price volatility in the carbon market in china abstract china is the world s largest developing country and a carbon dioxide emitter a functional carbon market can effectively reduce carbon emissions this paper uses the markov chain monte carlo stochastic volatility model and the wavelet multi resolution model to analyze the volatility of price returns and the dynamic characteristics of price fluctuations in the carbon pilot markets in hubei shanghai and shenzhen the price movements in these markets are compared to the emissions trading system of the european union eu ets the results show that there is a volatility clustering in the price of carbon trading in hubei shanghai shenzhen and the eu ets china s carbon pilot markets have a deficiency in terms of volatility stability as does the eu ets from a long term perspective china s carbon market lacks a detailed development plan which is vital because the construction of the market system is not yet optimal from a short term view china s carbon market is not active and the participants attitude toward risk is extremely sensitive

unionization and input flexibility in u s manufacturing 1973 1996 input flexibility as measured by the ability of firms to vary input demand in the face of changes in input prices is an important dimension of labor market flexibility using a new dataset the authors analyze the impact of unionization on input flexibility in u s manufacturing from 1973 to 1996 a period in which production was arguably becoming more flexible due to deep changes in the u s industrial relations system and in the broad macroeconomic environment the authors quantify the effects of unionization on input flexibility by estimating elasticities of substitution between a broad range of labor and non labor inputs controlling for unionization the pattern that emerges is more complex than that suggested by other research in particular low unionization apparently is associated with greater flexibility in the use of labor inputs but less flexibility in the use of non labor inputs

a note on unionization and the elasticity of substitution if unions force employers off their demand curves the measured elasticity of substitutio n should be lower where unionization is stronger estimates based on pooled data for twenty two digit sic canadian manufacturing industrie s over the period 1971 81 support this proposition point estimates a re that the elasticity is 1 98 in the absence of unions 1 04 if empl oyees are fifty percent unionized and only 0 10 if employees are one hundred percent unionized however the results are not very robust to specification changes

factor substitution average firm size and economic growth this paper extends the lucas 1978 the bell journal of economics 9 2 508 523 analysis of firm size by taking into account a normalised aggregate ces production function in a general equilibrium framework it is proved that there is an inverse relation between the elasticity of substitution and average firm size if interpreted together with the fact that richer countries are characterised by a higher elasticity of substitution this result can explain why the recent literature finds a positive association between the importance of smes in an economy and its stage of development but seems to fail in finding causality between the two both have a common origin a high value of the elasticity of substitution this paper also provides a first empirical test of the theory proposed using cross country data from both developed and developing countries

dynamics of risk management tools and auctions in the second phase of the brazilian electricity market reform abstract in 2004 the reform of the brazilian electricity market underwent a thorough revision one of its causes was the electricity rationing that began in june 2001 and lasted until february 2002 among other measures the 2004 revision devised new mechanisms intended to reduce risks associated to contracts settled in electricity auctions and those related to investments in new generation plants as 4 years have passed since the onset of the reform s revision sufficiently enough data are now available for an analysis of the post revision dynamics of the brazilian electricity market this is the purpose of the present paper we focus on the dynamics of the different types of electricity auctions and on the so called mechanism for compensation of surpluses and deficits both created in the wake of the 2004 revision the ultimate goal is to understand the behavior of the agents involved in auctions notably buyers and sellers of electricity and propose remedial actions to eliminate existing loopholes in the present regulatory framework to achieve this goal four steps were necessary firstly a data base to support the analysis was built then the main drivers of the dynamics of the risk management tools were identified finally consequences of the implemented changes were discussed and corrections for observed pitfalls proposed

ces production functions and economic growth we examine inconsistencies and controversies related to the use of ces production functions in growth models first we show that not all variants of ces functions commonly used are consistently specified second using a simple growth model we find that a higher elasticity of substitution leads to a higher steady state and makes the emergence of permanent growth more probable it is also pointed out that the effect of a higher elasticity of substitution on the speed of convergence depends on the relative scarcity of the factors of production finally we discuss possible explanations of variations in the elasticity of substitution jel classification o41 o11

oil and asset classes implied volatilities investment strategies and hedging effectiveness abstract building on the increased interest in oil prices and other financial assets this paper examines the dynamic conditional correlations among their implied volatility indices we then proceed to the examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities which belong to four different asset classes stocks commodities exchange rates and macroeconomic conditions the results suggest that the oil price implied volatility index ovx is highly correlated with the us and emerging stock market volatility indices whereas the lowest correlations are observed with the implied volatilities of gold and the euro dollar exchange rate hedge ratios indicate that vix is the least useful implied volatility index to hedge against oil implied volatility finally we show that investors can benefit substantially by adjusting their portfolios based on the dynamic weights and hedge ratios obtained from the dynamic conditional correlation models although a trade off exists between the level of risk reduction and portfolio profitability

analysing systemic risk and time frequency quantile dependence between crude oil prices and brics equity markets indices a new look abstract this paper examines the dependence structure and the systemic risk between the return series of oil prices and the brics equity market indices using the newly developed methods of the quantile coherency of barunik and kley 2015 and the nonparametric conditional value at risk causality ncovar and the ncovar granger causality tests ncovar gc of diks and wolski 2018 for the period 2001 2018 further the traditional tests of hiemstra and jones 1994 and diks panchenko 2005 are used for comparison purposes the new methods have given rise to findings that are substantially different from those based on the two traditional approaches from our frequency dependence analysis we find a significant long term dependence coherency between the russian brazilian and south african stock markets and oil shifts however the ncovar analysis demonstrates a robust instantaneous dependence in both directions between almost all of the brics stock markets the exception is the indian market and the oil market the ncovar gc analysis reveals a robust lagged dependence from the oil market onto the chinese stock market only these findings provide helpful insights for regulators and potential international investors

the low cost of quality improvements in the electricity distribution sector of brazil abstract we analyze the impact of introducing output based incentives in the price cap regulatory regime of the brazilian electricity distribution sector we focus on the trade off between operating costs and quality improvement hypothesizing a positive relationship operating costs include maintenance and repair expenses the regulator sets limits for service continuity and non technical energy losses in each regulatory period service continuity refers to the average length of interruptions in electricity distribution non technical losses refer to losses due to factors specific to the distribution segment quality incentives include peer pressure and penalties rewards for compliance with minimum quality standards we model operating costs using a gmm framework to acknowledge endogeneity of variables the model is dynamic given the inclusion of regulatory lags to recognize past cost behavior findings reveal a small trade off between costs and quality we conclude that quality improvements are not costly relative to the potential savings from complying with quality standards we also find that the impact on operating costs is larger when energy losses increase compared to the cost effect due to increases in duration of outages these findings suggest areas of attention in managerial decision making and serve as valuable information to the regulator in tailoring quality incentives for this sector

oil and stock market volatility a multivariate stochastic volatility perspective abstract this paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction it offers four major findings first the stock and oil futures prices are inter related their correlation follows a time varying dynamic process and tends to increase when the markets are more volatile second conditioned on the past information the volatility in each market is very persistent i e it varies in a predictable manner third there is inter market dependence in volatility innovations that hit either market can affect the volatility in the other market in other words conditioned on the persistence and the past volatility in their respective markets the past volatility of the stock oil futures market also has predictive power over the future volatility of the oil futures stock market finally the model produces more accurate value at risk estimates than other benchmarks commonly used in the financial industry

systemic risk spillovers between crude oil and stock index returns of g7 economies conditional value at risk and marginal expected shortfall approaches abstract in this study we examine systemic risk and dependence between oil and stock market indices of g7 economies between january 2003 and november 2017 coincidentally this timeframe covers different distress periods in financial and energy markets we use several time constant time varying and time varying markov copula models to examine the dependence further we use the delta conditional value at risk covar of adrian and brunnermeier 2016 and marginal expected shortfall mes of acharya et al 2012 to captures the risk spillover effects and give evidence of systemic risk from the copula analysis we find dissimilar dependence structure between returns series of oil and the g7 stock markets for france germany and japan the dependence is markov switching time varying while it is time varying for the united states and canada constant for the united kingdom and around zero for italy our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the g7 stock market returns during volatile times than during tranquil times in particular the canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets further the country risk rankings identified using mes and covar may not be identical in addition the analysis results suggest that the crude oil market can be a good diversifier for investors in japan and france and that the investors in the rest of g7 countries must act more carefully

oil prices and news based uncertainty novel evidence abstract in this paper using news implied volatility nvix as a key variable to measure news based uncertainty we investigate whether the world price of oil and three classical oil shocks affect news based uncertainty or vice versa our analysis is conducted through the news mechanism that is unrelated to fundamentals this research contributes to the literature on the effect of oil prices on news based uncertainty by studying the dynamics in both the time and frequency domains using the wavelet coherence analysis our results illustrate that oil prices exhibit a statistically and economically significant leading role on nvix especially in the long run further we distinguish the different impacts of oil shocks and find that the oil supply and aggregate demand shocks usually play a leading role on relatively long term nvix while the oil specific demand shocks are sensitive to the fluctuations of nvix we also find that the rules of comovement between oil prices oil shocks and news based uncertainty change at different frequencies and times they usually move together in opposite directions with the exception of the oil supply shocks and nvix these findings apply to both oil spot and futures markets our results present new and interesting implications for investors and policy makers by supporting the news reallocation channel as an important transmission mechanism from oil markets

the oil price crash in 2014 15 was there a negative financial bubble abstract this paper suggests that there was a negative bubble in oil prices in 2014 15 which decreased them beyond the level justified by economic fundamentals this proposition is corroborated by two sets of bubble detection strategies the first set consists of tests for financial bubbles while the second set consists of the log periodic power law lppl model for negative financial bubbles despite the methodological differences between these detection methods they provided the same outcome the oil price experienced a statistically significant negative financial bubble in the last months of 2014 and at the beginning of 2015 these results also hold after several robustness checks which consider the effect of conditional heteroskedasticity model set ups with additional restrictions longer data samples tests with lower frequency data and with an alternative proxy variable to measure the fundamental value of oil

privatization of electricity distribution in the northeast of brazil the good the bad the ugly or the naive this paper analyzes the evolution of five electricity distribution companies in the northeast of brazil using technical and financial indicators three privatized and two public firms were analyzed between 1997 and 2008 the financial indicators are used as proxies for the capacity of the business to generate value for shareholders while the technical indicators are used as proxies for service quality provided to consumers we observed that the privatized firms had their financial indicators improved after privatization increasing the value of the firm for the shareholders however there is no evidence that privatization affected the quality of service provided to consumers

the effects of unions on employment and productivity an unresolved contradiction the evidence that unions substantially increase productivity is contradicted by the evidence that the effect of unions on employment is small it is shown in this paper that if the union is constrained by the firm s demand function and it is the efficiency units of labor that are in the demand function then essentially the only way to resolve this contradiction is for unions to raise the productivity of capital and not of labor under conditions where the substitutability between labor and capital is very limited but estimates of the substitutability parameter are near unity so that one of these effects must be wrong either unions do not substantially increase productivity or they substantially reduce employment

volatility spillovers among oil and stock markets in the us and saudi arabia in this article we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the us and saudi arabian stock markets we doc

what will take the con out of econometrics the paper begins with the question of whether leamer s extreme bounds analysis eba really does take the con out of econometrics by analytically demonstrating that the extreme bounds are simply functions of the f statistic for the deletion of variables from a regression we conclude that the information provided by eba represents no advance over that available from traditional methods furthermore there is a degree of arbitrariness in eba which exactly parallels the selective reporting of regressions it was designed to supplant the last part of the paper attempts a positive response to its title by following a well defined series of modelling steps we maintain that cooley and le roy s eba derived conclusions concerning the interest elasticity of money demand owe more to a faulty methodology than to the data this abstract was borrowed from another version of this item

analyzing volatility spillovers and hedging between oil and stock markets evidence from wavelet analysis abstract this paper examines the linkage of crude oil market wti and stock markets of the g 7 countries we study the mean and volatility spillovers of oil and stock market prices over various time horizons we propose a new approach incorporating both multivariate garch models and wavelet analysis wavelet based mgarch approach we combine a bivariate garch bekk model with wavelet multiresolution analysis in order to capture the multiscale features of mean and volatility spillovers between time series for optimal portfolio allocation decisions we analyze the multiscale behavior of hedge ratio empirical results show strong evidence of significant volatility spillovers between oil and stock markets as well as time varying correlations for various market pairs however results of wavelet coherence indicate that in most the wti market was leading in addition it is stated that the decomposed volatility spillovers permit investors to adapt their hedging strategies

a wavelet analysis of mean and volatility spillovers between oil and brics stock markets this paper investigates the spillover effects of volatility and shocks between oil prices and the brics stock markets using multivariate approach and wavelet analysis at different time horizons hence we combine a multivariate arma garch model and wavelet multiresolution analysis to study this phenomenon a bivariate arma 1 1 garch 1 1 cdcc student t model was joined with modwt filter to capture a broad range of possible spillover effects in mean and variances of level prices at various time horizons generally empirical results provide strong evidence of time varying volatility in all markets under study however our proposed approach shows that oil price and stock market prices are directly affected by their own news and volatilities and indirectly affected by the volatilities of other prices and wavelet scale the results show also that mean and volatility spillover effects was decomposed into many sub spillovers on different time scales according to heterogeneous investors and market participants the practical implications of this study are critical innovative and useful for the local and international investors and also for the portfolio managers they can utilize this study to formulate the optimal oil bricks stock portfolios as well as lead to more accurate predictions of volatility spillovers patterns also in developing their hedging strategies

dynamic spillovers between oil and stock markets in the gulf cooperation council countries this article exploits a new spillover directional measure proposed by diebold and yilmaz 2009 2012 to investigate the dynamic spillover of return and volatility between oil and equities in the gulf cooperation council countries during the period 2004 to 2012 our results indicate that return and volatility transmissions are bi directional albeit asymmetric in particular the oil market gives other markets more than it receives in terms of both returns and volatilities these trends were more pronounced in the aftermath of the global financial crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis the empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the gcc countries

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

the brazilian electrical system reform abstract although the brazilian electrical system has been a public monopoly the threat of electricity shortages from a lack of investment triggered a comprehensive reform in 1993 the government began a series of laws decrees and regulations reforming the tariff policy allowing privatization of utilities foreign investments and independent power produces and creating an independent transmission grid and a new electricity regulatory agency aneel the new regulatory framework is not completely defined but the proposed model intends to transform bulk electricity supply into a competitive market similar to that adopted in england our objective is to evaluate whether the proposed reform will succeed in attracting the required private capital will allow an unregulated wholesale electricity market and will require a strict regulatory framework the reform has been quite successful in privatizing the distribution companies but is allowing monopolistic rents and has failed until now to attract private investments to expand generation capacity the risk of black outs has increased and the proposed wholesale electricity market may not be appropriate because of barriers to constructing new hydroelectric units now 90 of the system therefore a new regulatory framework and a strong regulatory agency with a well defined tariff policy should have proceeded the privatization

measuring the efficiency of grid companies in china a bootstrapping non parametric meta frontier approach abstract the unbundling policy reform of power industry has become a worldwide trend since 1980s there are quite many studies focusing on the efficiency changes of transmission and distribution sectors in european and latin american countries while few reports on china s issues have been found this paper employs a nonparametric frontier estimation combined with meta frontier and bootstrapping method to measure the productive efficiency and changes in the decomposition index for china s 31 grid companies from 2004 to 2013 in addition it further employs tobit regression model to analyze the influences of relevant policies and heterogeneity factors such as natural conditions and economic development the results indicate that the grouping approach extends the application of non parametric data envelopment analysis which may decrease the assumption of homogeneity for the decision making units and provide better efficiency estimates by increasing the credibility of the evaluation results overall productive efficiency increased during the whole study period with technology progress the main contributor to this improvement efficiency trends fluctuated with changes in economic development and power supply situation and the economics and customer density had positive effects on productive efficiency while the influence of clean power proportion is negative

oil prices stock markets and portfolio investment evidence from sector analysis in europe over the last decade this article extends the understanding of oil stock market relationships over the last turbulent decade unlike previous empirical investigations which have largely focused on broad based market indices national and or regional indices we examine short term linkages in the aggregate as well as sector by sector levels in europe using different econometric techniques our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector in the out of sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk return characteristics

substitution between production labor and other inputs in unionized and non unionized manufacturing the ease of substitution between labor and other factors of production is an important determinant of the elasticity of demand for labor and thus of the economic effects of unionism all else the same the greater the elasticity of substitution the greater is the elasticity of derived demand and the greater the displacement of labor for a given union induced wage increase in sectors where this elasticity is large unions are likely to be relatively weak and able to win only slight wage gains freeman and medoff 1981 and forthcoming or if they win large gains will have to pay a high price in terms of lost jobs in the sectors where the elasticity is small unions may be able to extract a substantial wage premium at little cost in terms of employment moreover as a simple general equilibrium model indicates the elasticity of substitution between labor and other factors in the unionized sector is a key parameter in determining the impact of the iiunion wage effect on the earnings of nonunion workers and on the efficiency of the economy johnson and mieskowski 1970 despite the importance of the elasticity of labor demand for an analysis of unionism little attention has been given to the absolute and relative magnitude of this elasticity under collective bargaining while there is some discussion of technological change and the substitution of capital and nonproduction workers for organized production workers in the institutional literature e g slichter 1941 slichter healy and livernash 1960 bok and dunlop 1970 modern econometric work provides no estimates of the relevant parameters as a result johnson and mieskowski 1970 rees 1963 lewis 1964 and others have been forced to evaluate union effects with guesstimates of the elasticities of concern in union settings this paper attempts to fill some of the gap in our knowledge by providing estimates for u s manufacturing of the constant output elasticity of demand for unionized and nonunionized production workers and of the elasticity of substitution between these workers and other inputs the analysis concentrates on what we call the relative inelasticity hypothesis which states that the demand for production workers will be more inelastic in the presence of a union for two reasons the likelihood that unions have organized and survived in sectors with low elasticities and the effects of various contract provisions on the ability of management to substitute other factors for production labor the study is divided into four sections section i develops the rationale for the relative inelasticity hypothesis and describes the nature of the empirical analysis conducted to test its validity the second section uses a 1972 state by 2 digit standard industrial classification sic industry data file for manufacturing to estimate the elasticity of substitution between production labor and both nonproduction labor and capital in the union and nonunion sectors of u s manufacturing industries section iii provides estimates based on a 1968 72 sample of manufacturing establishments of the elasticity of substitution between production and nonproduction labor the only two inputs for which information is available the final section briefly summarizes the findings and discusses their implications for understanding the impact of trade unionism on the u s economy to preview the ensuing discussion our main conclusion is substitution between production labor and other inputs is generally lower in union received for publication march 6 1978 revision accepted for publication august 17 1981 both authors are with harvard university and the national bureau of economic research supported by u s department of labor grant no j 9 m 6 0094 national science foundation grant no apt77 16279 and the national bureau of economic research under its program of research on labor economics we are especially grateful to jane mather for her invaluable assistance on this project and to greg bialecki charles brown gary chamberlain kathy coons jon fay martin van denburgh and lori wilson for their significant contributions the study has not been reviewed by the board of directors of the national bureau

oil volatility oil and gas firms and portfolio diversification abstract this paper investigates the volatility spillovers and co movements among oil prices and stock prices of major oil and gas corporations over the period between 18th june 2001 and 1st february 2016 to do so we use the spillover index approach by diebold and yilmaz 2009 2012 2014 2015 and the dynamic correlation coefficient model of engle 2002 so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies respectively given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management we also examine optimal weights and hedge ratios among the aforementioned series our results point to the existence of significant volatility spillover effects among oil and oil and gas companies stock volatility however the spillover is usually unidirectional from oil and gas companies stock volatility to oil volatility with bp chevron exxon shell and total being the major net transmitters of volatility to oil markets conditional correlations are positive and time varying with those between each of the aforementioned companies and oil being the highest finally the diversification benefits and hedging effectiveness based on our results are discussed

speculation and volatility spillover in the crude oil and agricultural commodity markets a bayesian analysis this paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets stochastic volatility models are applied to weekly crude oil corn and wheat futures prices from november 1998 to january 2009 model parameters are estimated using bayesian markov chain monte carlo methods speculation scalping and petroleum inventories are found to be important in explaining the volatility of crude oil prices several properties of crude oil price dynamics are established including mean reversion an asymmetry between returns and volatility volatility clustering and infrequent compound jumps we find evidence of volatility spillover among crude oil corn and wheat markets after the fall of 2006 this can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production

islamic stocks conventional stocks and crude oil directional volatility spillover analysis in brics abstract this paper uses threshold garch tgarch and generalised forecast error variance decomposition to compute time domain and frequency domain volatility spillover the spillover technique is then applied to islamic and conventional stock indices and crude oil in brics countries brazil russia india china and south africa thus informing investors about the magnitude and speed of the volatility spillover we find that the total volatility spillover is driven mainly by a long term component accordingly these assets are suitable for investors with short and medium term investment horizons however analysis reveals that volatility spillover magnitude and speed increase substantially during the global financial crisis suggesting that investors in brazil russia and south africa with stocks in their portfolio should rebalance promptly dynamic covariance analysis shows that covariance between islamic and conventional stock index returns is the highest and exhibit a significant increase during the crisis period

stock prices of clean energy firms oil and carbon markets a vector autoregressive analysis recent discussions of energy security and climate change have attracted significant attention to clean energy we hypothesize that rising prices of conventional energy and or placement of a price on carbon emissions would encourage investments in clean energy firms the data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms however the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms

what determines the elasticity of substitution between capital and labor a literature review this paper provides the first comprehensive review of the empirical and theoretical literature on the determinants of the elasticity of substitution between capital and labor our focus is on the two input constant elasticity of substitution ces production function we start by presenting four concise observations that summarize the empirical literature on the estimation of motivated by these observations the main part of this survey then focuses on potential determinants of capital labor substitution we first review several approaches to the microfoundation of production functions where the elasticity of substitution eos is treated as a purely technological parameter second we outline the construction of an aggregate elasticity of substitution aes in a multi sectoral framework and investigate its dependence on underlying intra and inter sectoral substitution third we discuss the influence of the institutional framework on the extent of factor substitution overall this survey highlights that the effective elasticity of substitution ees which is typically estimated in empirical studies is generally not an immutable deep parameter but depends on a multitude of technological non technological and institutional determinants based on these insights the final section identifies a number of potential empirical and theoretical avenues for future research

oil price dynamics and speculation a multivariate financial approach abstract this paper assesses empirically whether speculation affects oil price dynamics the growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values we investigate this hypothesis using a modified capm following shiller 1984 and sentana and wadhwani 1992 first a univariate garch 1 1 m is estimated assuming the risk premium to be a function of the conditional oil price volatility the single factor model however is outperformed by the multifactor icapm merton 1973 which takes into account a larger investment opportunity set analysis is then carried out using a trivariate ccc garch m model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior we find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time varying first and second order conditional moment interactions affects both the capm and feedback trading components of the model despite the difficulties we identify a significant role played by speculation in the oil market which is consistent with the observed large daily upward and downward shifts in prices a clear evidence that it is not a fundamental driven market thus from a policy point of view given the impact of volatile oil prices on global inflation and growth actions that monitor speculative activities on commodity markets more effectively are to be welcomed

volatility spillovers between crude oil and chinese sectoral equity markets evidence from a frequency dynamics perspective abstract we examine the frequency dynamics of volatility spillovers between crude oil and china s stock markets in a spectral representation framework of generalized forecast error variance decomposition using sectoral stock indices data we find evidence of total volatility spillover driven mainly by short term spillovers the net spillovers of the oil market are almost all positive and dominated by short ter m components although the spillover during china s 2015 financial crisis is negative and attributable to long term components in addition there exists heterogeneity in net pairwise frequency spillovers between the oil and sectoral stock markets moreover structural breaks in volatilities appear to be a significant feature of volatility spillovers finally frequency spillovers in our system can predict future stock market volatility these results have economic implications for investors and policymakers

british utility regulation theory practice and reform the paper considers the design and performance of the new regulatory regime for u k utilities it describes the rpi x price caps and considers the scope for regulatory discretion and capture particular attention is paid to the informational requirements for the determination of prices the scope for intervention between periods the independence of regulators and the promotion of competition five arguments for regulatory reform are identified regulatory arbitrage capture administrative costs investment sunk costs and regulatory hold up and political instability a number of reforms are then proposed these include merging regulatory bodies a common set of financial rules a common basis for efficiency comparisons and reforming the mmc and judicial review

performance and efficiency in colombia s power distribution system effects of the 1994 reform we assess evolution in performance efficiency and productivity of colombia s power distribution utilities before and after the 1994 regulatory reform that introduced electricity market activities for the power sector in 12 distribution companies from 1985 to 2001 performance is evaluated contrasting changes in mean and median by wilcoxon rank sum and pearson tests on financial and other performance indicators technical efficiency is measured by means of data envelopment analysis dea the nature of the dataset allows the estimation of malmquist productivity index and its evolution in time results show a recovery after the reform in the main performance indicators of profitability partial input productivity and output plant efficiency and productivity increased after the reform mainly in the largest utilities used as benchmarks in the dea efficiency scores measures meanwhile the less efficient power distribution companies did not improved after the reform and were not able to undertake plant restructuring to catch up in plant efficiency with respect to the pareto efficient input allocations econometric results on dea efficiency scores suggest a positive effect of policy reform

impact of oil price change on airline s stock price and volatility evidence from china and south korea abstract generally the influence of crude oil price on the industries enterprises varies because they have different levels of reliance on crude oil for airlines the expenditure on fuel accounts for a considerable proportion of their gross costs thus airlines are unusually sensitive to changes in the crude oil price the discussion on the relationship between crude oil price and airlines will help the airlines improve their ability to cope with the crude oil price risk in addition the responses of south korean and chinese airlines in the event of a price shock that take are also very important as the airplane is a basic form of transportation in many countries this study investigates the impact of three crude oil price wti brent dubai change on the stock price and volatility of four airlines korean air asiana airlines air china and china eastern airlines using var garch bekk model the main findings are as follows there is return and volatility spillover effect between crude oil price and the stock prices of airlines the volatility spillover effect between the crude oil price and airlines stock price is more significant than the return spillover effect compared with the transportation industry the stock prices of smaller airlines of south korea and china are relatively more sensitive to the change in oil price in addition compared with korea s airlines china s airlines are influenced more by the oil price change implying that spillover effects owing to oil price are closely related to the different characteristics of the air transport markets of the two countries

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

oil volatility shocks and the stock markets of oil importing mena economies a tale from the financial crisis abstract the role of oil price volatility in predicting the stock market volatility of small oil importing countries that have a substantial number of investors from neighboring oil exporting countries remains unexplored to refine our basic understanding of this role this paper proposes a methodological extension of the recently developed causality in variance procedure and considers the case of lebanon and jordan these two heavy importers of oil are interesting in the sense that they are located in a region with a large number of rich oil exporting countries so their stock markets are tied to oil exporters by way of foreign investors the conditional mean and variance of returns are modeled within an armax garch framework that accommodates three salient features of the data namely autocorrelation day of the week effects and movements in international markets for comparison purposes the stock markets of morocco and tunisia are also included in the study empirical analyses highlight the dynamic effects of the global financial crisis on the volatility spillovers between oil and the stock markets of oil importing countries and provide more insights into the seemingly contradictory effects of being oil importers while having investors from oil exporting countries the main results indicate that the volatility spillover is much more apparent from the world oil market to the stock market of jordan than the other way around whereas oil volatility is not a good predictor of lebanese stock market volatility finally policy practical implications and conclusions for future research are drawn