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on Financial Markets |
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Issue of 2009‒01‒24
five papers chosen by |
| By: | Marzo, Massimiliano (Universita di Bologna); Zagaglia, Paolo (Dept. of Economics, Stockholm University) |
| Abstract: | We study the pattern of contagion in volatility along the term structure of oil forwards. We use measures of codependence of returns from quantile regressions to discriminate between integration of the markets for different maturities in the cases of low and high volatility of the returns. Our results provide evidence of decoupling: for most of the maturities we consider, the probability of contagion falls during periods of high volatility. |
| Keywords: | conditional quantiles; oil prices |
| JEL: | C22 G15 |
| Date: | 2009–01–15 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:sunrpe:2009_0001&r=fmk |
| By: | Ronald E. Shrieves (University of Tennessee); Drew Dahl (Department of Economics and Finance, Utah State University); Michael F. Spivey (Clemson University) |
| Abstract: | We hypothesize that features of European capital markets used to distinguish market reliance and investor protection have predictably influenced emerging national differences in bank capitalization, growth, and choice of income-producing activities. We characterize countries' capital regimes as more or less "equity-friendly" or "debt-friendly" based upon their reliance on equity and credit markets and the extent to which their legal frameworks protect shareholders and creditors. Using bank-level data from 13 European countries, 1998 to 2004, we find evidence of positive associations between “equity-friendly” market features and, respectively, bank capitalization, bank asset growth and the relative emphasis on bank lending to its customers. Support is also provided for hypotheses that “credit-friendly” capital regimes convey advantages reflected in higher rates of growth in assets and greater emphasis on lending to customers. Our results suggests that integration of European banking markets is mitigated by other, relatively static, features of the equity and debt markets on which banks rely. |
| Keywords: | international banking, market integration, shareholder protection |
| JEL: | F33 F36 G21 G28 G32 G38 |
| Date: | 2009–01–14 |
| URL: | http://d.repec.org/n?u=RePEc:uth:wpaper:200807&r=fmk |
| By: | Chun-Hung Chen (KPMG); Wei-Choun Yu (Winona State University); Eric Zivot (University of Washington) |
| Abstract: | We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four NASDAQ stocks (MSFT, AMGN, CSCO, and YHOO) we find that the inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility. Additionally, we find that the postclose variance and the overnight squared return do not provide any predictive power for the next day conditional volatility. Our findings support the results of prior studies that traders trade for non-information reasons in the postclose period and trade for information reasons in the preopen period. |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:udb:wpaper:uwec-2009-01&r=fmk |
| By: | Lönnbark, Carl (Department of Economics, Umeå University); Soultanaeva, Albina (Department of Economics, Umeå University) |
| Abstract: | In this note we study whether simple technical trading rules are profitable on the three Baltic stock markets. To statistically assess our findings we consider the conventional t-test and a block-bootstrap procedure. The two evaluation methods give conflicting results. The t-test supports some of the rules, while the block-bootstrap does not. |
| Keywords: | Baltic stock markets; technical trading rules; block bootstrap |
| JEL: | G10 G14 |
| Date: | 2009–01–14 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:umnees:0761&r=fmk |
| By: | Mukherjee, Dr. Kedar nath; Mishra, Dr. R. K. |
| Abstract: | Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1997 to April 2008 is studied. Daily opening and closing prices of all major equity indices from the sample countries are examined by applying the GARCH model [Engle (1982) and Bollerslev (1986)] to explore the possibility of stock market integration and volatility spillover among India and its major Asian counterparties. Apart from different degrees of correlations, both in terms of return and squared return series, among Indian stock market with that of other Asian countries, the contemporaneous intraday return spillover among India and almost all the sample countries are found to be positively significant and bi-directional. More specifically, Hong Kong, Korea, Singapore and Thailand are found to be the four Asian markets from where there is a significant flow of information in India. Similarly, among others, stock markets in Pakistan and Sri Lanka are found to be strongly influenced by movements in Indian market. Though most of the information gets transmitted among the markets without much delay, some amount of information still remains and can successfully transmit as soon as the market opens in the next day. |
| Keywords: | Asian stock markets; Integration; Information spillover; GARCH model |
| JEL: | G14 G15 G10 |
| Date: | 2008–12–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:12788&r=fmk |