Search results for " MARKETS"
showing 10 items of 321 documents
Equity Issues in the Spanish Stock Market: Windows of Opportunity, Earnings Management or Market Timing?
2005
We investigate whether the market sentiment and/or the specific operating performance of firms that conducted an equity issue on the Spanish stock market during the period 1993-2000 are related to the long-run stock-return underperformance in the year following the issue of small and medium firms. Our results reveal that equity issues were conducted by large firms just when the market showed optimistic expectations towards large firms in general. This overoptimism towards large issue firms was related to the 1990s technology boom in the case of initial public offerings (IPO), but we detect earnings management by large firms that conducted a seasoned equity offering (SEO). In this context, s…
Volatility transmission patterns and terrorist attacks
2009
The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
2005
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan…
A computational proposal for a robust estimation of the Pareto tail index: An application to emerging markets
2022
Abstract In this work, we backtest and compare, under the VaR risk measure, the fitting performances of three classes of density distributions (Gaussian, Stable and Pareto) with respect to three different types of emerging markets: Egypt, Qatar and Mexico. We also propose a new technique for the estimation of the Pareto tail index by means of the Threshold Accepting (TAVaR) and the Hybrid Particle Swarm Optimization algorithm (H-PSOVaR). Furthermore, we test the accuracy and robustness of our estimates demonstrating the effectiveness of the proposed approach.
Breaking the barriers of animosity: innovation in business models as a positioning strategy
2021
Consumer animosity is often studied in the large economies of the world, in order to explain the negative feelings generated by an individual towards another country and its products, due to various political, economic and social conflicts. This study presents three specific developments in this field. First, to demonstrate how companies in the retail sector have been able to develop innovations in their business models through their shops and virtual channels, which generate a positive positioning in the mind of the consumer, capable of minimizing animosity towards them. In this way it is shown that a consumer can have strong feelings of patriotism, animosity and ethnocentrism, and yet a p…
Media Tone Goes Viral: Global Evidence from the Currency Market
2020
Using several million news and social media articles related to currencies, we examine the role of media tone in predicting the exchange rate returns of 12 developed and 24 emerging markets from 1998 to 2016. The text-based currency Media tone is a strong positive predictor of currency excess returns beyond fundamentals of one to three months ahead and six months cumulatively, with the average in-sample and out-of-sample R^2s of 4.45% and 9.03% in the US. The one-month predictability is observed in four other developed markets and 18 emerging market currencies, with the latter showing a stronger pattern. This predictability encompasses previous month currency returns, currency factors, macr…
Wear modelling in mild steel orthogonal cutting when using uncoated carbide tools
2007
Abstract Wear prediction in machining has been recently studied by FEM although the use of numerical methods for such applications is still a very challenging research issue. In fact, wear phenomenon involves many aspects related to process mechanics which require a very accurate modelling. In other words, only a very punctual code set-up can help the researchers in order to obtain consistent results in FE analysis. The high relative velocity between chip and tool requires effective material models as well as friction modelling at the interface. Moreover the prediction of temperature distribution is another critical task; in the paper some different procedures are discussed. Subsequently a …
The network of global corporate control.
2011
The structure of the control network of transnational corporations affects global market competition and financial stability. So far, only small national samples were studied and there was no appropriate methodology to assess control globally. We present the first investigation of the architecture of the international ownership network, along with the computation of the control held by each global player. We find that transnational corporations form a giant bow-tie structure and that a large portion of control flows to a small tightly-knit core of financial institutions. This core can be seen as an economic “super-entity” that raises new important issues both for researchers and policy make…
Tick size and price diffusion
2010
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties…
PRODUCTION FLEXIBILITY AND ADAPTING TO MARKET CHANGES
2007
Abstract This paper describes those situations when a company, an organization, in its search for minimum costs, including those involved by investment, and production flexibility, manages to adapt to those changes that ensure survival on the market. Economies of scale are an attraction for any firm and thus globalized, huge firms emerge, conquering continuously developing markets. However, smaller firms face market changes that are usually dangerous in terms of sustainability. The paper highlights those market components that provide information on adapting production through flexibility.