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Cunha, Raphael C. "Financial Globalization & Democracy: Foreign Capital, Domestic Capital, and Political Uncertainty in the Emerging World." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu149434486657801.
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Phang, Hoon Khing. "A complex systems approach to dealing with uncertainty in time series : a financial market example." Thesis, Cranfield University, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.283292.
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Kumsta, Rene-Christian. "An analysis of value investing determinants under the behavioural finance approach." Thesis, Loughborough University, 2016. https://dspace.lboro.ac.uk/2134/21266.
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WHAT WAS DONE? This study researches the success of several value investment strategies in the stock markets of the United Kingdom and Germany based on nine firm fundamentals that are extracted from listed firms annual financial statements. In this regard, we first examine alternative forecast combination methods in a novel way to utilise fully the financial information at hand. Second, we examine the drivers of investment returns, particularly the role of information uncertainty, for which a new direct measure is developed. Finally, we evaluate the performance of these financial health investment strategies in alternative institutional environments by focusing on the differences between the two markets regarding both their corporate culture and their legal environment. WHY WAS IT DONE? Similar to economics, the discipline of finance is a social science because its observations emanate from economic transactions between humans. Nevertheless, a significant part of the research in this area is undertaken by means that are almost exclusively applied to the natural sciences, such as mathematics or physics. Although the reasons seem manifold, an increased form of scientificity, in conjunction with greater credibility of the research process and results, is deemed to be of primary importance. However, the benchmark for evaluating these research outcomes differs from those used in the natural sciences. From the example of the efficient market hypothesis one can see that alternative research results that cast serious doubt upon efficiency per se are disregarded as aberrations, leading to the assumption that the hypothesis in its entirety is more or less valid. This study assumes that inefficiencies in the stock market do exist for prolonged periods of time and investors are actually able to benefit from them. HOW WAS IT DONE? Secondary financial statement data of listed companies in the United Kingdom and Germany were downloaded from Datastream for the period between 1992 and 2010. A quantitative analysis of the significance of the correlation between groups of firms with similar financial characteristics and their one-year-ahead stock returns was subsequently performed. Various combination methods for differential weighting of individual financial statement items were conducted. The aim was to increase the profitability of the investment strategy. WHAT WAS FOUND? In general, a classification of stocks according to certain internal criteria of financial health is capable of separating future winners from losers and at the same time confirms the results of a previous US study. More specifically, we first show that a wide range of combination methods generate profitable investment strategies whereby especially measures of profitability are the central indicator of a firm s future performance. Secondly, the more complex methods neither consistently nor substantively outperform the simpler methods. Thirdly, information uncertainty does not seem to be the prime driver of the profitability of an investment strategy. Lastly, we show that financial health investment strategies are profitable both in market-oriented, common law settings and in bank-oriented, code law settings.
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Uribe, Gil Jorge Mario. "Essays on Risk and Uncertainty in Economics and Finance." Doctoral thesis, Universitat de Barcelona, 2018. http://hdl.handle.net/10803/463071.
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This thesis 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”, I study the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market. I 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”, I propose a new index for measuring stock market uncertainty on a daily basis. 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, I analyze the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others.
In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?”, I 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, I provide a new simple tool for measuring the resilience of financial institutions to these systemic shocks. My contribution to the literature in this essay is mainly the examination of 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 new to the literature and 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”, I analyze downside risk propagation across global currency markets and the ways in which it is related to liquidity. I make two primary contributions to the literature. First, I estimate tail-spillovers between currencies in the global FX market. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, I 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 essay 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. I focus the analysis carried out in this chapter 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. I documented 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.En esta tesis se exploran formas óptimas de medir la incertidumbre macroeconómica y sus impactos sobre la actividad económica y los mercados financieros; así como la propagación internacional del riesgo en los mercados de acciones y de divisas. En el primer capítulo de la tesis se muestra que los retornos de las estrategias de inversión basadas en extrapolar los ganadores y perdedores recientes en el mercado, con el fin de decidir en que títulos invertir en el futuro (momentum), son susceptibles al nivel de incertidumbre registrado en la economía. Cuando la incertidumbre es alta, este tipo de inversiones se vuelven sumamente riesgosas y poco rentables, y por tanto no son recomendables. En el segundo capítulo de la tesis se propone un índice de incertidumbre construido con retornos diarios del mercados de acciones, el cual presenta mejores propiedades que otras alternativas en la literatura. Se utiliza este índice para mostrar las dinámicas macroeconómicas que siguen a un choque de incertidumbre, las cuales son examinadas a la luz de la literatura teórica al respecto. En el tercer capítulo de la tesis se examinan la propagación de la incertidumbre y el riesgo sistémico a las entidades bancarias globales, se estima un modelo de riesgo sistémico que permite mostrar como la propagación del riesgo ha permanecido estable durante las últimas décadas, y además, permite ofrecer nuevas listas de instituciones financieras vulnerables ante los choques de naturaleza sistémica en el mercado, que complementan las que actualmente existen en la literatura y en la práctica regulatoria. En el cuarto capítulo de la tesis se propone un indicador de estabilidad financiera para el mercado de divisas. Tal indicador se basa en el análisis de los cuantiles de depreciación del mercado de divisas, que por definición son de mayor interés para los reguladores, en cuanto está relacionados con las posibilidades de crisis cambiarias. Las asimetrías en la propagación de choques internaciones que se registran durante las depreciaciones (en comparación con los periodos de apreciación) se analizan a la luz del factor de liquidez en el mercado. En el quinto y último capítulo se analiza el efecto choques provenientes del mercado de acciones de Estados Unidos, sobre 6 mercados maduros y seis mercados emergentes de Latino América. Se muestra que la propagación depende del momento en el que se encuentre el mercado al momento de registrarse el choque (al alza o a la baja) y se proponen estrategias de diversificación internacional de portafolios de activos financieros.
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Puigvert, Gutiérrez Josep Maria. "3-month Euribor expectations and uncertainty using option-implied probability densities." Doctoral thesis, Universitat de Barcelona, 2016. http://hdl.handle.net/10803/396136.
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The evolution of market interest rates is a key component of the trans-mission of monetary policy. Central Banks, market participants and monetary policy practitioners make use of the information contained in financial prices to better understand market interest rates develop-ments. Such a comprehensive and quantitative assessment might also be derived from option-implied probability density functions (PDFs), and in particular when applied to Euribor options, which constitute a natural complement to the existing financial market indicators.
A number of methods for constructing these option-implied PDFs have already been developed in the literature. In general, although these methods might differ in the extremes of the tails of the distribution, there is no major difference in the central section of the estimated option-implied PDFs. And, arguably it is the central section of the option-implied PDFs which is more likely to be useful for monetary policy purposes, in contrast to financial stability analysis, where there may be greater focus on the tails of the distribution. In particular, such option-implied PDFs have not been studied in detail during periods of financial crisis, where arguably they may be the most useful.
In general, the methods that have been used to construct and estimate implied densities are "risk-neutral". Hence, they are indifferent regarding the investor behaviour and do not include a risk premium component. Some authors have already extended these methods to create "real-world" option-implied PDFs which incorporate the investor behaviour and take into account the risk premium component. However, there is very little research analysing and comparing the differences between
these two densities in the Euribor market and, in particular, around episodes of crisis or monetary policy decisions.
By using anon-parametric technique, based on the Bliss and Panigirzoglou methodology, this thesis presents an analysis of PDFs for Euribor outturns in three months’ time, using ”risk-neutral” and ”real-world” option-implied PDFs. This type of analysis allows us to reveal typical market reactions which could be potentially used by central banks as a complement to the already existing tools that allow them to take monetary policy decisions.
* A quantitative mirror on the Euribor market using implied probability density functions. Puigvert-Gutiérrez J., de Vincent- Humphreys R. Eurasian Economic Review 2(1), 1-31, Spring 2012.
* Interest rate expectations and uncertainty during ECB Go- verning Council days: Evidence from intraday implied den- sities of 3-month Euribor. Vergote O., Puigvert-Gutiérrez J. Journal of Banking and Finance 36 (2012) 2804-2823.
* Interest rate forecasts, state price densities and risk premium from Euribor options. Ivanova V., Puigvert-Gutiérrez J. Journal of Banking and Finance 48 (2014) 210-223.
The first two articles above have been also published in the ECB Working Paper Series and were additionally peer-reviewed by two anonymous referees.L'evolució dels tipus d'interès de mercat és un dels components princi-pals del mecanisme de transmissió de la política monetària. Els bancs centrals, els participants del mercat i els professionals de la política monetària recorren a la informació continguda en els preus financers per entendre millor l'evolució dels tipus d'interès de mercat. També és possible obtenir una avaluació completa i quantitativa d' aquestes ca-racterístiques a través de les funcions de densitat de probabilitat (PDFs, per les seves sigles en anglès) implícita en opcions, en particular quan s'apliquen a opcions sobre l'Euribor, la qual cosa constitueix un com-plement natural dels indicadors del mercat financer existents. La literatura recull diversos mètodes per a construir aquestes PDFs implícita basades en opcions. En general, si bé els mètodes poden pre-sentar diferències als extrems de les cues de la distribució, no s' obser-ven diferències significatives a la secció central de les PDFs implícites basades en opcions calculades. I, precisament, es pot afirmar que la secció central de les PDFs implícita basades en opcions és la que pot ser més útil a efectes de la política monetària, al contrari del que passa amb l' anàlisi de l'estabilitat financera, que s' acostuma a fixar més en les cues de la distribució. Concretament, aquestes PDFs implícita basades en opcions no s'han estudiat a fons durant períodes de crisi financera, que és precisament quan podrien resultar més útils. En general, els mètodes que s'han emprat per construir i calcular densitats implícites són «neutrals al risc». Per tant, són indiferents al comportament dels inversors i no inclouen el component de la prima de risc. Alguns autors ja han ampliat aquests mètodes, la qual cosa ha donat lloc a PDFs implícita basades en opcions “de condicions reals”, que incorporen el comportament dels inversors i tenen en compte el component de la prima de risc. No obstant això, hi ha molts pocs estudis que analitzin i comparin les diferències entre aquestes dues densitats en el mercat de l’Euribor i, en particular, en relació amb episodis de crisi o decisions de política monetària. En recórrer a una tècnica no paramètrica, basada en la metodologia de Bliss i Panigirzoglou, aquesta tesi presenta un anàlisi de PDFs per als resultats de l’Euribor a tres mesos, a partir de PDFs implícita basades en opcions “neutrals al risc” i “de condicions reals”. Un anàlisi d’aquestes característiques permet posar de manifest reaccions típiques dels mercats, que els bancs centrals podrien emprar com a complement de les eines de les quals ja disposen per prendre decisions de política monetària. Aquesta tesi consta dels tres articles següents, publicats en revistes internacionals arbitrades: * A quantitative mirror on the Euribor market using implied probability density functions. Puigvert-Gutiérrez J., de Vincent- Humphreys R. Eurasian Economic Review 2(1), 1-31. * Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month Euribor. Vergote O., Puigvert-Gutiérrez J. Jour- nal of Banking and Finance 36 (2012) 2804-2823. * Interest rate forecasts, state price densities and risk premium from Euribor options. Ivanova V., Puigvert-Gutiérrez J. Journal of Banking and Finance 48 (2014) 210-223. Els dos primers s’han publicat també a la ECB Working Paper Series i van ser revisats, a més, per dos avaluadors anònims.
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Jobert, Arnaud. "Uncertainty, incompleteness and risks in financial markets." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613732.
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Hasse, Jean-Baptiste. "Complexity in financial markets : networks, uncertainty and globalization." Thesis, Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLE036.
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Cette thèse, articulée en trois chapitres, a pour objet d'étudier les interdépendances structurelles entre différents marchés financiers. Dans le Chapitre 1, nous étudions l'architecture des interdépendances entre les principaux marchés européens. En modélisant ces interdépendances par des réseaux dynamiques, nous proposons une nouvelle méthodologie permettant de mesurer, en fonction du temps, les liens directs et indirects reliant chaque paire d'élément au sein d'un système donné. Cette mesure topologique permet d'évaluer la hiérarchie d'un système et son niveau d'organisation, constituant ainsi un proxy de complexité. Notre indice s'appuie sur la définition de la complexité de Simon qui lie la complexité d'un système à son niveau d'organisation hiérarchique. Nous validons la pertinence de notre indice en étudiant empiriquement le lien entre complexité et incertitude. Dans le Chapitre 2, nous étudions l'impact de la globalisation sur l'économie, comme un accroissement des interdépendances dans un panel dynamique de 94 pays, de 1970 à 2011. Notre contribution est d'estimer le seuil endogénéisé de globalisation sur un panel dynamique. Enfin, nous étudions le rôle de l'incertitude économique sur le marché de la dette souveraine: le Chapitre 3 expose l'impact de l'incertitude économique sur le niveau des taux souverains au sein de la zone Euro. Ainsi cette thèse étudie le rôle de la complexité et de l'incertitude sur la structure des interdépendances financièresThis PhD dissertation is divided in three chapters, its purpose is to study structural interdependencies between different financial markets. In the Chapter 1, we investigate the architecture of interdependencies between the main European stock markets. Modeling interdependencies as networks, we propose a new methodology allowing to capture the time-varying the role of direct and indirect links between each pair of elements in a given system. This topologic measure asses the hierarchy in a system and its level of organization, constituting so far a proxy of complexity. Our index is based on Simon's definition of complexity: the level of complexity in a given system is related to its level of hierarchical organization. We empirically test our measure of complexity linking its levels with economic uncertainty in Eurozone. In the Chapter 2, we study the impact of globalization on the economy, as an increase of interdependencies in a dynamic panel of 94 countries from 1970 to 2011. our contribution is to estimate an endogeneous threshold of globalization in a dynamic panel. Finally we investigate the role of economic uncertainty on the Eurozone sovereign bond market: the Chapter 3 study the impact of uncertainty on the levels of sovereign yields. To sum up, this PhD dissertation reports our work about the role of complexity and uncertainty on the structure of financial interdependencies
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Lin, Pei-Ta. "Strategic uncertainty in capital markets." Thesis, Queensland University of Technology, 2017. https://eprints.qut.edu.au/104122/1/Pei-Ta_Lin_Thesis.pdf.
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This thesis advances our understanding of financial markets from a game-theoretical perspective. Using tools from auction theory (mechanism design), I show how financial market anomalies arise from the strategic interactions between market speculators in the IPO and short selling markets. In doing so, I highlight how seemingly irrational market phenomena have rational microeconomic foundations and highlight how market designs can inadvertently promote speculative trading behaviours.
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Beißner, Patrick [Verfasser]. "Microeconomic theory of financial markets under volatility uncertainty / Patrick Beißner." Bielefeld : Universitätsbibliothek Bielefeld, 2013. http://d-nb.info/1053467524/34.
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Watugala, Sumudu Weerakoon. "Essays on interconnected markets." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:50c12fb0-a354-40bb-9d07-9174ad1f594a.
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This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.
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Westphal, Dorothee [Verfasser]. "Model Uncertainty and Expert Opinions in Continuous-Time Financial Markets / Dorothee Westphal." München : Verlag Dr. Hut, 2019. http://d-nb.info/1202169570/34.
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Westphal, Dorothee [Verfasser], and Jörn [Akademischer Betreuer] Sass. "Model Uncertainty and Expert Opinions in Continuous-Time Financial Markets / Dorothee Westphal ; Betreuer: Jörn Sass." Kaiserslautern : Technische Universität Kaiserslautern, 2019. http://d-nb.info/120204039X/34.
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Westphal, Dorothee Verfasser], and Jörn [Akademischer Betreuer] [Sass. "Model Uncertainty and Expert Opinions in Continuous-Time Financial Markets / Dorothee Westphal ; Betreuer: Jörn Sass." Kaiserslautern : Technische Universität Kaiserslautern, 2019. http://d-nb.info/120204039X/34.
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Tillmann, Peter. "Uncertainty and the stability of financial markets in open economies : empirical evidence from regime-switching models /." Aachen : Shaker, 2003. http://www.gbv.de/dms/zbw/369153375.pdf.
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Nguyen, Thanh Binh [Verfasser], and Gabriel [Akademischer Betreuer] Lee. "The Impact of Economic Uncertainty on Housing, Labor and Financial Markets / Binh Nguyen Thanh ; Betreuer: Gabriel Lee." Regensburg : Universitätsbibliothek Regensburg, 2017. http://d-nb.info/1139170589/34.
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Rengel, Malte [Verfasser]. "An Analysis of Long-Term Influences on Financial Markets, Uncertainty and the Sustainability of Fiscal Balances / Malte Rengel." Kiel : Universitätsbibliothek Kiel, 2015. http://d-nb.info/1065232853/34.
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Tillmann, Peter [Verfasser]. "Uncertainty and the Stability of Financial Markets in Open Economies : Empirical Evidence From Regime-Switching Models / Peter Tillmann." Aachen : Shaker, 2003. http://d-nb.info/1172613761/34.
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Nybrant, Arvid, and Henrik Rundberg. "Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.
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Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. In this paper, we evaluate the use of the GARCH(1,1)-, EGARCH(1,1)- and the APARCH(1,1) model for estimation of this measure under the assumption that the conditional error distribution is normally-, t-, skewed t- and NIG-distributed respectively. For each model, the 95% and 99% one-day Value at Risk is computed using rolling out-of-sample forecasts for three equity indices. These forecasts are evaluated with Kupiec´s test for unconditional coverage test and Christoffersen’s test for conditional coverage. The results imply that the models generally perform well. The APARCH(1,1) model seems to be the most robust model. However, the GARCH(1,1) and the EGARCH(1,1) models also provide accurate predictions. The results indicate that the assumption of conditional distribution matters more for 99% than 95% Value at Risk. Generally, a leptokurtic distribution appears to be a sound choice for the conditional distribution.
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Straznicka, Katerina. "Laboratory investigation of asset market efficiency : 3 essays." Thesis, Lyon 2, 2011. http://www.theses.fr/2011LYO22030/document.
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Cette thèse contient trois essais expérimentaux étudiant les causes possibles de l’inefficience des marchés des actifs. L’efficacité des marchés financiers est cruciale pour une bonne performance de l’économie dans son ensemble. La recherche en finance comportementale a montré que les investisseurs ne se comportent pas toujours de manière parfaitement rationnelle. Il est donc important de bien comprendre comment les individus créent leurs croyances concernant les décisions financières, ce qui les influence, comment elles affectent les marchés financiers, et donc l’efficacité des marchés.Les croyances individuelles relatives à une décision financière sont influencées par la façon dont les actifs sont déterminés. Le premier essai étudie l’impact du degré d’asymétrie des actifs échangés sur : premièrement, le développement du marché global, deuxièmement, la façon dont les individus perçoivent les actifs risqués en fonction de leurs préférences de risque, et troisièmement, la stabilité de la perception du risque de ces actifs dans le temps. Nos résultats suggèrent que l’asymétrie des actifs n’influence que marginalement le développement du marché, mais a un effet direct sur la perception du risque. Les décisions des agents qui interagissent sur les marchés financiers sont influencées par leurs préférences, leurs traits de personnalité et leurs biais comportementaux. Nous supposons que le profil personnel influe aussi bien sur le comportement individuel sur le marché, tels que l’activité d’échange, l’accumulation de stock et la performance, que sur le développement du marché global, comme la dynamique du prix ou le nombre d’actifs échangés. C’est l’objectif du deuxième essai. Nous constatons que les traits de personnalité sont les meilleurs prédicateurs de comportement du marché, à la fois individuel et global. Le troisième essai examine l’impact des incitations concurrentielles sur l’augmentation des anomalies de marché. Dans ce cas, allonger l’échelle de temps sur laquelle les comparaisons des performances sont basées, contribue-t-il à améliorer l’efficience des marchés financiers ? Nous constatons que le bonus à l’échelle de temps étendue aidera à réduire les anomalies du marché et à améliorer l’efficacité du marché financierThis thesis contains three essays that focus on asset market inefficiency using the experimental method. Financial market efficiency is crucial for good performance of the economy as a whole. Research in behavioral finance has shown that investors do not always behave fully rationally and systematically violate the assumptions of the traditional framework. It is therefore important to fully understand how individuals create their expectations regarding financial decisions, what influences them, how they affect the global market, and therefore financial market efficiency.Individual expectations about a financial decision are influenced by the manner assets are determined. The first essay investigates the impact of skewness of traded assets on first, aggregate market development, second, the way individuals perceive risky assets according to their risk preferences, and third, the stability of the assets’ risk perception in time. Our results suggest that assets’ skewness influences only marginally the asset market development, but directly effects the individual risk perception.Agents interacting in financial markets are not fully rational. Their decisions are influenced by their preferences, personality traits and the degree they are prone to behavioral biases. We suppose that the personal profile influences individual market behavior, such as trading activity, stock accumulation and performance, and also the aggregate market development, such as price dynamic or turnover of traded assets. This is the objective of the second essay. We find that the personality traits are the best predictors of both individual and aggregate market behavior.The third essay examines whether competitive incentives do contribute to the increase of mispricing in financial markets. If they do, does the extended time horizon of performance comparison help to improve the control against excessive risk-taking and therefore improve financial market efficiency. We find that the bonuses with extended time horizon help to diminish mispricing and improve the financial market efficiency
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Arnpoful, Johnson. "'How Successful was the South African Reserve Bank in Making Monetary Policy Predictable and Transparent?'." University of Western Cape, 2004. http://hdl.handle.net/11394/7461.
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Masters of CommerceThis paper uses 3 - month and 12 - month market Negotiable Certificates of ( I . Deposit (NCO) rates to test whether greater transparency by the South African Reserve Bank has reduced expectational errors in the money markets. It does so by comparing the relative differences (between the implied forward rates-as indicators of expected future spot rates-and the actual 'future'spot rates) between the period before greater transparency and the period after greater transparency. Empirical evidence for the sample period indicates that greater ransparency by the South African Reserve Bank co-incided with reduced expectational errors in the money markets. Thus, the implied forward rates after greater transparency may well have been better predictors of future spot rates than before greater transparency, although causality has not been proved.
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Kunze, Frederik [Verfasser], Kilian [Akademischer Betreuer] Bizer, Markus [Gutachter] Spiwoks, and Jan [Gutachter] Muntermann. "Decision-making, uncertainty and the predictability of financial markets: Essays on interest rates, crude oil prices and exchange rates / Frederik Kunze ; Gutachter: Markus Spiwoks, Jan Muntermann ; Betreuer: Kilian Bizer." Göttingen : Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2018. http://d-nb.info/1160086273/34.
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Kunze, Frederik Verfasser], Kilian [Akademischer Betreuer] [Bizer, Markus [Gutachter] Spiwoks, and Jan [Gutachter] Muntermann. "Decision-making, uncertainty and the predictability of financial markets: Essays on interest rates, crude oil prices and exchange rates / Frederik Kunze ; Gutachter: Markus Spiwoks, Jan Muntermann ; Betreuer: Kilian Bizer." Göttingen : Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2018. http://nbn-resolving.de/urn:nbn:de:gbv:7-11858/00-1735-0000-002E-E3F5-5-4.
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Frugier, Alain. "Le sentiment de marché : mesure et interêt pour la gestion d'actifs." Phd thesis, Université d'Auvergne - Clermont-Ferrand I, 2011. http://tel.archives-ouvertes.fr/tel-01060377.
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La rationalité parfaite des investisseurs, base de l'hypothèse d'efficience desmarchés, est de plus en plus discutée. Ceci a conduit au développement de la financecomportementale. Le sentiment de marché, qui en est issu, est l'objet de cette étude.Après l'avoir mis en relation avec la rationalité et défini, ses modes de mesure courantset une évaluation de leur capacité à anticiper les rentabilités sont présentés. Ensuite, autravers de deux recherches largement indépendantes, nous (1) montrons de manièreempirique, essentiellement à partir de modèles multi-agents et d'une modélisation del'impact des chocs d'information sur la distribution des rentabilités, que les skewness etkurtosis de la distribution des rentabilités peuvent être utilisés comme indicateurs dusentiment de marché ; (2) mettons en évidence la présence de mémoire sur de nombreuxindicateurs de sentiment, ce qui invalide les modalités habituelles de leur utilisation,dans le cadre de stratégies contrarian.
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(9811184), Galina Korotkikh. "A computational approach in dealing with uncertainty of financial markets." Thesis, 2002. https://figshare.com/articles/thesis/A_computational_approach_in_dealing_with_uncertainty_of_financial_markets/21723323.
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Financial markets play a very important role in our life. During last decades a substantial progress has been made in their understanding. A main result of these developments is the change from random walk models to models that view the financial market as a complex dynamical system. Recently, it is discovered that financial markets have non-random modes.
Non-random modes are significant in dealing with uncertainty of financial markets. However, understanding of non-random modes is limited and there is no fundamental theory about them in general. Currently, intensive investigations are underway to change the situation. A contribution to the solution of these problems is made in the thesis. In particular, a computational approach to characterise and quantify non-random modes of the financial market is developed. The development is realised to a stage where the approach may be tested and used for real data of financial markets.
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Vakrman, Tomáš. "Google searches and financial markets: IPOs and uncertainty." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-339133.
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This thesis studies how the investor attention proxied by Google search volume affects different aspects of market behavior. My results show that a surge in online attention is associated with an increase in trading activity and stock price volatility, but no effect is detected for daily returns. Yet, if market sentiment is taken into account, the relationship comes to the surface for returns as well. The returns tend to decrease with attention hikes in negative sentiment periods and the opposite is observed for periods of positive sentiment, suggesting that Google web search captures predominately attention of sentiment investors. Moreover, I demonstrate that with the outburst of financial crisis, the interdependence between attention and trading activity was intensified. Lastly, I provide evidence that web search may shed some light on IPO-related puzzles. The initial returns seem to be higher for IPOs that receive above average attention, and are likely to be reversed in long-term. In addition, it is ascertained that web search volume may act as a proxy for market overreaction to the offerings. Powered by TCPDF (www.tcpdf.org)
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Chen, Wei-Han, and 陳韋翰. "Macroeconomic Uncertainty,Correlations between Global Financial Markets, and Portfolio Strategies." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/77225734750002538072.
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碩士國立臺灣科技大學
財務金融研究所
99
Abstract This research exams how uncertainty in macroeconomic uncertainty measures relate to correlations between different financial markets regarding stocks and bonds. We use indices from MSCI and JP Morgan, and macroeconomic indicators from G7 and BRIC countries ranging from 2002 to 2010. Vector error correction model (VECM) is employed to examine whether correlations between developed and emerging market indices is related to uncertainty in macroeconomic variables. Empirical results indicate that uncertainty measures in inflation and industrial output have different relationship with correlations between markets. For portfolio manager simply focusing on developed markets, diversification would not be meaningful in times of rising macroeconomic uncertainty. For assets allocated across developed and emerging stock markets, or across emerging stock and bond markets, rising inflation uncertainty would indicate better efficiency for diversification, while rising uncertainty in industrial output would not. We may conclude that the result give portfolio managers some guideline in asset allocation strategies during changes in macroeconomic uncertainty, and that diversification might not always be useful unless do it “in the right way.”
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Huang, Shih-yun, and 黄詩芸. "Macroeconomic Uncertainty, Correlations between Different Financial Markets, and Three-Asset Allocation Strategies." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/36740665277950338634.
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碩士國立臺灣科技大學
財務金融研究所
101
This study is aimed to investigate whether there is a relationship between correlations in different financial markets and macroeconomic uncertainty factors, regarding three-asset allocation strategies. We apply the monthly data of inflation, industrial production and the VIX Index to be the proxies of the macroeconomic uncertainties. Our data samples include the G7 and emerging Asian countries from 2004 to 2011. Furthermore, the vector error correction model (VECM) is used to examine the effects of uncertainty in macroeconomic variables on correlations between the G7 and emerging Asia indices. Our results show that correlations of six portfolios are significantly affected by different macroeconomic variables. In summary, in developed countries, changes in the correlations are positively related to changes in industrial production uncertainty; and for World Stock Portfolio, changes in emerging markets inflation uncertainty, changes in industrial production uncertainty of developed and emerging markets and changes in the VIX Index are significantly associated with correlations between developed and emerging Asia stocks markets. We conclude that investors and asset managers can benefit from diversifying into different financial markets and asset classes.
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DYMSKI, GARY ARTHUR. "ON THE ROLE OF UNCERTAINTY AND ILLIQUIDITY IN FINANCIAL MARKETS: POSTWAR BANKING INNOVATION IN THE UNITED STATES." 1987. https://scholarworks.umass.edu/dissertations/AAI8727042.
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This thesis develops a microeconomic and financial-markets analysis of innovations in liability instruments by U.S. banking firms in the 1960-1985 period. At the microeconomic level, innovations are conceptualized as arising from either situation of opportunity or adversity on the part of banking firms. There is particular attention to the problem of banking-firm adversity, which occurs when banking firms with illiquid balance-sheets due to maturity-transformation confront unanticipatedly high interest-rate outcomes in segmented borrowing markets. Econometric evidence is produced which supports the notion of banking-firm adversity as an element of banks' loan-market behavior. An asset-substitution model of financial markets is developed which explicitly incorporates bank illiquidity and market segmentation; this model is capable of producing the interest rate "spikes" which have often spurred bank innovation in the past 25 years.
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Kunze, Frederik. "Decision-making, uncertainty and the predictability of financial markets: Essays on interest rates, crude oil prices and exchange rates." Doctoral thesis, 2018. http://hdl.handle.net/11858/00-1735-0000-002E-E3F5-5.
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Malska, Joanna. "Does financial volatility help in explaining and predicting economic activity?" Master's thesis, 2017. http://hdl.handle.net/10362/26210.
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Driven by the difficulty to predict the last financial crisis and possible distortion of predictive power of the conventional financial indicators on economic activity, this thesis provides in-sample and out-of-sample analyses whether financial volatility helps in explaining and forecasting economic activity. Several measures of financial volatility were constructed, such as: realized volatility, volatility following a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process, common long-run component of volatility estimated by Dynamic Factor Model, Principal Component Analysis and cyclical components of financial volatilities filtered out with Baxter-King filter. I find that statistically there are measures of financial volatility that help in explaining economic activity. Moreover, out-of-sample analysis suggests that the model with term-spread and volatility of financial volatility (volatility of value-weighted returns of market portfolio volatility) performs best in forecasting economic activity. The inclusion of a volatility measure reduces the noise in estimated probabilities of expansions and leads to the lowest number of uncertain periods, i.e. periods for which probability of recession is between 16.86% (percentage of recessions in the sample) and 50%, an event that in some studies is already considered as a recession. Thus, a certain financial volatility measure improves forecasts from the conventional financial indicators, especially during less volatile times. Moreover, the most parsimonious measure of volatility predicts business cycles best. On the other hand, industrial production growth seems to be barely affected by financial volatility measures, which tend to be a better predictor for the direction of the future path of the economy than the actual growth rate.