Download or read book Modeling International Price Relationships and Interdependencies between EU Stock Index and Stock Index Futures Markets written by Gioia Pescetto and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past fifteen years, financial markets have become increasingly global. The gradual dismantling of regulatory barriers and the introduction of more advanced technology, particularly in data processing and telecommunications, have called for new market structures and practices. Asset and liability management has increasingly become a globally integrated function and the issuance of international securities is often used as a substitute for more traditional funding channels. These developments are to be welcomed in so far as the increased level of competition is expected to lead to a more efficient allocation of capital, both nationally and internationally, lower-cost financial services and new means of hedging risk. However, they also present a new regulatory challenge in securing financial stability. It was the 1987 world-wide stock market crash in particular which highlighted the inadequacies of a regulatory framework still largely based on old institutional divisions and national jurisdictions. In the globalized security markets, the main challenge for both investors and policy makers is to take advantage of and promote efficiency enhancing aspects of market interaction, while containing and controlling the undesirable destabilising effects.

Download or read book The International Price Transmission in Stock Index Futures Markets written by Jian Yang and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores dynamic price relationships among nine major stock index futures markets, combining an error correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets. The U.S. and the UK appear to share leadership roles in stock index futures markets. The UK and German markets rather than the US exert significant influences on most European markets, which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading.

Download or read book Intra Day Anomalies in the Relationship Between U S Futures and European Stock Indexes written by Alessandro Innocenti and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40, DAX-100, and FTSE 100). Data analysis shows that the well established positive correlation between futures and stock indexes extends to this specific cross-country case. The correlation is particularly strong in the opening and closing of the European markets, but decreases quickly and remarkably between 13:00 and 13:30 (CET time). This fall is interpreted as derived from the expected release of press communication from U.S. companies. While in U.S. futures traded volumes decrease until the announcements are made, in Europe the expectation of new information coming from U.S. affects indexes price sensitivity providing arbitrage opportunities, due to the imperfect international integration of financial markets.

Download or read book The Temporal Price Relationship Between S P 500 Futures Prices and the S P 500 Index written by Ira G. Kawaller and published by . This book was released on 1986 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investigating the Effect of the International Stock Indexes on the U S Stock Index Futures written by Zeliha Ilhan Ertuna and published by . This book was released on 2001 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The International Price and Volatility Relationships Between Emerging Stock Index and Stock Index Futures Markets written by Fahmi Abdul Rahim and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility and Autocorrelation in European Futures Markets written by Epameinondas Katsikas and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose- This paper seeks to investigate the relationship between volatility and autocorrelation in major European stock index futures markets.Design/methodology/approach- The methodology is based on the exponential autoregressive model with conditionally heteroskedastic errors (EAR-GARCH).Findings- The evidence points to a negative relationship between volatility and autocorrelation. Specifically, autocorrelation is low during volatile periods and high during calm periods. This evidence is in agreement with LeBaron's findings for US stock market returns, suggesting that return dynamics are similar across asset categories.Research limitations/implications- An obvious limitation of this study is the lack of a theoretical justification for the observed relationships in futures markets, an area where future research should be directed.Practical implications- The observed relationships suggest that futures prices are non-linearly predictable so that short-term trading could produce abnormal returns.Originality/value- The paper documents a negative relationship between volatility and autocorrelation in major European futures markets. This finding should be of interest to researchers and market participants.

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.

Download or read book Proceedings of the Seventh International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer Science & Business Media. This book was released on 2013-09-25 with total page 762 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings of the Seventh International Conference on Management Science and Engineering Management (ICMSEM2013) held from November 7 to 9, 2013 at Drexel University, Philadelphia, Pennsylvania, USA and organized by the International Society of Management Science and Engineering Management, Sichuan University (Chengdu, China) and Drexel University (Philadelphia, Pennsylvania, USA). The goals of the Conference are to foster international research collaborations in Management Science and Engineering Management as well as to provide a forum to present current research findings. The selected papers cover various areas in management science and engineering management, such as Decision Support Systems, Multi-Objective Decisions, Uncertain Decisions, Computational Mathematics, Information Systems, Logistics and Supply Chain Management, Relationship Management, Scheduling and Control, Data Warehousing and Data Mining, Electronic Commerce, Neural Networks, Stochastic Models and Simulation, Fuzzy Programming, Heuristics Algorithms, Risk Control, Organizational Behavior, Green Supply Chains, and Carbon Credits. The proceedings introduce readers to novel ideas on and different problem-solving methods in Management Science and Engineering Management. We selected excellent papers from all over the world, integrating their expertise and ideas in order to improve research on Management Science and Engineering Management.

Download or read book Europe s Hidden Capital Markets written by Jean-Pierre Casey and published by CEPS. This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.

Download or read book Learning in Non Stationary Environments written by Moamar Sayed-Mouchaweh and published by Springer Science & Business Media. This book was released on 2012-04-13 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent decades have seen rapid advances in automatization processes, supported by modern machines and computers. The result is significant increases in system complexity and state changes, information sources, the need for faster data handling and the integration of environmental influences. Intelligent systems, equipped with a taxonomy of data-driven system identification and machine learning algorithms, can handle these problems partially. Conventional learning algorithms in a batch off-line setting fail whenever dynamic changes of the process appear due to non-stationary environments and external influences. Learning in Non-Stationary Environments: Methods and Applications offers a wide-ranging, comprehensive review of recent developments and important methodologies in the field. The coverage focuses on dynamic learning in unsupervised problems, dynamic learning in supervised classification and dynamic learning in supervised regression problems. A later section is dedicated to applications in which dynamic learning methods serve as keystones for achieving models with high accuracy. Rather than rely on a mathematical theorem/proof style, the editors highlight numerous figures, tables, examples and applications, together with their explanations. This approach offers a useful basis for further investigation and fresh ideas and motivates and inspires newcomers to explore this promising and still emerging field of research.

Download or read book Modeling and Simulation in Engineering Economics and Management written by María Ángeles Fernández-Izquierdo and published by Springer. This book was released on 2013-06-01 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the refereed proceedings of the International Conference on Modeling and Simulation in Engineering, Economics, and Management, MS 2013, held in Castellón de la Plana, Spain, in June 2013. The event was co-organized by the AMSE Association and the SoGReS Research Group of the Jaume I University. This edition of the conference paid special attention to modeling and simulation in diverse fields of business management. The 28 full papers in this book were carefully reviewed and selected from 65 submissions. They are organized in topical sections on: modeling and simulation in CSR and sustainable development; modeling and simulation in finance and accounting; modeling and simulation in management and marketing; modeling and simulation in economics and politics; knowledge-based expert and decision support systems; and modeling and simulation in engineering.

Download or read book Data Analytics in System Engineering written by Radek Silhavy and published by Springer Nature. This book was released on with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Routledge Handbook of Energy Economics written by Uğur Soytaş and published by Routledge. This book was released on 2019-09-23 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: Energy consumption and production have major influences on the economy, environment, and society, but in return they are also influenced by how the economy is structured, how the social institutions work, and how the society deals with environmental degradation. The need for integrated assessment of the relationship between energy, economy, environment, and society is clear, and this handbook offers an in-depth review of all four pillars of the energy-economy-environment-society nexus. Bringing together contributions from all over the world, this handbook includes sections devoted to each of the four pillars. Moreover, as the financialization of commodity markets has made risk analysis more complicated and intriguing, the sections also cover energy commodity markets and their links to other financial and non-financial markets. In addition, econometric modeling and the forecasting of energy needs, as well as energy prices and volatilities, are also explored. Each part emphasizes the multidisciplinary nature of the energy economics field and from this perspective, chapters offer a review of models and methods used in the literature. The Routledge Handbook of Energy Economics will be of great interest to all those studying and researching in the area of energy economics. It offers guideline suggestions for policy makers as well as for future research.

Download or read book ESG Investment in the Global Economy written by Tadahiro Nakajima and published by Springer Nature. This book was released on 2021-07-28 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces environmental, social and governance (ESG) investment and clarifies its characteristics as financial securities. It is forecasted that companies’ ESG information will be reflected in their corporate value as much as their financial information is in the future. The special feature of this book is to reveal the characteristics and impact of ESG investment using various quantitative analyses (e.g. EGARCH, asymmetric DCC, copula, VaR, connectedness, dynamic spillover). This book focuses on the relationship between some ESG indexes and the other economic variables, particularly in light of the recent economic environment (e.g. Global Financial Crisis, COIVID-19 pandemic, crude oil price crash). Readers can grasp a larger picture of ESG investment through a survey of its history and current status, predictions of its future, and interpretation of various empirical analysis results.

Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.