Examining Volatility Transmission in Major Agricultural Futures
... The crucial aspect in MGARCH modeling is to provide a realistic but parsimonious speci cation of the conditional variance matrix, ensuring that it is positive de nite. There is a dilemma between exibility and parsimony. Full BEKK models, for example, are exible but require too many parameters for ...
... The crucial aspect in MGARCH modeling is to provide a realistic but parsimonious speci cation of the conditional variance matrix, ensuring that it is positive de nite. There is a dilemma between exibility and parsimony. Full BEKK models, for example, are exible but require too many parameters for ...
Financial Transaction Tax and Financial Market Stability with
... assets are unknown and traders act according to their beliefs while taking the beliefs of other traders into account. This resembles the argument made by proponents of a transaction tax on the causes of volatility. This might lead one to believe that the introduction of a transaction tax in an econo ...
... assets are unknown and traders act according to their beliefs while taking the beliefs of other traders into account. This resembles the argument made by proponents of a transaction tax on the causes of volatility. This might lead one to believe that the introduction of a transaction tax in an econo ...
Market vs. Residence Principle
... stock markets as the best way to mitigate the predominance of destabilizing short-term speculation over stabilizing long-term investment (Keynes, 1936). After the fall of the Bretton-Woods system, a similar line of argument was adopted by James Tobin, when he called for the introduction of a FTT on ...
... stock markets as the best way to mitigate the predominance of destabilizing short-term speculation over stabilizing long-term investment (Keynes, 1936). After the fall of the Bretton-Woods system, a similar line of argument was adopted by James Tobin, when he called for the introduction of a FTT on ...
Asset market participation and portfolio choice over the life-cycle
... as TIAA-CREF may be constrained by the rules of the plan, potentially resulting in less pronounced age patterns than in overall portfolios which reflect allocations of constraintfree financial wealth. In this paper, we try to overcome these problems. We have assembled a new database drawing on admi ...
... as TIAA-CREF may be constrained by the rules of the plan, potentially resulting in less pronounced age patterns than in overall portfolios which reflect allocations of constraintfree financial wealth. In this paper, we try to overcome these problems. We have assembled a new database drawing on admi ...
Good news-Bad news: Information revelation
... conjecture that markets under-react to information about the short-term prospects of firms but overreact to information about their long-term prospects.1 In an attempt to summarize the literature, Shefrin (2000) points out that over-reaction tends to occur at very short horizons, while under-reactio ...
... conjecture that markets under-react to information about the short-term prospects of firms but overreact to information about their long-term prospects.1 In an attempt to summarize the literature, Shefrin (2000) points out that over-reaction tends to occur at very short horizons, while under-reactio ...
Varian-Chapter 31
... Trade in Competitive Markets given p1 and p2, consumer A’s net demands for commodities 1 and 2 are ...
... Trade in Competitive Markets given p1 and p2, consumer A’s net demands for commodities 1 and 2 are ...
The Futures Market
... For example, supply would increase if farmers were willing to produce 8,000 pounds of milk every day if the price was $2 per hundred or $20 per hundred. It would increase because no one is producing less even though the price is different. Demand increases if people are willing and able to buy more ...
... For example, supply would increase if farmers were willing to produce 8,000 pounds of milk every day if the price was $2 per hundred or $20 per hundred. It would increase because no one is producing less even though the price is different. Demand increases if people are willing and able to buy more ...
Shopping - MBA6113-Technology
... figured that once in a while the strategy wasn't going to work. It was often best, he concluded, to move out of the way when the market was moving sharply in one direction or another. He did not want to be stuck holding big blocks of stocks when their values unexpectedly plunged. If trading in a par ...
... figured that once in a while the strategy wasn't going to work. It was often best, he concluded, to move out of the way when the market was moving sharply in one direction or another. He did not want to be stuck holding big blocks of stocks when their values unexpectedly plunged. If trading in a par ...
Microeconomics MECN 430 Spring 2016
... the shareholders of firm 2 and firm 3 better off… Π2,3** = 40,000 < Π2+3* = 45,000 ● On the other hand firm 1 is far better off… Π1** = 40,000 > Π1* = 22,500 ● Pre-merger firm 2 and firm 3 together supply a total of 300 units while post merger the supply of the consolidated firm is 200… ● Price incr ...
... the shareholders of firm 2 and firm 3 better off… Π2,3** = 40,000 < Π2+3* = 45,000 ● On the other hand firm 1 is far better off… Π1** = 40,000 > Π1* = 22,500 ● Pre-merger firm 2 and firm 3 together supply a total of 300 units while post merger the supply of the consolidated firm is 200… ● Price incr ...
Internationalization of Stock Markets: Potential Problems for United
... exists to protect the investor and to fulfill the need for fair and efficient access to and exit from the market. Given that premise, the role of the SEC is to "protect investors (principally, but not exclusively, U.S. investors) and the U.S. securities markets, and in the performance of that role t ...
... exists to protect the investor and to fulfill the need for fair and efficient access to and exit from the market. Given that premise, the role of the SEC is to "protect investors (principally, but not exclusively, U.S. investors) and the U.S. securities markets, and in the performance of that role t ...
Download attachment
... • Bahrain was among the first sovereign to issue a Sukuk in the world, providing a new asset class to global financial community. • It is estimated that by 2006, close to US$ 12-15 billion of Sukuk would be outstanding and by 2008, approximately US$ 30 billion Sukuk will be outstanding ...
... • Bahrain was among the first sovereign to issue a Sukuk in the world, providing a new asset class to global financial community. • It is estimated that by 2006, close to US$ 12-15 billion of Sukuk would be outstanding and by 2008, approximately US$ 30 billion Sukuk will be outstanding ...
Price Volatility, Trading Activity and Market Depth
... contracts traded on the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Division (SGX-DT). Two different methodologies, the OLS-based and GARCH-based models, are used to test the robustness of the result and to obtain a sensitivity check. The major findings of this invest ...
... contracts traded on the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Division (SGX-DT). Two different methodologies, the OLS-based and GARCH-based models, are used to test the robustness of the result and to obtain a sensitivity check. The major findings of this invest ...
Does the inflation rate affect the performance of the stock market
... high cost of equity exceeded only by Peru, Pakistan and Columbia. They note that Egypt is a fairly new emerging market, despite its very early beginnings, so there may be a high perceived risk, but that even the Treasury bill rate was high, approximately 9% in 1998. In turn, the treasury bill rate i ...
... high cost of equity exceeded only by Peru, Pakistan and Columbia. They note that Egypt is a fairly new emerging market, despite its very early beginnings, so there may be a high perceived risk, but that even the Treasury bill rate was high, approximately 9% in 1998. In turn, the treasury bill rate i ...
Emerging Equity Markets in a Globalizing World
... “Portfolio Flows to Emerging Markets”. At the time, the World Bank had recently compiled the first-ever database of emerging market equity returns. Foreign portfolio (as opposed to direct) investment was relatively new. The theme of the conference was to better understand the risks that portfolio in ...
... “Portfolio Flows to Emerging Markets”. At the time, the World Bank had recently compiled the first-ever database of emerging market equity returns. Foreign portfolio (as opposed to direct) investment was relatively new. The theme of the conference was to better understand the risks that portfolio in ...
USING A HYPOTHETICAL EFFICIENT FIRM TO BENCHMARK
... in the Chilean legislation as model firm4 ; term that we will retain in what follows. This model firm is supposed to produce the quantity demanded by the market at the minimum cost that is technically feasible, given predefined quality standards and available information. The scheme separates the co ...
... in the Chilean legislation as model firm4 ; term that we will retain in what follows. This model firm is supposed to produce the quantity demanded by the market at the minimum cost that is technically feasible, given predefined quality standards and available information. The scheme separates the co ...
Broker-Dealer Trading Activities
... Regular and rigorous reviews - “An important focus of the NASD’s examination program concerns the review of a member’s procedures to regularly and rigorously examine execution quality likely to be obtained from the different markets or market makers trading a security. The requirement to regularly a ...
... Regular and rigorous reviews - “An important focus of the NASD’s examination program concerns the review of a member’s procedures to regularly and rigorously examine execution quality likely to be obtained from the different markets or market makers trading a security. The requirement to regularly a ...
NBER WORKING PAPER SERIES WHAT DOES FUTURES
... Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices and have remained silent on the role of open interest, or the amount of futures contracts outstanding (Samuelson, 1965; Grossman, 1977). The theory of backwardation implies that t ...
... Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices and have remained silent on the role of open interest, or the amount of futures contracts outstanding (Samuelson, 1965; Grossman, 1977). The theory of backwardation implies that t ...
WESTERN AND EASTERN EUROPE WESTERN
... challenging to process. Stocks of manufactured dairy products in Europe are heavy, but most manufacturers and handlers are not overly concerned. Sales activity is being reported. Traders and handlers are stating that although prices are easing, some buyers are purchasing for needs 2 - 3 months down ...
... challenging to process. Stocks of manufactured dairy products in Europe are heavy, but most manufacturers and handlers are not overly concerned. Sales activity is being reported. Traders and handlers are stating that although prices are easing, some buyers are purchasing for needs 2 - 3 months down ...
Disputation, August 4th, 2009, Ryan Riordan
... “…development have had negative effects…” “HFT firms are accused of flooding markets with orders that are cancelled…, leading to volatility” ...
... “…development have had negative effects…” “HFT firms are accused of flooding markets with orders that are cancelled…, leading to volatility” ...
Natural and manmade disasters can be powerful leaning experiences
... “rations” the available supply. When price doesn’t rise, the available supply is still rationed, but by other means. Businesses of various types will take care of their regular customers first. Locals may get preferences over visitors or newcomers. Long waits in lines may ration short supplies. In t ...
... “rations” the available supply. When price doesn’t rise, the available supply is still rationed, but by other means. Businesses of various types will take care of their regular customers first. Locals may get preferences over visitors or newcomers. Long waits in lines may ration short supplies. In t ...
the endowment effect: evidence of losses valued more than gains
... Several endowment effect experiments have also been carried out over repeated iterations to test for possible impacts of learning, about the trading institutions or about values. For the most part, little change in the asymmetric valuation of gains and losses has resulted from the repetitions. While ...
... Several endowment effect experiments have also been carried out over repeated iterations to test for possible impacts of learning, about the trading institutions or about values. For the most part, little change in the asymmetric valuation of gains and losses has resulted from the repetitions. While ...
The growth of house prices in Australian capital cities
... exhibited high real growth rates in the late 1980s and then again in the period from 2001 to 2004. At the same time important regional differences in the performance of property markets have occurred, eg. Adelaide, Hobart and Darwin showed little evidence of a boom in prices in the late 1980s. Despi ...
... exhibited high real growth rates in the late 1980s and then again in the period from 2001 to 2004. At the same time important regional differences in the performance of property markets have occurred, eg. Adelaide, Hobart and Darwin showed little evidence of a boom in prices in the late 1980s. Despi ...
Middlemen in Search Equilibrium
... and leaves with the partner’s good intact; ready to trade again. Middlemen, therefore, survive by ‘buying low’ and ‘selling high’. They never need to produce, so intermediation is more attractive to those with higher production costs. In this environment, middlemen simply clog up the system. They ha ...
... and leaves with the partner’s good intact; ready to trade again. Middlemen, therefore, survive by ‘buying low’ and ‘selling high’. They never need to produce, so intermediation is more attractive to those with higher production costs. In this environment, middlemen simply clog up the system. They ha ...
When Does Information Asymmetry Affect the Cost of
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
New Evidence on the Financialization of Commodity Markets*
... (2012; p. 11) points out, “in any market setting where there are limits to the amount of capital investors are willing to commit to an asset class … large increases in desired long or short positions by any class of investors can potentially impact prices.” Hong and Yogo (2012) rely on similar reaso ...
... (2012; p. 11) points out, “in any market setting where there are limits to the amount of capital investors are willing to commit to an asset class … large increases in desired long or short positions by any class of investors can potentially impact prices.” Hong and Yogo (2012) rely on similar reaso ...