New Economics Papers
on Financial Markets
Issue of 2012‒07‒01
three papers chosen by

  1. On the Existence and Fragility of Repo Markets By Hajime Tomura
  2. Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling By Tiago Colliri
  3. Government quality determinants of stock market performance in African countries By Simplice A, Asongu

  1. By: Hajime Tomura
    Abstract: This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously. If cash investors buy bonds to store their cash, then they suffer an endogenous bond-liquidation cost because they must sell their bonds before the scheduled times of their cash payments. This cost provides incentive for both dealers and cash investors to arrange repos with endogenous margins. As part of multiple equilibria, the bond-liquidation cost also gives rise to another equilibrium in which cash investors stop transacting with dealers all at once. Credit market interventions block this equilibrium.
    Keywords: Financial markets; Financial stability; Payment; clearing; and settlement systems
    JEL: G24
    Date: 2012
  2. By: Tiago Colliri
    Abstract: The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this area, particularly in this field, we still cannot find a unified model that includes volume and price variations for stock assessment purposes. In this paper we present a computer model that could fulfill this gap, proposing a new index to evaluate stock prices based on their historical prices and volumes traded. Besides the model can be considered mathematically very simple, it was able to improve significantly the performance of agents operating with real financial data, as will be showed in this paper. Based on the results obtained, and also on the very intuitive logic of our model, we believe that the index proposed here can be very useful to help investors on the activity of determining ideal price ranges for buying and selling stocks in the financial market.
    Date: 2012–06
  3. By: Simplice A, Asongu
    Abstract: How do government policies and institutions affect stock market performance? As stock markets grow broader and deeper in African countries, the question becomes more critical. Government quality dynamics of corruption-control, government-effectiveness, political-stability or no violence, voice & accountability, regulation quality and rule of law are instrumented with income-levels, religious-dominations, press-freedom degrees and legal-origins to account for stock market performance dynamics of capitalization, value traded, turnover and number of listed companies. The results demonstrate a significant positive association between stock market performance measures and the quality of government institutions. These findings suggest countries with better developed government institutions would favor stock markets with higher market capitalization, better turnover ratios, higher value in shares traded and greater number of listed companies.
    Keywords: Financial Markets; Government Policy; Political Economy
    JEL: P43 G18 G28 G10 P16
    Date: 2012–06–23

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