scholarly journals How to Profit From Declines of Share Prices without Shorting Them

2018 ◽  
Vol 4 (1) ◽  
pp. 10
Author(s):  
Leszek Zaremba
Keyword(s):  
Financial Market ◽  
Matrix Model ◽  
The Other ◽  
Financial Instruments ◽  
View Point ◽  
Share Prices ◽  
Short Sale ◽  
Black Scholes ◽  
Period Model

We present a 1-period model of the Polish financial market from the view point of the largest Polish company KGH, whose share prices declined from 119 PLN on June 1, 2015 to 68 PLN on December 2, 2015. Our goal is to show how KGHM might create portfolios (with practically zero cost), which would (almost) fully compensate these declines without, what is very important, short sale of KGHM’s shares. The presented methodology is equally suitable in any country for all those companies for which options on their shares are also tradable. We employ here a matrix model of a fraction of the Polish financial market and make use of the Black–Scholes formula to valuate 3 portfolios replicating 3 desired by KGHM, but not available on the market, financial instruments. To give more insight to the readers, we distinguish two cases. In one of them, volatility of KGHM’s share prices is 33%, and in the other case it equals 20%.

scholarly journals Creation and Valuation of Instruments Compensating Lower Share Prices with the Help of Black–Scholes Formula

2017 ◽  
Vol 9 (1) ◽  
pp. 25-32
Author(s):  
Leszek Zaremba
Keyword(s):  
Financial Market ◽  
Matrix Model ◽  
Listed Company ◽  
Listed Companies ◽  
The Other ◽  
View Point ◽  
Investment Funds ◽  
Share Prices ◽  
Black Scholes ◽  
Period Model

Abstract In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with practically zero cost), which would fully compensate the abovementioned declines. The methodology presented below may be equally well employed by many other listed companies and investment funds, as well. We create here a matrix model of the Polish financial market and employ the Black-Scholes formula to valuate portfolios compensating potential declines of KGHM’s shares prices. To give more insight to practitioners wishing to apply the results presented here to other listed companies, we distinguish two cases. In one of them, volatility of KGHM’s share prices is 20%, and in the other case it equals 33%.

scholarly journals How to Identify an Arbitrage of Type B on Capital Markets

2018 ◽  
Vol 4 (1) ◽  
pp. 41
Author(s):  
Leszek Zaremba
Keyword(s):  
Financial Market ◽  
Matrix Model ◽  
Stock Options ◽  
Listed Company ◽  
Point Of View ◽  
Type B ◽  
Period Matrix ◽  
Treasury Bills ◽  
Put Options ◽  
Black Scholes

We propose here a 1-period matrix model of a fraction of the Polish financial market (for our purposes it will suffice to focus on a fraction of the market) built up from the point of view of the Polish biggest listed company KGHM. Using this model we construct an arbitrage portfolio consisting of 5 different assets, namely shares of KGHM, Treasury bills and 3 kinds of stock options. We recall the concept of arbitrage of type A and type B (called also an arbitrage I and arbitrage II, resp.) and illustrate it with examples. To prove that an arbitrage is possible to conduct, we separately distinguish scenarios when options prices are determined by the Black-Scholes formula, and when they deviate from their theoretical values. We prove that in all those cases an arbitrage of type B can be conducted. Since our approach does not rely on the specifics of Poland as a country, it can be equally well implemented in any other country which offers Treasury bills, as well as call and put options on shares of selected companies (KGHM in the studied case). The purpose of this study is to encourage practitioners to conduct an arbitrage in their own country, especially in a case when call and put options are offered on a local OTC market.

Critical Value-Based Power Options Pricing Problems in Uncertain Financial Markets

2021 ◽  
pp. 2150002
Author(s):  
Guimin Yang ◽  
Yuanguo Zhu
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Numerical Experiments ◽  
Critical Value ◽  
The Other ◽  
Options Pricing ◽  
Underlying Asset ◽  
Pricing Problems ◽  
Fractional Differential ◽  
The One

Compared with investing an ordinary options, investing the power options may possibly yield greater returns. On the one hand, the power option is the best choice for those who want to maximize the leverage of the underlying market movements. On the other hand, power options can also prevent the financial market changes caused by the sharp fluctuations of the underlying assets. In this paper, we investigate the power option pricing problem in which the price of the underlying asset follows the Ornstein–Uhlenbeck type of model involving an uncertain fractional differential equation. Based on critical value criterion, the pricing formulas of European power options are derived. Finally, some numerical experiments are performed to illustrate the results.

scholarly journals Corporate Social Responsibility Performance & ETF Historical Market Volatility

2017 ◽  
Vol 9 (10) ◽  
pp. 30
Author(s):  
Vasiliki A. Basdekidou ◽  
Artemis A. Styliadou
Keyword(s):  
Corporate Governance ◽  
Community Development ◽  
Fair Trade ◽  
Green Building ◽  
Market Volatility ◽  
The Other ◽  
Future Research ◽  
Financial Instruments ◽  
Corporate Social ◽  
Number Of Firms

In investment and trading, different CSR moral ethical firms, categorized in a number of groups, may be suitable for different financial instruments (i.e. USA sector ETFs) and different market volatility situations. For the purpose of this article we first (i) analyze the trading return performance of four CSR categories (in particular: activism, community development, corporate governance, and environment); and then (ii) examine and comment the correlation between the market performance of a number of firms belonging in these four CSR categories and historical ETF market volatility. Finally, we (iii) suggest CSR firms as trading tools according to dominant market volatility. Other CSR categories (like: fair trade & supply chain, green building, philanthropy & corporate contributions, etc.) would be examined in future research by following the introduced by this paper approach. Paper concludes that, in relatively less volatile markets the Environment CSR ethical firms display better results. On the other hand, in strong market volatile situations it is better to trade Community Development CSR and Corporate Governance CSR ethical firms. Finally, the Activism CSR ethical firms are uncorrelated with the market volatility, as well as their performance is poor in all market cases.

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 Analysing the Sway of Cash Instruments in the Indian Financial Market Context

2021 ◽  
Vol 10 (06) ◽  
pp. 01-04
Author(s):  
Bhumi Mehta
Keyword(s):  
Financial Market ◽  
Financial Instruments ◽  
Financial Instrument ◽  
Legal Documents ◽  
Financial Innovations ◽  
Monetary Value ◽  
Financial Products ◽  
Derivative Instruments ◽  
Different Types ◽  
Bill Of Exchange

There are basically four types of financial instruments viz. a bank deposit, a bill of exchange, a bond, and equity. As a result of a steady stream of financial innovations in today’s time, the market landscape is far less sparse-and far more complex to evaluate. Financial instruments are termed as the financial products which are tradable as packages of capital, each having their own unique characteristics and structure. The wide collection of financial instruments in today's marketplace allows for the efficient flow of capital amongst the world's investors. Financial instruments are legal documents that embody monetary value. There are a number of different types of documents that are properly identified as a financial instrument. There are different types of financial instrument, like cash instruments or derivative instruments.

scholarly journals Arsip dan Jaringan Intelektual: Studi tentang Koleksi Nishijima di Universitas Waseda Jepang

2017 ◽  
Vol 10 (1) ◽  
pp. 18-30
Author(s):  
Arif Rahman Bramantya
Keyword(s):  
Intrinsic Value ◽  
The Other ◽  
View Point ◽  
Japanese Occupation ◽  
Living Thing ◽  
Historical Method ◽  
Evidential Value ◽  
Sources Of Knowledge ◽  
New Perspective ◽  
Informational Value

Archives can be said to be "inanimate" if we look it from the physical side. On the other hand, archives can be said to be "a living thing" if we look it in terms of the information that is contained in. Archives can explain anywhere, anytime and any purpose, because archives have evidential value, informational value and intrinsic value. In short, archives is a source of knowledge if we look it through academic view point. Archives in relation to the Japanese occupation in Indonesia is very limited.Nowadays, the study related to the Japanese occupation in Indonesia is also decrease. However, the study about the Japanese occupation in Indonesia in the 80s was massive and varied. Nishijima Collection is one of the valuable sources of knowledge related to the Japanese occupation in Indonesia. Unfortunately, many people do not use the collection as source for their Indonesian study. The result of this study provides a new perspective on the materials related with the Japanese occupation in Indonesia contained in Nishijima Collection. Intellectual network was formed through Nishijima Collection. Eventually, the study about Nishijima Collection through the historical method can be an initial foundation to raise the historical awareness that will be able to affect the civilization (of Indonesia).

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.

scholarly journals Study of the Effects of Frequency on the Compression Process in Old and New Persian Dialogues in the Bybee Phonological Framework

2019 ◽  
Vol 10 ◽  
pp. 1576-1599
Author(s):  
Razieh Kashefi Khishan ◽  
Maryam Iraji
Keyword(s):  
Data Collection ◽  
Theoretical Framework ◽  
The Other ◽  
View Point ◽  
Compression Process ◽  
Analytical Analysis ◽  
Persian Language ◽  
Conceptual Connection ◽  
Basic Entity ◽  
Library Method

The purpose of this research is an analytical analysis of the compression process (including deletion and merging) in old cinematic films compared to new cinematic films in Persian language. The old cinematic films selected for this study include two films, "Kaiser" and "Treasure of the Qaroon," and new cinematic films that examine two films," Life+1 Day "and “Lottery.” The theoretical framework has been used in Cognitive Phonology, Bybee (1999). The method of the present study is descriptive-analytical, and data collection is in library method. All the data has been pulled out from the dialouge of films, which been examined the compression process in the old and new films separately. In this research, we first examine the Utterance and discourse of the intended films in detail. At the end of the work, the elements of the Persian language are analyzed. The results indicate that the compression process in Persian language films has been araised, and in cases where more compressions have been done, their frequency has been higher. That is, in " Life+1 Day and “Lottery’s film, there are more compression processes than "Kaiser" and Treasure of the Qaroon’s film. The fact that the two categories of nouns and verbs are part of the basic entity of a phrase, such that if these categories are frequent then they are compressed or eliminated. On the other hand, the presence of an adjective, adverb, or letter to describe the replacement of noun or verb in the conceptual connection, which is sufficient to represent them, and this will support with Bybee's view point. So the compression, deleting or merging processes in data has shown less frequently.

ARBITRAGE OPPORTUNITIES USING HYBRID FINANCIAL INSTRUMENTS

2021 ◽  
Vol 1 (6) ◽  
pp. 112-115
Author(s):  
S. S. ROGOZIN ◽  
Keyword(s):  
Financial Market ◽  
Convertible Bonds ◽  
Financial Instruments ◽  
Arbitrage Opportunities ◽  
Arbitrage Strategy ◽  
Implementation Of The Strategy

The article discusses the features of the “convertible arbitrage” strategy using a hybrid financial instrumentconvertible bonds. The characteristics of convertible bonds as a financial market instrument are given. The article analyzes the conduct of convertible arbitrage in terms of the motives and factors that affect the implementation of the strategy; the basic possible scenarios are given.

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