0000000000154619
AUTHOR
Vicente Meneu
Information Flows Among the Major Stock Market Areas
The relationship between the index returns of the major stock markets has been analysed in many papers. These studies usually examine lead–lag relationships between markets, without distinguishing the influencing ability and the sensitivity of each of the markets. Additionally, these studies use indices that are not directly comparable — either because of the way the indices are calculated or because of the number of companies and sectors used to construct them. This paper addresses both points. First, all the analyses have been made using homogeneous indices designed by Morgan Stanley Capital International. Secondly, the information flow has been studied by applying the model proposed by P…
Expectations and forward risk premium in the Spanish deregulated power market
Abstract Deregulation in energy markets has entailed important changes in the way agents conduct business. Price risk arises as a result of fluctuations in the future price of electricity and agents assume long or short positions in the forward and spot markets to hedge their exposure to price risk. The presence of forward risk premium in prices is evidence of the fact that agents act in the market according to risk considerations. This work aims to analyse the information content of the difference between the forward and spot prices (the so-called forward premium) regarding the agents’ decisions. We find that the sign and magnitude of the ex post forward premium depend on the unexpected va…
Temperature and seasonality influences on Spanish electricity load
Abstract Deregulation of the Spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in Spain. In this paper, a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree–days. The influence of weather and seasonality is proved, and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account. The estimated general model shows a high predictive power. The results and information presented in this paper could be of interest for current…
Asymmetric covariance in spot-futures markets
This article studies how the spot-futures conditional covariance matrix responds to positive and negative innovations. The main results of the article are achieved by obtaining the Volatility Impulse Response Function (VIRF) for asymmetric multivariate GARCH structures, extending Lin (1997) findings for symmetric GARCH models. This theoretical result is general and can be applied to analyze covariance dynamics in any financial system. After testing how multivariate GARCH models clean up volatility asymmetries, the Asymmetric VIRF is computed for the Spanish stock index IBEX-35 and its futures contract. The empirical results indicate that the spot-futures variance system is more sensitive to…
Pre-holiday effect, large trades and small investor behaviour
The purpose of this paper is to investigate the existence of a pre-holiday effect in the most important stocks of the Spanish Stock Exchange which are also traded in both the New York Stock Exchange and the Frankfurt Stock Exchange. Our results show high abnormal returns on the trading day prior to holidays. Several tests prove that the Spanish holiday effect is not due to market calendars in the USA or Germany. Also, we prove that the pre-holiday effect is not a manifestation of other calendar anomalies. The study of different liquidity measures suggests that the pre-holiday effect could be due to the reluctance of small investors to buy on pre-holidays, which produces an increase in the a…
International evidence on alternative models of the term structure of volatilities
The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at-the-money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in level and shape. Two new functional forms of the instantaneous volatility of forward rates are proposed and tested within the LIBOR Market Model framework. Two other alternatives are calibrated and used as benchmarks to test the accuracy of the new models. The two new models provide more flexibility to adequately calibrate the observed cap prices, although this improved accuracy in replicating cap prices …
Has 1997 Asian crisis increased information flows between international markets
Abstract The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the effects of the crisis on the relationships of the Southeast Asian stock markets with the stock markets of three geographical areas (Europe, North America, and Latin America). We use the Morgan Stanley national and international indexes (MSCI) for two homogeneous and nonoverlapping time intervals. The econometric techniques used in this paper include the cointegration test, vector autoregression analysis, forecast error variance decomposition (FEVD), and impulse–response relationships. Our results show that: (i) there…
SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES
This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que desc…
Dietary Arginine Slightly and Variably Affects Tissue Polyamine Levels in Male Swiss Albino Mice
Many key metabolic and physiologic functions involve arginine and arginine-derived metabolites. Requirements for arginine, a "conditionally essential" amino acid for most mammalian species, are met in variable proportions by dietary intake and endogenous synthesis, the latter being sufficient to fulfill arginine needs in adult humans and mice under nonpathologic conditions. However, dietary arginine restriction causes orotic aciduria and abnormal function of the urea cycle. Furthermore, the importance of dietary arginine in the maintenance of homeostasis of arginine-derived metabolites in the body has not yet been analyzed in detail. We therefore examined whether the deprivation or suppleme…
Daily air temperature and electricity load in Spain
Abstract Weather has a significant impact on different sectors of the economy. One of the most sensitive is the electricity market, because power demand is linked to several weather variables, mainly the air temperature. This work analyzes the relationship between electricity load and daily air temperature in Spain, using a population-weighted temperature index. The electricity demand shows a significant trend due to socioeconomic factors, in addition to daily and monthly seasonal effects that have been taken into account to isolate the weather influence on electricity load. The results indicate that the relationship is nonlinear, showing a “comfort interval” of ±3°C around 18°C and two sat…
The effectiveness of several market integration measures when facing a market turmoil
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.