Search results for " market"
showing 10 items of 2859 documents
Do Price Barriers Exist in the European Carbon Market?
2017
ABSTRACTIt is generally thought that psychological prices in markets primarily traded by professional participants should play a limited role. The authors investigate the existence of key reference points in the European Carbon Market, which can be considered as a market with highly qualified stakeholders. They document the presence of key levels and barrier bands around European Union Allowances (EUA) prices. It appears that traders tend to consider these price levels as resistances in upward movements and as supports in downward movements. Furthermore, the authors have observed that the existence of price barriers affects both return and volume dynamics. Therefore, the results indicate th…
A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates
2017
The persistence analysis of short- and long-term interaction and causality in the international financial markets is a key issue for policy makers and portfolio investors. This paper assesses the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets over the period of 1980--2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the ti…
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
2021
AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. Marginal Expected Shortfall (MES), Delta Conditional Value-at-Risk (Delta-CoVaR), and Conditional Capital Shortfall Measure of Systemic Risk (SRISK) in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogou…
Romanian Equity Investments and Currency Risk: A Euro-Based Perspective
2021
Abstract This paper assesses the benefits and risks of international investments made on the Romanian stock market, from the perspective of euro-based investors. We investigate the contribution of exchange rate volatility to the total risk of these investments over a period of nine years, between January 2011 and December 2019, by using monthly values for the exchange rate between the Romanian leu and Euro and monthly values of the Romanian stock index. Our findings indicate that, on average, Romanian leu depreciated against euro, causing currency losses for the euro-based investor, counterbalanced by the Romanian index mean return, higher than euro countries index mean return during the pe…
Stock Volatility Predictability in Bull and Bear Markets
2020
Recent literature on stock return predictability suggests that it varies substantially across economic states being strongest during bad economic times. In line with this evidence, we document that stock volatility predictability is also state dependent. In particular, using a large data set of high-frequency data on individual stocks and a few popular time-series volatility models, in this paper we comprehensively examine how volatility forecastability varies across bull and bear states of the stock market. We find that the volatility forecast horizon is substantially longer when the market is in a bear state than when it is in a bull state. In addition, the volatility forecast accuracy is…
Revolving doors: are they valued in the Spanish stock market?
2016
Purpose The purpose of this paper is to examine the effect of political connections in the value of companies listed on the Spanish stock market. Design/methodology/approach The authors study two issues on this topic: the impact on the company value of the appointment as director of an ex-politician through an event study; and the long run stock market performance of companies with political connections. The authors employ a sample of listed firms in the Spanish stock market for which the authors collected data about their political connections. The authors perform the study during a wide period (1996-2011), comprising four legislatures. Findings The results show that from the market persp…
Market Risk Disclosure in Banks’ Balance Sheets and the Pillar 3 Report: The Case of Italian Banks
2018
Market risk has taken on growing importance in banking in recent years. Risk disclosure has strategic importance for the efficiency of financial markets and overall financial stability. It plays a pivotal role in strengthening market discipline and building trust in stakeholder relationships.
The Value Relevance of Risk Disclosure: An Analysis of the Banking Sector
2020
The aim of this study is to test whether financial risk disclosures required by IFRS 7 and Pillar 3 are value relevant for investors to support them in their investment decisions. The sample in the...
Multivariate modeling and analysis of regional ocean freight rates
2018
Abstract In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot r…
Estimating the Demand for New Destinations for a Regional Airport Based on Its Catchment Area
2020
Abstract Estimating accurately demand both at market and company level for specific goods and services can be considered a necessity for every organization. Traditional demand estimation methods may not be relevant for estimating the demand for new destinations to be introduced by a regional airport. The present paper proposes to fill this gap and to develop the demand estimation literature by presenting a novel demand estimation method. Two research objectives are developed in this regard: (1) determining the catchment area of Sibiu International Airport (a regional airport in Romania) for destinations operated by competitor airports and not by Sibiu International Airport and (2) estimatin…