Three Essays On Information Volatility And Crises In Equity Markets

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Three Essays on Information, Volatility, and Crises in Equity Markets

Author : Shane K. Clark
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)

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Book Synopsis Three Essays on Information, Volatility, and Crises in Equity Markets by : Shane K. Clark

Download or read book Three Essays on Information, Volatility, and Crises in Equity Markets written by Shane K. Clark and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.

Three Essays on Market Anomalies and Efficient Market Hypothesis

Author : Ehab Yamani
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (875 download)

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Book Synopsis Three Essays on Market Anomalies and Efficient Market Hypothesis by : Ehab Yamani

Download or read book Three Essays on Market Anomalies and Efficient Market Hypothesis written by Ehab Yamani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on analyses of the global value premium. Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects. Overall findings support the risk story of the global value premium. The third essay examines the joint dynamics of volume and volatility in the junk bond market during the 2007-2008 financial crisis. Using trading volume information as a proxy for changes in the information set available to investors when financial crises occur, I investigate the impact of the subprime crisis on the informational efficiency of the junk bond market. The overall results show that the crisis does not have an impact on the market efficiency of the junk bond market.

Stock Market Volatility and Price Discovery

Author : Jose Gonzalo Rangel
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (837 download)

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Book Synopsis Stock Market Volatility and Price Discovery by : Jose Gonzalo Rangel

Download or read book Stock Market Volatility and Price Discovery written by Jose Gonzalo Rangel and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays On International Market Efficiency and Manipulation

Author : Feng Zhan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Essays On International Market Efficiency and Manipulation by : Feng Zhan

Download or read book Essays On International Market Efficiency and Manipulation written by Feng Zhan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Financial Crises

Author : Dimitra Papadovasilaki
Publisher :
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.:/5 (959 download)

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Book Synopsis Three Essays on Financial Crises by : Dimitra Papadovasilaki

Download or read book Three Essays on Financial Crises written by Dimitra Papadovasilaki and published by . This book was released on 2016 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 - The effect of early and salient investment experiences on subsequent asset allocations: An experimental study. In this paper I examine the effect of early and salient experiences on asset allocation decisions using two experiments, and a third one as a robustness check. The first experiment assesses the impact of salient and early risky asset returns on subsequent investment decisions. The findings of the study show that subjects that experience a market bust early in the investment lifecycle invest less in risky assets compared to subjects that experience market booms, even when the asset return stream is identical over a twenty year investment period. In the second experiment I tried to isolate the saliency from the early timing of the boom and the bust effect, in order to examine which of the two matters the most. The results indicate that the “size” of a bust matters more than its timing. Results from the third experiment confirm the findings in experiments one and two. Chapter 2 - Revisiting the Stock Market Boom and Crash of 1927–1933. Did a speculative bubble cause the stock market crash of 1929? I study the price dynamics of 26 publicly traded companies in the New York Stock Exchange (NYSE) during the years 1927–1933 using daily data from the Wharton Research Data Service (WRDS) database and find evidence in support of a speculative bubble. Furthermore, evidence of high volatility in the volume of shares traded for these 26 companies strongly reinforces the hypothesis of a speculative bubble, as the standard deviation of the cyclical component of the number of shares traded increased significantly during the boom period and declined sharply after the crash. The transmission of price shocks took place from the prices of innovative companies to the prices of traditional companies. Companies in traditional sectors had their price peaks last, and were followers, suggesting financial contagion. These results are in line with the Kindleberger-Minsky hypothesis of technological displacement. Chapter 3 - A time series analysis on the endogeneity of financial cycles in five advanced countries: U.S., Germany, U.K., Japan, and France. The purpose of this study is to examine the connections between credit booms and asset price booms, in the U.S., Germany, U.K., Japan, and France with the use of the dataset assembled by (Schularick & Taylor, 2012). According to Minsky, and as explained by (Kindleberger & Aliber, 2011), financial booms may begin due to a technological displacement, that causes stock prices to be totally reassessed. The increase in the price of stocks causes credit to expand and the credit expansion further increases stock prices, leading to a self-fulfilling prophecy. We provide evidence in favor to Minsky’s hypothesis, something that contradicts the findings of (Schularick & Taylor, 2012).

Three Essays in International Finance

Author : Xueyan Guo
Publisher :
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.:/5 (71 download)

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Book Synopsis Three Essays in International Finance by : Xueyan Guo

Download or read book Three Essays in International Finance written by Xueyan Guo and published by . This book was released on 2005 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Financial and Economic Risks

Author : Tengdong Liu
Publisher :
ISBN 13 :
Total Pages : 302 pages
Book Rating : 4.:/5 (969 download)

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Book Synopsis Essays on Financial and Economic Risks by : Tengdong Liu

Download or read book Essays on Financial and Economic Risks written by Tengdong Liu and published by . This book was released on 2013 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Selected Works of Merton H. Miller

Author : Merton H. Miller
Publisher : University of Chicago Press
ISBN 13 : 0226527484
Total Pages : 417 pages
Book Rating : 4.2/5 (265 download)

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Book Synopsis Selected Works of Merton H. Miller by : Merton H. Miller

Download or read book Selected Works of Merton H. Miller written by Merton H. Miller and published by University of Chicago Press. This book was released on 2002-06-02 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Widely regarded as one of the founders of modern corporate finance, Merton H. Miller was awarded a Nobel Prize in 1990 for his work in the theory of finance and financial economics. Selected Works of Merton H. Miller gathers together in two volumes a selection of Miller's most influential contributions over more than fifty years of active research. A common theme running throughout both volumes is Miller's conviction about the utility of market-based approaches to topics as diverse as dividend policy, bank regulation, the structure of securities markets, and competition between research universities and teaching colleges. Miller was perhaps best known for a series of highly influential papers he cowrote in the 1950s and 1960s with fellow Nobel laureate Franco Modigliani that advanced a set of capital structure theorems later dubbed the "M and M propositions." In brief, the M and M propositions state that the actions of investors, firms, and capital markets will cause the market value of a firm to be independent of its capital structure. In other words, a corporation's value depends on its investments in people, ideas, and physical capital goods and not on the mix of bonds, stocks, and other securities used to finance the investments. Four of these papers are reprinted here, together with important later work by Miller in macroeconomics, corporate capital structure, management science, asset pricing, and the economic and regulatory problems of the financial services industry. Diverse and innovative, the papers in Selected Works of Merton H. Miller will interest students and practitioners of economics, finance, and business, as well as policymakers responsible for market regulation.

Three Essays on the Prediction and Identification of Currency Crises

Author : Pauline Kennedy
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Three Essays on the Prediction and Identification of Currency Crises by : Pauline Kennedy

Download or read book Three Essays on the Prediction and Identification of Currency Crises written by Pauline Kennedy and published by . This book was released on 2003 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three essays on empirical finance

Author : Tse-Chun Lin
Publisher : Rozenberg Publishers
ISBN 13 : 9036101514
Total Pages : 146 pages
Book Rating : 4.0/5 (361 download)

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Book Synopsis Three essays on empirical finance by : Tse-Chun Lin

Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Financial Crisis Inquiry Report

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
ISBN 13 : 1616405414
Total Pages : 692 pages
Book Rating : 4.6/5 (164 download)

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Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission

Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Three Essays on Empirical Macroeconomics

Author : Chung-Eun Lee
Publisher :
ISBN 13 :
Total Pages : 154 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis Three Essays on Empirical Macroeconomics by : Chung-Eun Lee

Download or read book Three Essays on Empirical Macroeconomics written by Chung-Eun Lee and published by . This book was released on 1995 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Volatility Machine

Author : Michael Pettis
Publisher : Oxford University Press, USA
ISBN 13 : 9780195143300
Total Pages : 272 pages
Book Rating : 4.1/5 (433 download)

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Book Synopsis The Volatility Machine by : Michael Pettis

Download or read book The Volatility Machine written by Michael Pettis and published by Oxford University Press, USA. This book was released on 2001 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a radically different argument for what has caused, and likely will continue to cause, the collapse of emerging market economies. Pettis combines the insights of economic history, economic theory, and finance theory into a comprehensive model for understanding sovereign liability management and the causes of financial crises. He examines recent financial crises in emerging market countries along with the history of international lending since the 1820s to argue that the process of international lending is driven primarily by external events and not by local politics and/or economic policies. He draws out the corporate finance implications of this approach to argue that most of the current analyses of the recent financial crises suffered by Latin America, Asia, and Russia have largely missed the point. He then develops a sovereign finance model, analogous to corporate finance, to understand the capital structure needs of emerging market countries. Using this model, he finally puts into perspective the recent crises, a new sovereign liability management theory, the implications of the model for sovereign debt restructurings, and the new financial architecture. Bridging the gap between finance specialists and traders, on the one hand, and economists and policy-makers on the other, The Volatility Machine is critical reading for anyone interested in where the international economy is going over the next several years.

Managing Economic Volatility and Crises

Author : Joshua Aizenman
Publisher : Cambridge University Press
ISBN 13 : 1139446940
Total Pages : 615 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Managing Economic Volatility and Crises by : Joshua Aizenman

Download or read book Managing Economic Volatility and Crises written by Joshua Aizenman and published by Cambridge University Press. This book was released on 2005-10-03 with total page 615 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic volatility has come into its own after being treated for decades as a secondary phenomenon in the business cycle literature. This evolution has been driven by the recognition that non-linearities, long buried by the economist's penchant for linearity, magnify the negative effects of volatility on long-run growth and inequality, especially in poor countries. This collection organizes empirical and policy results for economists and development policy practitioners into four parts: basic features, including the impact of volatility on growth and poverty; commodity price volatility; the financial sector's dual role as an absorber and amplifier of shocks; and the management and prevention of macroeconomic crises. The latter section includes a cross-country study, case studies on Argentina and Russia, and lessons from the debt default episodes of the 1980s and 1990s.

Three Essays on

Author : Moonsuk Oh
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis Three Essays on by : Moonsuk Oh

Download or read book Three Essays on written by Moonsuk Oh and published by . This book was released on 1991 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Financial Crises Explanations, Types, and Implications

Author : Mr.Stijn Claessens
Publisher : International Monetary Fund
ISBN 13 : 1475561008
Total Pages : 66 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens

Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.