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ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)最新文献

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Intra-Daily Volatility Spillovers between the US and German Stock Markets 美国和德国股市日内波动溢出效应
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-05-05 DOI: 10.2139/ssrn.2066738
Vasyl Golosnoy, Bastian Gribisch, R. Liesenfeld
{"title":"Intra-Daily Volatility Spillovers between the US and German Stock Markets","authors":"Vasyl Golosnoy, Bastian Gribisch, R. Liesenfeld","doi":"10.2139/ssrn.2066738","DOIUrl":"https://doi.org/10.2139/ssrn.2066738","url":null,"abstract":"Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly accounts for three distinct intraday periods resulting from the non-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility spillovers from one intraday period to the next within both markets ('heat-wave effects') as well as across the two markets ('meteor-shower effects'). Furthermore, we find that during the subprime crisis the general persistence of short-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly larger than before the crisis, indicating substantial volatility contagion effects.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116793002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Tail Dependence in the US Banking Sector and Measures of Systemic Risk 美国银行业尾部依赖性与系统性风险测度
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-04-05 DOI: 10.2139/ssrn.2042194
E. Balla, Ibrahim Ergen, Marco Migueis
{"title":"Tail Dependence in the US Banking Sector and Measures of Systemic Risk","authors":"E. Balla, Ibrahim Ergen, Marco Migueis","doi":"10.2139/ssrn.2042194","DOIUrl":"https://doi.org/10.2139/ssrn.2042194","url":null,"abstract":"Tail dependence among international stock markets is widely studied using measures of extremal dependence. In this study, we investigate the extremal dependence among stock prices of US bank holding companies. We find they exhibit strong dependence even in their limiting joint extremes. Motivated by this result, we derive extremal dependence-based systemic risk measures. The proposed systemic risk measures capture downturns in US stock markets, and in particular the financial industry, very well. We also develop another set of extremal dependence-based measures to rank financial institutions based on their systemic interconnectedness. By means of regression analysis we show that interconnectedness measures can be used as indicators of vulnerability to financial crisis. Finally, we identify drivers of extremal dependence in the US banking industry. Similarity between banks on key financial variables increases the likelihood of banks being asymptotically dependent, and increases the strength of asymptotic dependence. We believe the proposed measures have the potential to inform the prudential supervision of systemically important firms which is an area of interest to supervisory policy makers.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"86 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130638569","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Macroeconomic Conditions, Volatility Components, and Term Structure of Implied Volatility: An Empirical Investigation 宏观经济条件、波动成分与隐含波动率期限结构:实证研究
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2023218
Qian Han
{"title":"Macroeconomic Conditions, Volatility Components, and Term Structure of Implied Volatility: An Empirical Investigation","authors":"Qian Han","doi":"10.2139/ssrn.2023218","DOIUrl":"https://doi.org/10.2139/ssrn.2023218","url":null,"abstract":"Using a Nelson-Siegel approach this article conducts an empirical study of the volatility components directly extracted from the observed implied volatility term structure. We show that (1) the long term volatility component can be explained by macroeconomic and financial variables; (2) a bivariate volatility-component option valuation model is sufficient for pricing options with different maturities; (3) the out-of-sample performance of the Nelson-Siegel model is better than Heston stochastic volatility model, GARCH (1,1) and ad hoc term structure models. The results provide empirical support for the emerging literature of component volatility models.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133924223","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The 'Smart Money' Effect: Retail versus Institutional Mutual Funds “聪明资金”效应:散户与机构共同基金
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-03-12 DOI: 10.2139/ssrn.2020365
Galla Salganik-Shoshan
{"title":"The 'Smart Money' Effect: Retail versus Institutional Mutual Funds","authors":"Galla Salganik-Shoshan","doi":"10.2139/ssrn.2020365","DOIUrl":"https://doi.org/10.2139/ssrn.2020365","url":null,"abstract":"Do sophisticated investors exhibit a stronger “smart money” effect than unsophisticated ones? In this paper, I examine whether fund selection ability of institutional mutual fund investors is better than that of retail mutual fund investors. In line with the studies of Gruber (1996), Zheng (1999), and Keswani and Stolin (2008), I find a smart money effect for investors of both institutional and retail mutual funds. Surprisingly, the results suggest that investors of institutional funds, with a higher representation of more sophisticated investors, do not demonstrate a better fund selection ability.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127998994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A Non-Traded REITs Primer 非交易REITs入门
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-03-01 DOI: 10.2139/SSRN.2049502
Tim Husson, C. McCann, Carmen Taveras
{"title":"A Non-Traded REITs Primer","authors":"Tim Husson, C. McCann, Carmen Taveras","doi":"10.2139/SSRN.2049502","DOIUrl":"https://doi.org/10.2139/SSRN.2049502","url":null,"abstract":"Despite the widespread reduction in U.S. real estate values over the past few years, the share prices of many non-traded REITs have remained at or near their initial offering levels, giving investors the illusory sense of low price volatility and preserved value. Somewhat belatedly, non-traded REITs have recently been the subject of increased regulatory scrutiny.In this paper we discuss the structure and features of non-traded REITs, highlighting the high fees and significant conflicts of interests that could lead to loss of shareholder value. We also examine the financial statements of non-traded REITs and highlight several aspects that may be cause for concern amongst investors. Finally, we discuss the potential unsuitability of non-traded REITs for retail investors, as well as the implications of our findings to the even less transparent private REIT market.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130899814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Are Out-of-Pocket Costs Overweighted Relative to Opportunity Costs? A Disposition Effect - Based Investigation 相对于机会成本，自付成本是否被高估了?基于处置效果的调查
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-01-15 DOI: 10.2139/ssrn.2022986
R. Chhabra, Sankar De
{"title":"Are Out-of-Pocket Costs Overweighted Relative to Opportunity Costs? A Disposition Effect - Based Investigation","authors":"R. Chhabra, Sankar De","doi":"10.2139/ssrn.2022986","DOIUrl":"https://doi.org/10.2139/ssrn.2022986","url":null,"abstract":"In theory out-of-pocket or actual costs and opportunity costs of a decision should be treated equivalently in the decision-making processes of an individual. Is this normative prescription observed in practice? Though this is a fundamentally important economic question, it has so far remained unsettled. In this paper we conduct formal tests to settle the question, using an innovative empirical methodology and a very large sample of trading and investment decisions of investors in Indian stock markets for our data. Our strategy involves comparing the behavioral biases the investors exhibit in two classes of decisions: selling stocks that they already own and repurchasing stocks that they held in the past but currently do not. The first set of decisions are driven by actual costs and gains and the second set by opportunity costs and gains. Our tests consistently show that that the disposition to sell stocks is stronger for the average investor than the disposition to repurchase stocks, suggesting that the investors overweight actual costs and gains relative to opportunity costs and gains. While both disposition biases lead to negative stock market outcomes for the investors after controlling for the effects of excessive trading and market movements, the average investor loses more from the disposition to sell than from the disposition to buy. We also find that more sophisticated, wealthy and skillful investors are less prone to both biases.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132901708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Aggregational Gaussianity and Barely Infinite Variance in Financial Returns 金融收益的聚集高斯性和几乎无限方差
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2011-09-28 DOI: 10.2139/ssrn.2120104
Antonios Antypas, P. Koundouri, Nikolaos C. Kourogenis
{"title":"Aggregational Gaussianity and Barely Infinite Variance in Financial Returns","authors":"Antonios Antypas, P. Koundouri, Nikolaos C. Kourogenis","doi":"10.2139/ssrn.2120104","DOIUrl":"https://doi.org/10.2139/ssrn.2120104","url":null,"abstract":"This paper aims at reconciling two apparently contradictory empirical regularities of financial returns, namely, the fact that the empirical distribution of returns tends to normality as the frequency of observation decreases (aggregational Gaussianity) combined with the fact that the conditional variance of high frequency returns seems to have a (fractional) unit root, in which case the unconditional variance is infinite. We provide evidence that aggregational Gaussianity and infinite variance can coexist, provided that all the moments of the unconditional distribution whose order is less than two exist. The latter characterizes the case of Integrated and Fractionally Integrated GARCH processes. Finally, we discuss testing for aggregational Gaussianity under barely infinite variance. Our empirical motivation derives from commodity prices and stock indices, while our results are relevant for financial returns in general.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116927600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Do Geographical Distance and Diversification Really Matter for a Bank’s Market Power? 地理距离和多元化真的对银行的市场力量有影响吗?
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2011-09-01 DOI: 10.2139/ssrn.2004230
M. Deglinnocenti, Giuseppe Torluccio
{"title":"Do Geographical Distance and Diversification Really Matter for a Bank’s Market Power?","authors":"M. Deglinnocenti, Giuseppe Torluccio","doi":"10.2139/ssrn.2004230","DOIUrl":"https://doi.org/10.2139/ssrn.2004230","url":null,"abstract":"Using a large sample of Italian banks over the period 2006-2009, this paper provides new evidence for the effect of the geographic distance between bank’s headquarters and its branches; and furthermore for firm’s characteristics, such as diversification strategies, risk exposure, ability to control the internal costs on competition and market’s characteristics, such as GDP, market share, and the number of foreign-owned branches. Working from the translog cost function, we employ the Lerner Index as a measurement of a bank’s market power. Our findings suggest that cost efficiency, geographical distance, and diversification strategies are crucial to explain differences in the monopoly market power. Focusing on the market characteristics, the Lerner Index seems to be related to the number of potential foreigner competitors, and finally by macroeconomic variables, such as the Gross Domestic Product (GDP).","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"22 17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124497914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Two Fundamental Theorems of Asset Pricing for a Class of Continuous Time Financial Markets 一类连续时间金融市场资产定价的两个基本定理
ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2011-07-27 DOI: 10.2139/ssrn.2042855
A. Lyasoff
{"title":"The Two Fundamental Theorems of Asset Pricing for a Class of Continuous Time Financial Markets","authors":"A. Lyasoff","doi":"10.2139/ssrn.2042855","DOIUrl":"https://doi.org/10.2139/ssrn.2042855","url":null,"abstract":"The paper is concerned with the first and the second fundamental theorems of asset pricing in the case of non-exploding financial markets, in which the excess-returns from risky securities represent continuous semimartingales with absolutely continuous predictable characteristics. For such markets, the notions of \"arbitrage'' and \"completeness'' are characterized as properties of the distribution law of the excess-returns. It is shown that any form of arbitrage is tantamount to guaranteed arbitrage, which leads to a somewhat stronger version of the first fundamental theorem. New proofs of the first and the second fundamental theorems, which rely exclusively on methods from stochastic analysis, are established.","PeriodicalId":103908,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127597083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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