Author: Kwanho Kim
Publisher:
ISBN:
Category : Euro-dollar market
Languages : en
Pages : 312

Get Book Here

Book Description

Author: Evan Warshaw
Publisher:
ISBN:
Category :
Languages : en
Pages :

Get Book Here

Book Description

Author: Anders C. Johansson
Publisher: Goteborg University
ISBN:
Category : Capital market
Languages : en
Pages : 180

Get Book Here

Book Description

Author: George Panayotov
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages :

Get Book Here

Book Description

Author: Tengdong Liu
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 302

Get Book Here

Book Description
This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These risk types are related to stock, bond and commodity markets, financial stress and country risk ratings. The first essay investigates directional relationships, regime variances, transition probabilities and expected regime durations for two systems of economic and financial variables. The first system consists of daily series which include credit and market risks. The second system is based on monthly data, and encompasses credit, and market risks and economic activity and oil variables. The methodology is based on the Markov-Switching cointegrated VAR model. The results suggest there is a pronounced regime-specific behavior in both systems with FTP-MS model. There is a significant difference between the higher expected duration in the low volatility regime and the lower duration in the high volatility regime in both systems. Both models suggest that during the 2007/2008 Great Recession, the system stays mainly in regime 2 but returns to the normality state in the 2009 recovery period. The fundamental variables (industrial production, oil prices and the real interest rate) have varying effects in both regimes and both systems. Quantitative easing has significant effects on the bond expected volatility index MOVE in the high volatility regime and industrial production in both regimes. I also examine the driving forces of the time-varying transition probabilities and find that increases of oil price will decrease the probability that the financial markets stay in the low volatility regime. The second essay examines the asymmetric adjustments of the stock markets of the five BRICS countries (Brazil, Russia, India, China and South Africa) to changes in the economic, financial and political country risk ratings of these countries in the short run and long run, using the momentum threshold autoregression (MTAR) and the vector error-correction(VEC) models. The findings suggest that the long-run relationships between these four variables respond asymmetrically depending on the direction of the shocks. The adjustment is faster when the spread between the actual level of stock market index and the level suggested by country risk ratings is narrowing than when it is widening, except for Russia which has the opposite response. The Chinese stock market seems to have the fastest adjustments in the short-and long-run among those of the five BRICS. In terms of the three country risk ratings the financial risk ratings for the five BRICS show the most responsiveness to all the variables in the long-run, while the political risk ratings exhibit the least. The economic and political risk ratings show the fastest adjustments for Brazil, while the financial risk rating is most pronounced in Russia. The third essay examines the Value-at-Risk for ten euro-zone equity markets individually and when divided into two groups: PIIGS and the Core, employing four VaR estimation methods. The results are evaluated according to four statistical properties as well as the Basel capital requirements for the period including the 2007/2008 financial crisis. The estimation and the evaluation are applied to the individual assets as well as to the portfolios consisting of the two groups. The results demonstrate that the CEVT method applied to the ten individual equity assets meet all the statistical criteria the best. The two optimal equity portfolios do not show diversification benefits as the PIIGS portfolio selects Spain's IBEX only and that of the Core opts for Austria's ATX only. The asset class-augmented portfolio that includes the Austrian (ATX) index, oil and gold gives the highest diversification gains. Adding other commodities such as corn and silver, or commodities indices to the augmented portfolio does not enhance the gains. At the optimal portfolio level, the Duration-Peak-Over-the-Threshold (DPOT) is recommended the best in terms of satisfying the Basel rules.

Author: Vladyslav Yuriyvich Sushko
Publisher:
ISBN:
Category :
Languages : en
Pages : 464

Get Book Here

Book Description

Author: Otis Scott Mixon
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 254

Get Book Here

Book Description

Author: Mehmet Sahiner
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Get Book Here

Book Description

Author: Cagdas Tahaoglu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Get Book Here

Book Description
This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.

Author: Srideep Ganguly
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 310

Get Book Here

Book Description