Analyzing Dynamic Causal Linkages Between Developed Stock Markets of Spain and Canada

The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the sample period between June 1993 and December 2013. The financial econometrics empirical research includes the Unit Root Test, the Augmented Dickey-Fuller stationary test, the BDS test and the Granger causality test. The empirical results provide a useful framework on international portfolio diversification and risk management.

Modeling S&P Bombay Stock Exchange BANKEX Index Volatility Patterns Using GARCH Model

The main objective of this chapter is to estimate volatility patterns in the case of S&P Bombay Stock Exchange (BSE) BANKEX index in India. In recent past, the Indian banking sector was one of the fastest-growing industries and all major banks have been included in S&P BANKEX index as index benchmark constituent companies. The financial econometric framework is based on asymmetric GARCH (1, 1) model which is performed in order to capture asymmetric volatility clustering and leptokurtosis. Data time lag is considered from the first transaction day of January 2002 to last transaction day of June 2014. The empirical results revealed the existence of volatility shocks in the selected time series and also volatility clustering. The volatility impact has generated highly positive clockwise and impacted actual stocks. Moreover, the empirical findings reveal that the BANKEX index grown over 17 times in 12 years and volatility returns have been found present in listed stocks.

Analyzing Long-Term Dynamic Causal Linkages and Financial Integration Between the Capital Markets in Romania and Hungary

This chapter aims to investigate long-term dynamic causal linkages between stock markets in Hungary and Romania in order to obtain additional benefits based on international portfolio diversification, especially in terms of globalization. Emerging stock markets are generally considered to be more attractive for both institutional and individual financial investors due to certain stylized facts. The volatility transmission patterns, financial contagion effects, international interdependence and long-run causal linkages between international stock markets highlight the importance of a functional and stable financial environment. Technically, the structure of this subchapter includes both theoretical developments and additional empirical results. Moreover, the empirical analysis provides a quantitative perspective on global interdependencies between Romania and Hungary.

Inflation Inertia and Inflation Persistence in Romania Using a DSGE Approach

The main purpose of this chapter is to investigate monetary policy dynamics, as well as the inflation inertia and inflation persistence in Romania using a DSGE approach. The empirical findings revealed that the price evolution reflects the difficulties of eliminating the inflation inertia. Moreover, in Romania, the historic inflation evolution has a significant influence in terms of inflation expectation patterns. Inflation is a negative phenomenon with dramatic consequences for Romania's economic development on long term.

Monetary Policy Transmission Mechanism in Romania Over the Period 2001 to 2012

This chapter aims to provide additional empirical evidence on monetary policy transmission mechanism in Romania over the period 2001 to 2012 based on a BVAR analysis with a KoKo Minnesota/Litterman prior. The importance of the central bank is rising in Romania considering its main attribution to control the interest rate in accordance with its objectives. The empirical evidence provides a significant contribution to literature taking into account the characteristics of the selected emerging country, i.e. Romania, a former communist country in Central and Eastern Europe.

Financial Nexus

This book chapter investigates the financial nexus generated by bank soundness, concentration, and efficiency in the banking sector, as well as the development of the capital markets. The selected databases includes the time period between 1997 and 2010 for a large sample of 63 developed and developing countries. The empirical findings suggested that bank performance has a high impact on the relation between soundness, structural and functional characteristics of the banking sector. The econometric framework is complex and the empirical results appear to be robust for various measures of the selected variables and for distinct estimation techniques.

Investigating Long-Term Behavior of Milan Stock Exchange (Italy)

The main purpose of this chapter is to highlight the long-term behavior of Milan Stock Exchange (Italy) based on the FTSE MIB major stock market index. The empirical analysis covers a long period of time from January 1999 to December 2013 and describes the daily stock price movements in order to identify both financial expansion and contraction cycles. However, Milan Stock Exchange is a developed stock market that exhibits a more stable behavior than emerging stock markets, even stylized facts are much lower in this case. The econometric analysis provides an exhaustive perspective, because selected stock market behavior has changed completely due to the negative influence of the global financial crisis.

The Global Implications of Financial Contagion in Developed Capital Markets

The main aim of this chapter is to provide an econometric analysis focused on investigating the consequences of financial contagion between certain developed capital markets, such as USA, France, UK, and Germany in terms of global financial crisis. In the recent past, the impact of international transmission mechanisms significantly affected the investment behavior due to the propagation of financial shocks. More specifically, the risk of financial contagion highlights the vulnerability of traditional assumptions based on efficiency and rationality considering the global implications of resource allocation performance and international portfolio diversification.

Estimating Long-Term Volatility on National Stock Exchange of India

The main objective of this chapter is to provide an elaborate framework on the long-term volatility of the National Stock Exchange of India based on Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of the most diversified Indian stock indices which includes over 38 sectors of the economy. This stock index represents about 81.57% of the free-floating market capitalization of stocks listed on the National Stock Exchange (NSE) of India from March 2014. Moreover, this book chapter empirically tested volatility clusters of CNX100 index using a large sample database from October 2007 to July 2014.

Efficiency in Cooperative Banks and Savings Banks

This chapter provides additional empirical evidence on the efficiency in cooperative banks and savings banks by applying a stochastic frontier model to estimate the cost efficiency from nine countries over the period 2005 to 2011. The empirical results suggested that a higher rate of the gross domestic product (GDP) growth implies an increase in the inefficiency level, while smaller cooperative and savings banks are more efficient in managing costs compared to larger banks.