on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

competition between telecommunications operators abstract many observers of the telecommunications industry predict that regulation will soon give way to competition policy the paper analyzes unregulated network competition both in the mature and the transition phase of the industry it considers competition in linear or nonlinear prices for customers and also considers both nondiscriminatory pricing and termination based discriminatory pricing the paper investigates whether freely negotiated access charges are compatible with effective competition in the mature phase of the industry and do not erect barriers to entry in the transition towards competition last it analyzes the meaning and impact of the efficient component pricing rule in the context of network competition

quantile relationship between oil and stock returns evidence from emerging and frontier stock markets abstract this study extends the literature on the asymmetric effect of oil price fluctuations on emerging and frontier stock markets via a quantile on quantile approach that allows to capture normal and extreme states in each respective market we find that oil risk exposures are heterogeneous across the emerging and frontier stock markets and indeed display quantile specific characteristics observing uniform patterns of oil risk exposures within groups of countries that include both importers and exporters we argue that oil price risk serves as a systematic risk proxy capturing the market s concerns regarding global growth expectations rather than a simple import export commodity our findings suggest that signals from the oil market either via measures of trading activity in oil futures or changes in basis values could be utilized by policy makers to improve models of stock market volatility

does crude oil price play an important role in explaining stock return behavior abstract employing the ms arji gjr garch x model in which the parameters for the jump process the asymmetric garch effect and the impacts of oil price shocks are regime dependent this paper analyzes the impact of crude oil price shock on stock return dynamics empirical results reveal three interesting findings first incorporating the asymmetric garch effect and the oil price shock can substantially improve fitting ability second the garch and jump components show very different behaviors during turbulent and stable periods third the effects of current and past oil price shocks differ the conditional mean mean of jump size and variance of jump size immediately respond to a current oil price shock a one period lagged oil price shock no matter whether positive or negative can affect the transition probability that the stock market will remain conditional in the next period moreover the effects of lagged positive and negative shocks on transition probabilities are very different

measuring contagion between energy market and stock market during financial crisis a copula approach abstract in this paper we apply time varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis using the wti oil spot price the s p500 index the shanghai stock market composite index and the shenzhen stock market component index returns evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of lehman brothers thus supporting the existence of contagion in the sense of forbes and rigobon s 2002 definition moreover increased tail dependence and symmetry characterize all the paired markets this indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period finally the contagion effect is found to be much weaker for china than the us the empirical results have potentially important implications for risk management

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

network competition and interconnection with heterogeneous subscribers abstract this paper analyses two way access pricing in a telecommunications market where consumers are heterogeneous in their demand for calls and firms are allowed to use non linear tariffs we first investigate how the presence of access charges affects the tariffs offered by firms in symmetric equilibrium next we show that under certain conditions each firm s profit is independent of the level of reciprocal access charge and therefore collusion using access charges is not sustainable this result suggests that efficient call allocations can be achieved under a minimal regulatory intervention i e recommending firms set access charges equal to call termination cost

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

platform competition in two sided markets many if not most markets with network externalities are two sided to succeed platforms in industries such as software portals and media payment systems and the internet must get both sides of the market on board accordingly platforms devote much attention to their business model that is to how they court each side while making money overall this paper builds a model of platform competition with two sided markets it unveils the determinants of price allocation and end user surplus for different governance structures profit maximizing platforms and not for profit joint undertakings and compares the outcomes with those under an integrated monopolist and a ramsey planner jel l5 l82 l86 l96

should investors include commodities in their portfolios after all new evidence abstract this paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes first we revisit the posed question within an in sample setting by employing mean variance and non mean variance spanning tests then we form optimal portfolios by taking into account the higher order moments of the portfolio returns distribution and evaluate their out of sample performance under the in sample setting we find that commodities are beneficial only to non mean variance investors however these benefits are not preserved out of sample our findings challenge the alleged diversification benefits of commodities and are robust across a number of performance evaluation measures utility functions and datasets the results hold even when transaction costs are considered and across various sub periods not surprisingly the only exception appears over the 2005 2008 unprecedented commodity boom period

market provision of broadcasting a welfare analysis this paper presents a theory of the market provision of broadcasting and uses it to address the nature of market failure in the industry advertising levels may be too low or too high depending on the nuisance cost to viewers the substitutability of programs and the expected benefits to advertisers from contacting viewers market provision may allocate too few or too many resources to programming and these resources may be used to produce programs of the wrong type monopoly ownership may produce higher social surplus than competitive ownership and the ability to price programming may reduce social surplus

competitive price discrimination we model firms as supplying utility directly to consumers the equilibrium outcome of competition in utility space depends on the relationship u between profit and average utility per consumer public policy constraints on the deals firms may offer affect equilibrium outcomes via their effect on u f rom this perspective we examine the profit utility and welfare implications of price discrimination policies in an oligopolistic framework we also show that an equilibrium outcome of competitive nonlinear pricing when consumers have private information about their tastes is for firms to offer efficient two part tariffs

oil prices and real exchange rates in this paper we investigate the long run relationship between real oil prices and real exchange rates by using a monthly panel of g7 countries from 1972 1 to 2005 10 we first test whether exchange rates are cointegrated with real oil prices it is shown that real oil prices may have been the dominant source of real exchange rate movements and that there is a link between real oil prices and real exchange rates we then examine the ability of real oil prices to forecast future real exchange returns panel predictive regression estimates suggest that real oil prices have significant forecasting power the out of sample prediction performances demonstrate greater predictability over longer horizons

volatility behavior of oil industrial commodity and stock markets in a regime switching environment abstract this study supplements previous regime switching studies on wti crude oil and finds two possible volatility regimes for the strategic commodity prices of brent oil wti oil copper gold and silver and the s p 500 index but with varying high to low volatility ratios the dynamic conditional correlations dccs indicate increasing correlations among all the commodities since the 2003 iraq war but decreasing correlations with the s p 500 index the commodities also show different volatility persistence responses to financial and geopolitical crises while the s p 500 index responds to both financial and geopolitical crises implications are discussed

dynamics of oil price precious metal prices and exchange rate this study examines the co movements and information transmission among the spot prices of four precious metals gold silver platinum and palladium oil price and the us dollar euro exchange rate we find evidence of a weak long run equilibrium relationship but strong feedbacks in the short run the spot precious metal markets respond significantly but temporarily to a shock in any of the prices of the other metal prices and the exchange rate furthermore we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market in conclusion whether there are overreactions and re adjustments or not investors may diversify at least a portion of the risk away by investing in precious metals oil and the euro policy implications are provided

network competition ii price discrimination our companion article developed a clear conceptual framework of negotiated or regulated interconnection agreements between rival operators and studied competition between interconnected networks under the assumption of nondiscriminatory pricing this article relaxes this assumption and allows networks to charge different prices for calls terminating on the subscriber s network and those terminating on a rivals network this creates a price differential between services that are identical for the consumer and generates network externalities despite network interconnection we show that in both the mature and entry phases of the industry the nature of competition is substantially affected by such price discrimination

oil price fluctuations and u s dollar exchange rates adding oil prices to the monetary model of exchange rates we find that oil prices significantly explain movements in the value of the u s dollar usd against major currencies from the 1970s to 2008 our long run and forecasting results are remarkably consistent with an oil exchange rate relationship increases in real oil prices lead to a significant depreciation of the usd against net oil exporter currencies such as canada mexico and russia on the other hand the currencies of oil importers such as japan depreciate relative to the usd when the real oil price goes up

access pricing and competition abstract in many industries electricity telecommunications railways the network can be described as a natural monopoly a central issue is how to combine the necessary regulation of the network with the organization of competition in activities which use the network as an input and are potentially competitive generation of electricity value added services road transportation in this paper we derive access pricing formulas in the framework of an optimal regulation under incomplete information first we study how access pricing formulas take into account the fixed costs of the network and the incentive constraints of the natural monopoly over the network second we examine the difficulties coming from the accounting impossibility to disentangle costs of the network and costs of the monopoly s competitive goods third the analysis is extended to the cases where governmental transfers are prohibited where the competitors have market power and where competitors are not regulated fourth the possibility some consumers bypass the network is taken into account finally the role of access pricing for inducing the best market structure is assessed the conclusion summarizes our results and suggests avenues of further research

linkages between oil price shocks and stock returns revisited abstract in this paper we revisit the debate on the relationship between oil price shocks and stock market returns by replicating the quantile on quantile qq regression model for the us stock market in sim and zhou 2015 journal of banking and finance and extending it to 15 countries the classification of these countries as oil importers or oil exporters depends on their net position in crude oil trade our results indicate that the main finding by sim and zhou 2015 that large negative oil price shocks can bolster stock returns when markets are performing well is only partially supported by the three largest oil importers in our sample china japan and india during the period 1988 1 2007 12 however when extending the study to more recent data period 1988 1 2016 12 we find that china and india experience higher returns when markets perform well and there is a large positive oil price shock also large positive oil price shocks often lead to higher stock market returns when markets perform well for both oil exporting countries canada russia norway and moderately oil dependent countries such as malaysia philippines and thailand in most cases large negative oil price shocks depress further already poorly performing markets as in sim and zhou 2015 these findings highlight that the relationship between the distributions of oil price shocks and stock market returns is not stable over time in most countries studied furthermore the asymmetric effect between positive and negative oil price shocks observed in the us market by sim and zhou 2015 is less evident in most countries for both the baseline and extended periods

nonlinear pricing with random participation the canonical selection contracting programme takes the agent s participation decision as deterministic and finds the optimal contract typically satisfying this constraint for the worst type upon weakening this assumption of known reservation values by introducing independent randomness into the agents outside options we find that some of the received wisdom from mechanism design and nonlinear pricing is not robust and the richer model which allows for stochastic participation affords a more general empirical specification we develop a multidimensional methodology for addressing this class of problems providing two important applications to nonlinear pricing first with nonlinear pricing by a monopolist the familiar nodistortion at the top result persists but in tandem with the surprising conclusion that there is either no distortion at the bottom or bunching second in a simple model of product differentiated duopolists competing with nonlinear pricing we show that generally the duopoly outcome is qualitatively similar to the monopoly outcome however when marginal costs are symmetric and competition is sufficiently intense distortions disappear and the equilibrium outcome takes a remarkably simple form efficient quality allocations with cost plus fee pricing

asymmetric access price regulation in telecommunications markets abstract in liberalized telecommunications markets the incumbent typically enjoys several advantages over any entrant regulation in such asymmetric markets stimulates competition in the short and the long term if retail prices are low and the entrant s profits are high so that entry is encouraged i show that asymmetric access price regulation with a cost based access price for the incumbent and an access markup for the entrant is more successful than cost based access price regulation applied to incumbent and entrant this is a robust prediction with respect to the pricing strategies considered such asymmetric access price regulation is in accordance with european legislation

exploiting the oil gdp effect to support renewables deployment the empirical evidence from a growing body of academic literature clearly suggests that oil price increases and volatility dampen macroeconomic growth by raising inflation and unemployment and by depressing the value of financial and other assets surprisingly this issue seems to have received little attention from energy policy makers in percentage terms the oil gdp effect is relatively small producing losses in the order of 0 5 of gdp for a 10 oil price increase in absolute terms however even a 10 oil price rise oil has risen at least 50 in the last year alone produces gdp losses that could they have been averted would significantly offset the cost of increased re deployment this paper draws on the empirical oil gdp literature which we summarize to show that i by displacing gas and oil renewable energy investments can help nations avoid costly macroeconomic losses produced by the oil gdp effect and ii that these avoided losses represent a significant external macroeconomic benefit of such investments we show that a 10 increase in re share avoids gdp losses in the range of 29 53 billion in the us and the eu 49 90 billion for oecd these avoided losses offset one fifth of the re investment needs projected by the erec and half the oecd investment projected by a g 8 task force for the us the figures further suggest that each additional kw of renewables on average avoids 250 450 in gdp losses a figure that varies across technologies as a function of annual capacity factors we approximate that the offset is worth 200 kw for wind and solar and 800 kw for geothermal and biomass while we focus only on renewables the gdp offset will apply in some measure to other non fossil technologies including energy efficiency dsm and nuclear the societal valuation of non fossil alternatives must reflect these avoided gdp losses whose benefit is not fully captured by private investors this said we fully recognize that wealth created in this manner does not directly form a pool of public funds that is easily earmarked for renewables support finally the oil gdp relationship has important implications for correctly estimating direct electricity generating cost for conventional and renewable alternatives and for developing more useful energy security and diversity concepts we also address these issues

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

multiproduct nonlinear pricing typically work on mechanism design has assumed that all private information can be captured in a single scalar variable this paper explores one way in which this assumption can be relaxed in the context of the multiproduct nonlinear pricing problem it is shown that the firm will choose to exclude some low value consumers from all markets a class of cases that allow explicit solution is derived by making use of a multivariate form of integration by parts in such cases the optimal tariff is cost based

nonlinear pricing of telecommunications with call and network externalities abstract this paper investigates how call and network externalities affect a monopolist s optimal nonlinear tariff in a two way telecommunication service market where consumers valuations for outgoing and incoming calls are positively correlated and the firm is not allowed to charge incoming calls it is shown that in contrast to the traditional efficiency on the top result all subscribers including those with the highest willingness to pay make suboptimal quantities of calls in the equilibrium the presence of call externalities may result in the existence of no call making subscribers in equilibrium also the firm may have incentives to sell the service below costs to some low valuation consumers in order to take advantage of the effect of network externalities

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

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

a new approach to measure speculation in the oil futures market and some policy implications abstract we propose using a new relative measure the speculative ratio defined as trading volume divided by open interest to gauge speculative activity in the oil futures market we apply the speculative ratio to examine the relation between basis and speculative activity in the oil futures market before and after the financialization of the oil market in 2003 our finding suggests that the oil futures market is dominated by uninformed speculators in the post financialization period our finding carries several practical policy implications as follows 1 both the commodity exchange and the regulator should design regulations and trading policies that improve basis risk 2 on the commodity exchange side new policies on margin requirements and position limits for speculators should be implemented 3 margin requirements should be based on the level of basis risk 4 regulators should speed up implementation of the position limit rule in the dodd frank act and 5 stronger and more meaningful enforcement actions by regulators are required to punish and deter market manipulators

output price subsidies in a stochastic world this article studies the comparative statics of output subsidies for firms with monotonic preferences over costs and returns that face price and production uncertainty the modeling of deficiency payments support price schemes and stochastic supply shifts in a state space framework is discussed it is shown how these notions can be used via a simple application of shephard s lemma to analyze input demand shifts once comparative static results for supply are available a range of comparative static results for supply are then developed and discussed

network interconnection in telecommunications this paper discusses industries such as telecommunications where firms each have their own customers and must interconnect with other firms to provide a comprehensive service two scenarios are considered i the case of a symmetric unregulated industry and ii the case of an industry with a dominant regulated incumbent in the first provided there is sufficient product differentiation it is shown that firms agree to set interconnection charges above associated costs in order to obtain the joint profit maximising outcome in the second a formula for the welfare maximizing interconnection charge is derived relations with the efficient component pricing rule are discussed

network competition i overview and nondiscriminatory pricing we develop a model of unregulated competition between interconnected networks and analyze the mature and transition phases of the industry in this deregulated environ ment networks pay negotiated or regulated access charges to each other and com pete in prices for customers we show that a competitive equilibrium may fail to exist for large access charges or for large network substitutability and that freely negotiated access charges may prevent effective competition in the mature phase of the industry and erect barriers to entry in the transition toward competition last we examine the meaning and impact of policies such as the efficient component pricing rule

how oil prices affect east and southeast asian economies evidence from financial markets and implications for energy security abstract oil prices have been volatile to investigate how oil price swings affect asian economies this paper examines how they affect industry and aggregate stock returns economic theory implies that there is a strong link between a sector s stock return and its economic activity evidence presented here indicates that sectors such as airlines food and industrial transportation are harmed by oil price increases and that sectors such as oil and gas production and exploration benefit the findings also reveal that many industries within each country are impacted by oil prices the paper concludes by offering several suggestions to help asian economies weather the effects of oil price changes and increase energy security

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude