{"title":"Bank Risk Level and Bank Capital: The Case of the Indonesian Banking Sector","authors":"Muyanja-Ssenyonga Jameaba, D. Prabowo","doi":"10.2139/ssrn.2086234","DOIUrl":"https://doi.org/10.2139/ssrn.2086234","url":null,"abstract":"This article analyzes the relationship between the level of bank risk and equity in Indonesian commercial banks. The 3SLS technique was used in the analysis. The findings indicate the existence of negative relationship between bank risk and equity. Banks assets and the 1997 financial crisis, positively influence the level of bank risk. The level of exchange rate and bank foreign liquidity negatively influence bank equity level. Some of the implications of the research results are the existence of incentives for banks to invest in risky assets without increasing bank equity, showing noncompliance with prudential banking principles. Increased compliance with sound banking principles should be encouraged, augmenting bank capital, and enhancing control over bank involvement in transactions denominated in foreign currency.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122623506","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":"Structure and Price Efficiency of an Emerging Market","authors":"R. Jha, H. Nagarajan","doi":"10.2139/ssrn.2167156","DOIUrl":"https://doi.org/10.2139/ssrn.2167156","url":null,"abstract":"This paper examines market strudurc and efficiency of price transmittals in the two national stock exchanges of India: Bombay Stock Exchange and National Stock Exchange. Price movements in a large number of important stocks in both markets arc considered The framework used is the Johansen-Jusclius multtvariatc cointcgration technique. It is discovered that price movements within cadi market are cointcgratcd Short run ECM annhsis shows that no stodc in any market is exogenous thus indicating that there is considerable feedback in short run price movements from each stock. Some short run price movements arc stabilizing. The Bombay Stock Exchange and National Stock Exchange appear to be reasonably efficient markets.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124324209","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":"Has the Structural Break Slowed Down Growth Rates of Stock Markets?","authors":"P. Narayan, S. Narayan, Sagarika Mishra","doi":"10.2139/ssrn.2052115","DOIUrl":"https://doi.org/10.2139/ssrn.2052115","url":null,"abstract":"In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country‟s stock price series into sub-samples and investigate whether or not the structural break had slowed down the growth of stock markets. Our main findings are that when stock markets are modeled in a trivariate sense the common structural break turns out to be 1990:02, with the confidence interval including several episodes, such as the asset price bubble when housing prices and stock prices in Japan reached a peak in 1988/1989, the early 1990s recession in the UK, the business cycle peak of July 1990, the August 1990 Iraqi invasion of Kuwait and the March 1991 business cycle trough. Annual average growth rates suggest that the structural break has slowed down the growth rate of the US, UK and Japanese stock markets.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121057331","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":"Electronic Versus Open Outcry Markets: The Case of the Bund Futures Contract","authors":"Francis Breedon, Allison Holland","doi":"10.2139/ssrn.58143","DOIUrl":"https://doi.org/10.2139/ssrn.58143","url":null,"abstract":"The Bund (10 year German Government Bond) futures contract is the most actively traded bond contract in Europe; it is traded in both London (LIFFE) and Frankfurt (DTB) on open outcry and electronic trading platforms respectively. In an attempt to reconcile the conflicting results of earlier studies this paper evalutes the relative liquidity and price discovery roles of these two markets using data from 1995 Q2. The paper finds that this conflict is largely a product of the price data used. Using both transactions prices and quotes data (on a minute by minute basis), variable transaction costs, i.e. spreads, are found to be similar on both markets. There is some evidence to suggest that the order processing component of the spread is larger on LIFFE, but that the compensation required for adverse selection risk is greater on the DTB. Also, the contribution to price formation of each market is found to be similar; there is no clear leader/follower relationship. The main differences between the two markets are the larger trade size on the open outcry market and a tendency for trading to move toward the open outcry market during volatile periods.","PeriodicalId":242545,"journal":{"name":"ERN: Econometric Studies of Capital Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130712965","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}
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