The challenges and implications of the Markets in Financial Instruments Directive (MiFID) and of its revision (MiFID II, MiFIR) on the efficiency of financial markets

2017 ◽  
pp. 151-198 ◽  
Author(s):  
Roland Gillet ◽  
Stéphanie Ligot ◽  
Hassan Omidi Firouzi
Keyword(s):  
Financial Markets ◽  
Financial Instruments

Real-Estate Derivatives

2017 ◽  
Author(s):  
Radu S. Tunaru
Keyword(s):  
Real Estate ◽  
Financial Markets ◽  
Investment Banks ◽  
Financial Instruments ◽  
Stress Tests ◽  
Real World Data ◽  
No Arbitrage ◽  
New Frontier ◽  
Property Price ◽  
Comparative Description

This book brings together the latest concepts and models in real-estate derivatives, the new frontier in financial markets. The importance of real-estate derivatives in managing property price risk that has destabilized economies frequently in the last hundred years has been brought into the limelight by Robert Shiller over the last three decades. In spite of his masterful campaign for the introduction of real-estate derivatives, these financial instruments are still in a state of infancy. This book aims to provide a state-of-the-art overview of real-estate derivatives at this moment in time, covering the description of these financial products, their applications, and the most important models proposed in the literature in this area. In order to facilitate a better understanding of the situations when these products can be successfully used, ancillary topics such as real-estate indices, mortgages, securitization, and equity release mortgages are also discussed. The book is designed to pay attention to the econometric aspects of realestate index prices, time series, and also to financial engineering no-arbitrage principles governing pricing of derivatives. The emphasis is on understanding the financial instruments through their mechanics and comparative description. The examples are based on real-world data from exchanges or frommajor investment banks or financial houses in London. The numerical analysis is easily replicable with Excel and Matlab. This is the most advanced published book in this area, combining practical relevance with intellectual rigour. Real-estate derivatives will become important for managing macro risks in order to pass stress tests imposed by regulators.

scholarly journals The Architecture of Financial Networks and Models of Financial Instruments According to the “Just Transition Mechanism” at the European Level

2020 ◽  
Vol 13 (10) ◽  
pp. 235
Author(s):  
Otilia Manta ◽  
Kostas Gouliamos ◽  
Jie Kong ◽  
Zhou Li ◽  
Nguyen Minh Ha ◽  
...  
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Research Priorities ◽  
Financial Instruments ◽  
Global Level ◽  
European Level ◽  
Support Tool ◽  
Eu Directive ◽  
Transition Mechanism ◽  
European Investment

At the global level and in particular the European level, challenges related to climate change and the transition to green transactions have created an imperative where identifying or developing innovative financial instruments, appropriate for these priorities, have become our research priorities and objectives. Starting from the analysis of the European Investment Plan for green transactions, as well as the EU Directive 2018/410 of the European Parliament and of the Council, in conjunction with ongoing efforts to identify innovative financing tools, research is presented based on hypotheses using concepts and models of green financing. The paper aims to analyze the main concepts and phenomena that could be considered generative factors for current financial market trends, as well as the inventory of facts and acts that provide a picture of the financial market. Based on these investigations, this paper suggest how we can best analyze the economic environment, processes, and resources in terms of their predictions regarding the sustainability of financial markets in the context of current challenges. Moreover, our paper aims to highlight in our empirical research the above-mentioned aspects, including the analysis of the emergence of new financial instruments at the global level with a direct impact on financial sustainability at the European level, including reflecting certain particularities of financial markets Romania. This research will be both a scientific contribution to the specialized literature and a possible support tool for the practical activities of entrepreneurs in their economic endeavor of developing sustainable businesses.

scholarly journals TESTING THE EFFICIENCY MARKET HYPOTHESIS: AN EXAMPLE OD BOSNIA AND HERZEGOVINA

2019 ◽  
Vol 17 (1) ◽  
Author(s):  
Tijana Šoja ◽  
Zumreta Galijašević ◽  
Emina Ćeman
Keyword(s):  
Financial Markets ◽  
Bosnia And Herzegovina ◽  
Financial Market ◽  
Capital Market ◽  
Strong Influence ◽  
Weak Form ◽  
Financial Instruments ◽  
Price Movement ◽  
Run Test ◽  
Available Information

Governments of many countries, companies and business organizations last decades increasingly pay attention and recognize the importance of the capital market for economic growth and development. One of the factors that has strong influence on the capital market, as a platform for long-term borrowing and obtaining funds, is the price movement of financial instruments traded on capital market. The price movement of financial instruments is linked to the efficiency of the market, and is under strong influence of all available information about companies, which quickly reflect on the prices of financial instruments.Fama (1965) was one of the first economist who used term „efficient financial market“. He conducteda research on the financial market and pointed out that in an efficient market, on average, competition would cause that all effects of the latest market information will be included through the value of shares traded. The hypothesis of an efficient financial market suggests that the price of the shares, financial instruments, reflects all available information, so investor cannot realize extra profits if he has some certain insider information or on the basis of publicly available historical data and information. Many investors are trying to find those securities that are underestimated, and for which is expected to growth in the future. In a case of efficient financial market, it is quite impossible to find underestimated securities because information quickly incorporated into the price of securities. Ttesting of the efficiency of financial market is largely present in the developed markets, while somewhat weaker tests have been carried out on the examples of transitional financial markets. In published researches it is most often confirmed that transition countries have or have had poorly performing financial markets, especially in the initial stages of their development (Bahmani-Oskooee et al, 2016; Kvedaras and Basdevant, 2002).In this research we are testing the efficient market hypothesis for the financial market in Bosnia and Herzegovina. We tested hypothesis that the financial market is weakly efficient. For this test we are using stock index data from the Sarajevo and Banja Luka Stock Exchange, SASX10, BIRS and BATX index. The analysis includes daily, weekly and monthly index movements from 2006 to August 2018, for SASX 10 and BIRS indices, while BATX data is available from 2009 until August 2018. In the first step we calculate returns for all periods (deily, weekly and montly) between indicies and in another step we tested autocorrelation between their returns.Efficient market hypothesis has been tested through three statistical tests: autocorrelation test, run test and variance test. The results obtained by applying different tests do not give a single answer to the question whether financial market in Bosnia and Herzegovina perform at a low level of efficiency. Auto-correlation tests reject the hypothesis of weak form market efficiency,while the run test and the test of variance ratios confirm the weak form of market efficiency. Such findings suggest that it is not possible, with sufficient precision, to predict trends in the financial market in Bosnia and Herzegovina.

A review of innovative bond instruments for sustainable development in Asia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nisha Prakash ◽  
Madhvi Sethi
Keyword(s):  
Sustainable Development ◽  
Private Sector ◽  
Financial Markets ◽  
Financial Instruments ◽  
Content Type ◽  
Global Institutions ◽  
Country Level ◽  
2030 Agenda ◽  
Asian Economies ◽  
Sustainable Finance

Purpose Advancing the economies in Asia toward meeting sustainable development goals (SDGs) needs an unprecedented investment in people, processes and the planet. The participation of the private sector is necessary to bridge the financing gap to attain this objective. Engaging the private sector can contribute significantly to attaining the 2030 agenda for SD. However, the financial markets in Asian economies are yet to realize this potential. In this context, this paper aims to discuss the state of finance for SD in Asia and identifies innovative financial instruments for attracting private investments for SDs in these economies. Design/methodology/approach This study relies on published articles, reports and policy documents on financing mechanisms for SD. The literature review covered journal data sources, reports from global institutions such as the UN, World Bank, International Monetary Fund and think-tanks operating in the field of climate change policies. Though the topic was specific to financial market instruments, a broader search was conducted to understand the different sources of sustainable finance available, particularly in Asia. Findings The investments that are required for meeting the SDGs remain underfunded. Though interest in sustainability is growing in the Asian economies, the financial markets are yet to transition to tap the growing interest in sustainable investing among global investors. This paper concludes that to raise capital from private investors the Asian economies should ensure information availability, reduce distortions and unblock regulatory obstacles. It would also need designing policies and introducing blended financing instruments combining private and public funds. Research limitations/implications Though the study has grouped Asian economies, the financing strategy for SDGs should be developed at the country-level considering the domestic financial markets, local developmental stage, fiscal capacity and nationally determined contributions. Further research can focus on developing country-specific strategies for using innovative financial instruments. Originality/value Mobilizing funds for implementing the 2030 Agenda for SD is a major challenge for Asian economies. The paper is addressed to national policymakers in Asian economies for developing strategies to raise capital for SD through private participation. It provides opportunities for revisiting national approaches to sustainable finance in these economies.

Financial markets as commensurating machines

2019 ◽  
Vol 58 (4) ◽  
pp. 539-565
Author(s):  
Barbara Kuchler
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Capital Market ◽  
Capital Flows ◽  
Financial System ◽  
Financial Assets ◽  
Financial Instruments ◽  
Black Scholes ◽  
Derivatives Markets

Ever since the crisis of 2008, the dynamism and self-referentiality of financial markets have puzzled observers. This article argues that this dynamism is the product of a long process of commensuration, by which ever more heterogeneous financial assets and financial instruments have come to be compared with, substituted for, and valuated relatively to one another, and have thereby been condensed into a highly interconnected financial system. This trajectory can be found both in the long-term historical emergence of financial markets from ancient origins and in the more recent transformations of the financial system since the 1970s, including (i) the rise of derivatives markets, and (ii) the rise of capital markets as against bank-intermediated capital flows. The rise of derivatives markets was triggered by the commensuration of basic securities (such as stock, bond) and derivatives (such as options, futures), established by the Black-Scholes-Merton theory of option pricing. The rise of capital markets was rooted in the commensuration – and hence, competition and substitution – of bank products (such as loans, deposits) and non-bank products (capital market securities).

scholarly journals An analysis of financial speculation: from the Maqasid Al-Shari’ah perspective

Humanomics ◽  
2017 ◽  
Vol 33 (1) ◽  
pp. 2-14 ◽  
Author(s):  
Ildus Rafikov ◽  
Buerhan Saiti
Keyword(s):  
Social Norms ◽  
Financial Markets ◽  
Special Reference ◽  
Foreign Exchange ◽  
Financial Crises ◽  
Design Methodology ◽  
Financial Instruments ◽  
Content Type ◽  
Financial Speculation ◽  
To Come

Purpose This paper aims to discuss the topic of financial speculation with special reference to forex and offers an analysis from the Maqasid Al-Shari’ah perspective, whereby authors propose to limit the outreach of speculative instruments in the financial markets. Design/methodology/approach The authors will make use of a simple textual analysis of existing materials and documents. To come up with conclusions, relevant to this study and to make them credible enough, the authors will undertake to review the existing literature in the next part of the paper and will later present his analysis of findings in light of financial crises and the objectives of Shari’ah. Findings The Maqasid Al-Shari’ah approach used in the analysis suggests that speculative financial instruments do not constitute a necessity, and their harmful practice must be limited to protect the religion, life, lineage, intellect and property. Originality/value Financial speculation in general and foreign exchange in particular must be regulated. Their current practices of financial system pose significant challenges for entire economies as well as individuals. Muslims should also avoid speculative financial instruments, such as forex, because they are a clear threat to individual and state wealth and prosperity. In addition, they threaten traditional businesses and social norms in Muslim societies.

scholarly journals The Behaviour of Intelligent Investors at Financial Markets: Insight from Slovenian Investors

2021 ◽  
Vol 7 (1) ◽  
pp. 110-120
Author(s):  
Vesna Trančar
Keyword(s):  
Financial Markets ◽  
Financial Instruments ◽  
Creative Commons ◽  
Depth Interviews ◽  
Insight Into

Intelligent investors differ from speculative or non-professional investors in the fact that intelligent investors act countercyclically; that is, they act against the trend, or otherwise, they buy when prices have already fallen and sell when their rate of selected investment has already risen. An example of countercyclical behavior can also be explained by the thinking of professional investor Warren Buffett, who points out a simple investment rule: "Be scared when others are greedy, and be greedy when others are scared." Since crypto markets have recently emerged, there is a need for researching the best strategy for investments in their financial instruments. To get an insight into the behavior of Slovenian investors, in-depth interviews were conducted with a sample of financial experts. The article presents tips for the correct responses of intelligent investors in financial markets. This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

scholarly journals The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

2019 ◽  
Author(s):  
Tim Xiao
Keyword(s):  
Asset Pricing ◽  
Credit Risk ◽  
Financial Markets ◽  
Default Risk ◽  
Risk Modeling ◽  
Financial Instruments ◽  
Otc Derivatives ◽  
Counterparty Credit Risk ◽  
Comprehensive Framework ◽  
The Impact

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk, and how CDS spreads depend on the trilateral credit risk of the buyer, seller, and reference entity in a contract. Moreover, we study the effect of collateralization on valuation, since the majority of OTC derivatives are collateralized. The model shows that a fully collateralized swap is risk-free, whereas a fully collateralized CDS is not equivalent to a risk-free one.

scholarly journals INVESTIGATION OF THE HERDING AND CONTRARIAN BEHAVIOUR OF INVESTORS

2021 ◽  
Author(s):  
Nijolė MAKNICKIENĖ ◽  
Jovita MASĖNAITĖ ◽  
Viktorija STASYTYTĖ ◽  
Raimonda MARTINKUTĖ-KAULIENĖ
Keyword(s):  
Deep Learning ◽  
Financial Markets ◽  
Negative Impact ◽  
Investment Decision ◽  
Investor Sentiment ◽  
Technical Analysis ◽  
Financial Instruments ◽  
Decision Strategy ◽  
Financial Decisions ◽  
Investor Behaviour

Purpose – The paper analyses two different paradigms of investor behaviour that exist in the financial mar-ket – the herding and contrarian behaviour. The main objective of the paper is to determine which pattern of investor behaviour better reflects the real changes in the prices of financial instruments in the financial markets. Research methodology – Algorithms of technical analysis, deep learning and classification of sentiments were used for the research; data of positions held by investors were analysed. Data mining was performed using “Tweet Sentiment Visualization” tool. Findings – The performed analysis of investor behaviour has revealed that it is more useful to ground financial decisions on the opinion of the investors contradicting the majority. The analysis of the data on the positions held by investors helped to make sure that the herding behaviour could have a negative impact on investment results, as the opinion of the majority of investors is less in line with changes in the prices of financial instruments in the market. Research limitations – The study was conducted using a limited number of investment instruments. In the future, more investment instruments can be analysed and additional forecasting methods, as well as more records in social networks can be used. Practical implications – Identifying which paradigm of investor behaviour is more beneficial to rely on can offer ap-propriate practical guidance for investors in order to invest more effectively in financial markets. Investors could use investor sentiment data to make practical investment decisions. All the methods used complement each other and can be combined into one investment decision strategy. Originality/Value – The study compared the ratio of open positions not only with real price changes but also with data obtained from the known technical analysis, deep learning and sentiment classification algorithms, which has not been done in previous studies. The applied methods allowed to achieve reliable and original results.

scholarly journals Requirements for the possibility of applying international accounting standards on financial instruments-an applied study in the national bank of Baghdad

2019 ◽  
Vol 7 (1) ◽  
pp. 142-180
Author(s):  
Dilan Abdullah Mohammed ◽  
Basira Majeed Najm
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Financial Statements ◽  
Fair Value ◽  
Interest Rate Risk ◽  
International Accounting ◽  
Financial Instruments ◽  
Accounting Standard ◽  
Important Place ◽  
International Accounting Standard

The reality today proves that growth and success have become the share of financial markets that have learned how to read the road map and achieve leadership by investing in the so-called derivatives, where the center of gravity in financial markets has shifted from relying on simple financial instruments to relying on Great for innovation and creativity to create innovative financial products that cover the needs of investors. The issue of derivatives has become an important place in global markets. The importance of this study is illustrated by the nature of the accounting treatment of these instruments and how they are disclosed in the annual financial statements of companies and banks dealing with them according to the international accounting standard No. (32) and how to recognize and measure the financial instruments, and disclose them according to the International Accounting Standard No. (7-9), in order to clarify the nature of the analysis required to determine the correct accounting processing when using these instruments, as the financial statements published by the dealers of financial instruments and provided to end users must include sufficient information about them with To clarify the risks for which the transactions were carried out, the extent to which such information is covered (is it for hedging purposes or for trading purposes), the degree of risk and how to account for it, and through this process has been concluded among the most important risks to which the bank is exposed is the risk of changing interest rates, given that the net Interest income constitutes a large percentage of the bank's returns, the interest rate risk is particularly important, as the case of high interest rates creates for banks the risk of paying higher rates on deposits for the future and other bank demands compared to what they get from their glory, and the situation is quite the opposite when the Shame interest. The study recommends that the bank dealing in derivative financial instruments distinguish between the profitability of trading in these and other investment instruments, and for the instruments used for the purposes of hedging the risk of interest rates, as well as the bank to clarify the accounting methods used The bank must disclose the fair value of both hedge stake and hedge funds. 

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