Not as Black as Is Painted? Influence of sCDS Market on Domestic Financial Markets Before and After the Ban on Naked sCDS Trade

2017 ◽  
pp. 11-23
Author(s):  
Agata Kliber
Keyword(s):  
Financial Markets ◽  
Before And After

scholarly journals The Impact Of Defeasance On Bond Prices

2011 ◽  
Vol 4 (3) ◽  
pp. 15
Author(s):  
James A. Seifert ◽  
David E. Mielke
Keyword(s):  
Financial Markets ◽  
Corporate Debt ◽  
Bond Prices ◽  
Price Changes ◽  
Before And After ◽  
Time Periods ◽  
Changes In Risk ◽  
The Impact

This study reports on the financial markets reaction to the defeasance of corporate debt and whether the market perceives a changes in risk as a result of this activity. The prices of seventeen bonds both before and after defeasance were analyzed using t-tests to determine if any significant price changes related to the act of defeasance occurred between these two time periods. Contrary to what might be expected no significant differences were found.

scholarly journals Performance of American and Russian joint stock companies on financial market. A microstructure perspective

Equilibrium ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 819 ◽  
Author(s):  
Magdalena Osińska ◽  
Andrzej Dobrzyński ◽  
Yochanan Shachmurove
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
Stock Exchange ◽  
Market Equilibrium ◽  
Economic Sanctions ◽  
Transmission Mechanism ◽  
Before And After ◽  
Ukrainian Crisis ◽  
The U.S

This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.

scholarly journals A study of the international stock market crash and recovery during COVID-19 pandemic using a modified chaos game representation

2020 ◽  
Author(s):  
Aman Gupta ◽  
Cyril Shaju ◽  
Pratibha ◽  
Kamal
Keyword(s):  
Financial Markets ◽  
Iterated Function Systems ◽  
Chaos Game Representation ◽  
Fractal Method ◽  
Stock Market Crash ◽  
Novel Approach ◽  
Iterated Function ◽  
Before And After ◽  
Chaos Game ◽  
Game Representation

Abstract This paper deals with a novel approach to visualize and compare financial markets across the globe using chaos game representation of iterated function systems. We modified a widely used fractal method to study genome sequences and applied it to study the effect of COVID-19 on global financial markets. We investigate the financial market reaction and volatility to the current pandemic by comparing its behavior before and after the onset of COVID-19. Our method clearly demonstrates the imminent bearish and a surprise bullish pattern of the financial markets across the world.

scholarly journals Have Stock Markets Become Less Volatile After the Great Recession?

2019 ◽  
Vol 10 (3) ◽  
pp. 10
Author(s):  
Talla M Aldeehani
Keyword(s):  
Financial Markets ◽  
Great Recession ◽  
Trading Volume ◽  
Global Financial Crisis ◽  
International Markets ◽  
Market Volatility ◽  
Asymmetric Effect ◽  
The Great Recession ◽  
Valid Predictor ◽  
Before And After

This paper investigates volatility modeling in light of the 2008 global financial crisis. The study was motivated by the measures and regulations introduced by most of the countries following the shock to stabilize their financial markets. The theoretical proposition is that these measures should succeed in reducing volatility which would be modeled differently following the crisis. The adopted ARMA-GARCH process included positive and negative trading volume change to capture the asymmetric effect of trading volume on market volatility for seven international markets. The results indicate that the majority of these markets were not so successful in reducing volatility following the crisis. There is evidence of volatility persistence which dissipates very quickly. Although volatility is modeled differently before and after the crisis, each market is modeled uniquely. The effect of trading volume was found to be asymmetric. Only positive change was a valid predictor. Detailed discussions of the results, implications, and recommendations are provided.

scholarly journals Green Bond Finance in Europe and the Stock Market Reaction

2021 ◽  
Vol 39 (3) ◽  
Author(s):  
Juan Laborda ◽  
Álvaro Sánchez-Guerra
Keyword(s):  
Financial Markets ◽  
Time Window ◽  
Central Banks ◽  
Financial Resource ◽  
Share Prices ◽  
Event Time ◽  
Stock Market Reaction ◽  
Green Finance ◽  
Bond Issues ◽  
Before And After

This paper examines the increasing importance of green, social and sustainable bonds in the financial markets. We first detail the theoretical framework, introducing sustainable development and green finance; relating green bonds to both ecological economics literature, and the central banks perspective; and, finally, analyzing the green bonds efficiency as a financial resource. Afterwards, we estimate the effect of green bond issues on the companies share’s price. So we collect the companies share’ prices around the announcement of the issue. Then we build an event time window with different time ranges before and after the announcement with the accumulated returns in order to be able to observe the reaction in the market in different stages. We demonstrate that the announcement of a green bond has a positive reaction in the market by increasing the return on shares of green bond issuing

Why the Package? Financial Markets Before and After the Crisis

2019 ◽  
pp. 7-45
Author(s):  
Mario Comana ◽  
Daniele Previtali ◽  
Luca Bellardini
Keyword(s):  
Financial Markets ◽  
Before And After

Do cross-border mergers-acquisitions in mature and emerging markets create similar value?

2018 ◽  
Vol 31 (4) ◽  
pp. 944-958 ◽  
Author(s):  
Ludivine Chalencon ◽  
Ulrike Mayrhofer
Keyword(s):  
Empirical Study ◽  
Emerging Markets ◽  
Financial Markets ◽  
Emerging Economies ◽  
Value Creation ◽  
Content Type ◽  
Cross Border ◽  
A Value ◽  
Before And After ◽  
Depth Classification

Purpose The purpose of this paper is to compare the value creation of cross-border mergers and acquisitions (M&As) in mature and emerging markets. Design/methodology/approach The empirical study is based on a sample of 285 cross-border M&As announced between 2010 and 2012 and completed by companies of the French SBF 120 index in 54 countries. Findings The statistical analysis shows how financial markets react before and after the announcement of M&As. The obtained findings highlight significant differences: the reaction of financial markets before the announcement is moderately positive for M&As in mature economies, but negative for those in emerging economies; their reaction after the announcement is clearly positive for M&As in mature markets and moderately positive for those in emerging markets. Research limitations/implications Future studies on M&A value creation should differentiate mature and emerging economies and adopt a more in-depth classification of target countries. Practical implications This research emphasizes the necessity to consider country-specific factors for M&A value creation. Originality/value The empirical study is based on a sample of French acquirers, who account for 3 percent of the volume and value of M&As in the world and whose operations are rarely studied in the literature. The authors compare the reaction of financial markets before and after the announcement of M&As conducted in mature and emerging economies.

scholarly journals Portfolio Diversification with Commodities in Times of Financialization

2015 ◽  
Vol 4 (1) ◽  
pp. 18-36 ◽  
Author(s):  
Adam Zaremba
Keyword(s):  
Financial Markets ◽  
Correlation Coefficients ◽  
Portfolio Diversification ◽  
Separate Analysis ◽  
Bond Portfolio ◽  
Before And After ◽  
The Mean ◽  
Asset Classes ◽  
The Impact ◽  
Mean Variance

The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments for investors in financial markets. The paper is composed of several parts. First, the attributes of commodity investments and their benefits in the portfolio optimization are explored. Second, the phenomenon of the financialization is described and the research hypothesis is developed. Next, an empirical analysis is performed. I simulate the mean-variance spanning tests to examine the benefits of commodity investments before and after accounting for the impact of financialization. I proceed separate analysis for pre- and post-financialization period. The empirical research is based on asset classes’ returns and other related variables from years 1991-2012. The performed investigations indicate that the market financialization may have significant implications for commodity investors. Due to increase in correlation coefficients, the inclusion of the commodity futures in the traditional stock-bond portfolio appears to be no longer reasonable.

scholarly journals Lack of Reform Effect on Exchange Efficiency- Empirical Evidence from Saudi Market Index –

2020 ◽  
Vol 12 (4) ◽  
pp. 46
Author(s):  
Mohammed AlHomaidy
Keyword(s):  
Financial Markets ◽  
Stock Exchange ◽  
Weak Form ◽  
Nonparametric Tests ◽  
Securities Markets ◽  
Policy Makers ◽  
Random Walk Hypothesis ◽  
Market Index ◽  
The World ◽  
Before And After

As development of financial markets has been a growing issue after the financial crisis 2008, this paper has tested efficiency on one of the largest emerging securities markets in the world. It examines lack of reform impact on efficiency of Saudi stock exchange (TASI index) employing random walk hypothesis (RWH) through a battery of parametric and nonparametric tests including autocorrelations, unit root, variance ratio (VR) and Brock, Dechert, and Scheinkman (BDS) test.The study specifically aims to test weak form efficiency before and after massive efforts implemented to reform Saudi exchange. Findings have concluded in a consensus verdict that there is no change observed in TASI index behaviour, and hence it rejected to be a weak-form efficient market. Thus, policy makers and regulators should initiate further reforms; deep regulations and reorganization development to address inefficiency.

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