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on Financial Markets |
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Issue of 2016‒03‒23
five papers chosen by |
| By: | Shanshan Wang; Rudi Sch\"afer; Thomas Guhr |
| Abstract: | There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-response exhibits a shorter response period with sizeable volatilities, while the corresponding period for the active cross-response is longer. The average cross-responses for a given stock are evaluated either with respect to the whole market or to different sectors. Using the response strength, the influences of individual stocks are identified and discussed. Moreover, the various cross-responses as well as the average cross-responses are compared with the self-responses. In contrast, the short memory of trade sign cross-correlation for stock pairs, the sign cross-correlation has long memory when averaged over different pairs of stocks. |
| Date: | 2016–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1603.01586&r=fmk |
| By: | Jokivuolle, Esa; Keppo, Jussi; Yuan, Xuchuan |
| Abstract: | Regulators restrict bankers' risk-taking incentives by using a bonus cap or by extending the effective bonus accrual period. However, considering the costs of changing the bank's risk position, our model shows that extended bonus accrual periods alone do not lead to lower risk-taking. In contrast, a sufficiently tight bonus cap reduces risk-taking even when the costs of changing the bank's risk position are considered. The calibrated model indicates that a bonus cap that equals a fixed salary (as in the EU) reduces risk on average by 2%-10%, while extending bonus accrual periods is impotent. |
| Keywords: | banking, bonuses, regulation, compensation, Dodd?Frank Act |
| JEL: | G01 G21 G28 J33 M52 |
| Date: | 2016–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:bof:bofrdp:urn:nbn:fi:bof-201503041096&r=fmk |
| By: | Corey Garriott; Kyle Gray |
| Abstract: | This is the first of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The document discusses the organization of the repurchase-agreement (repo) market in Canada. We define the repo contract, the market infrastructures that support repo trading and the composition of the market participants. We also describe repo trading practices in Canada, risks in the repo market and repo regulation. A repo is a financial contract that resembles a collateralized loan. It is used to support the funding needs of financial institutions and to procure on a temporary basis specific securities. The Canadian repo market is primarily composed of large banks and large investment institutions such as pension funds. A unique feature of the Canadian market is that Canadian investment institutions are net borrowers of cash via repo. Repo can transmit risks in the financial system because it can create levered interconnections among participants. Risks in the Canadian repo market are relatively smaller than in other jurisdictions. |
| Keywords: | Financial markets; Financial institutions; Financial system regulation and policies; Market structure and pricing |
| JEL: | G18 G21 G23 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocadp:16-8&r=fmk |
| By: | Andries, Alin Marius; Fischer, Andreas M; Yesin, Pinar |
| Abstract: | 2015 Abstract This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap lines on bank stocks. Bank-level evidence suggests that stock prices of local and less-well capitalized banks as well as banks with high foreign currency exposures and high reliance on short-term funding responded more strongly to SNB swap lines. This new evidence is consistent with the view that swap lines not only enhanced market liquidity but also reduced risks associated with associated with micro-prudential issues. |
| Keywords: | emerging markets; foreign currency loans; International Swap lines |
| JEL: | F15 F21 F32 F36 G15 |
| Date: | 2016–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:11167&r=fmk |
| By: | Asian Development Bank (ADB); Asian Development Bank (ADB) (Sustainable Development and Climate Change Department, ADB); Asian Development Bank (ADB) (Sustainable Development and Climate Change Department, ADB); Asian Development Bank (ADB) |
| Abstract: | This report is an outcome of Phase 3 discussions under the ASEAN+3 Bond Market Forum Sub-Forum 2, which have focused on making bond market infrastructures in the region more inter-operable through the harmonization of transaction flows, standardization of messaging items, and implementation of international standards. Most markets in the region will have commenced these harmonization and standardization efforts by2020, thus taking a significant step toward the integration of ASEAN+3 bond markets. |
| Keywords: | regional cooperation, regional integration, bond markets, asean+3, bond market forum, transaction flows, international standards, regional cooperation, integrated bond markets, abmf sf2, iso 20022, iso 15022, dvp settlement, central securities depository, rtgs systems |
| Date: | 2015–09 |
| URL: | http://d.repec.org/n?u=RePEc:asd:wpaper:rpt157593-2&r=fmk |