Essays On Testing For Speculative Bubbles In The Stock Market
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Essays On Testing For Speculative Bubbles In The Stock Market
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Author : Lii-Tarn Chen
language : en
Publisher:
Release Date : 1995
Essays On Testing For Speculative Bubbles In The Stock Market written by Lii-Tarn Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Speculation categories.
Essays In Honor Of Joon Y Park
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Author : Yoosoon Chang
language : en
Publisher: Emerald Group Publishing
Release Date : 2023-04-24
Essays In Honor Of Joon Y Park written by Yoosoon Chang and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-24 with Business & Economics categories.
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Progress In Economics Research
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Author : Albert Tavidze
language : en
Publisher: Nova Publishers
Release Date : 2006
Progress In Economics Research written by Albert Tavidze and has been published by Nova Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
This series spans the globe presenting leading research in economics. It is perhaps a sign of the times that economic weapons such as sanctions seem to be as powerful as or more so than tanks. International applications and examples of economic progress are invaluable in a troubled world with economic booms bursting like so many penny balloons. Globalisation, outstanding and jobless recoveries present economic issues of concern to millions. Business Cycles?; Economic Growth and International Trade in The Mediterranean Area: An Empirical Analysis; An Empirical (Pooled) Analysis of Latin America's Poor: Investment Performance During the 1980-1999 Period; Does Audit Quality Influence Post-IPO Survival?; A Relationship Quality/Stakeholder Perspective of Corporate Performance; Monetary Policy Impacts on US Livestock-Oriented Agricultural Prices; Negative Externality, Tacit Bargaining and Cigarette Demand: The Case of Environmental Tobacco Smoke in Japan; Capital Flows, Information Sharing and Optimal Capital Taxation; PPP Relationship and Real Exchange Rates revised: The Non-Linear Case; Quasitransitive Rational Choice; Index.
Essays On Risk And Uncertainty In Economics And Finance
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Author : Jorge Mario Uribe Gil
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2022-11-22
Essays On Risk And Uncertainty In Economics And Finance written by Jorge Mario Uribe Gil and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-22 with Business & Economics categories.
This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.
Economic Uncertainty Instabilities And Asset Bubbles Selected Essays
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Author : Anastasios G Malliaris
language : en
Publisher: World Scientific
Release Date : 2005-10-03
Economic Uncertainty Instabilities And Asset Bubbles Selected Essays written by Anastasios G Malliaris and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-03 with Business & Economics categories.
The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.
Bubbles And Contagion In Financial Markets Volume 1
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Author : E. Porras
language : en
Publisher: Springer
Release Date : 2016-06-29
Bubbles And Contagion In Financial Markets Volume 1 written by E. Porras and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-29 with Social Science categories.
Understanding the formation of bubbles and the contagion mechanisms afflicting financial markets is a must as extreme volatility events leave no market untouched. Debt, equity, real estate, commodities... Shanghai, NY, or London: The severe fluctuations, explained to a large extent by contagion and the fear of new bubbles imploding, justify the newly awaken interest in the contagion and bubble dynamics as yet again the world brazes for a new global economic upheaval. Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics. Bubbles and contagion are a vast world and fascinating phenomena that escape a narrow exploration of financial markets. Hence thiswork looks beyond into macroeconomics, monetary policy, risk aggregation, psychology, incentive structures and many more subjects which are in part co-responsible for these events. Responding to the ever more pressing need to disentangle the dynamics by which financial local events are transmitted across the globe, this volume presents an exhaustive and integrative outlook to the subject of bubbles and contagion in financial markets. The key objective of this volume is to give the reader a comprehensive understanding of all aspects that can potentially create the conditions for the formation and bursting of bubbles, and the aftermath of such events: the contagion of macro-economic processes. Achieving a better understanding of the formation of bubbles and the impact of contagion will no doubt determine the stability of future economies – let these two volumes be the starting point for a rational approach to a seemingly irrationalphenomena.
Speculative Bubbles Speculative Attacks And Policy Switching
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Author : Robert P. Flood
language : en
Publisher: MIT Press
Release Date : 1994
Speculative Bubbles Speculative Attacks And Policy Switching written by Robert P. Flood and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.
The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.
Stock Markets Speculative Bubbles And Economic Growth
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Author : Mathias Binswanger
language : en
Publisher: Edward Elgar Publishing
Release Date : 1999
Stock Markets Speculative Bubbles And Economic Growth written by Mathias Binswanger and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
Bonswanger (economics, the University of Applied Sciences, Switzerland) sheds new light on the role of speculative bubbles in the stock market and argues that bubbles may have a positive effect. He refutes arguments that bubbles increase instability, and contends that bubbles may provide additional investment opportunities with the potential to increase aggregate profits. He demonstrates that highly sophisticated financial systems are needed in order to allow for positive effects to develop, and examines recent experience in Asia where destabilizing effects of bubbles outweighed potential benefits.
Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb
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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2006-04-18
Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-18 with Business & Economics categories.
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
International Review Of Economics Finance
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Author :
language : en
Publisher:
Release Date : 2003
International Review Of Economics Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.