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Duration Dependence Test Of Rational Speculative Bubbles
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Book Synopsis Empirical Finance by : Sardar M. N. Islam
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Book Synopsis Uncertainty, Expectations and Asset Price Dynamics by : Fredj Jawadi
Download or read book Uncertainty, Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Book Synopsis Stocks, Bonds, Bills, and Inflation by : Roger G. Ibbotson
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Risk and Contingency Management Research in Times of Crisis by : Vajjhala, Narasimha Rao
Download or read book Global Risk and Contingency Management Research in Times of Crisis written by Vajjhala, Narasimha Rao and published by IGI Global. This book was released on 2022-06-24 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risks can be identified, evaluated, and mitigated, but the underlying uncertainty remains elusive. Risk is present across all industries and sectors. As a result, organizations and governments worldwide are currently experiencing higher levels of risk and have had to make risky decisions during times of crisis and instability, including the COVID-19 pandemic, economic and climate perils, and global tensions surrounding terrorism. It is essential that new studies are undertaken to understand strategies taken during these times to better equip business leaders to navigate risk management in the future. Global Risk and Contingency Management Research in Times of Crisis examines the impact of crises including the COVID-19 pandemic, which has tested organizational risk and contingency management plans. It provides significant insights that should benefit business leaders on risk and contingency management in times of crisis. It emphasizes strategies that leaders can undertake to identify potential future risks and examines decisions made in past crises that can act as examples of what to do and what not to do during future crisis events. Covering topics such as auditing theories, risk assessment, and educational inequality, this premier reference source is a crucial resource for business leaders, executives, managers, decision makers, policymakers, students, government officials, entrepreneurs, librarians, researchers, and academicians.
Book Synopsis Avoiding the Pitfalls by : Simon van Norden
Download or read book Avoiding the Pitfalls written by Simon van Norden and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles. Since Evans' note, new tests for rational speculative bubbles that rely on regime-switching have been proposed. Van Norden and Schaller (1993) and van Norden (1996) use a switching regression to look for a time-varying relationship between returns and deviations from an approximate fundamental price. Hall and Sola (1993) and Funke, Hall and Sola (1994) test whether asset prices seem to switch between explosive growth and stationary behaviour. Our paper reports on Monte Carlo experiments using Evans' data-generating process to gauge the performance of these two kinds of regime-switching tests. The experiments rely heavily on certain new, fast and robust programs developed at the Bank of Canada for the estimation of switching regression models that make Monte Carlo studies of such estimators practical. We find that for some (but not all) parameter values, regime-switching tests have a significant amount of power to detect periodically collapsing bubbles. We also compare and contrast the performance of the two different regime-switching tests. FRENCH VERSION La mise au point de tests de detection des bulles speculatives a occasionne bien des debats, principalement sur des points de methodologie. Evans (1991) a demontre, au moyen de simulations de Monte-Carlo, que la presence de bulles est frequemment rejetee par les tests standard de racine unitaire et de cointegration meme quand des bulles ont ete incorporees a la construction des donnees. Ce probleme constitue, a ses yeux, la pierre d'achoppement de ce type de tests de detection des bulles. Depuis la parution de l'article d'Evans, on a propose de nouveaux tests de detection des bulles speculatives rationnelles qui s'appuient sur un changement de regime. van Norden et Schaller (1993) et van Norden (1996) ont eu recours a une regression avec changement de regime afin d'etablir s'il existe une relation, variable dans le temps, entre les rendements et les ecarts observes par rapport a un prix fondamental approximatif. De leur cote, Hall et Sola (1993) et Funke, Hall et Sola (1994) ont cherche a determiner si le prix des actifs oscille entre une croissance explosive et un etat stationnaire. Dans la presente etude, les auteurs evaluent la puissance de ces deux types de tests au moyen de simulations de Monte-Carlo; ils emploient pour cela le processus generateur de donnees qu'utilise Evans. Leurs simulations font appel aux nouveaux programmes rapides et eprouves mis au point a la Banque du Canada pour l'estimation des modeles de regression avec changement de regime, lesquels rendent possible l'etude de tels estimateurs au moyen de simulations. Les auteurs constatent que pour certaines valeurs parametriques (mais pas pour toutes), les tests de regression avec changement de regime sont suffisamment puissants pour deceler les bulles qui s'effondrent periodiquement. Enfin, ils comparent la performance des deux tests afin d'en faire ressortir les similarites et les ifferences.
Book Synopsis Bubbles and Contagion in Financial Markets, Volume 1 by : E. Porras
Download or read book Bubbles and Contagion in Financial Markets, Volume 1 written by E. Porras and published by Springer. This book was released on 2016-06-29 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the formation of bubbles and the contagion mechanisms afflicting financial markets is a must as extreme volatility events leave no market untouched. Debt, equity, real estate, commodities... Shanghai, NY, or London: The severe fluctuations, explained to a large extent by contagion and the fear of new bubbles imploding, justify the newly awaken interest in the contagion and bubble dynamics as yet again the world brazes for a new global economic upheaval. Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics. Bubbles and contagion are a vast world and fascinating phenomena that escape a narrow exploration of financial markets. Hence this work looks beyond into macroeconomics, monetary policy, risk aggregation, psychology, incentive structures and many more subjects which are in part co-responsible for these events. Responding to the ever more pressing need to disentangle the dynamics by which financial local events are transmitted across the globe, this volume presents an exhaustive and integrative outlook to the subject of bubbles and contagion in financial markets. The key objective of this volume is to give the reader a comprehensive understanding of all aspects that can potentially create the conditions for the formation and bursting of bubbles, and the aftermath of such events: the contagion of macro-economic processes. Achieving a better understanding of the formation of bubbles and the impact of contagion will no doubt determine the stability of future economies – let these two volumes be the starting point for a rational approach to a seemingly irrational phenomena.
Book Synopsis Current Financial Studies by : Serkan Yılmaz KANDIR
Download or read book Current Financial Studies written by Serkan Yılmaz KANDIR and published by Akademisyen Kitabevi. This book was released on 2020-04-18 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Foundations of Islamic Banking by : Mohamed Ariff
Download or read book The Foundations of Islamic Banking written by Mohamed Ariff and published by Edward Elgar Publishing. This book was released on 2011-01-01 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: After barely half a century of experience, Islamic banking has become established as a new niche industry across the world offering new and sophisticated financial products designed to be compliant with the principles of Islamic legal principles and common law. This comprehensive book explores the theory, principles and practices underpinning this rapidly expanding sector of banking. Expert contributors ¿ including eminent scholars and senior practitioners in the field ¿ examine the roots of the principles of ethical Islamic financial transactions, which have evolved over several millennia, on issuesincluding usury, interest rates, financial contracting for funding enterprises, for mortgages, for leasing and other financial transactions. Regulatory and governance issues are discussed, and the practice and operation of Islamicfinancial institutions are explained via three distinct case studies. Importantly, the final chapter looks at what steps are being taken to provide professional accreditation to Islamic banking professional personnel, and prescribes requirements for training in this growing industry.
Book Synopsis Nonlinear Time Series Analysis of Economic and Financial Data by : Philip Rothman
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 1999-01-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Book Synopsis Asia-Pacific Financial Markets by : Suk-Joong Kim
Download or read book Asia-Pacific Financial Markets written by Suk-Joong Kim and published by Elsevier. This book was released on 2007-12-12 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.
Book Synopsis Financial Market Bubbles and Crashes, Second Edition by : Harold L. Vogel
Download or read book Financial Market Bubbles and Crashes, Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Book Synopsis Financial Market Bubbles and Crashes by : Harold L. Vogel
Download or read book Financial Market Bubbles and Crashes written by Harold L. Vogel and published by Cambridge University Press. This book was released on 2009-12-14 with total page 471 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.
Book Synopsis Islamic Finance and Sustainable Development by : M. Kabir Hassan
Download or read book Islamic Finance and Sustainable Development written by M. Kabir Hassan and published by Springer Nature. This book was released on 2021-08-13 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a collection of chapters discussing the Sustainable Development Goals in the broader context of Islamic finance along with mapping the SDGs with Maqasid Al-Shariah. It provides a framework for both Muslim and non-Muslim countries to develop a sustainable economy which encompasses not only the concept of the welfare state but also supports development-related activities, ensures financial inclusion through equal distribution of wealth and alleviation of poverty, and protects the overall environmental and ecological system. More specifically, this book explores various aspects of Islamic finance in relation to parameters of SDGs; restructuring of Islamic finance and connecting its dots in the light of SDGs; Islamic perspective on ESG and ecological quality; interest-free tools and modernization of Islamic financial institutions for sustainable development and economic stability; and the role of Islamic finance in infrastructure-related development activities. Consistent with the view that SDGs are embedded within the theme of Islamic finance, this book is specifically designed to meet the needs of key regulatory institutions, academic scholars, and industry practitioners both in the field of Islamic finance and sustainable finance.
Book Synopsis Uncertainty, Expectations, and Financial Instability by : Eric Barthalon
Download or read book Uncertainty, Expectations, and Financial Instability written by Eric Barthalon and published by Columbia University Press. This book was released on 2014-11-18 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Barthalon applies the neglected theory of psychological time and memory decay of Nobel Prize–winning economist Maurice Allais (1911–2010) to model investors' psychology in the present context of recurrent financial crises. Shaped by the behavior of the demand for money during episodes of hyperinflation, Allais's theory suggests economic agents perceive the flow of clocks' time and forget the past at a context-dependent pace: rapidly in the presence of persistent and accelerating inflation and slowly in the event of the opposite situation. Barthalon recasts Allais's work as a general theory of "expectations" under uncertainty, narrowing the gap between economic theory and investors' behavior. Barthalon extends Allais's theory to the field of financial instability, demonstrating its relevance to nominal interest rates in a variety of empirical scenarios and the positive nonlinear feedback that exists between asset price inflation and the demand for risky assets. Reviewing the works of the leading protagonists in the expectations controversy, Barthalon exposes the limitations of adaptive and rational expectations models and, by means of the perceived risk of loss, calls attention to the speculative bubbles that lacked the positive displacement discussed in Kindleberger's model of financial crises. He ultimately extrapolates Allaisian theory into a pragmatic approach to investor behavior and the natural instability of financial markets. He concludes with the policy implications for governments and regulators. Balanced and coherent, this book will be invaluable to researchers working in macreconomics, financial economics, behavioral finance, decision theory, and the history of economic thought.
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.
Book Synopsis Advances in Experimental Markets by : Timothy N. Cason
Download or read book Advances in Experimental Markets written by Timothy N. Cason and published by Springer Science & Business Media. This book was released on 2001 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Experimental methods are now a mainstream empirical methodology in economics. The papers in this volume represent some recent developments in research on experimental markets. The articles span a variety of topics related to experimental markets, including auctions, taxation, institutional differences, coordination in markets, and learning. Contributors to the volume include many of the most distinguished researchers in the area.
Book Synopsis Speculative Bubbles, Speculative Attacks, and Policy Switching by : Robert P. Flood
Download or read book Speculative Bubbles, Speculative Attacks, and Policy Switching written by Robert P. Flood and published by MIT Press. This book was released on 1994 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.
