Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal最新文献_第6页

Stock Market Risk Premiums, Business Confidence and Consumer Confidence: Dynamic Effects and Variance Decomposition 股票市场风险溢价、企业信心和消费者信心:动态效应和方差分解

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-19 DOI: 10.2139/ssrn.2113835

V. Sum, Jack Chorlian

{"title":"Stock Market Risk Premiums, Business Confidence and Consumer Confidence: Dynamic Effects and Variance Decomposition","authors":"V. Sum, Jack Chorlian","doi":"10.2139/ssrn.2113835","DOIUrl":"https://doi.org/10.2139/ssrn.2113835","url":null,"abstract":"This study is to assess the dynamics effects of business confidence and consumer confidence on stock market risk premiums and to determine the relative importance of business confidence and consumer confidence in forecasting the variability of stock market risk premiums though a variance decomposition. The results show that the response of stock market risk premiums becomes positive immediately following the shocks to business confidence and consumer confidence. Based on the variance decomposition analysis, the variability of stock market risk premiums is 95% due to its own shock and the rest is due to the shocks to business confidence (1%) and consumer confidence (4%) for the 3-month horizon. For the 6-month horizon, the variability of stock market risk premiums is 93% due to its own shock, 2% due to business confidence shock and 5% due to consumer confidence shock. The forecast error of stock market risk premiums is 90% due to its own shock and the rest is due to the shocks to business confidence (4%) and consumer confidence (6%) for the 12-month horizon. The results from the OLS time-series regression show that business confidence and consumer confidence jointly explain around 7.42% of the variation of stock market risk premiums.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126614369","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: 9

All Risks Matter 一切险很重要

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-12 DOI: 10.2139/ssrn.2104345

Weiping Li, Tim Krehbiel

{"title":"All Risks Matter","authors":"Weiping Li, Tim Krehbiel","doi":"10.2139/ssrn.2104345","DOIUrl":"https://doi.org/10.2139/ssrn.2104345","url":null,"abstract":"We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov (2009) and correct the previous authors omission of certain components which contribute significantly to index option expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a mathematically complete description of the dynamic asset pricing for the system consisting of the index and the index's component stocks. Previous authors studying this exact stochastic structure, have neglected important elements which contribute to the index's total variance risk premium. We illustrate that an index's total variance risk premium is due not only to changes in index component's variance and changes in component's return correlations, but is also due to important interactions between component's variances, changes in component's variances; correlations among component's returns and changes in correlations. We identify the roles of the total risk components within an option pricing framework and provide empirical verification of the statistical significance of the previously omitted adapting correlations and interactive risks. Furthermore we establish the generalized Black-Scholes-Merton partial differential system in the presence of nontrivial and stochastic correlations. The unified treatment of the partial differential system identifies interactive risks affecting index option price which have been ignored before. We also introduce the quantified systemic risk indicator. We show that all risks are economically significant determinants of option prices.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"2020 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115983408","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

Impact of the Global Crisis on the Linkages between CAC 40 and Indexes from CEE Countries 全球危机对CAC 40与中东欧国家指数关联性的影响

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-07 DOI: 10.2139/ssrn.2102058

C. Nistor, Ramona Dumitriu, R. Stefanescu

引用次数: 3

Impulse Response Functions and Causality Test of Financial Stress and Stock Market Risk Premiums 金融压力与股票市场风险溢价的脉冲响应函数及因果检验

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-06 DOI: 10.2139/ssrn.2101572

V. Sum

{"title":"Impulse Response Functions and Causality Test of Financial Stress and Stock Market Risk Premiums","authors":"V. Sum","doi":"10.2139/ssrn.2101572","DOIUrl":"https://doi.org/10.2139/ssrn.2101572","url":null,"abstract":"Using the vector autoregressive (VAR) framework, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis Financial Stress Index and excess returns on the CRSP value-weighted index from 1994:2 to 2012:5 shows that market risk premiums become negative in the first, second and third, fourth and twelfth months following the financial stress shock. The degree of financial stress drops in the first, second, fourth, fifth, seventh, tenth months following risk premium shock. There is no observed feedback response from financial stress to market risk premium shock. The Granger causality test results show that financial stress Granger-causes market risk premiums to drop significantly, and there is no reverse causation recorded in this case. In addition, the time-series OLS regression analysis shows a statistically significant negative coefficient (b = -8.50; t = -9.20) when explanatory variable is the monthly changes in financial stress.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"234 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124734203","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: 9

'Crude Oil Price Velocity & Stock Market Ripple' - A Comparative Study of BSE with NYSE & LSE “原油价格波动与股市波动”——BSE与纽约证交所、伦敦证交所的比较研究

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-03 DOI: 10.2139/ssrn.2122258

K. Khanna, Nidhi Sharma

{"title":"'Crude Oil Price Velocity & Stock Market Ripple' - A Comparative Study of BSE with NYSE & LSE","authors":"K. Khanna, Nidhi Sharma","doi":"10.2139/ssrn.2122258","DOIUrl":"https://doi.org/10.2139/ssrn.2122258","url":null,"abstract":"In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affecting the global economy. Crude oil is an important raw material used for manufacturing many goods, so that an extraordinary increase in the price of oil is bound to warn the economy with inflationary tendencies. This paper has analyzed the performance or the reaction of the stock market towards the crude oil price change. For this purpose, this study has considered mainly three stock markets; New York Stock Exchange (NYSE), Bombay Stock Exchange (BSE) and London Stock Exchange (LSE); belongs to USA, India and UK respectively. In this study the researcher has established the relationship between those stock markets with their crude oil benchmarks, West Texas Intermediate (NYMX), MCX crude oil (Multi commodity exchange of India) and UK Brent Blend. The study further has a discussion about the relationship of OPEC benchmark and selected stock market with oil benchmarks. The study is based on the daily % changes in oil prices and % changes in daily market returns as per the stock market indices from 2008-09 to 2010-11.the result of study shows that there was the significant impact of crude oil changes on stock market returns up to the some extent. For analysis different statistical tests have been applied by using SPSS, Minitab and IBM Amos statistical software.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124695895","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: 9

The Long of it: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns 《长期投资:投资者情绪虚假预测异常回报的可能性》

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-01 DOI: 10.2139/ssrn.2103302

R. Stambaugh, Jianfeng Yu, Yu Yuan

引用次数: 147

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance 系统性流动性风险测度与流动性保险成本

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-01 DOI: 10.2139/ssrn.2125500

Tiago Severo

引用次数: 15

Effective Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies 可调用导数蒙特卡罗定价的有效无子模拟上界及对现有方法的各种改进

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-06-29 DOI: 10.2139/SSRN.2095988

M. Joshi, Rober Y. W. Tang

引用次数: 14

The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States 东盟股市表现与美国经济政策不确定性

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-06-25 DOI: 10.2139/SSRN.2091871

V. Sum

{"title":"The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States","authors":"V. Sum","doi":"10.2139/SSRN.2091871","DOIUrl":"https://doi.org/10.2139/SSRN.2091871","url":null,"abstract":"This study investigates the effect of the changes of economic policy uncertainty in the U.S. on the returns on stock markets of Indonesia, Malaysia, Philippines, Singapore and Thailand. The current study also examines how the stock market returns in the five countries respond to the changes in economic policy uncertainty in the U.S. The Granger causality tests are also performed to determine if the changes in economic policy uncertainty cause the returns on the five stock markets. The results, from analyzing monthly date from 1985:2 to 2012:2, show that the changes in economic policy uncertainty in the U.S. negatively affect the returns on the five ASEAN stock markets. Controlling for the effect of the U.S stock market, only Philippines coefficient becomes insignificant. The vector autoregression analyses show that returns on the five ASEAN stock markets negatively respond to the changes in economic policy uncertainty immediately. The Granger causality tests reveal that the changes in economic policy uncertainty in the U.S. causes the returns on the Singapore and Malaysia stock markets; the same cannot said for the case of Indonesia, Philippines and Thailand.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114420154","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: 57

Beyond the Carry Trade: Optimal Currency Portfolios 超越套利交易:最优货币投资组合

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-06-24 DOI: 10.2139/ssrn.2041460

Pedro Barroso, Pedro Santa-clara

引用次数: 153