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

{"title":"The Illusion of Oil Return Predictability: The Choice of Data Matters!","authors":"T. Conlon, J. Cotter, Emmanuel Eyiah-Donkor","doi":"10.2139/ssrn.3841507","DOIUrl":"https://doi.org/10.2139/ssrn.3841507","url":null,"abstract":"Previous studies document statistically significant evidence of crude oil return predictability by several forecasting variables. We suggest that this evidence is misleading and follows from the common use of within-month averages of daily oil prices in calculating returns used in predictive regressions. Averaging introduces a bias in the estimates of the first-order autocorrelation coefficient and variance of returns. Consequently, estimates of regression coefficients are inefficient and associated t-statistics are overstated, leading to false inference about the true extent of return predictability. On the contrary, using end-of-month data, we do not find convincing evidence for the predictability of oil returns. Our results highlight and provide a cautionary tale on how the choice of data could influence hypothesis testing for return predictability.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127296502","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}

{"title":"Estimating Time-Varying Networks With a State-Space Model","authors":"Shaowen Liu, M. Caporin, S. Paterlini","doi":"10.2139/ssrn.3748283","DOIUrl":"https://doi.org/10.2139/ssrn.3748283","url":null,"abstract":"We propose the use of state-space models (SSMs) to estimate dynamic spatial relationships from time series data. At each time step, the weight matrix, capturing the latent state, is updated by a spatial autoregressive model. Specifically, we consider two types of SSM: the first one calibrates the spatial model to a multivariate regression, while the second one updates the spatial matrix by leveraging the maximum likelihood (ML) estimation. Different filtering algorithms are proposed to estimate the state. The simulation results show that the first model performs robustly for all cases, while the performance of the second model is sensitive to the state dimension. In a real-world case study, we estimate the time-varying weight matrices with weekly credit default swap (CDS) data for 16 banks, and show that the methods can identify communities which are coherent with the country-driven partitions.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"159 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116155294","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}

{"title":"Rethinking Open- and Cross-Market Manipulation Enforcement","authors":"Joseph Zabel","doi":"10.2139/ssrn.3682103","DOIUrl":"https://doi.org/10.2139/ssrn.3682103","url":null,"abstract":"The modern stock market bears little resemblance to its form when the statutes designed to regulate it were first enacted. In the 21st Century, the market is almost entirely digital — replete with interconnected instruments and exchanges — spanning multiple jurisdictions and products. As recently as 1969, trades could take over a week to clear, now in the era of high-frequency trading, they are effectively instantaneous. With the influx of more exchanges and instruments which trade on those exchanges, transacting at dizzying speed and magnitude, new and more difficult-to-identify forms of market distortion have emerged. Chief among those forms of distortion is open-market manipulation. \u0000 \u0000Open-market manipulation — in which a trader uses facially legitimate trading methods in order to camouflage non-bona fide trades (including manipulations across markets and even in the cryptocurrency sphere) — has frustrated regulators and, in particular, prosecutors. Prosecutors and courts have struggled to fit open-market manipulation into an anachronistic statutory regime and particularly labored to prove the requisite criminal intent to manipulate in schemes comprised of facially valid trades. This failure of the law to match the conduct is exacerbated by the use of complex high-frequency trading algorithms. Since manipulative intent may often be embodied in the design of the trading algorithm itself, it presents a literal and figurative black box in certain cases. These difficulties are especially acute in the context of cross-market manipulation, where the manipulation is based on the interplay of two different markets. In terms of its negative effects, potential magnitude, and increasing frequency, open-market manipulation, and particularly cross-market manipulation, should be considered among the most volatile and dangerous forms of white-collar crime, and a priority for the Department of Justice and regulators alike. \u0000 \u0000This article first identifies where the critical issues in modern manipulation prosecution lie and the split among federal circuits regarding whether open-market manipulation is even a violation of the securities laws at all. The article then proposes solutions to these issues in the form of principles upon which regulators and judges should rely, as well as a statutory proposal to bring the regulatory landscape up to speed in an increasingly fast, complex and volatile digital trading world. In that vein, this article is the first to do several things. It is the first to provide an in-depth analysis of the distinct challenges involved in prosecuting open-market manipulation; it is also the first to demonstrate the particular pronounced difficulties necessarily involved in detecting, regulating, and prosecuting cross-market manipulation; finally, it is the first to propose a tangible statutory solution to the urgent issues involved in deterring and prosecuting these forms of manipulation.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131110880","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}

{"title":"Climate Sentiments in the Financial Sector: How Financial Markets, Policies and Regulations Generate Barriers and Opportunities to Align Portfolios to Sustainability","authors":"I. Monasterolo, N. Glas, Sabine Kunesch","doi":"10.2139/ssrn.3659459","DOIUrl":"https://doi.org/10.2139/ssrn.3659459","url":null,"abstract":"Investments are largely allocated to sectors of economic activities that are at odds with the climate targets, thus exposing countries’ economies and investors’ portfolios to the risk of carbon stranded assets. In this context, a main knowledge gap is represented by the poor understanding of financial actors’ perception of the climate-related financial risks and opportunities in the transition to a low-carbon economy, and of the barriers and enablers to manage climate-related financial risks in investors’ portfolios. We contribute to fill this knowledge gap by developing and applying a transdisciplinary approach to knowledge co-production engaging climate finance stakeholders (from public and private financial institutions, policy making, civil society and academia) in surveys, focus groups and dedicated workshops around main aspects of the climate finance debate, with a focus on Austria. Results show that climate-related financial risk understanding and perception are largely heterogeneous across financial actors. Lack of stable climate policies and regulations, of standardized sustainability scores of financial contracts, and of financial risk pricing tools represent main barriers to mainstream climate considerations in portfolios’ risk management. In contrast, role of disclosure, of policy coherence and social engagement contributes to overcome such barriers decreasing market uncertainty. These results are relevant for the implementation of the Austrian and European sustainable finance policy agenda, and for current debate on the alignment of COVID-19 recovery policies with the EU Green Deal agenda.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114164849","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}

{"title":"Price Discovery in Bitcoin: The Impact of Unregulated Markets","authors":"C. Alexander, Daniel F. Heck","doi":"10.2139/ssrn.3583843","DOIUrl":"https://doi.org/10.2139/ssrn.3583843","url":null,"abstract":"We analyse minute-level multi-dimensional information flows within and between bitcoin spot and derivatives. We show that perpetual swaps and futures traded on the unregulated exchanges Huobi, OKEx and BitMEX are much the strongest instruments for bitcoin price discovery and we examine potential determinants of their leadership strength. Prices on the regulated CME bitcoin futures and the US-based spot exchanges react to, rather than lead, price movements on the unregulated exchanges and they may do so relatively slowly. In a multi-dimensional setting including the main price leaders within futures, perpetuals and spot markets, the CME futures have a very minor effect on price discovery, even less than the spot exchanges Bitfinex, Bitstamp and Coinbase. Our findings highlight the persistent problems stemming from inconsistent regulation in bitcoin spot and derivatives markets, including insufficient price stability and lack of resistance to manipulative trading. We conclude that the SEC are correct to maintain such issues as their main concern for bitcoin ETF applications.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114918516","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}

{"title":"Forecasting Energy Price Volatilities and Correlations: New Evidence From Fractionally Integrated Multivariate Garch Models","authors":"M. Marchese, I. Kyriakou, M. Tamvakis, F. Di Iorio","doi":"10.2139/ssrn.3544242","DOIUrl":"https://doi.org/10.2139/ssrn.3544242","url":null,"abstract":"Energy price volatilities and correlations have been modeled extensively using short-memory multivariate GARCH models. This paper investigates the potential benefits from using multivariate fractionally integrated GARCH models from a forecasting and a risk management perspective. Several multivariate GARCH models for the spot returns on three major energy markets are compared. Our in-sample results show significant evidence of long-memory decay in energy price returns volatilities, leverage effects and time-varying auto-correlations. The one-step ahead forecasting performance of the models is assessed using several robust matrix loss functions by means of three approaches: the Superior Predictive Ability test, the Model Confidence Set and the Value-at-Risk. The results indicate that the multivariate models incorporating long-memory outperform the short-memory benchmarks in forecasting the conditional co-variance matrix and associated risk magnitudes.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115098773","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}

{"title":"Trading Transparency: At What Speed and Cost?","authors":"C. Jones, Anna M. Kurtz","doi":"10.2139/ssrn.3493167","DOIUrl":"https://doi.org/10.2139/ssrn.3493167","url":null,"abstract":"This paper summarizes the discussions that took place at a recent one-day listening conference on this and related questions hosted by Columbia Business School's Program for Financial Studies and sponsored by a grant from Norges Bank Investment Management under the Norwegian Finance Initiative (NFI). It was held on June 14, 2018 in New York. \u0000 \u0000The conference was structured as a series of panels that were moderated by academics and comprised regulators, researchers and market participants from the buy side and sell side. There were separate panels on the fixed income markets, equity markets, public versus private markets, technology and innovation, clearing and settlement, and regulation, and the discussions took place under Chatham House rules.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124070355","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}

{"title":"What Happens When Stocks are Added to the Reg. SHO Threshold Security List?","authors":"Ran Aroussi","doi":"10.2139/ssrn.3459351","DOIUrl":"https://doi.org/10.2139/ssrn.3459351","url":null,"abstract":"This research project aimed to discover what happens to stocks when they’re being admitted to the NASDAQ Regulation SHO threshold list. Does appearance on the list scare off potential buyers, driving prices lower and ushering a new bearish trend? Or, does it attract buyers, causing stocks to exhibit a mean-reverting behavior? Using the daily NASDAQ Regulation SHO (Reg SHO) threshold lists and daily stock price data from Yahoo! Finance, I set off to find that out.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114426666","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}

{"title":"Financial Technology Law: 'Understanding ICOs and the Legal Risks Surrounding Them and Developing a Legal Framework for Classification of Cryptoassets and Their Regulation'","authors":"Aayush Shukla","doi":"10.2139/ssrn.3466906","DOIUrl":"https://doi.org/10.2139/ssrn.3466906","url":null,"abstract":"The initiation of the fourth industrial revolution along with its correlated financial and technological innovations like cryptoassets in today’s financial markets, coupled with technological development and innovativeness, is bringing us closer to complete, total and true global interconnectedness. These cryptoasset markets although reasonably new, are evolving fast and furiously and have the potential to disrupt current financial markets and transform the future ones to come.<br><br>As a product of these financial and technological innovations, Initial Coin Offerings have emerged in which cryptoassets are issued with the aim of raising capital from investors, divergent from traditional venture capital systems. However, new questions pertaining to the regulatory perimeters and classification of cryptoassets for regulatory purposes remain somewhat unanswered.<br><br>In light of these circumstantial developments, this paper puts forth submissions proposing for the regulation of numerous cryptoassets which at present, remain unregulated, after analyzing and conducting a comparative study substantiating the differences between the US and UK regulatory architecture. Further, a new proposal for development of a framework for cryptoassets predominantly for regulatory purposes has been constructed. This is crucial because this sanctions the ability for the pertinent regulatory requirements and legislative rules to be clearly and readily identified, after having truly and correctly classified the cryptoasset involved.<br><br>Lastly, propositions and recommendations in regards with work to be carried out in the near future are put forth along with submissions advocating statutory and regulatory amendments to the currently existing legal architecture in place.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114909820","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}

{"title":"The Effects of Regulating Benchmarks","authors":"M. Aquilina, Andrea Pirrone","doi":"10.2139/ssrn.3409727","DOIUrl":"https://doi.org/10.2139/ssrn.3409727","url":null,"abstract":"Abstract In financial markets, dealers may take advantage of information asymmetries and extract a rent from buy-side traders. We show that an increase in the precision of a benchmark reduces noise in market prices and increases participation by overcoming traders’ and regulators’ inability to penalize dealers sufficiently.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"249 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125415267","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}