total factor productivity intangible assets and spatial dependence in the european regions dettori b marrocu e and paci r total factor productivity intangible assets and spatial dependence in the european regions regional studies the aim of this paper is to analyse the determinants of the efficiency levels across the european regions firstly a regression based measure of regional total factor productivity is derived by estimating a spatial cobb douglas production function secondly the role played by intangible factors human capital social capital and technological capital on total factor productivity levels is investigated by applying the spatial two stage least squares 2sls method and the spatial heteroskedasticy and correlation consistent shac estimator to account for both heteroskedasticity and spatial autocorrelation it turns out that a large part of total factor productivity differences across the european regions is explained by disparities in the endowments of these intangible assets dettori b marrocu e and paci r

integrated garch and non stationary variances evidence from european stock markets during the 1920s and 1930s abstract this paper provides a study of the persistence of stock return volatility in five european markets during the 1920s and 1930s the empirical investigation is conducted using the integrated garch model results show that for the bulk of the series shocks to volatility are permanent implying a significant impact of volatility on stock prices

asymmetry and leverage in garch models a news impact curve perspective models for conditional heteroskedasticity belonging to the garch class are now common tools in many economics and finance applications among the many possible competing univariate garch models on

dividend stripping risk exposure and the effect of the 1984 tax reform act on the ex dividend day behavior this article investigates the importance of risk exposure and the effects of the 1984 tax reform act on the ex dividend day behavior the tax reform appears to have inhibited short term trading activities by increasing the risk exposure of incorporated traders moreover stocks for which existing listed options permitted the reduction of risk through hedged dividend stripping strategies were affected much less from the new tax code than their nonoptionable counterparts this implies that risk affects investors dividend yield choice and that the ex dividend day behavior may be caused in part by the existence of risk premia copyright 1989 by the university of chicago

modelling the link between commodity prices and exchange rates the tale of daily data this paper examines daily data on exchange rates and the prices of three commodities traded on the winnipeg commodity exchange the temporal patterns of commodity prices and exchange rates are shown to be similar daily data are significantly non normal with garch models capturing the processes generating the data commodity prices and exchange rates are examined for cointegration using recent tests proposed by johansen and juselius 1990 currency depreciation is shown to granger cause commodity price inflation this information might be useful to central bankers concerned with reducing general price inflation through targeting commodity price inflation it also suggests that macro events have important effects on commodity markets in canada

theoretical relations between risk premiums and conditional variances many statistical models of time varying risk premiums including the autoregressive conditional heteroscedasticity arch in mean attempt to exploit a relation between risk premiums and conditional variances or covariances of asset returns we examine this relation in numerical versions of a dynamic asset pricing theory and show that it can be increasing decreasing flat or nonmonotonic its shape depends on both the preferences of the representative agent and the stochastic structure of the economy without additional structure the theory does not provide either a general foundation for arch in mean specifications or a simple interpretation of their parameters

bivariate garch estimation of the optimal commodity futures hedge six different commodities are examined using daily data over two futures contract periods cash and futures prices for all six commodities are found to be well described as martingales with near integrated garch innovations bivariate garch models of cash and futures prices are estimated for the same six commodities the optimal hedge ratio ohr is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures the estimated ohrs reveal that the standard assumption of a time invariant ohr is inappropriate for each commodity the estimated ohr path appears non stationary which has important implications for hedging strategies

skewness and the relation between risk and return the relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature the theoretical results predict a positive relation between the two nevertheless the empirical findings so far have been contradictory evidence presented in this paper shows that these contradictions are the result of negative skewness in the distribution of portfolio excess return and the fact that the estimation of intertemporal asset pricing models are based on symmetric log likelihood specifications data as supplemental material are available at http dx doi org 10 1287 mnsc 2015 2201 this paper was accepted by jerome detemple finance

an evaluation of volatility forecasting techniques the existing literature contains conflicting evidence regarding the relative quality of stock market volatility forecasts evidence can be found supporting the superiority of relatively complex models including arch class models while there is also evidence supporting the superiority of more simple alternatives these inconsistencies are of particular concern because of the use of and reliance on volatility forecasts in key economic decision making and analysis and in asset option pricing this paper employs daily australian data to examine this issue the results suggest that the arch class of models and a simple regression model provide superior forecasts of volatility however the various model rankings are shown to be sensitive to the error statistic used to assess the accuracy of the forecasts nevertheless a clear message is that volatility forecasting is a notoriously difficult task

ex dividend day stock price behavior the case of the 1986 tax reform act this paper analyzes the behavior of stock prices around ex dividend days after the implementation of the 1986 tax reform act that dramatically reduced the difference between the tax treatment of realized long term capital gains and dividend income in 1987 and completely eliminated the differential in 1988 we show that this tax change had no effect on the ex dividend stock price behavior which is consistent with the hypothesis that long term individual investors have no significant effect on ex day stock prices during this time period the results indicate that the activity of short term traders and corporate traders dominates the price determination on the ex day

time variation of ex dividend day stock returns and corporate dividend capture a reexamination this paper documents some empirical facts about ex day abnormal returns to high dividend yield stocks that are potentially subject to corporate dividend capture we find that average abnormal ex dividend day returns are uniformly negative in each year after the introduction of negotiated commission rates and that time variation in ex day returns during the negotiated commission rates era is consistent with corporate tax based dividend capture ex day returns are more negative when the tax advantage to corporate dividend capture is greatest and more positive when increases in transaction costs and risk reduce incentives to engage in corporate tax based dividend capture copyright the american finance association 2000

sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate a garch m model abstract the objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean garch m methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process this framework discards the restrictive assumptions of linearity independence and constant conditional variance in modeling bank stock returns the model presented here allows for shifts in the volatility equation in response to the changes in monetary policy regime in 1979 and 1982 to be estimated arch garch and volatility feed back effects are found to be significant interest rate and interest rate volatility are found to directly impact the first and the second moments of the bank stock returns distribution respectively the latter also affects the risk premia indirectly the degree of persistence in shocks is substantial for all the three bank portfolios and sensitive to the nature of the bank portfolio and the prevailing monetary policy regime

the impact of party alternative on the stock market the case of japan this paper tries to clarify whether change in political regime has an effect on the behaviour of the stock market in japan the empirical study finds that the transition of ruling party effect is not a crucial variable to the nikkei 225 the alienation felt by the japanese about the political environment resulting in a succession of prime ministers does not influence the nikkei 225 stock market behaviour therefore former prime ministers who have resigned have become scapegoats for the poor performance of financial and economic policies

nonlinear dependence in finnish stock returns abstract past research into the evolution of finnish stock returns focuses on modeling linear and nonlinear dependence using various arima and garch formulations respectively this paper extends the extant work by using grassberger procaccia correlations dimensions to explore the nature of the nonlinear dynamics in daily finnish stock returns during the 1970s and 1980s nonlinear behavior in both periods is evident a simple garch model removes the nonlinearity in the first decade and dramatically reduces the nonlinearity in the second period this supports the notion that finnish stock returns exhibit nonlinear dependence but that the form of dependence is not chaotic

an analysis of the spillover effects of exchange traded funds this article used the generalized autoregressive conditional heteroscedasticity autoregressive moving average garch arma and the exponentially generalized autoregressive conditional heteroscedasticity autoregressive moving average egarch arma models to study the impact of the spillover and the leverage effects on returns and volatilities of stock index and exchange trade fund etf for developed and emerging markets previous unexpected returns for developed and emerging markets which have an opposite influence pattern on etfs returns were identified the spillover effects from returns are excellent for hong kong followed by singapore meanwhile taiwan s stock index return was recorded to have a strong negative impact on etf return notably this article shows that the spillover effects on stock index and etf volatilities existed with bilateral influences despite a strong positive asymmetric volatility effect in korea s etf market the leverage effect appears to play important roles in the explana

how do the stock prices of new energy and fossil fuel companies correlate evidence from china abstract this study documents the return and volatility spillover effect between the stock prices of chinese new energy and fossil fuel companies using the asymmetric bekk model based on daily samples taken from august 30 2006 to september 11 2012 the dynamics of new energy fossil fuel stock spillover are found to be significant and asymmetric compared with positive news negative news about new energy and fossil fuel stock returns leads to larger return changes in their counter assets news about both new energy and fossil fuel stock returns spills over into variances of their counter assets and the volatility spillovers depend complexly on the respective signs of the return shocks of each asset the empirical results demonstrate that new energy and fossil fuel stocks are generally viewed as competing assets that positive news about new energy stocks could affect the attractiveness of fossil fuel stocks and that new energy stock investment is more speculative and riskier than fossil fuel stock investment these results have potential implications for asset allocation financial risk management and energy policymaking

from t bills to common stocks investigating the generality of intra week return seasonality the authors investigate the extent to which intra week seasonality still exists and whether its pattern is uniform across three stock indices and treasury bonds with seven different maturities they find that intra week seasonality continues to be significant and that its pattern is not uniform either between the stock indices and the treasury bonds or even among the bonds alone a pattern shared by stocks and bonds is that monday returns become increasingly negative with maturity these findings suggest that neither institutional nor general equilibrium explanations by themselves can explain the pattern of intra week seasonality in securities markets

portfolio rebalancing and the effective taxation of dividends and capital gains following the tax reform act of 1986 abstract the tax reform act tra of 1986 among other things equalized the nominal taxation of dividend and capital gains income the evidence is consistent with the hypothesis that ordinary investors rebalanced their portfolio holdings in response to the new taxes such rebalancing appears to have concentrated on liquid stocks indicating that transaction costs are an important consideration for ordinary investors involved in restructuring their portfolio holdings the tax clientele relationships that existed prior to the new act were distorted temporarily but have reappeared by 1988 interestingly investors post reform effective tax rates still give a preference to capital gains as they did prior to the tax reform

conditional risk and return in asian emerging markets evidence from the banking sector previous studies reach no consensus on the relationship between risk and return using data from one market this study argues that the market factor should be noticed in assessing the risk return relationship in a partially integrated emerging market the analysis aims to provide new insight into the nature of the risk return relationship by a conditional factor garch m framework that controls for time series effects to investigate the banking sector in five asian emerging markets of china hong kong indonesia malaysia and taiwan during the period 1995 to 2004 finally the study provides evidence on these relations before and after the asian financial crisis of 1997 the results are generally consistent across the markets and with expectations and have implications for empirical assessments of the risk return relationship and diversification

trading volume definitions data analysis and implications of portfolio theory we examine the implications of portfolio theory for the cross sectional behavior of equity trading volume two fund separation theorems suggest a natural definition for trading activity share turnover if two fund separation holds share turnover must be identical for all securities if k 1 fund separation holds we show that turnover satisfies an approximately linear k factor structure these implications are examined empirically using individual weekly turnover data for nyse and amex securities from 1962 to 1996 we find strong evidence against two fund separation and a principal components decomposition suggests that turnover is well approximated by a two factor linear model if price and quantity are the fundamental building blocks of any theory of market interactions the importance of trading volume in modeling asset markets is clear although most models of asset markets have focused on the behavior of returns predictability variability and information content their implications for trading volume have received far less attention in this article we derive the implications of various asset market models for volume and quantify their importance using recently available volume data for individual securities from the center for research in security prices crsp although the volume literature is voluminous 1 we hope to add to this literature in two ways first we develop the volume implications of popular asset market models rather than construct more specialized and often stylized models to

macro determinants of volatility and volatility spillover in energy markets abstract we analyze the time varying volatility and spillover effects in crude oil heating oil and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather related events into the conditional variance equations we allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy results show the presence of asymmetric effects in both random disturbances and macroeconomic variables a bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets crude oil volatility is found to increase following major political financial and natural events seasonality and day of the week effects are found in the crude oil and heating oil markets

a note on optimal estimation from a risk management perspective under possibly misspecified tail behavior many financial time series show leptokurtic behavior that is fat tails such tail behavior is important for risk management in this article i focus on the calculation of value at risk var as a downside risk measure for optimal asset portfolios using a framework centered on the student t distribution i explicitly allow for a discrepancy between the fat tailedness of the true distribution of asset returns and that of the distribution used by the investment manager as a result numbers for the overestimation or underestimation of the true var of a given portfolio can be computed these numbers are used to rank several well known estimation methods for determining the unknown parameters of the distribution of asset returns minimizing the absolute percentage mismatch between the nominal and actual or true var leads to the choice of a gaussian maximum quasilikelihood estimator that is a least squares type of estimator the maximum likelihood estimator has less satisfactory behavior outlier robust es

reduction of constraints on arbitrage trading and market efficiency an examination of ex day returns in hong kong after introduction of electronic settlement previous research documents positive ex dividend day returns in excess of one percent in the unique institutional setting of hong kong where neither dividends nor capital gains are taxed short term arbitrage trades around the ex day were hampered by physical settlement procedures after the recent switch to an electronic settlement system which enables such trades ex day abnormal returns have declined to an insignificant 0 17 percent this drop is more pronounced for high yield stocks which are more likely to attract dividend capture trading the evidence points to the crucial role of short term traders in ensuring the pricing efficiency of financial markets the role of short term traders in financial markets is a matter of considerable controversy the debate on this issue has heightened in the wake of the recent asian currency crisis which some governments blamed on the activities of short term traders critics contend that short term traders engage in speculation leading to excessive and debilitating volatility in market prices others argue that short term traders perform a useful role by increasing valuable liquidity berkman and eleswarapu 1998 report that regulatory changes on the bombay stock exchange curbing short term trading had a measurably adverse impact on asset values supporters of short term traders also argue that these traders make a key contribution to the efficiency of financial markets by constantly scouring the markets for arbitrage opportunities this study examines the impact of the

stock market volatility and the crash of 1987 evidence from six emerging markets abstract this paper studies volatility risk premia and the persistence of volatility in six emerging stock markets before and after the 1987 stock market crash the empirical investigation is conducted by means of the garch in the mean model garch m and monthly data from argentina greece india mexico thailand and zimbabwe between january of 1976 and august of 1994 results indicate changes in the arch parameter risk premia and persistence of volatility before and after the 1987 crash but these noted changes are not uniform and depend upon the individual markets factors other than the 1987 crash may also be responsible for the changes

market valuation of tax timing options evidence from capital gains distributions we examine a distribution that is taxed as a capital gain rather than as a dividend since the distribution induces a realized capital gain while the price change is an unrealized gain ex day return behavior provides evidence of the value of tax timing capital gains we show that investors are compensated 7c in unrealized gains for each dollar of realized capital gains that is 1 of realized capital gains is equivalent to 93c of unrealized gains an investor with a tax rate on realized gains of 15 has an effective tax rate on unrealized capital gains of 8 6 capital gains taxes can be deferred until assets are sold this feature provides the investor who purchases a security with an option regarding the timing of the realization of capital gains and losses this option can be used to lower one s expected tax liability even if capital gains tax rates remain constant for different holding periods an investor who delays the realization of a gain effectively enjoys compound returns on the postponed taxes if capital losses are tax deductible or partially tax deductible tax timing is even more valuable since investors can follow the strategy of selling stocks with capital losses early while postponing the sale of winners recent evidence lends support to the contention that some investors respond to this tax timing option for example odean 1998 shows that u s investors are more likely to sell losers in december than other months similarly grinblatt and keloharju 2002 show that at the end of the tax year finnish investors are more likely to realize losses than gains this type of tax motivated trade seems to affect market returns as shown by poterba and weisbenner 2001 who demonstrate that end of year tax loss selling is related to return variation in the month of january

dividend distributions and closed end fund discounts abstract empirical support for the hypothesis that closed end fund discounts are related to overhanging tax liabilities has been mixed we introduce a new approach to testing this hypothesis by examining changes in discount levels following distributions of dividends and capital gains since distributions reduce future shareholder tax liabilities the tax liability hypothesis implies that closed end fund discounts should decline following distributions focusing on changes in discounts isolates this tax effect by eliminating the impact of other fund specific factors on discount levels our results support the tax liability hypothesis showing that short run fluctuations in discounts are directly affected by taxable distributions

foreign and domestic investors and tax induced ex dividend day trading abstract this paper reports evidence on the consequences of differential tax treatment for domestic and foreign owners in a market with a high degree of foreign ownership for certain stocks the helsinki stock exchange hse we find that ex dividend day ratios vary with the degree of foreign ownership and detect significantly abnormal ex dividend day trading volumes the average ex dividend price drops for high yield high foreign ownership stocks are likely to lie outside no arbitrage boundaries for domestic taxable investors an investigation of short selling through a derivatives instrument also reveals significant excess trading volumes in ex dividend months the tax heterogeneity of the company s ownership structure seems to play a role in explaining deviations from dividend neutrality more deviations are observed for companies with a more homogeneous ownership structure in terms of taxation

why do stock prices drop by less than the value of the dividend evidence from a country without taxes abstract it is well documented that stock prices on ex dividend days drop by less than the value of the dividend on average this has commonly been attributed to the effect of tax clienteles we examine data from the hong kong stock market where neither dividends nor capital gains are taxed as in the u s the average stock price drop is less than the value of the dividend specifically the average dividend for the period 1980 1993 is hk 0 12 and the average price drop is hk 0 06 we are able to account for this both theoretically and empirically through market microstructure arguments

regime switching stochastic volatility evidence from the crude oil market this paper incorporates regime switching into the stochastic volatility sv framework in an attempt to explain the behavior of crude oil prices in order to forecast their volatility more specifically it models the volatility of oil return as a stochastic volatility process whose mean is subject to shifts in regime the shift is governed by a two state first order markov process the bayesian markov chain monte carlo method is used to estimate the models the main findings are first there is clear evidence of regime switching in the oil market ignoring it will lead to a false impression that the volatility is highly persistent and therefore highly predictable second incorporating regime switching into the sv framework significantly enhances the forecasting power of the sv model third the regime switching stochastic volatility model does a good job in capturing major events affecting the oil market

spatial dynamic analysis of productivity growth of agri food companies this study analyzes the spatial dynamics in productivity growth and its components for a sample of agri food companies in murcia spain over the period 2005 2014 we find that productivity growth of a company is related to productivity growth of neighboring companies in both the short and long term the marginal effects of the different factors on productivity growth are stronger in the short run rather than in the long run land characteristics and economic territorial conditions have the largest marginal effect on productivity growth and its components this study contributes to the existing literature by including spatial interactions in the analysis of productivity growth

the fear and exuberance from implied volatility of s p 100 index options i study the relation between option traders risk perception and contemporaneous market conditions risk perception tends to increase when downside volatility increases more than upside volatility the risk return relation is asymmetric and nonlinear best described as a downward sloping reclined s curve that prior gains appear to have some mitigating effect on the fear of loss relative to prior losses points to a house money effect broader market conditions influence the perception of risk in a manner consistent with the keeping up with the joneses effect leverage is a weak explanation for the risk return relation

ex dividend day stock price behavior discreteness or tax induced clienteles abstract since prices are constrained to discrete tick multiples while dividends are essentially continuous ex day price changes will not equal dividends we argue that the expected price drop is strictly less than the dividend but within one tick of the dividend the price drop to dividend ratio will i be less than one ii increase with dividends generally and iii decline between tick multiples giving a sawtooth pattern in the data since dividends and dividend yields are highly correlated discreteness will give the impression of tax induced dividend clienteles even if there are none taxable cash dividends and nontaxable stock dividends exhibit similar ex day behavior

a note on the estimated garch coefficients from the s p1500 universe we employ 1440 stocks listed in the s p composite 1500 index of the nyse three benchmark garch models are estimated for the returns of each individual stock under three alternative distributions

central bank intervention and foreign exchange rates new evidence from figarch estimations abstract in this paper we investigate the effects of official interventions on the short run evolution and volatility of exchange rates to this aim we rely on a new measure of volatility implied by the figarch model that outperforms the traditionally used garch one it is found that central bank interventions exert an incorrectly signed effect on the levels of exchange rates and tend to increase their volatility in the short run in general our results also show that the traditional garch estimations tend to underestimate the effects in terms of volatility

a markov switching model of the conditional volatility of crude oil futures prices abstract this paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance garch dynamics basis driven time varying transition probabilities and conditional leptokurtosis this flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set up we show that regime shifts are clearly present in the data and dominate garch effects within the high volatility state a negative basis is more likely to increase regime persistence than a positive basis a finding which is consistent with previous empirical research on the theory of storage e g fama and french 1988a fama and french 1988b and ng and pirrong 1994 the volatility regimes identified by our model correlate well with major events affecting supply and demand for oil out of sample tests indicate that the regime switching model performs noticeably better than non switching models regardless of evaluation criteria we conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short term volatility forecasts

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

risk inflation and the stock market most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation this paper considers an alternative explanation a substantial increase in the riskiness of capital investments we show that the variance of firms real gross marginal return on capital has increased significantly increasing the relative riskiness of investors returns on equity and that this can explain a large part of the market decline we also assess the effects of increase in the mean and variance of the inflation rate and a decline in firms expected return on capital this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

the predictive power of the implied volatility of options traded otc and on exchanges abstract this paper investigates the efficiency of stock index options traded over the counter otc and on the exchanges in hong kong and japan our findings suggest that implied volatility is superior to either historical volatility or a garch type volatility forecast in predicting future volatility in both the otc and exchange markets this paper is also one of the first to compare the predictive power of the implied volatility of stock index options traded otc to that of exchange traded stock index options our evidence suggests that the otc market is more efficient than the exchanges in japan but that the opposite is true in hong kong

does idiosyncratic risk really matter goyal and santa clara 2003 find a significantly positive relation between the equalweighted average stock volatility and the value weighted portfolio returns on the nyse amex nasdaq stocks for the period of 1963 08 to 1999 12 we show that this result is driven by small stocks traded on the nasdaq and is in part due to a liquidity premium in addition their result does not hold for the extended sample of 1963 08 to 2001 12 and for the nyse amex and nyse stocks more importantly we find no evidence of a significant link between the value weighted portfolio returns and the median and value weighted average stock volatility the intertemporal relation between risk and return has long been an important topic in asset pricing literature most asset pricing models postulate a positive relationship between a stock portfolio s expected returns and risk which is often modeled by the variance or standard deviation of the portfolio s returns however there is no agreement about the existence of such a trade off for stock market indices 1 while return volatility is an intuitively appealing measure of risk different approaches used by previous researchers suggest that no clear consensus has emerged regarding its relevance 2 whether or not investors require a larger risk premium on average for investing in a security during times when the security is more risky remains an open question

evaluating spatial and temporal variation in agricultural output elasticities in turkey this study evaluates spatial variation in the relationship between agricultural output and input use across turkey the potential impact of the national agricultural policy reform introduced in 2001 on the spatial variation in agricultural output elasticities across the country was explored by applying a spatial production function to the province level data in 2000 and 2007 spatial heterogeneity in the variance of provincial total factor productivity and the input factor output elasticities was identified across the country results show that the disparities in agricultural activities and geographic conditions affected return from input factors empirical findings from a spatial spillover model also suggest that changes in the input factor output elasticities varied significantly across turkey between 2000 and 2007 after the policy reform results suggest that future policy reform that recognizes regional comparative advantage through understanding the geographic heterogeneity of the agricultural sector is important for enhancing turkey s agricultural output

stock returns and volatility an empirical study of the uk stock market abstract attempts to quantify the relationship between stock returns and volatility have produced conflicting conclusions in recent u s studies our paper examines this issue in the u k context for the first time using daily weekly fortnightly and monthly returns on the financial times all share index from january 1965 to december 1989 volatility estimates are obtained from monthly sample variances and arch models expected returns are shown to have had a positive though not statistically significant relationship with expected volatility the relationship between the unexpected components of the returns and volatility series is less clear we find evidence for a negative relationship but only when volatility expectations are represented by standard deviations

intraday linkages between the spanish and the us stock markets evidence of an overreaction effect this paper focuses on short term information transmission between the us stock market properly the dow index and the main spanish stock index ibex 35 in its early and final hours we follow the approaches of lin engle and ito 1994 susmel and engle 1994 and baur and jung 2005 who use a garch model to analyze the influence of the previous daytime and overnight returns and volatility of the dow upon the overnight returns and daytime returns of the ibex from open to 3 30 and from 3 30 to close the results suggest that the spanish stock market usually has a low price movement till wall street opens additionally they indicate that the spanish market reacts quickly to the news basically in the first four minutes following the opening of the us market furthermore we find the existence of an overreaction effect during the two hours before the closing of the spanish market

foreign investor reactions to risk and uncertainty in antitrust u s merger policy investigations and the deterrence of foreign acquirer presence motivated by the potential for antitrust and competition policies to be protectionist in effect we formulate the theoretical prior that merger policy deters foreign acquirer participation in local m a markets the policy risk and policy uncertainty characteristic of merger review may negatively affect foreign acquirers more so than domestic acquirers thereby disadvantaging foreign acquisitions of local firms and deterring future cross border investment activities we test this prior by employing sector level data on u s merger policy investigations and foreign acquirer presence in u s m a markets over the 2002 2017 period our panel data methodological approach indicates that the risk and uncertainty characteristic of u s merger policy disproportionately deters the acquisition activities of foreign investors the empirical results also suggest that the application of competition and merger policies in other national jurisdictions where there is less of a strong commitment to antitrust principles might also be effectively protectionist

the persistence of volatility and stock market fluctuations this paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices it demonstrates that volatility is only weakly serially correlated implying that shocks to volatility do not persist these shocks can therefore have only a small impact on stockmarket prices since changes in volatility affect expected required rates of return for relatively short intervals these findings lead us to be skeptical of recent claims that the stock market s poor performance during the 1970 s can be explained by volatility induced increases in risk premia this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

a microstructure analysis of ex dividend stock price behavior before and after the 1984 and 1986 tax reform acts this article extends ex dividend research by explicitly modeling trading at bid and ask quotations this refinement distinguishes between buying and selling for long term investors and short term dividend capture traders it also explicitly incorporates the bid ask spread and eliminates some potential measurement errors that may bias returns marginal conditions are tested during 1983 and 1988 periods that span the 1984 and 1986 tax reform acts results for long term investors are consistent with the elimination of favorable capital gains tax rates at observed prices tax neutral short term traders cannot profit corporate dividend capture traders face profit opportunities during 1983 that disappear by 1988 copyright 1996 by university of chicago press

the role of exchange rates in intertemporal risk return relations abstract this paper investigates the significance of an intertemporal relation between expected returns on countries stock market portfolios and their risk exposures to the world market portfolio we find that the intertemporal risk return relation differs significantly under different currency denominations the slope coefficient is the largest at around seven when the returns are denominated in japanese yen moderate at about five when the returns are denominated in the canadian or us dollars and the smallest at around three when the returns are denominated in pound or euro and its predecessors the ranking of the risk return coefficients across different currency denominations remains the same when we replace country equity indices with global industry portfolios in estimating the intertemporal relations when we change the return frequency from monthly to daily and when we consider different specifications for the conditional covariance process

how important is intertemporal risk for asset allocation how important is merton s intertemporal risk for asset allocation decisions to address this question we jointly estimate and test a conditional asset pricing model which includes long term interest rate risk as a potentially priced factor for four broad classes of assets large stocks small stocks long term treasury bonds and corporate bonds we find that the premium for long bond risk is the main component of the risk premiums of treasury bond and corporate bond portfolios while it represents a small fraction of total risk premiums for equities our results suggest that investors perceive stocks and especially small stocks as hedges against variations in the investment opportunity set since these four asset classes represent some of the most important for investors we proceed to use our estimates to compute the optimal asset allocations for investors who optimize with or without taking into account the intertemporal risk we provide a set of measures to investigate the importance of this risk we find that at average market volatility levels investors can earn annual premiums between 3 6 during expansions and 5 8 during recessions for bearing intertemporal risk alone these results underscore the importance of explicitly considering intertemporal risk in asset allocation decisions especially during down markets and business recessions

modelling the conditional volatility of commodity index futures as a regime switching process commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets volatility is a critical input in many of these applications this paper examines issues in modelling the conditional variance of futures returns based on the goldman sachs commodity index gsci given that commodity markets tend to be choppy webb 1987 a general econometric model is proposed that allows for abrupt changes or regime shifts in volatility transition probabilities which vary explicitly with observable fundamentals such as the basis garch dynamics seasonal variations and conditional leptokurtosis the model is applied to daily futures returns on the gsci over 1992 1997 the results show clear evidence of regime shifts in conditional mean and volatility once regime shifts are accounted for garch effects are minimal consistent with the theory of storage returns are more likely to switch to the high variance state when the basis is negative than when the basis is positive the regime switching model also performs well in forecasting the daily volatility compared to standard garch models without regime switches the model should be of interest to sophisticated traders who base their trading strategies on short term volatility movements managed commodity funds interested in hedging an underlying diversified portfolio of commodities and investors of options and other derivatives tied to gsci futures contracts copyright 2001 john wiley sons ltd

the asymmetric relation between initial margin requirements and stock market volatility across bull and bear markets higher initial margin requirements are associated with lower subsequent stock market volatility during normal and bull periods but show no relationship during bear periods higher margins are also negatively related to the conditional mean of stock returns apparently because they reduce systemic risk we conclude that a prudential rule for setting margins or other regulatory restrictions is to lower them in sharply declining markets in order to enhance liquidity and avoid a depyramiding effect in stock prices but subsequently raise them and keep them at the higher level in order to prevent a future pyramiding effect copyright 2002 oxford university press

weekend effects on stock returns a note some researchers have apparently been surprised to discover that the distribution of stock returns depends on the day of the week kenneth french 3 for example in testing whether daily stock returns are generated by a trading time or calendar time hypothesis provided convincing evidence of a negative market return on mondays as french carefully notes this finding runs counter to both hypotheses since a trading time view would have expected stock returns equal on different days and a calendar time view would have higher expected returns on monday to compensate for the longer holding period in this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns we argue that the expected stock returns as measured for example from closing to closing prices should depend on the day of the week in general we argue that the expected returns on mondays should be lower than would be implied simply by a trading time or calendar time model and the returns on fridays should be higher in addition we anticipate that holidays will have complex effects on stock returns on other days of the week our argument is based on the delay between trading and settlements in stocks and in clearing checks the explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis as correctly adjusted expected returns should not differ according to the day of the week

stock returns and volatility most asset pricing models postulate a positive relationship between a stock portfolio s expected returns and risk which is often modeled by the variance of the asset price this paper uses garch in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation after estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak the results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns

investigating the intertemporal risk return relation in international stock markets with the component garch model abstract daily data and component garch cgarch models strongly support a positive risk return relation in contrast to previous international results long run volatility appears to be important in determining the conditional equity premium but the evidence might be spurious