Digital Techniques Share Price Modeling based on a Time-varying Walrasian Equilibrium under Exchange Processes in the Financial Market

Purpose – The purpose of this paper is to empirically estimate industry beta in Indian stock market with three alternative models and compare the accuracy of forecasting error to find the most suitable model for time-varying beta estimation. Design/methodology/approach – The paper applies the standard regression model, Kalman filter model, other statistical approaches and secondary material. Findings – The paper finds that the existence of dynamic beta in Indian market. The results also indicate systematic risk or beta of Indian industries is susceptible to the global economic effect. Finally, the Kalman filter generates the lower forecasting error compared to the other method for almost all the industries. Practical implications – The accurate estimation of beta which is a measure of systematic risk helps investors to make investment decision easier. The implication of this result is important for finance practitioners such as portfolio managers, investment advisors and security analysts. This study will help to determine the country risk with respect to the global index and analyze the global financial market integration effect on India. Originality/value – This paper reliably estimate industry portfolio beta for India. The time-varying beta is estimated using Kalman filter method which is rarely applied in Indian literature. This paper contributes by extending the knowledge of existing literature by introducing a new data set with Indian data which is not affected by the “data snooping” bias. This study will also help to determine the country risk with respect to the global index and analyze the global financial market integration effect on India.

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TIME VARYING ASIAN STOCK MARKET INTEGRATION

The Singapore Economic Review ◽

10.1142/s021759081550006x ◽

2015 ◽

Vol 60 (01) ◽

pp. 1550006 ◽

Cited By ~ 8

Author(s):

JONATHAN A. BATTEN ◽

PETER MORGAN ◽

PETER G. SZILAGYI

Keyword(s):

Asset Pricing ◽

Economic Reform ◽

Financial Market ◽

Market Integration ◽

Time Varying ◽

Stock Market Integration ◽

Financial Market Integration ◽

International Stock Markets ◽

The Impact ◽

Variance Structure

We employ an asset pricing framework with varying estimation lengths to show that there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is consistent with prior studies and highlights the impact of recent regulatory and economic reform undertaken throughout the region. Our results show that instability in the asset variance structure underpins the observed varying degrees of financial market integration. In particular, modeling integration using shorter estimation periods helps explain the time varying nature of financial market integration and the benefits that may accrue to international and domestic investors.

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Role of International Financial Integration on Financial Market Development of Euro Area Countries

International Journal of Science and Management Studies (IJSMS) ◽

10.51386/25815946/ijsms-v2i4p110 ◽

2019 ◽

pp. 91-100

Author(s):

Irfan Alam

Keyword(s):

Financial Market ◽

Euro Area ◽

Financial Integration ◽

Price Volatility ◽

Share Price ◽

Market Development ◽

International Financial Integration ◽

Financial Market Development ◽

The Impact

The aim of this paper is to investigate the role of international financial integration into financial market development of Euro area countries. Annual dataset from 1998 to 2014 by using multiple regression method. The study focuses on financial integration on determining the impact on financial market development. Overall results confirming the significant positive and negative effect of international financial integration (Stock traded& share price and stock turnover ratio, respectively) while insignificant positive andnegative effect of financial integration (financial assets and liabilities and share price volatility, respectively) on financial market development. The finding provides strong evidence of achieving higher financial market development due to the drivers of financial integration.

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Contingent conversion convertible bond: New avenue to raise bank capital

International Journal of Financial Engineering ◽

10.1142/s2424786317500013 ◽

2017 ◽

Vol 04 (01) ◽

pp. 1750001 ◽

Cited By ~ 1

Author(s):

Francesca Erica Di Girolamo ◽

Francesca Campolongo ◽

Jan De Spiegeleer ◽

Wim Schoutens

Keyword(s):

Interest Rate ◽

Financial Market ◽

Convertible Bonds ◽

Share Price ◽

Convertible Bond ◽

Bank Capital ◽

Rate Process ◽

Depth Analysis ◽

Stochastic Interest ◽

Market Product

This paper provides an in-depth analysis of the structuring and the pricing of an innovative financial market product. This instrument is called a contingent conversion convertible bond or “CoCoCo”. This hybrid bond is itself a combination of two other hybrid instruments: a contingent convertible (“CoCo”) and a convertible bond. This combination introduces more complexity in the structure but it also allows investors to profit from strong share price performances. This upside potential is added on top of the normal contingent convertible mechanics of CoCos, which expose the investors to mainly downside risk. First, we explain how the features of the contingent convertible bonds on one side and the features of the standard convertible bonds on the other side are combined. Thereafter, we propose a pricing approach which moves away from the standard Black[Formula: see text]Scholes setting. The CoCoCos are evaluated using the Heston process to which a Hull-White interest rate process has been added. We demonstrate the importance of using a stochastic interest rate when modeling this instrument. Finally we quantify the loss absorbing capacity of this instrument.

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On the stability of domestic financial market linkages in the presence of time-varying volatility

Emerging Markets Review ◽

10.1016/j.ememar.2008.10.002 ◽

2008 ◽

Vol 9 (4) ◽

pp. 280-301 ◽

Cited By ~ 15

Author(s):

Thomas J. Flavin ◽

Ekaterini Panopoulou ◽

Deren Unalmis

Keyword(s):

Financial Market ◽

Time Varying ◽

Market Linkages ◽

The Stability

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Time-varying impact of U.S. financial conditions on China's inflation: a perspective of different types of events

Quantitative Finance and Economics ◽

10.3934/qfe.2021027 ◽

2021 ◽

Vol 5 (4) ◽

pp. 604-622

Author(s):

Yanhong Feng ◽

◽

Shuanglian Chen ◽

Wang Xuan ◽

Tan Yong ◽

...

Keyword(s):

Financial Market ◽

Trade Flow ◽

Time Varying ◽

Vector Autoregressive ◽

Financial Conditions ◽

Time Varying Parameter ◽

Different Types ◽

Changes Over Time ◽

Over Time ◽

Time Point

<abstract> <p>In recent years, the frequency adjustment of U.S. monetary policy has a dynamic and global impact on other countries' economy. Based on the financial conditions index (FCI), the paper employs the time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) and spillover index respectively to investigate the time-varying impact of U.S. financial conditions (UFCI) on China's inflation (CINF) and its impact mechanisms. Some results are achieved as follows: first, the impacts of UFCI on CINF vary greatly over time both in the dimension of action duration and time point. Second, the effects of UFCI on CINF directly relate to different types of major events, and they are heterogeneous in action duration, degree, direction as well as the trend and range of fluctuations. In addition, UFCI can work on CINF through trade flow and China's financial market, and the China's financial market plays a main conductive role, and its conductive effect changes over time.</p> </abstract>

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