Search results for "Discount points"
showing 10 items of 48 documents
When the Blockchain Does Not Block: On Hackings and Uncertainty in the Cryptocurrency Market
2019
A total of 1.1 million bitcoin were stolen in the 2013–2017 period. Noting that the average price for Bitcoin in 2018 was USD 7,572 the corresponding monetary equivalent of losses is USD 8.9 billion which strongly shows the societal impact of this criminal activity. Investigating the response of the uncertainty of Bitcoin when hacking incidents occur, the results of this study point toward a delayed response in volatility. The volatility increases significantly only at day t+5. Incidents of hacking that occur in the Bitcoin market affect uncertainty for another cryptocurrency Ethereum too. Again, the evidence suggests a delayed response. However, Bitcoin and Ethereum do not exhibit asymmetr…
Speculation and Lottery-Like Demand in Cryptocurrency Markets
2020
This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns are rather short-memory processes in their nature, we modify Bali et al.’s (2011, 2017) MAX measure and employ a weekly forecast horizon and last week’s daily log-returns for calculating the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk adjusted return differences between cryptocurrencies in the lowest and highest MAX deciles exceed 1.50% per week. These re…
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
Speculation and lottery-like demand in cryptocurrency markets
2021
Abstract This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns appear to be short-memory processes, we modify Bali, Cakici and Whitelaw’s (2011) and Bali, Brown, Murray, and Tang’s (2017) MAX measure and employ a weekly forecast horizon and daily log-returns from the previous week to calculate the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk-adjusted return differences between cryptocurrencies in the lowest a…
Instability tests in cointegration relationships. An application to the term structure of interest rates
2002
Abstract This paper tries to review, from a practitioner's point of view, the recent strand of literature on cointegration tests allowing for structural changes or parameter instability. Thus, we apply several tests using as an example the expectations model of the term structure of interest rates. The results are consistent with the existence of cointegration between the long and the short run Spanish interest rates, with a vector (1,−1), as predicted by the theory. However, there is also evidence of structural instability, mainly at the beginning of 1994, that can be attributed to the financial changes that occurred in Spain as a result of its external commitments in the process of the Eu…
Re-examining the migration–trade link using province data: An application of the generalized propensity score
2013
Abstract The migration–trade link has been studied extensively since the mid nineties, finding a positive impact through different channels. Based on the generalized propensity score (GPS) methodology, we estimate a dose–response function, depicting a non-linear impact of immigration on exports using province data for Spain and Italy. For both countries the response of province exports to more immigrants from a given nationality is always positive, although varies with the level of immigrants. First we find neither minimum threshold nor exhaustion point in the effectiveness of the immigration networks on province exports. Second we find that the value of the potential bilateral exports reac…
The Influence of the Endogenous and Exogenous Factors on Credit Institutions’ Return on Equity
2015
Abstract The research’s purpose is to study the credit institutions’ performance, from the shareholders’ point of view, through return on equity (ROE). It aims to identify a dependency relationship between return on equity (ROE) and endogenous factors (the growth rate of credit portfolio, the growth rate provisions, the solvency ratio), on the one hand and, on the other hand between ROE and the exogenous ones (GDP and inflation rate). The research was done over an horizon of 10 years (2004-2013) on the evolution of the return on equity indicator of two credit institutions listed on Bucharest Stock Exchange (Carpathian Commercial Bank SA and Banca Transilvania SA), highlights their vulnerabi…
A Methodology to Detect the Deviations of the Project s Budget Compared to Market Prices
2015
[EN] The budget of a project reflects the cost of the investment needed to build an infrastructure, install a system or acquire new materials or supplies. A well-formulated budget in accordance with market prices, allows contractors to prepare offers according to their technical, economic and financial characteristics. On the other hand, it avoids current philosophies that aim to get the contract at any price. Philosophies subsequently used to point out problems and claims during the execution of the project (contradictory prices, delays, etc.) in order to recover some or the entire economic bid carried out during the tendering. In this paper a simple and fast methodology is developed to ch…
The Importance of the Sustainability of the Romanian Convergence Process to the Euro Zone
2018
Abstract Since 2007, Romania has been under the under the glance of experts in the European Union, but also under the strict monitoring of the NBR and also under the pressure of citizens and investors' expectations about the moment of euro adoption. My research concerns have also been channeled to this point of maximum interest, impact and timeliness, which is why I have proposed through this paper to highlight a synthetic situation regarding the fulfillment of the convergence criteria from the moment of accession to the European Union, to the present. The objective of this paper is to reflect, in dynamics and correlation, the degree of fulfillment of the nominal and real convergence criter…
How Long-Term Contracts can Mitigate Inefficient Renegotiation Arising Due to Loss Aversion
2021
A loss-averse buyer and seller face an uncertain environment. Should they write a long-term contract or wait until the state of the world is realized? I show that simple long-term contracts perform better than insinuated in Herweg and Schmidt (2015), even though loss aversion makes renegotiation sometimes inefficient. During renegotiation, the outcome induced by the long-term contract constitutes the reference point to which the parties compare gains and losses induced by the renegotiated transaction. Whereas Herweg and Schmidt consider that the long-term contract is always performed, it should not in "bad" states. This alters the threat point in renegotiation, making it easier to renegotia…