scholarly journals The changing landscape of economy: social and technological progress in explaining the informational efficiency of capital markets

2020 ◽  
Vol 14 (1) ◽  
pp. 940-952
Author(s):  
Iuliana Ursu
Keyword(s):  
Market Efficiency ◽  
Capital Markets ◽  
Technological Progress ◽  
Bayesian Model Averaging ◽  
Negative Impact ◽  
Efficient Market Hypothesis ◽  
Social Progress ◽  
Informational Efficiency ◽  
Market Mechanisms ◽  
The Impact

AbstractIn today’s ever-changing landscape of economy, one of the fundamental problems remains whether market mechanisms are functioning in an efficient way, and which are the variables impacting those levels of efficiency. The main objectives of the present paper are to contribute to a better understanding of market mechanisms, by testing the Efficient market hypothesis on its weak form at a macroeconomic level, and to assess the impact of technological and social progress, measured through different variables, on markets informational efficiency. We use an adapted version of L. Kristoufek si M. Vosvrda (L. Kristoufek, M. Vosvrda, 2013, 184) methodology for Efficiency Index, based on long term memory (using 2 estimators), fractal dimension (using 11 estimators), and entropy (estimated through the approximate entropy), in order to assess the levels of efficiency for 20 market indices from both developed and emerging or frontier economies, from the Eurasia region. Further on, by using the Bayesian Model Averaging (BMA), we study the impact of technological and social progress on markets informational efficiency. Main results of the study reveal the existence of a market dynamics characterized by areas with distinctive levels of “informational efficiency”, within both developed and emerging economies, encompassing a non-negligible link between past and present, persistence or anti-persistence, and a high data complexity. Moreover, while studying the relationship between market efficiency and social and technological progress, we observe that variables such as Government Effectiveness, or Control of Corruption, have a positive impact on the levels of efficiency of capital markets, while most of the technological progress estimators (amongst which Computer, communications and other services (% of commercial service exports), or Individuals using the Internet (% of population)), have a negative impact, translated into a decrease of informational market efficiency on the short run (the rise of high frequency trading).

The Impact of the Transformation of Age Structure on Economic Growth

2016 ◽  
Vol 04 (04) ◽  
pp. 1650031 ◽  
Author(s):  
Wen ZHAO ◽  
Xuyang ZHU
Keyword(s):  
Economic Growth ◽  
Age Structure ◽  
Capital Accumulation ◽  
Technological Progress ◽  
Participation Rate ◽  
Market Mechanisms ◽  
Economic Growth Rate ◽  
Intergenerational Redistribution ◽  
Labor Remuneration ◽  
The Impact

The impact of the transformation of the age structure of the population on economic growth is governed by a strict law. In 12 economies under the authors’ observation, the contribution from the rejuvenation of the population to economic growth is basically 6% — the Chinese Mainland makes a contribution of 6.3%. The rejuvenation of the population has stimulated economic growth, but its contribution is very small compared with the contributions from capital accumulation and technological progress. According to international experience, in the case of addressing the transformation of the age structure of the population, relying on intergenerational redistribution will exert a great negative economic impact, while reducing the intensity of that redistribution and relying on market mechanisms to adjust the level of labor remuneration can increase the employment rate and the labor participation rate, thus raising the economic growth rate to the greatest extent.

scholarly journals Reynaldy Ama 130218268 B

2021 ◽  
Author(s):  
reynaldy ama
Keyword(s):  
Central Government ◽  
Negative Impact ◽  
Third Parties ◽  
Eastern Region ◽  
Market Mechanisms ◽  
The Government ◽  
The Impact

Market mechanisms tend to ignore costs or burdens borne by third parties as a result of activities carried out by companies. The information held by the government is often less accurate, especially in the eastern region, than the information held by fishermen, cultivators and fishermen associations, so that the central government is less able to understand the impact of the policies adopted. In fact, policies that were initially thought to have no impact on the environment actually have a very large negative impact on the environment.

scholarly journals The Impact of Behavioural Biases on Stock Volatility: Evidence From Pakistan Stock Exchange

2021 ◽  
Vol 5 (1) ◽  
pp. 215-225
Author(s):  
IRFAN ULLAH ◽  
DR. MUHAMMAD ZAHID ◽  
ZAIN ULLAH
Keyword(s):  
Quantitative Methods ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Secondary Data ◽  
Efficient Market Hypothesis ◽  
The Body ◽  
Stock Volatility ◽  
Trading Volumes ◽  
The Impact

The main purpose of the current study is to investigate the impact of behavioural biases such as confidence, optimism, and pessimism on stock volatility evidence from Pakistan Stock Exchange (PSX). Prospect theory and overconfidence theory formed the foundation of this study. The methodology composed of positivist philosophical stance, deductive approach and quantitative methods with secondary data. Data analysis involved the use of descriptive statistics, correlation and regression. The study consists ofa 10-years analysis from June 2008 to June 2018 and includes daily trading volumes KSE-100 index in PSX. Results reveal that behavioral biases such as confidence have a positive impact on stock volatility. Similarly, optimism bias has also a positive impact on stock volatility. While pessimism bias has recorded a negative impact on stock volatility. Therefore, it is concluded that behavioural biases have an impact on stock volatility. The current study has a contribution to the body of knowledge on the ground that it attempts to change the traditional notion of society who believes in the efficient market hypothesis. The study has implications for different stakeholders of stock markets.

scholarly journals Twitter, Investor Sentiment and Capital Markets: What Do We Know?

2018 ◽  
Vol 10 (8) ◽  
pp. 158
Author(s):  
Heba Ali
Keyword(s):  
Social Media ◽  
Market Efficiency ◽  
Capital Markets ◽  
Emotional Response ◽  
Positive Impact ◽  
Investor Sentiment ◽  
Theoretical Understanding ◽  
The Social ◽  
Media Sentiment ◽  
The Impact

Nowadays, the social media play a central role not only in “de-asymmetrizing” the information between firms and investors but also in influencing the emotional response to this information. The social media have provided firms with the opportunity to construct their image and stimulate significant attention and positive emotional responses (i.e. celebrity firm). Investors also become no longer passive participants; they can now communicate, re-tweet, comment, mention, react to information and express their sentiment/views. Theoretically, this should exert a positive impact on information diffusion and so the market efficiency. However, as the social media also significantly influence the public mood and emotional response to any new information/news, several behavioral explanations contradicting with the concept of market efficiency (e.g. investor sentiment and herding behavior) become more reasonable. The study aims at providing a literature review and synthesis of research on the impact of social media sentiment in the context of capital markets, scrutinizing the theoretical understanding of this impact, underlining the methodological challenges related to extracting the sentiment, and reviewing the main empirical findings on the impact in the context of Twitter and StockTwits, which will enable researchers to evaluate and classify existing studies, obtain useful insight into the theoretical understanding of the impact of social media sentiment, hence spurring further theoretical and empirical research.

scholarly journals THE EFFICIENT MARKET HYPOTHESIS: A CRITICAL REVIEW OF LITERATURE AND METHODOLOGY

Ekonomika ◽  
2014 ◽  
Vol 93 (2) ◽  
pp. 7-23 ◽  
Author(s):  
Augustas Degutis ◽  
Lina Novickytė
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Capital Markets ◽  
Intrinsic Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Current Status ◽  
Efficient Market ◽  
Baltic Countries ◽  
The Baltic

The development of the capital markets is changing the relevance and empirical validity of theefficient market hypothesis. The dynamism of capital markets determines the need for efficiency research. The authors analyse the development and the current status of the efficient market hypothesis with an emphasis on the Baltic stock market. Investors often fail to earn an excess profit, but yet stock market anomalies are observed and market prices often deviate from their intrinsic value. The article presents an analysis of the concept of efficient market. Also, the market efficiency evolution is reviewed and its current status is analysed. This paper presents also an examination of stock market efficiency in the Baltic countries. Finally, the research methods are reviewed and the methodology of testing the weak-form efficiency in a developing market is suggested. 

The impact of internal and external reinsurance on insurers' performance and price

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jin Park ◽  
Byeongyong Paul Choi ◽  
Chia-Ling Ho
Keyword(s):  
Capital Markets ◽  
Negative Impact ◽  
Positive Impact ◽  
Insurance Industry ◽  
Least Square ◽  
Internal Capital Markets ◽  
Content Type ◽  
Internal Capital ◽  
The Impact ◽  
Practical Implications

PurposeThis study is designed to investigate how the use of reinsurance affects the primary insurers' profitability and pricing on their insurance products.Design/methodology/approachThis study examines the impact of reinsurance on the insurers’ profitability using a two stage least square to control the endogeneity problem with a reinsurance variable. The study analyzes 11,894 firm-year observations between 2001 and 2009.FindingsThe study finds that the use of reinsurance in general has a negative impact on property/casualty insurers' performance. However, reinsurance obtained from affiliated firms has a positive impact on profitability, which supports the existence of internal capital markets in the insurance industry.Research limitations/implicationsThe finding of study implies that reinsurance transactions are used among affiliated insurers for not only managing underwriting risk and increasing underwriting capacity but also subsidizing capital through internal capital markets. In term of limitation, due to the availability of price data, this study uses only one insurance cycle of 9 years, albeit not weakening the findings.Practical implicationsEspecially for non-affiliated insurers, the finding suggests that they need to find an alternative way to transfer underwriting risk without having to use costly reinsurance.Originality/valueThis paper directly investigates the impact of reinsurance utilization on insurers' profitability and pricing.

scholarly journals Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Laws ◽  
2021 ◽  
Vol 10 (3) ◽  
pp. 55
Author(s):  
Marius Cristian Miloș
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Stock Markets ◽  
Negative Impact ◽  
Short Term ◽  
Emerging Stock Markets ◽  
Volatility Analysis ◽  
Stock Indexes ◽  
European Stock Markets ◽  
The Impact

The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.

scholarly journals Regression Towards The Mean Versus Efficient Market Hypothesis: An Empirical Study

2011 ◽  
Vol 4 (12) ◽  
Author(s):  
H. Francis Bush ◽  
Michael D. Canning
Keyword(s):  
Empirical Study ◽  
Market Efficiency ◽  
Capital Markets ◽  
Efficient Market Hypothesis ◽  
Font Size ◽  
Efficient Market ◽  
The Mean ◽  
Fortune Magazine ◽  
Regression Towards The Mean

<p class="MsoNormal" style="text-align: justify; margin: 0in 31.2pt 0pt 0.5in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study investigates the dominance of the statistical phenomenon, regression towards the means, against the market efficiency of capital markets.<span style="mso-spacerun: yes;">&nbsp; </span>Using Fortune Magazine&rsquo;s ranking of America&rsquo;s most admired companies to distinguish positive from negative firms, and using the Standard and Poor Index as a surrogate for market, the authors demonstrated that: (1) a portfolio of least admired forms will outperform a portfolio of most admired firms, (2) a portfolio of most admired firms will outperform the market, and (3) a portfolio of least admired firms will outperform the market.</span></span></p>

scholarly journals Collective dynamics of stock market efficiency

2020 ◽  
Vol 10 (1) ◽  
Author(s):  
Luiz G. A. Alves ◽  
Higor Y. D. Sigaki ◽  
Matjaž Perc ◽  
Haroldo V. Ribeiro
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Prices ◽  
Stock Markets ◽  
Time Windows ◽  
Efficient Market Hypothesis ◽  
Permutation Entropy ◽  
Informational Efficiency ◽  
Stock Market Efficiency ◽  
High Level

AbstractSummarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the efficiency of stock markets, most studies assume this efficiency to be constant over time so that its dynamical and collective aspects remain poorly understood. Here we define the time-varying efficiency of stock markets by calculating the permutation entropy within sliding time-windows of log-returns of stock market indices. We show that major world stock markets can be hierarchically classified into several groups that display similar long-term efficiency profiles. However, we also show that efficiency ranks and clusters of markets with similar trends are only stable for a few months at a time. We thus propose a network representation of stock markets that aggregates their short-term efficiency patterns into a global and coherent picture. We find this financial network to be strongly entangled while also having a modular structure that consists of two distinct groups of stock markets. Our results suggest that stock market efficiency is a collective phenomenon that can drive its operation at a high level of informational efficiency, but also places the entire system under risk of failure.

ANTI-INNOVATION OF THE FINANCIAL SECTOR AS A CRISES FACTOR

2020 ◽  
Vol 3 (8) ◽  
pp. 4-10
Author(s):  
G. A. SHCHERBAKOV ◽  
Keyword(s):  
Economic Development ◽  
Negative Impact ◽  
Financial Sector ◽  
Financial Derivatives ◽  
Social Progress ◽  
Entrepreneurial Activity ◽  
Public Interests ◽  
Separate Area ◽  
German Researcher ◽  
The Impact

A separate area of economic theory is devoted to the impact of innovation on economic development. As a rule, in this context, innovation is viewed as a positive economic phenomenon that has the potential to contribute to social progress. However, entrepreneurial activity is sometimes aimed at solving problems that are focused on solving narrower problems than the achievement of social welfare, and sometimes even conflicting with public interests. In this case, such economic categories as “pseudo-innovation” and “anti-innovation”, proposed by the German researcher G. Mensch and the domestic economist Yu. V. Yakovets (respectively), arise. The existence of such types of innovations destroys a rather blissful picture formed over the decades of the development of innovation theory. The presented article is devoted to the consideration of the negative impact of innovations in the financial sector, collectively called "financial derivatives", on the sustainability of economic development.

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