Finance Commons^™

Market Volatility Asymmetries: The Effects Of Stock Market Returns On Realized And Implied Volatilities, Matthew M. Chestnut

Inquiry: The University of Arkansas Undergraduate Research Journal

Volatility is an integral and inescapable variable of financial engineering, modeling, and finance theory itself Classical financial economics proxies volatility for risk itself, as it becomes difficult to predict future price realizations of a given asset when that asset exhibits significant price volatility over a given time. However, the nature of volatility as it is explained by classical financial economics has been extensively questioned in the previous three decades, since it is characterized as a function of uncertainty aggregate market psychology-that is, as a function of fear, greed, exuberance, and other fundamental human instincts and emotions. While previous research has …

Lanse Minkler On Human Rights And Structural Adjustment By Rodwan Abouharb & David Cingranelli. Cambridge: Cambridge University Press, 2007. 276pp., Lanse Minkler

Human Rights & Human Welfare

A review of:

Human Rights and Structural Adjustment by Rodwan Abouharb & David Cingranelli. Cambridge: Cambridge University Press, 2007. 276pp.

An Analysis Of The Intra-Regional Trade In The Middle East And North Africa Region, E. M. Ekanayake, John R. Ledgerwood

Publications

This paper analyzes the intra-regional trade and investment flows in the Middle East and North Africa (MENA) region using an augmented gravity model applied to panel data. The study uses annual trade and investment data for the period 1980-2006. There is a growing awareness among countries in the MENA region regarding the importance of international trade and foreign direct investment for stimulating growth and integrating into the world economy. The research will attempt to achieve the following objectives: (a) analyze the intra-regional trade and investment flows in the MENA region; (b) identify the major determinants of trade and investment flows …

Can Parallel Exchange Rates Forecast Commodity Prices?, John F. Roberts

Honors Theses

Commodity price uncertainty imposes large costs on society. On the macro level, it results in sudden and unexpected shifts in current account imbalances and real GDP volatility, while on the micro level, it leads to allocation inefficiencies. Accurate price forecasts have the potential to remove some of this uncertainty and allow for a more efficient distribution of resources, and thus, an increase in social welfare. Despite the obvious gains to be had from accurate commodity price forecasts, few models have been able to deliver these results. Chen, Rogoff and Rossi (2008) were the first to find a promising link between …

The Rise Of Private Equity Media Ownership In The United States: A Public Interest Perspective, Matthew Crain

Publications and Research

This article examines the logic, scope, and implications of the influx of private equity takeovers in the United States media sector in the last decade. The strategies and aims of private equity firms are explained in the context of the financial landscape that has allowed them to flourish; their aggressive expansion into media ownership is outlined in detail. Particular attention is paid to the public interest concerns raised by private equity media ownership relating to the frenzied nature of the buyout market, profit maximization strategies, and the heavy debt burdens imposed on acquired firms. The article concludes with discussion of …

Competition And Interest Rates Lecture Notes, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Competition and the theory of interest rates by Anwar Shaikh (Unpublished manuscript, April 27, 2009) (p. 2)
• Theories of interest rates by Anwar Shaikh (Unpublished manuscript, May 14, 2008) (p. 16)
• Calculating bond ROR by Anwar Shaikh (Unpublished handwritten notes, August 12, unknown year) (p. 43).

Stock Returns And Equity Premium Evidence Using Dividend Price Ratios And Dividend Yields In Malaysia, David Allen, Imbarine Bujang

Research outputs pre 2011

The empirical findings of Goyal and Welch (2003) and Cochrane (2006) suggested that dividend yields and dividend ratios are robust predictors of annual stock returns and annual equity premia. However, Goyal and Welch (2003) asserted that many researchers considered dividend yields to be a good predictor for the equity premium before the 1990s but not after the 1990s. We apply these models to the Malaysian market. Our general findings suggest that the in-sample performances of the KLCI Malaysian datasets present similar results to those predicted by Goyal and Welch (2003, 2006). Meanwhile, the Mincer-Zarnowitz (1969) regression forecast tests for out …

Conditional Beta Capital Asset Pricing Model (Capm) And Duration Dependence Tests, David E. Allen, Imbarine Bujang

Research outputs pre 2011

This paper uses a sample of 50 companies continuously listed on Main Board of Bursa Malaysia from January 1994 until December 2001 and uses duration dependence tests whilst applying two asset pricing models based on the CAPM; the two Factor Model developed by Fama and French (F&F)(1998) and Ferson, Sarkissian and Simin’s (FSS) (2008) conditional beta model applied to estimate the conditional beta of CAPM as to generate the positive and negative abnormal returns. The findings suggest that both the Log Logistic and Weibull hazard models seem to support the existence of negative duration dependence for both positive and negative …

Pricing Options By Simulation Using Realized Volatility, David E. Allen, Michael Mcaleer, Marcel Scharth

Research outputs pre 2011

A growing literature advocates the use of high-frequency data for the purpose of volatility estimation. However, despite the successes in modeling the conditional mean of realized volatility empirical evaluations of this class of models outside the realm of short run forecasting is limited. How can realized volatility be used for pricing options? What are the modeling qualities introduced by realized volatility models for pricing derivatives? In this short paper, we propose an options pricing framework based on a new realized volatility model that captures all the relevant empirical regularities of the realized volatility series of the S&P 500 index. We …

Areit Returns From 1990-2008: A Multi-Factor Approach, Jaime Yong, David E. Allen, Lee K. Lim

Research outputs pre 2011

Australian Real Estate Investment Trusts (AREITs) have experienced substantial growth and popularity since 1993. Amongst the major themes surrounding this sector during this time, were the increased attention from institutional investors, the trend towards and away from property-type diversification, significant merger and acquisition activities which led to increased trust size, the debate between internally versus externally managed trust structures, increased gearing levels, and the focus towards diversification into international property assets. While the AREIT sector had benefit from the increased flow of funds from institutional investors during the 1997 Asian financial crisis, the recent impact of the 2008 global financial …

Impact Of The Financial Crisis On Australian Bank Default Risk, Robert Powell, David E. Allen

Research outputs pre 2011

Australian Banks are widely considered to have remained in far better shape during the financial crisis than their global counterparts. The Australian banking sector has retained solid earnings and good capitalisation. Indeed, the 4 major Australian banks are part of a select group of only 8 global banks who hold AA credit ratings. Nonetheless, Australian banks have experienced significant deterioration in market values of assets in line with global financial market fluctuations. The KMV / Merton structural model is widely used by Australian and global banks to measure default probabilities of their customers based on market asset values and debt …

Bonds, Stocks Or Dollars? Do Voters Care About Capital Markets In Brazil And Mexico, Tony Petros Spanakos, Lucio Remuzat Renno Jr.

Department of Political Science and Law Faculty Scholarship and Creative Works

How does vote intention in presidential elections vary according to the economic conditions of a country, especially indicators of the financial market? Does the state of the economy, both its fundamentals as well as capital market, affect variation in candidates’ percentage of vote intention in national polls? This paper tests how economic indicators influence vote intention in presidential elections in two emerging markets: Brazil and Mexico. The presidential elections of 1994, 1998, 2002, and 2006 in Brazil and 2000 and 2006 in Mexico are analyzed using all poll returns for each electoral period and corresponding economic data. The paper finds …

Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas

Dissertations and Theses Collection (Open Access)

Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the …

Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song

Dissertations and Theses Collection (Open Access)

This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during …

Interest Rate Theory My Notes, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• General notes by Anwar Shaikh (Unpublished manuscript, July 5, 2007) (22-36_Inte... p. 2)
• Interest rate & arbitrage & Gibson's paradox by Anwar Shaikh (Unpublished handwritten notes, June 14, 2007) (22-36_Inte... p. 7)
• Typical classical starting point by Anwar Shaikh (Unpublished handwritten notes, October 26, 2004) (22-36_Inte... p. 9)
• Notes on bonds and rates of return by Anwar Shaikh (Unpublished manuscript, October 16, 1998) (22-36_Inte... p. 11)
• Ape II interest rate theory by Anwar Shaikh (Unpublished handwritten notes, April 29, 2009) (22-36_Inte... p. 13)
• Wojnilower, A. M. (2005). Why monetary policy? Paper presented at the 15th Annual Hyman …

Financial Crisis Containment, Anna Gelpern

Georgetown Law Faculty Publications and Other Works

This Article maps financial crisis containment - extraordinary measures to stop the spread of financial distress - as a category of legal and policy choice. I make three claims.

First, containment is distinct from financial regulation, crisis prevention and resolution. Containment is brief; it targets the immediate term. It involves claims of emergency, rule-breaking, time inconsistency and moral hazard. In contrast, regulation, prevention and resolution seek to establish sound incentives for the long term. Second, containment decisions deviate from non-crisis norms in predictable ways, and are consistent across diverse countries and crises. Containment invariably entails three kinds of choices: choices …