Recent Periods Of Financial Turbulence On The Russian Stock Market And Their Effect On Price Correlation And Value At Risk,
2015
Financial University under the Government of the RF, Moscow
Recent Periods Of Financial Turbulence On The Russian Stock Market And Their Effect On Price Correlation And Value At Risk, Alexander Logoveev, Gregory Cherinko
Undergraduate Economic Review
The aim of this article is to observe and analyze the recent periods of financial turbulence on the Russian stock market and determine their influence on the correlation coefficients between asset prices and the Value at Risk measure for a portfolio. Our task was to describe the previously observed phenomenon of correlation enlargement during times of financial crises deemed in our research as separate Black Swans. Based on up-to-date financial data analysis we determined correlation trends that can be useful in risk management and applied the Value at Risk method.
Helping A Microfinance Institution Select Its Clients: A Risk Analysis Using Social Networks,
2015
College of Wooster
Helping A Microfinance Institution Select Its Clients: A Risk Analysis Using Social Networks, Sayantan Mitra, Varunavi Newar
Black & Gold
This paper formulates an objective mathematical model for a Microfinance Institution (MFI) to measure the credit worthiness associated with a potential client. We use concepts from network theory to determine the credit worthiness of an individual in relation to other households in the community. We use the concept of eigenvector centrality to evaluate the relative credit worthiness in the network. The latter part of the model focuses on the absolute measures of credit worthiness such as income, ownership of assets and risk of the proposed investment. This model would help MFIs reduce the risk of borrowing by ensuring that there …
Anchoring Bias, Idiosyncratic Volatility And The Cross-Section Of Stock Returns,
2015
Louisiana Tech University
Anchoring Bias, Idiosyncratic Volatility And The Cross-Section Of Stock Returns, Cedric Tresor Luma Mbanga
Doctoral Dissertations
Ang, Hodrick, Xing and Zhang (2006) document an anomaly in the cross-section of stock returns. They show that high idiosyncratic volatility (IVOL) firms earn lower returns in the following month. Specifically, they find after sorting stocks in quintile portfolios based on the previous month's IVOL that a zero-investment portfolio long the most volatile quintile of stocks and short the least yields about -1% during the subsequent month. The evidence reported in Ang, Hodrick, Xing and Zhang (2006) is primarily puzzling because traditional asset pricing theories suggest that (i) only systematic risk should be priced, (ii) to the extent that markets …
Financial Literacy And College Students: An Exploration Of College Students’ Attitudes, Behaviors, Influences And Preparedness For Financial Decisions After Graduation,
2015
Bryant University
Financial Literacy And College Students: An Exploration Of College Students’ Attitudes, Behaviors, Influences And Preparedness For Financial Decisions After Graduation, Kerry Quirk
Honors Projects in Finance
Financial literacy is the level of understanding an individual has for different financial topics, including but not limited to, investment vehicles, retirement accounts, saving, budgeting, credit and taxes, and the use of such knowledge to change one’s financial behavior to create a more positive financial position for the future. Past research has shown that college students consistently have low levels of financial literacy. They also lack knowledgeable influences on their financial education. Because many college students will soon enter the workforce after graduation and will be responsible for managing their own salary, retirement accounts and investment options, they can be …
Do Opposites Detract? Intrahousehold Preference Heterogeneity And Inefficient Strategic Savings,
2015
Dartmouth College
Do Opposites Detract? Intrahousehold Preference Heterogeneity And Inefficient Strategic Savings, Simone Schaner
Dartmouth Scholarship
This paper uses a field experiment to test whether intrahousehold heterogeneity in discount factors leads to inefficient strategic savings behavior. I gave married couples in rural Kenya the opportunity to open both joint and individual bank accounts at randomly assigned interest rates. I also directly elicited discount factors for all individuals in the experiment. Couples who are well matched on discount factors are less likely to use costly individual accounts and respond robustly to relative rates of return between accounts, while their poorly matched peers do not. Consequently, poorly matched couples forgo significantly more interest earnings on their savings. (JEL …
Real Arrow-Securities For All: Just And Efficient Insurance Through Macro-Hedging,
2015
Cornell Law School
Real Arrow-Securities For All: Just And Efficient Insurance Through Macro-Hedging, Robert C. Hockett
Cornell Law Faculty Publications
As a new hurricane season opened in June of 2006, it emerged that a number of online gaming sites were offering bettors the opportunity to wager on whether New Orleans might suffer another Katrina calamity. Commentators condemned the announced practice with howls of disgust, labeling it both tasteless and heartless. Perhaps they were right. All I could think about as one who grew up in New Orleans, however, was how risk pools might hereby be broadened to include all the world’s bettors. We shouldn’t condemn these people; we should use them—while requiring that they maintain margin accounts at their betting …
Improving Micro-Finance Productivity Through Data Analysis,
2015
Utah State University
Improving Micro-Finance Productivity Through Data Analysis, Ryan D. Taylor
Undergraduate Honors Capstone Projects
After nearly three months of gathering, creating, organizing, and analyzing data from social entrepreneurship programs in Peru and Ghana, correlations have been found within the data which may be used in the pursuit to eliminate poverty around the globe. These correlations were found through completing both linear relationship analyses and multi-variable regression analyses. The most statistically significant factors when looking at correlational relationships with number of missed and late payments were APR, loan duration, loan date (year fraction), gender or principle loan participant, and participation in incentive programs. The most poignant of these variables in terms of statistical significance was …
Somali Remittances Campaign,
2015
SIT Graduate Institute
Somali Remittances Campaign, Ammar Mohammed
Capstone Collection
The world changed after 9/11, and so did the US banking regulations. One change was that it has become increasingly difficult for families and communities in Somalia to receive remittances from relatives and friends living in the United States. Those funds are essential to the livelihoods of 40% of the population, especially women and children. It further has a negative impact on the national economy of one of the world’s poorest countries. However, US banks has become increasingly willing to assume the costs of complying with the government’s Anti-Money Laundering and Combatting the Financing of Terrorism (AML/CFT) regulations or to …
China's Yuan: Asia's Future Anchor Currency?,
2015
Singapore Management University
China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow
Research Collection School Of Economics
The yuan is becoming more widely used in pricing and settling intra-regional trade and investment. Asian currencies' movements are likely to shift more in tandem with the yuan, leading to it becoming one of Asia's lead currencies. Singapore is now the world's second-most- important offshore yuan trading hub after Hong Kong.
Mexico Consensus Economic Forecast, Volume 18, Number 2,
2015
University of Texas at El Paso
Mexico Consensus Economic Forecast, Volume 18, Number 2, Thomas M. Fullerton Jr., Adam G. Walke
Border Region Modeling Project
No abstract provided.
Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling,
2015
Collin County Community College District
Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling, William D. Elliott
Undergraduate Economic Review
This paper presents new and significant research on the Black-Scholes Formula using the agent-based modeling software NetLogo. The software was used to simulate an options market subject to jump diffusion. Since the widely-used Black-Scholes Formula has at times proven unreliable, this research sought to understand circumstances that render the formula ineffective. It was hypothesized that markets would become difficult to trade in or “toxic” at low price volatility but high jump volatility. Further, it was predicted that kurtosis would alert the presence of toxic markets by accurately and consistently conveying whether jump diffusion was present.
Retirement Planning Among Middle-Aged And Older Hispanics,
2015
Pepperdine University
Retirement Planning Among Middle-Aged And Older Hispanics, Luisa Blanco, Emma Aguila, Arturo Gongora, Beverly Weidmer, O. Kenrik Duru
School of Public Policy Working Papers
The goal of this study is to deepen the understanding of how middle age and older Hispanics plan for retirement, where we conducted four focus groups in the Los Angeles area with a total of 38 participants. Our study provides interesting findings, specifically for women since 84 percent of the participants were female. We find that that most participants, whether they were already retired or not, are not well prepared for retirement since they have been unable to save for retirement and have not made specific retirement plans, such as determining desired retirement age, estimating retirement budget, and collecting information …
Interest Rate Elasticity Of Private Sector Credit In Nigeria,
2015
Central Bank of Nigeria
Interest Rate Elasticity Of Private Sector Credit In Nigeria, A. Bamidele, K. O. Oji, E. S. Smith, L. S. Jimoh
Economic and Financial Review
This study estimated the interest rate elasticity of private sector credit in Nigeria using the Vector Error Correction mechanism. The variables specified included real private sector credit. real GDP. Prime and maximum lending rates, exchange rate, 9)-day Treasury bill rate, inflation rate and all share index of the Nigerian Stock Exchange. The data utilised covered the period: 1998 Q1 to 2013 Q4. Granger causality tests were performed, and the co-integration analysis of the Johansen system-wide procedure was employed. The results indicated thot private sector credit was fairly interest inelastic in terms of both maximum and prime lending rates. The estimated …
Measuring The Depth Of Liquidity And Efficiency Of The Nigerian Capital Market,
2015
Central Bank of Nigeria
Measuring The Depth Of Liquidity And Efficiency Of The Nigerian Capital Market, M. Tule, P. Ogiji, U. B. Ndako, U. Ujunwa, S. L. Jimoh, C. E. Lhediwa, O. O. Afiemo
Economic and Financial Review
The study developed a spectrum of indicative measures of capital market liquidity using Nigerian monthly stock market indices for the period January 2000 — June 2014. If identified four broad measures of liquidity common in the literature transaction cost, volume price and market impact measures. Based on these three sub-measures of market efficiency coefficient, variance ratio, turnover ratio and illiquidity index were developed based on data availability and other market factors specific to the Nigerian environment. The study examined the impact of capital market liquidity on asset price returns. using a vector auto regression [VAR] model which showed that the …
Monetary Policy And Asset Prices In Nigeria,
2015
Central Bank of Nigeria
Monetary Policy And Asset Prices In Nigeria, M.K. Tule, P. Ogiji, G. Okorie, D. Mbaka
Economic and Financial Review
This paper attempts to contribute to the debate on the linkages between monetary policy and asset prices in the woke of the recent global financial crisis. The study employs vector error correction (VEC) mode! on Nigerian weekly data from January 2007 to October 2013. A pair-wise granger causality test indicated a unidirectional causality from asset prices to monetary policy. Exchange rate at lag one was negatively related to the All Share Index. suggesting that exchange rate appreciation is likely to lead to excessive appreciation in asset prices. The results further indicated a positive relationship between financial system stability and asset …
On The Effectiveness Of Housing Purchase Restriction Policy In China: A Difference In Difference Approach,
2015
Singapore Management University
On The Effectiveness Of Housing Purchase Restriction Policy In China: A Difference In Difference Approach, Jerry X. Cao, Bihong Huang, Rose Neng Lai
Research Collection Lee Kong Chian School Of Business
The Chinese government imposed the purchase restriction policy to rein in the housing bubble in 2010. Using a two-stage difference-in-difference approach and a comprehensive dataset covering the real estate markets across 70 cities, we find that the policy triggered substantial decline in the property price and transaction volume. Cities having higher reliance on real estate sector for fiscal revenue and economic growth experienced greater decline in housing prices following the policy implementation. However, the policy had no measurable effects on the nationwide construction boom, hinting the ineffectiveness of the policy to correct the housing bubble.
Self-Exciting Jumps, Learning, And Asset Pricing Implications,
2015
ESSEC Business School
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Research Collection School Of Economics
The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.
Getting The Most Out Of Your 401(K),
2015
University of Massachusetts Boston
Getting The Most Out Of Your 401(K), Emily G. Brown Jd, Jeanne Medeiros Jd
Pension Action Center Publications
Planning for your retirement is an active and ongoing endeavor. It requires a certain amount of diligence and knowledge to ensure you have an adequate amount of financial stability at retirement. In order to safeguard your economic security, it is important to know if you are getting the most out of your 401(k) retirement savings account. This factsheet provides basic information about enrolling in a 401(k) retirement savings account and important items to keep in mind once you are enrolled.
2014 Fed Challenge Script: Current State Of The Economy,
2015
Gettysburg College
2014 Fed Challenge Script: Current State Of The Economy, Jieran Liu, William W. Northrop, Matthew Nadler, Owen J. Rothe, Ryan M. Williams
Gettysburg Economic Review
Good afternoon everyone and thank you for having us here today. Though the recession began in 2007 and officially ended in 2009, recovery has been painfully slow. GDP growth has been insufficient to close the output gap, there continues to be slack in the labor market and inflation has stabilized below the Federal Reserve percent target. We are not meeting our dual mandate of full employment and stable prices even 6 years after the end of the recession. Despite some signs of strengthening in the economy during the past year, we do not believe that economy is on a self-sustaining …
Financial Anxiety, Physiological Arousal, And Planning Intention,
2015
University of Georgia
Financial Anxiety, Physiological Arousal, And Planning Intention, John Grable, Wookjae Heo, Abed Rabbani
Consumer Sciences Faculty Publications
Results from this exploratory clinical study indicate that financial anxiety—holding an unhealthy attitude about one’s financial situation—and physiological arousal—the physical precursor to behavior—play important roles in shaping consumer intention to engage in future financial planning activity. Findings suggest that those who are most likely to engage the services of a financial adviser exhibit low levels of financial anxiety and moderate to high levels of physiological arousal. The least likely to seek the help of a financial adviser are those who exhibit high financial anxiety and low physiological arousal. Results support findings documented in the literature that high anxiety levels often …
