INTERRELATION OF THE MONEY AND CAPITAL MARKETS

The structure of financial markets is a constantly developing organism displaying an ever-changing pattern of the weight in the overall financial market structure of its constituents such as capital market, money market and the market of financial derivatives as a product of thetwo markets. The changes and the new developments are caused by a vast number of reasons and factors including the interaction of the markets concerned. The structural changes taking place in the financial markets and the related forecasts are of great importance to the investors and investment portfolio managers. The financial markets of Lithuania have already become an integral part of the global financial system therefore the authors of the present study did not limit the scope of the survey exclusively to the Lithuanian markets and took a broader view by carrying out a survey of the financial market segments such as capital and money markets of a number of Eastern European, Western European, North American States and the Pacific Ocean region, also the trends of the structural developments as well as the factors causing the processes.The purpose of the present study was to assess whether capital and money markets develop in parallel, i.e., the development of one market creates the conditions favourable for the growth and development of the other, or the two markets perform as competitors. The object of the survey: money and capital markets of East European, West European, North American and Pacific Ocean region countries. Methods used: analysis of the research literature, statistical grouping, correlation analysis.

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The Capital Market Authority Effectiveness in the Regulation of Financial Markets perspectives from the financial sector actors

Australian Journal of Business and Management Research ◽

10.52283/nswrca.ajbmr.20120211a02 ◽

2012 ◽

Vol 02 (11) ◽

pp. 15-24

Author(s):

Charles Kombo Okioga

Keyword(s):

Financial Markets ◽

Financial Market ◽

Capital Markets ◽

Capital Market ◽

Financial Regulation ◽

International Standards ◽

Market Regulation ◽

Financial Market Regulation ◽

Market Participants ◽

New Business

Capital Market Authority in Kenya is in a development phase in order to be effective in the regulation of the financial markets. The market participants and the regulators are increasingly adopting international standards in order to make the capital markets in sync with those of developed markets. New products are being introduced and new business lines are being established. The Capital Markets Authority (Regulator) is constantly reviewing existing regulations and recommending changes to regulate the market properly. Business lines and activities are being harmonized by market participants to provide a one stop solution in order to meet the financial and securities services needs of the investors. The convergence of business lines and activities of market intermediaries gives rise to the diversity of a firm’s business operations to meet multiplicity of regulations that its activities are subject to. The methodology used in this study was designed to examine the relationship between capital markets Authority effective regulation and the performance of the financial markets. The study used correlation design, the study population consisted of 30 employees in financial institutions regulated by Capital Markets Authority and 80 investors. The study found out that effective financial market regulation has a significant relationship with the financial market performance indicated by (r=0.571, p<0.01) and (r=0.716, p≤0.01, the study recommended a further research on the factors that hinder effective financial regulation by the Capital Markets Authority.

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The Emergence of a National Capital Market in England, 1710–1880

The Journal of Economic History ◽

10.1017/s0022050700012365 ◽

1993 ◽

Vol 53 (1) ◽

pp. 1-24 ◽

Cited By ~ 19

Author(s):

Moshe Buchinsky ◽

Ben Polak

Keyword(s):

Eighteenth Century ◽

Financial Markets ◽

Interest Rates ◽

Financial Market ◽

Capital Markets ◽

Capital Market ◽

Late Eighteenth Century ◽

Regional Markets ◽

Late Eighteenth ◽

National Capital

Was eighteenth-century London's financial market linked to domestic real capital markets? When did English capital markets cease to be regionally segmented? We compare London interest rates with annual registered property transactions in Middlesex and in West Yorkshire. This evidence, though tentative, suggests that London financial markets were weakly linked to local real capital markets in the mid-eighteenth century. By the late eighteenth century those links were strong. Regional markets were still segmented in the mid-eighteenth century but were integrated by the time of the Napoleonic War.

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A Taxonomy of Financial Market Manipulations: Establishing Trust and Market Integrity in the Financialized Economy through Automated Fraud Detection

Journal of Information Technology ◽

10.1057/s41265-016-0029-z ◽

2017 ◽

Vol 32 (3) ◽

pp. 251-269 ◽

Cited By ~ 7

Author(s):

Michael Siering ◽

Benjamin Clapham ◽

Oliver Engel ◽

Peter Gomber

Keyword(s):

Financial Markets ◽

Financial Market ◽

High Frequency ◽

Fraud Detection ◽

Vast Number ◽

Market Surveillance ◽

Market Abuse ◽

Market Participants ◽

Speculative Trading

Financial market manipulations represent a major threat to trust and market integrity in capital markets. Manipulations contribute to mispricing, market imperfections and an increase in transaction costs for market participants and in costs of capital for issuers. Manipulations are facilitated by increased transaction velocity, speculative trading and abusive usage of new trading technologies, i.e., they are directly linked to financial sector changes that drive financialization. Research at the intersection of financialization and IS might support regulatory authorities and market operators in improving market surveillance and helping to detect fraudulent activities. However, confusing terminology is prevalent on financial markets with respect to different manipulation techniques and their characteristics, which hampers efficient fraud detection. Furthermore, recognizing manipulations is challenging given the large number of information sources and the vast number of trades occurring not least because of high-frequency traders. Therefore, automated market surveillance tools require a comprehensive taxonomy of financial market manipulations as a basis for appropriate configuration. Based on a cluster analysis of SEC litigation releases, a review of the latest market abuse regulation and academic studies, we develop a taxonomy of manipulations that structures and details existing manipulation techniques and reveals how these techniques differ along several dimensions. In a case study, we show how the taxonomy can be utilized to guide the development of appropriate decision support systems for fraud detection.

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Valuing Peace: The Effects of Financial Market Exposure on Votes and Political Attitudes

Econometrica ◽

10.3982/ecta16385 ◽

2019 ◽

Vol 87 (5) ◽

pp. 1561-1588 ◽

Cited By ~ 4

Author(s):

Saumitra Jha ◽

Moses Shayo

Keyword(s):

Financial Markets ◽

Financial Market ◽

Political Attitudes ◽

Peace Process ◽

Superior Performance ◽

Financial Assets ◽

Material Incentive ◽

Nonfinancial Information ◽

Political Messages ◽

Economic Risks

Can participation in financial markets lead individuals to reevaluate the costs of conflict, change their political attitudes, and even their votes? Prior to the 2015 Israeli elections, we randomly assigned Palestinian and Israeli financial assets to likely voters and incentivized them to actively trade for up to 7 weeks. No political messages or nonfinancial information were included. The treatment systematically shifted vote choices toward parties more supportive of the peace process. This effect is not due to a direct material incentive to vote a particular way. Rather, the treatment reduces opposition to concessions for peace and changes awareness of the broader economic risks of conflict. While participants who were assigned Palestinian assets are more likely to associate their assets' performance with peace, they are less engaged in the experiment. Combined with the superior performance of Israeli stocks during the study period, the ultimate effects of Israeli and Palestinian assets are similar.

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Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽

10.3390/agriculture11020093 ◽

2021 ◽

Vol 11 (2) ◽

pp. 93

Author(s):

Pavel Kotyza ◽

Katarzyna Czech ◽

Michał Wielechowski ◽

Luboš Smutka ◽

Petr Procházka

Keyword(s):

Financial Crisis ◽

Stock Market ◽

Financial Market ◽

Structural Breaks ◽

Structural Changes ◽

Global Financial Crisis ◽

Market Uncertainty ◽

Volatility Index ◽

The Global Financial Crisis ◽

The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

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

Journal of Uncertain Systems ◽

10.1142/s1752890921500021 ◽

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.

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

Journal of Risk and Financial Management ◽

10.3390/jrfm13100235 ◽

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.

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Interdependence of stock exchange indices from leading capital markets: USA, Germany and Japan Stock Market

Bizinfo Blace ◽

10.5937/bizinfo2101015m ◽

2021 ◽

Vol 12 (1) ◽

pp. 15-28

Author(s):

Milena Marjanović ◽

Ivan Mihailović ◽

Ognjen Dimitrijević

Keyword(s):

United States ◽

Financial Markets ◽

Capital Markets ◽

Stock Exchange ◽

Impulse Response Function ◽

The United States ◽

Causality Test ◽

Vector Autoregressive ◽

Equilibrium Relationship ◽

The Us

In the context of globalization, due to the accelerated process of economic integration of countries and financial markets, the interdependence of the world's leading financial markets is more than obvious. This paper investigates the interdependence of stock exchange indices from leading capital markets in the world: USA, European Union and Asia. Our intention is to determine the direction of causality between the observed capital markets, as well as whether and in what way shocks in one market are transmitted to other markets. Research methodology includes stationarity testing, the existence of cointegration, the application of the Vector Autoregressive Model (VAR) which is complemented by the Granger causality test and the Impulse Response Function (IRF) analysis. The results of the research are as follows. Johansen's cointegration test showed that there is no long-term equilibrium relationship between the observed markets, while Granger's test showed that there is mutual causality between the capital markets of Germany and the United States. As for the Japanese index, previous events in Germany and the United States are statistically significant, but previous events on the Tokyo Stock Exchange cannot explain movements in Germany and the United States. According to the results of the IRF analysis, shocks that may occur in the US market have an almost identical impact on all observed markets. On the other hand, disturbances on the Japanese market are not transmitted to the German and American market, i.e. remain in Japan.

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Analysis And Directions Of Development Of The Practice Of Attracting Capital From The Financial Market Of Joint-Stock Companies. Evidence From Uzbekistan

The American Journal of Applied Sciences ◽

10.37547/tajas/volume02issue12-21 ◽

2020 ◽

Vol 02 (12) ◽

pp. 136-144

Author(s):

Buvsara Tashmuradova ◽

◽

Omonullo Hamdamov ◽

Keyword(s):

Financial Markets ◽

Financial Market ◽

Financial Sector ◽

Economic Importance ◽

Current Situation ◽

Financial Resources ◽

International Financial Markets ◽

The Republic ◽

National Practice

The paper describes the economic importance of attracting financial resources from the national and international financial markets by joint stock companies operating in the Republic of Uzbekistan. The current situation with the attraction of capital from the international financial markets by companies in the financial sector has been analyzed and key conclusions have been drawn. In national practice, the existing shortcomings in the financing of companies on the basis of debt instruments have been studied and scientific proposals have been developed to address them.

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Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility

Stats ◽

10.3390/stats4040058 ◽

2021 ◽

Vol 4 (4) ◽

pp. 1012-1026

Author(s):

Sahar Albosaily ◽

Serguei Pergamenchtchikov

Keyword(s):

Financial Markets ◽

Numerical Simulations ◽

Financial Market ◽

Optimal Investment ◽

Optimal Consumption ◽

Dynamical Programming ◽

Verification Theorem ◽

Logarithmic Utility ◽

Hamilton Jacobi Bellman ◽

Optimal Investment And Consumption

We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method. We show a special verification theorem for this case. We find the solution to the Hamilton–Jacobi–Bellman (HJB) equation in explicit form and as a consequence we construct optimal financial strategies. Moreover, we study the constructed strategies with numerical simulations.

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