Econometric Modeling: Capital Markets - Risk eJournal最新文献_第5页

Time to Build and Bond Risk Premia 时间建立和债券风险溢价

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-10-10 DOI: 10.2139/ssrn.3709118

Binbin Guo, F. Huang, Kai Li

引用次数: 3

SRSK - The Bloomberg Sovereign Risk Model 彭博主权风险模型

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-10-01 DOI: 10.2139/ssrn.3911338

Lili Cai, Harvey J. Stein

引用次数: 0

Resiliency: Cross-Venue Dynamics with Hawkes Processes 弹性:霍克斯过程的跨场地动态

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-09-16 DOI: 10.2139/ssrn.3711976

L. Pelizzon, Satchit Sagade, Katia Vozian

{"title":"Resiliency: Cross-Venue Dynamics with Hawkes Processes","authors":"L. Pelizzon, Satchit Sagade, Katia Vozian","doi":"10.2139/ssrn.3711976","DOIUrl":"https://doi.org/10.2139/ssrn.3711976","url":null,"abstract":"Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we investigate how resilient are trading venues in a high-frequency environment with cross-venue fragmented order flow. Employing a Hawkes process methodology on high-frequency data for FTSE 100 stocks on LSE, a traditional exchange, and on Chi-X, an alternative venue, we find that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity droughts on both venues disappear within less than one minute, the recovery is not lasting, as liquidity shocks spiral over the time dimension. Over half of the shocks on both venues are caused by spiralling. Liquidity shocks tend to spiral more on Chi-X than on LSE for large stocks suggesting that the liquidity supply on Chi-X is thinner than on LSE. Finally, a significant amount of liquidity shocks spill over cross-venue providing supporting evidence for the competition for order flow between LSE and Chi-X.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78558558","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

Fundamental Reasons for Exxonmobil's Expulsion from the Dow Jones Industrial Average on Aug 31, 2020: Lessons and Implications for the Global Oil Market and Kazakhstan 埃克森美孚于2020年8月31日被道琼斯工业平均指数除名的根本原因:对全球石油市场和哈萨克斯坦的教训和影响

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-09-15 DOI: 10.2139/ssrn.3700733

Zhaksybek A. Kulekeyev, Yevgeniya Pak

引用次数: 0

Empirical Regularities in Stock Market Crashes 股票市场崩盘的经验规律

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-09-07 DOI: 10.2139/ssrn.3679630

Edward J. Egan

引用次数: 0

Corporate Social Responsibility and Credit Risk 企业社会责任与信用风险

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-09-03 DOI: 10.2139/ssrn.3686025

C. Bannier, Yannik Bofinger, Björn Rock

引用次数: 32

Structural Systemic Risk: Evolution and Main Drivers 结构性系统性风险:演变与主要驱动因素

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-09-02 DOI: 10.21314/jntf.2019.059

Nuno Azevedo, Vítor Oliveira

{"title":"Structural Systemic Risk: Evolution and Main Drivers","authors":"Nuno Azevedo, Vítor Oliveira","doi":"10.21314/jntf.2019.059","DOIUrl":"https://doi.org/10.21314/jntf.2019.059","url":null,"abstract":"This paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies. The methodology, known as network analysis, comprises direct (credit and liquidity risk) and indirect (concentration risk) contagion channels as well as other specificities that improve the methodologies exploited so far in the literature. Using a consolidated sample, which varies between 14 and 17 banks over the period 2007–17, we show that the structural systemic risk of the Portuguese banking system reduced between 2007 and 2017. Further, in line with most of the literature, this paper highlights that direct contagion is not significant compared with contagion that stems from banks’ common exposures to asset classes. Finally, this paper supports the role played by capital in mitigating structural systemic risk, and the model behind the analysis can be used to perform stress tests with a macroprudential dimension as well as to calibrate structural capital buffers such as the other systemically important institutions and systemic risk buffers.<br>","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81826004","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

Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework 欧洲货币联盟主权债务市场的监管变化和长期关系:对未来政策框架的影响

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3758499

Erdinç Akyıldırım, S. Corbet, D. K. Nguyen, A. Şensoy

{"title":"Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework","authors":"Erdinç Akyıldırım, S. Corbet, D. K. Nguyen, A. Şensoy","doi":"10.2139/ssrn.3758499","DOIUrl":"https://doi.org/10.2139/ssrn.3758499","url":null,"abstract":"Abstract We estimate the time-varying long-run correlations of European sovereign bond markets to identify specific effects that are attributed to changing European regulatory and political dynamics over the last twenty years. Our empirical results from using the DCC-MIDAS methodology indicate that regulatory changes in Europe have created significant and negative impact on the long-run correlations within the month where the regulation is decided to be taken into action. This impact still remains in the following months and robust with respect to the trend component of the long-run correlations. A direct implication is that the more regulations the EU attempts to put in place, the lower the long-run convergence process of sovereign bond markets is. We then analyse the structural shifts in the long-run correlation dynamics with penalized contrasts methodology and try to find out the reasons of these severe changes. Accordingly, some of the structural shifts overlap with the dates of a limited number of regulatory changes, in addition to the major global economic and political events.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85040139","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

Dynamic Movement of Indonesian Stock Exchanges: Analysis of Global Stock Exchanges and Macroeconomic Variables 印尼证券交易所的动态变动:全球证券交易所与宏观经济变量分析

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-08-08 DOI: 10.2139/ssrn.3669773

Endri Endri

{"title":"Dynamic Movement of Indonesian Stock Exchanges: Analysis of Global Stock Exchanges and Macroeconomic Variables","authors":"Endri Endri","doi":"10.2139/ssrn.3669773","DOIUrl":"https://doi.org/10.2139/ssrn.3669773","url":null,"abstract":"This study aims to study the effect of global markets and macroeconomics on joint stock price movements. This research was conducted at the Indonesia Stock Exchange with the period 2014-2018. The model used in this study uses the VAR/VECM method with the results of the DJIA Variable there is a significant influence on the movement of the CSPI, this means that an increase in the Dow Jones index will have an effect on increasing the value of the CSPI. Significantly, there was no influence between the NIKKEI225 variable on the movement of the CSPI because t-statistics were greater than t-tables at the coefficient level. The results of the STI index influence, the value of t-statistics in the short term the effect of the STI shows that the STI has a significant effect on the CSPI, this is indicated by t-statistics smaller than the t-table. Inflation research results, in the short term, there is a significant influence between inflation variables on the movement of the CSPI. BiRate has a significant influence on the CSPI with the t-statistic value in the short term is smaller than the t-table, meaning that in the short term the BiRate increase of 1% will affect the movement of the Composite Stock Price Index (CSPI). The t-statistic value in the short term variable USD/IDR exchange rate has a positive effect on the movement of the CSPI. This means that an increase in the exchange rate (IDR/USD) will have an effect on increasing the value of the CSPI and conversely a decrease in the exchange rate (IDR/USD) will have an effect of reducing the value of the CSPI.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89919993","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

A One-Factor Model of Corporate Bond Premia 公司债券溢价的单因素模型

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-08-07 DOI: 10.2139/ssrn.3669068

Redouane Elkamhi, Chanik Jo, Yoshio Nozawa

引用次数: 6