using the generalized autoregressive conditional heteroscedastic mixed data sampling (GARCH-MIDAS) approach. This study also disintegrates the Global EPU (GEPU) on its components using identity functions such as up, down, and composite parts dependent on the adjustment in the heading of the EPU and GEPU and tests the linkages among these parameters and the Indian securities exchange instability. Our empirical study shows that GEPU positively and significantly impacts the Indian capital market's volatility. That indicates that the Indian capital exchange volatility will also be unstable when the global economic policy uncertainty is higher. Further, based on the dynamic directions of EPU and GEPU, our results show that, in diverse situations, directional GEPU may present differently in predicting the uncertainty in the Indian capital market. This is primarily so when EPU and GEPU climb in the same period when our approach can obtain more powerful prediction precision. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
40. Value and quality investing strategy in Indian stock market.
- Author
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Kaur, Satinder, Seth, Sidharath, and Singh, Jaspal
- Subjects
FINANCIAL markets ,INVESTORS ,PRICES ,HEDGING (Finance) ,SHARPE ratio - Abstract
Purpose: The objective of the study is to shed light on the notion of quality investing in the Indian stock market. The study also attempts to combine the value and quality metrics to test their ability to generate a higher risk-adjusted return. Design/methodology/approach: The paper employs asset pricing models to examine the excess risk-adjusted returns and panel regression model (random estimates) to determine the price of quality in the cross-section of Bombay Stock Exchange (BSE) listed stocks from 2003 to 2020. Findings: The results indicate that the quality-only strategy failed to produce substantial risk-adjusted returns in the Indian stock market. The returns to long/short hedging strategy quality-minus-junk (QMJ) are significantly positive with the majority of the returns attributable to the short leg of the stock portfolio. The findings further discovered that the explanatory effect of quality on prices is limited. In particular, a strategy that combines value and quality investing generated positive and significant alphas as well as a higher Sharpe ratio. Practical implications: The study provides investors and portfolio managers with valuable insights for navigating undervalued high-quality equities in the Indian stock market. Originality/value: This is the first research of its kind to examine the performance of quality (Q score indicator) combined with value investing in the Indian stock market. As majority of research have concentrated on developed economies, this study offers out-of-sample evidence to validate the strategy's success in an emerging market. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
41. Assessing the financial impacts of significant wildfires on US capital markets: sectoral analysis.
- Author
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Tavor, Tchai
- Subjects
FINANCIAL markets ,REAL estate business ,INVESTORS ,FINANCIAL risk ,CAPITAL market - Abstract
This study investigates the impact of significant wildfires from 2019 to 2022 on nine sectors within the US capital markets, utilizing a dataset encompassing 161 wildfires. Employing a combination of parametric and nonparametric tests, alongside regression analysis, the research scrutinizes how capital markets in distinct sectors respond to wildfire events, revealing nuanced effects. In sectors directly impacted, the insurance industry displays sensitivity to fire costs, with explicit country or event mentions correlating with sustained returns. Conversely, the real estate sector experiences diminished returns during prolonged wildfires, while the forestry and timber industry exhibits heightened sensitivity to fire costs, especially when ignited by lightning. Within indirect impact sectors, the health industry shows vulnerability to fire-related fatalities, with subsequent negative correlations with country mentions. In the food industry, fire costs contribute positively to returns, while duration and size yield negative effects. The transportation industry witnesses a gradual decline in returns, escalating with the number of fire days or associated costs. In resilience and mitigation sectors, utilities demonstrate recovery post-wildfires, contrasting with consistent declines in the energy sector. Among interconnected sectors, the travel and tourism industry sees increased returns tied to the number of victims, with events caused by human actions having a more pronounced impact. This research underscores the significance of tailored risk assessment and mitigation strategies, offering valuable insights for investors and policymakers navigating the intricate relationship between environmental events and financial markets. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
42. On the effect of COVID-19 and policy uncertainty on the stock market: evidence from India.
- Author
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Adil, Masudul Hasan and Haider, Salman
- Subjects
COVID-19 pandemic ,COVID-19 ,FINANCIAL markets ,ECONOMIC uncertainty ,STOCK prices - Abstract
Purpose: The present study empirically examines the impact of coronavirus disease 2019 (COVID-19) and policy uncertainty on stock prices in India during the COVID-19 pandemic. Design/methodology/approach: To this end, the authors use the daily data by applying the autoregressive distributed lag (ARDL) model, which tests the short- and long-run relationship between stock price and its covariates. Findings: The study finds that increased uncertainty has adverse short- and long-run effects on stock prices, while the vaccine index has favorable effects on stock market recovery. Practical implications: From investors' perspectives, volatility in the Indian stock market has negative repercussions. Therefore, to protect investors' sentiments, policymakers should be concerned about the uncertainty induced by the COVID-19 pandemic and similar other uncertainty prevailing in the financial markets. Originality/value: This study used the news-based COVID-19 index and vaccine index to measure recent pandemic-induced uncertainty. The result carries some policy implications for an emerging economy like India. Peer review: The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-03-2023-0244 [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
43. Neural network empowered liquidity pricing in a two-price economy under conic finance settings.
- Author
-
Michielon, Matteo, Franquinho, Diogo, Gentile, Alessandro, Khedher, Asma, and Spreij, Peter
- Subjects
- *
BID price , *DERIVATIVE securities , *FINANCIAL markets , *PRICES , *STOCHASTIC models , *SPREAD (Finance) - Abstract
In the article at hand neural networks are used to model liquidity in financial markets, under conic finance settings, in two different contexts. That is, on the one hand this paper illustrates how the use of neural networks within a two-price economy allows to obtain accurate pricing and Greeks of financial derivatives, enhancing computational performances compared to classical approaches such as (conic) Monte Carlo. The methodology proposed for this purpose is agnostic of the underlying valuation model, and it easily adapts to all models suitable for pricing in conic financial markets. On the other hand, this article also investigates the possibility of valuing contingent claims under conic assumptions, using local stochastic volatility models, where the local volatility is approximated by means of a (combination of) neural network(s). Moreover, we also show how it is possible to generate hybrid families of distortion functions to better fit the implied liquidity of the market, as well as we introduce a conic version of the SABR model, based on the Wang transform, that still allows for analytical bid and ask pricing formulae. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
44. Meloni government’s strategic narratives vis-à-vis global financial markets: on the path of economic sovereignism?
- Author
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Bruno, Valerio Alfonso
- Subjects
- *
RIGHT-wing populism , *FINANCIAL markets , *PUBLIC relations , *EXPORT marketing , *FINANCIALIZATION - Abstract
The aim of the article is to analyze the Meloni government’ strategic narratives vis-à-vis global financial markets, including their use of populist and sovereignist discursive-ideological frames, in order to analyze whether these narratives are more radical in relation to the past. We first introduce the concepts of populism and sovereignism, clarify definitional aspects and look at their relation with financialization; then, we provide the research framework based on the use of strategic narrative. This paper follows an in-depth diachronic analysis of three different Italian populist/populist radical-right governments in relation to financial markets: Berlusconi IV government (during 2011–2012), Conte I (2018–2019) and Meloni (2022–), looking at the potential evolution of narratives. The article’s contribution is twofold: (a) First, it further disentangles the populism–sovereignism relation, offering a map of the key frames adopted by populist/sovereignist political entities; (b) second, it diachronically compares three populist/right-wing governments, in different historical junctures, in relation to financial markets. We found that the strategic narratives by some key actors in the Berlusconi IV, Conte I and Meloni governments vis-à-vis global financial markets are in substantial continuity. Yet, we argue that Italy’s current government has growing preferences for a narrative approach based on (economic) sovereignism. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
45. Climate effects on the diversification strategy of export firms: Evidence from China.
- Author
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Zhang, Junmei and Yao, Lianying
- Subjects
- *
DIVERSIFICATION in industry , *EXPORT trading companies , *ENERGY consumption , *FINANCIAL markets , *CLIMATE change - Abstract
Using a multi-product trade model, this study investigates the impact of temperature on firms' diversification in the export market. Using export and meteorological data of Chinese firms from 2000 to 2016, the empirical results confirm an inverted U-shaped relationship, implying that extreme temperatures significantly reduce firms' export product diversification. The analysis shows that extreme temperatures primarily reduce the variety of both new and existing products, with a less robust effect on product exit strategies. General trade firms are more adaptable to extreme temperatures than processing trade firms, and are likely to maintain diversified strategies. Stronger regional financial markets and higher energy consumption increase the adaptability of local firms to extreme temperatures. Firms have not yet adapted to local climatic norms. Furthermore, extreme temperatures also partly inhibit diversification of export destinations and relationships. The results of the study show that as climate change intensifies, leading to more frequent extreme temperatures, firms will face significant hurdles in pursuing diversified development strategies, pointing to increasing challenges ahead. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
46. Greenium of green securitization: Does external certification matter?
- Author
-
Li, Xiru, Zhu, Bo, and Zhang, Yufei
- Subjects
- *
ASSET backed financing , *CREDIT risk , *FOREIGN exchange market , *FINANCIAL markets , *INFORMATION asymmetry - Abstract
The financing costs of green asset-backed securities (ABS) are deeply affected by the increased information asymmetry and greenwashing risk resulting from risk transferring in securitization. To attract potential investors, many ABS issuers obtain external certifications, yet it is unclear whether they pay off financially. Based on a sample of 588 green ABS issued in China for 2016–2022, this paper examines the impact of external certification in the form of green certification and reputation of financial intermediaries involved in the issuance on the yield discount of green ABS over the paired non-green ABS. The empirical findings show that both external certifications lower the greenium of green ABS by serving as favorable signals and mitigating greenwashing concerns, especially in non-financial industry and the securities exchange market. Moreover, the information asymmetry and credit risk of issuers enhance the pricing effect of financial intermediary certification but undermine that of green certification. Our findings provide valuable implications to facilitate the financing efficiency of green financial markets and promote global low-carbon transition. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
47. Period-aggregated transformer for learning latent seasonalities in long-horizon financial time series.
- Author
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Tang, Zhenyang, Huang, Jinshui, and Rinprasertmeechai, Denisa
- Subjects
- *
STOCK prices , *FINANCIAL markets , *TIME series analysis , *MARKETING effectiveness , *DYNAMICAL systems - Abstract
Fluctuations in the financial market are influenced by various driving forces and numerous factors. Traditional financial research aims to identify the factors influencing stock prices, and existing works construct a common neural network learning framework that learns temporal dependency using a fixed time window of historical information, such as RNN and LSTM models. However, these models only consider the short-term and point-to-point relationships within stock series. The financial market is a complex and dynamic system with many unobservable temporal patterns. Therefore, we propose an adaptive period-aggregation model called the Latent Period-Aggregated Stock Transformer (LPAST). The model integrates a variational autoencoder (VAE) with a period-to-period attention mechanism for multistep prediction in the financial time series. Additionally, we introduce a self-correlation learning method and routing mechanism to handle complex multi-period aggregations and information distribution. Main contributions include proposing a novel period-aggregation representation scheme, introducing a new attention mechanism, and validating the model's superiority in long-horizon prediction tasks. The LPAST model demonstrates its potential and effectiveness in financial market prediction, highlighting its relevance in financial research and predictive analytics. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
48. A discrete-time model that weakly converges to a continuous-time geometric Brownian motion with Markov switching drift rate.
- Author
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Golomoziy, Vitaliy, Mishura, Yuliya, Kladivko, Kamil, Melnikov, Alexander, Martinucci, Barbara, and Manstavicius, Martynas
- Subjects
INCOMPLETE markets ,MARKOV processes ,GEOMETRIC topology ,FINANCIAL markets ,MARTINGALES (Mathematics) - Abstract
This research is devoted to studying a geometric Brownian motion with drift switching driven by a 2 χ 2 Markov chain. A discrete-time multiplicative approximation scheme was developed, and its convergence in Skorokhod topology to the continuous-time geometric Brownian motion with switching has been proved. Furthermore, in a financial market where the discounted asset price follows a geometric Brownian motion with drift switching, market incompleteness was established, and multiple equivalent martingale measures were constructed. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
49. Jump Risk Contagion and Determinants Driven by COVID-19 in Sino-US Stock Market: An Empirical Analysis from a Dependence Perspective.
- Author
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Du, Xinyu, Lv, Zhengyang, Yuan, Ying, Xu, Xinning, and Zhao, Chong
- Subjects
- *
FINANCIAL markets , *FINANCIAL crises , *COVID-19 pandemic , *BILATERAL trade , *JUMP processes - Abstract
This paper examines the jump risk contagion between the US and China during the financial crisis driven by COVID-19, and the impact of a series of determinants to detect the transmission mechanisms. Specifically, we employ the ARJI–GARCH model to capture jump behavior and apply the Clayton Copula to construct lower tail jump contagion. Furthermore, we conduct regression analysis on variables related to economic fundamentals and investor behavior to explore the fundamental or pure contagion hypotheses. Our results suggest an increased jump dependence during major catastrophic crises such as COVID-19, but it is closer to a memory-less process. Besides, bilateral trade, similarity in fundamentals and investor behavior are all important determinants, and pure contagion hypothesis exists between the Chinese and US stock markets during the pandemic. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
50. House purchase restriction and stock market participation: Unveiling the role of nonpecuniary consideration.
- Author
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Sha, Yezhou, Wang, Zilong, and Yin, Zhichao
- Subjects
- *
HOUSE buying , *HOME prices , *STOCKS (Finance) , *PARTICIPATION , *RISK aversion , *FINANCIAL markets - Abstract
This study investigates how house purchase restriction (HPR) affects stock market participation among households in China. Using a staggered difference-in-differences (DID), we observe a decrease in household stock market participation following the adoption of the HPR policy in a city. HPR decreases stock market participation by 1.72 percentage points and households' net equity purchase and equity to total wealth ratio by 17% and 0.2 percentage points, respectively. These findings suggest that house and stock investments cannot substitute each other. Furthermore, our analysis reveals that the negative effect of HPR is not driven by pecuniary consideration (house price and income risks) but rather by nonpecuniary consideration (risk aversion). Although the HPR policy is designed to curb the surge in local house prices, it reduces household's demand for equity investing, which creates a negative externality on the financial market. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
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