Search

This special issue consists of selected papers from the 9th International Conference of the Financial Engineering and Banking Society (FEBS) organized by the Prague University of Economics and Business, Prague, Czech Republic and Audencia Business School, Nantes, France. The main finding of this article is that in case of positive shocks to monetary policy and expansionary business conditions, the monetary policy does not impact the stock market. In particular, they analyze whether the response of stock market returns to monetary policy shocks depends on monetary policy surprises (good news or bad news) and business conditions (contraction or expansion). [Extracted from the article]

We study the relationship of the VIX index and the exchange‐traded note VXX on various timescales. We find that changes of VIX and VXX are correlated only contemporaneously on timescales of days, but VIX leads VXX on timescales of months. Next, we construct a simple joint model for VXX and VIX which replicates all the key characteristics of these two time series, but in which VIX and VXX are related only via a correlated error term. Therefore, VIX cannot be used as a predictor of VXX and there is no apparent trading profit opportunity. [ABSTRACT FROM AUTHOR]

Source apportionment studies of particulate matter are common and have been performed either as source region analyses using air mass back trajectories or by source type using source apportionment techniques. By combining the two approaches, it is possible to estimate the relative importance of emitters in different regions. PM2.5 samples were collected in Gothenburg between September 2008 and September 2009. The mean daily PM2.5 level was 6.1 μg m−3 (range 0.79–30.91 μg m−3). Elemental analyses were done using Energy dispersive X-ray fluorescence (EDXRF) spectroscopy. Source apportionment was carried out using the US EPA PMF 5.0 software. The sources long-range transport (LRT), LRT-Pb (lead-containing LRT), ship emissions, combustion, marine, and resuspension were identified. Air mass trajectories were estimated using HYSPLIT model (version 4.9). Six transport clusters were identified: South Scandinavia 21%, North Scandinavia 11%, Baltic Sea 8%, Eastern Europe 6%, UK/North Sea/Denmark 25%, and North Atlantic Ocean 30%. LRT was the major contributor to PM2.5 levels across all six transport clusters (48%) followed by ship emissions (20%) and combustion (19%). The transport cluster associated with the highest PM2.5 levels was Eastern Europe followed by South Scandinavia, UK/North Sea/Denmark, and Baltic Sea. After considering the frequency of the transport clusters, the transport clusters associated with the highest PM2.5 levels were UK-NorthS-DK, S-Scandic, and N-Atlantic, while Eastern Europe only contributed 9% towards PM2.5 levels. Abatement strategies aimed at reductions of ship emissions, industry emissions, and road traffic emissions on an European level and local combustion sources on a city-scale level would be the two most effective directions for reducing ambient PM2.5 in Gothenburg. [ABSTRACT FROM AUTHOR]

This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time-decay (high negative expected returns) as these indices. This makes them unsuitable for buy-and-hold investments, but it gives rise to a highly profitable trading strategy. Despite being negatively correlated with the S&P 500, the ETPs perform poorly as a hedging tool; their inclusion in a portfolio based on S&P 500 will decrease the risk-adjusted performance of the portfolio. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:164-183, 2017 [ABSTRACT FROM AUTHOR]

This paper studies whether flows of funds into and out of equity mutual funds depend on investor attention measured as Google searches for company names and on fund's performance. We find that mutual funds which performed well in the past receive more attention and more inflows. These results hold no matter which measure of past performance is considered. Interestingly, funds which performed well in previous twelve months are also subject to increased outflows, but this relationship is less robust than relationship for inflows. Lastly, longer-term (one year) performance matters more than shorter-term (one month and six months) performance. • Mutual funds which performed well receive more attention and more inflows. • This result holds for various performance measures. • One-year performance matters more than one-month or six-months performance. • Past performance matters much for inflows than for outflows. [ABSTRACT FROM AUTHOR]