New Economics Papers
on Financial Markets
Issue of 2013‒03‒16
four papers chosen by

  1. Equity Risk Premium and Regional Integration By Mohamed El Hedi Arouri; Christophe Rault; Frédéric Teulon
  2. Fund Management and Systemic Risk - Lessons from the Global Financial Crisis By Bengtsson, E.
  3. On the relationship between world oil prices and GCC stock markets By Mohamed El Hedi Arouri; Jamel Jouini; Duc Khuong Nguyen
  4. The impact of mega sports events on the stock markets By Zawadzki, Krystian

  1. By: Mohamed El Hedi Arouri (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans); Christophe Rault (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans, EDHEC (Ecole des Hautes Etudes Commerciales) - EDHEC (Ecole des Hautes Etudes Commerciales)); Frédéric Teulon (IPAG - Institut de Planétologie et d'Astrophysique de Grenoble - CNRS : UMR5274 - INSU - Université Joseph Fourier - Grenoble I - OSUG)
    Abstract: This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of segmentation vary from one region to anther and over time. Moreover, we establish that compared to developed market regions, emerging market regions have four main dissimilarities: the total risk premiums are significantly higher, more volatile, dominated by regional residual risk factors and reflect mostly regional events. However, in the recent period emerging market regions have become less segmented as a result of liberalization and reforms and the relative magnitude of the premium associated with global factors has increased.
    Date: 2013–03–07
  2. By: Bengtsson, E.
    Abstract: Fund managers play an important role in increasing efficiency and stability in financial markets. But research also indicates that fund management in certain circumstances may contribute to the buildup of systemic risk and severity of financial crises. The global financial crisis provided a number of new experiences on the contribution of fund managers to systemic risk. In this article, we focus on these lessons from the crisis. We distinguish between three sources of systemic risk in the financial system that may arise from fund management: insufficient credit risk transfer to fund managers; runs on funds that cause sudden reductions in funding to banks and other financial entities; and contagion through business ties between fund managers and their sponsors. Our discussion relates to the current intense debate on the role the so-called shadow banking system played in the global financial crisis. Several regulatory initiatives have been launched or suggested to reduce the systemic risk arising from non-bank financial entities, and we briefly discuss the likely impact of these on the sources of systemic risk outlined in the article.
    Keywords: Systemic risk; shadow banking; fund management; credit risk transfer; liquidity risk; financial crisis
    Date: 2013
  3. By: Mohamed El Hedi Arouri (EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense); Jamel Jouini (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines); Duc Khuong Nguyen (CERAG - Centre d'études et de recherches appliquées à la gestion - CNRS : UMR5820 - Université Pierre Mendès-France - Grenoble II)
    Abstract: We provide comprehensive evidence on the relationship between oil prices and stock mar-kets for six GCC countries. Unlike previous contributions, a wide range of modern econo-metric techniques are applied in order to: i) capture both short- and long-term interactions between considered markets; ii) deal with the potential asymmetry in such interactions and iii) control for the effects of relevant global financial variables. Empirical results show strong causal linkages in the short-run with the impact direction running usually from oil to stocks, but no long-run links. Stock returns seem also to be more sensitive to negative than to positive oil shocks.
    Date: 2013–03–07
  4. By: Zawadzki, Krystian
    Abstract: This study attempts to estimate the impact of mega sports events organization on the stock market. For this purpose, there were selected seven sporting events taking place in the World Cup and European Football Championships and summer and winter Olympic Games. Next their impact on national equity markets represented by the major stock indices was determined. The study was conducted in two periods of research, ie the date of publication decision to hold an event and during the event itself.
    Keywords: mega sport event, stock market, stock indices, Olympic Games, World Cup, European Football Championship
    JEL: G14 G15
    Date: 2013–02–18

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