dynamic jump intensities and risk premiums evidence from s p500 returns and options we build a new class of discrete time models that are relatively easy to estimate using returns and or options the distribution of returns is driven by two factors dynamic volatility and dynamic jump intensity each factor has its own risk premium the models significantly outperform standard models without jumps when estimated on s p500 returns we find very strong support for time varying jump intensities compared to the risk premium on dynamic volatility the risk premium on the dynamic jump intensity has a much larger impact on option prices we confirm these findings using joint estimation on returns and large option samples

testing for nonlinear dependence in daily foreign exchange rates the purpose of this article is to investigate whether daily changes in five major foreign exchange rates contain any nonlinearities although the data contain no linear correlation evidence indicates the presence of substantial nonlinearity in a multiplicative rather than additive form further examination reveals that a generalized autoregressive conditional heteroskedasticity model can explain a large part of the nonlinearities for all five exchange rates copyright 1989 by the university of chicago

a simplified jump process for common stock returns the specification of a statistical distribution which accurately models the behavior of stock returns continues to be a salient issue in financial economics with the introduction of arithmetic and geometric brownian motion models much attention has recently focused on a poisson mixture of distributions as an appropriate specification of stock returns for example see 12 3 8 10 5 and 1 consistent with empirical evidence these models yield leptokurtic security return distributions and furthermore the specification has much economic intuition in particular one may always decompose the total change in stock price into normal and abnormal components the normal change may be due to variation in capitalization rates a temporary imbalance between supply and demand or the receipt of any other information which causes marginal price changes this component is modelled as a lognormal diffusion process the abnormal change is due to the receipt of any information which causes a more than marginal change in the price of the stock and is usually modeled as a poisson process

inventory announcements jump dynamics volatility and trading volume in u s energy futures markets abstract this paper applies nonparametric methods to identify jumps in daily futures prices and intraday jumps surrounding inventory announcements of crude oil heating oil and natural gas contracts traded on the new york mercantile exchange the sample period of our intraday data covers january 1990 to january 2008 we have obtained several interesting empirical results 1 large volatility days are often associated with large jump components and large jump components are often associated with the energy information administration s inventory announcement dates 2 the volatility jump component is less persistent than the continuous sample path component 3 volatility and trading volume are higher on days with a jump at the inventory announcement than on days without a jump at the announcement furthermore the intraday volatility returns to normal faster following inventory announcements with jumps than after announcements without jumps

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

the message in weekly exchange rates in the european monetary system mean reversion conditional heteroscedasticity and jumps weekly rates of the european monetary system ems vis a vis the deutsche mark from april 1979 to march 1991 are modeled as a combined ma 1 garch 1 1 jump process the moving average ma part accounts for mean reversion required for the rates to stay inside the target zone the generalized autoregressive conditional heteroscedasticity garch part accounts for changing volatility whereas the jump process models parity changes and other erratic movements using an adjusted pearson chi squared goodness of fit test we find similar results for the bernoulli and the poisson jump processes in those cases in which the bernoulli normal distribution does not pass the goodness of fit test a mixture of three normals does finally the ma 1 garch 1 1 bernoulli jump models are jointly estimated assuming a constant contemporaneous correlation matrix for the disturbances and a common jump probability for all the currencies

ethical investment processes and outcomes there is a growing body of literature on ethical or socially responsible investment across a range of disciplines this paper highlights the key themes in the field and identifies some of the major theoretical and practical challenges facing both scholars and practitioners one of these challenges is understanding better the complexity of the relationship between such investment practices and corporate behaviour noting that ethical investment is seldom characterised by agreement about what it actully constitutes and that much of the extant research focuses on a narrow set of issues the paper argues that there are benefits associated with examining ethical investment as a process

value at risk estimation with the optimal dynamic biofuel portfolio abstract in the past petroleum companies only paid attention to hedging the variation in the crude oil price and volatility however they have now expanded their analysis to encompass renewable sources such as corn and soybeans under the current low carbon biofuel obligations this paper employs garch 1 1 and arji models to estimate the one day ahead value at risk var of the optimal dynamic biofuel portfolio which consists of crude oil corn and soybeans the optimal blended standard is subject to the dual limitations of minimum production costs and the lowest biofuel using requirements our empirical findings confirm that the arji model is more suitable than the garch 1 1 model and further captures the discontinuous jump behavior from the in the sample data the results of out of sample forecasts also are represented that our models play important roles in var estimation and risk management for biofuel portfolio we therefore suggest that the petroleum companies should simultaneously pay attention to jump risk in hedging material costs in the prices of energy related crops

jump risk of presidential election evidence from taiwan stock and foreign exchange markets this article employs jump diffusion models including the arji model and the garch jump model to examine jump intensity and volatility of taiwan stock and foreign exchange markets during a presidential election period the empirical results indicate that firstly the arji model fits data better than the garch jump model secondly the presidential election events enhance the jump intensity of both markets and the jump induced variance is higher than diffusion induced variance it reveals the importance of the discrete jump process during a presidential election period and might provide some implications for option pricing or hedging strategy due to the intervention of the central bank in the foreign exchange market during a presidential election period the results indicate that jump intensity and volatility of jump size are more moderate

corporate social responsibility and socially responsible investing a global perspective this research examines the relationship between corporate social responsibility csr and company stock valuation across three regions of the world after a brief introduction the article gives an overview of the evolving definition of csr as well as a discussion of the ways in which this construct has been operationalized presentation of the potential impact of corporate social performance on firm financial performance follows including investor characteristics the rationale behind their choices and their influence on the marketplace for securities worldwide the unique method used to select socially responsible investments is then provided that also includes a description of the quantitative techniques employed in the analyses results are offered subsequently and the close describes implications for global enterprises as socially responsible investments

the impact of global oil price shocks on china s bulk commodity markets and fundamental industries this paper investigated the reaction of aggregate commodity market to oil price shocks and also explored the effects of oil price shocks on china s fundamental industries metals petrochemicals grains and oilfats we separated the volatilities of oil price into expected unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets we contrasted the results between different periods and among classified indices in order to discover the significant changes in recent years and the differences at an industry level our results indicate that the aggregate commodity market was affected by both expected and unexpected oil price volatilities in china the impact of unexpected oil price volatilities became more complex after 2007 the metals and grains indices did not significantly respond to the expected volatility in oil prices in contrast to the petrochemicals and oilfats indices these results not only contribute to advancing the existing literature but also merit particular attention from policy makers and market investors in china

finance as a driver of corporate social responsibility finance is grease to the economy therefore we assume that it may affect corporate social responsibility csr and the sustainability of economic development too this paper discusses the transmission mechanisms between finance and sustainability we find that there is no simple one to one relationship between financial development and sustainable development but there are various often indirect linkages it appears that most of the literature concentrates on the role of public shareholders when it comes to changing corporate policy and performance in a more sustainable direction however this focus neglects the potential impact of the credit channel and private equity on a firm s non financial policies and performance these very powerful mechanisms can govern business policies and practices therefore there appears to be much more scope for finance to promote socially and environmentally desirable activities and to discourage detrimental activities than has been acknowledged in the academic literature so far

the intertemporal relation between the u s and japanese stock markets this paper finds a high correlation between the open to close returns for u s stocks in the previous trading day and the japanese equity market performance in the current period in contrast the japanese market has only a small impact on the u s return in the current period high correlations among open to close returns are a violation of the efflcient market hypothesis however in trading simulations the excess profits in japan vanish when transactions costs and transfer taxes are included the two largest stock markets in the world in terms of capitalization volume and shares listed are the tokyo stock exchange tse and the new york stock exchange nyse because tokyo is 14 hours ahead of new york there is an eight and one half hour difference between the close of the tse and open of the nyse since there is no overlap between the two markets traders or technical analysts may look to the tse as a predictor of market movement on the nyse and or examine changes on the nyse as indicators of tse performance as shown in figure 1 the tse opens at 7 00 p m eastern standard time est and closes at 1 00 a m est 1 the nyse opens at 11 30 p m japanese time 9 30 a m est and closes at 5 00 a m japanese time 4 00 p m est thus there is no common time interval in which both markets are open high correlations between the respective open to close returns are a violation of the efficient market hypothesis because public information about the performance in one market could be used to profitably trade in another market if the markets are efficient information about the open to close performance in one market for example the u s return in period t 1 will be fully reflected in the open price of the other market japan in period t for example since new information flows randomly into the market subsequent price changes should be random and the open to close returns in japan will be uncorrelated with the u s returns thus the u s performance should affect the open price in japan and the correlation between the open to close returns of the two markets will be zero early research on the synchronization among stock prices across countries grubel 1968 levy and sarnat 1970 agmon 1972 ripley 1973 lessard

a comment on christoffersen jacobs and ornthanalai 2012 dynamic jump intensities and risk premiums evidence from s p 500 returns and options christoffersen jacobs and ornthanalai 2012 cjo propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity garch like models with dynamic jump intensity and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance while such models pose difficulties for estimation and analysis cjo propose an innovative approach to filtering intended to addresses them however some statistical issues arise that their approach leaves unresolved with implications for the option pricing results this note proposes a solution based on using the filter and estimator proposed by cjo but interpreted in the context of an alternative model with respect to this model the estimator is consistent and likelihood based model comparisons and hypothesis tests are valid

target zones and exchange rates an empirical investigation this paper develops an empirical model of exchange rates in a target zone the distribution of exchange rate changes is conditioned on a latent jump variable where the probability and size of a jump vary over time as a function of financial and macroeconomic variables when there is no jump the target zone is credible and exchange rate changes are constrained to remain within the target zone band the paper revisits the empirical evidence from the european monetary system regarding the conditional distribution of exchange rate changes the credibility of the system and the size of the foreign exchange risk premia in contrast to some previous findings we conclude that the french franc deutschmark rate exhibits considerable nonlinearities realignments are somewhat predictable and the credibility of the system did not increase substantially after 1987 moreover our model implies that the foreign exchange risk premium becomes large during speculative crises

explosive oil prices spectacular oil price increases occur on a regular basis the most recent one is dated july 2008 this paper puts forward the notion that extreme oil price movements of this type can be described as temporary explosive the paper applies a forward recursive unit root tests and finds evidence of explosive behavior in the following periods 1990 1991 2005 2006 and 2007 2008 currently existing oil price models are not capable of appropriately describing this type of behavior a thorough discussion of the underlying reasons of these price hikes indicates these oil price episodes even though extreme are mainly fundamentally explained this finding is insufficiently acknowledged in the literature on speculative oil price bubbles thus policy interventions as response to extreme movements of this kind need to be very carefully thought through

international financial contagion in currency crises abstract this paper examines the role of financial linkages especially through a common creditor in the propagation of emerging market crises during the 1990s using panel probit regressions on 41 emerging market countries it finds that financial linkages played a significant role in the spread of the mexican asian and russian crises the significance of financial linkages emerges after controlling for the role of domestic and external fundamentals trade spillovers and financial weaknesses in the affected countries a strong financial linkage to the crisis country of origin not only substantially raises the probability of contagion but also helps to explain the observed regional concentration of currency crises

a model of financial crises in emerging markets recent events in mexico asia russia and brazil have underscored that a satisfactory explanation of financial crises in emerging markets remains elusive not too long ago the prevailing view was that crises were the inevitable outcome of ongoing fiscal imbalances coupled with fixed exchange rates but this first generation view pioneered by krugman 1979 has fallen out of fashion because in many crises the crucial fiscal disequilibria were absent and as obstfeld 1994 has argued currency crises have sometimes occurred even though central banks had more than enough resources to prevent them witness much of europe in the early 1990s obstfeld put forward a second generation view in which central banks may decide to abandon an exchange rate peg when the unemployment costs of defending it become too large this new perspective implied that crises could be driven by self fulfilling expectations since the costs of defending the peg may themselves depend on anticipations that the peg will be maintained but obstfeld s emphasis on mounting unemployment and domestic recession while appropriate for the erm 1992 crisis was at odds with the facts in mexico in 1994 and east asia in 1997 asian

confronting the environmental kuznets curve t he environmental kuznets curve posits an inverted u relationship between pollution and economic development kuznets s name was apparently attached to the curve by grossman and krueger 1993 who noted its resemblance to kuznets s inverted u relationship between income inequality and development in the first stage of industrialization pollution in the environmental kuznets curve world grows rapidly because people are more interested in jobs and income than clean air and water communities are too poor to pay for abatement and environmental regulation is correspondingly weak the balance shifts as income rises leading industrial sectors become cleaner people value the environment more highly and regulatory institutions become more effective along the curve pollution levels off in the middle income range and then falls toward pre industrial levels in wealthy societies the environmental kuznets curve model has elicited conflicting reactions from researchers and policymakers applied econometricians have generally accepted the basic tenets of the model and focused on measuring its parameters their regressions typically fitted to cross sectional observations across countries or regions suggest that air and water pollution increase with development until per capita income reaches a range of 5000 to 8000 when income rises beyond that level pollution starts to decline as shown in the conventional ekc line in figure 1 in developing countries some policymakers have interpreted such results as conveying a message about priorities grow first then clean up numerous critics have challenged the conventional environmental kuznets curve both as a representation of what actually happens in the development process and as a policy prescription some pessimistic critics argue that crosssectional evidence for the environmental kuznets curve is nothing more than a

how can a ratings based method for assessing corporate social responsibility csr provide an incentive to firms excluded from socially responsible investment indices to invest in csr socially responsible investment sri indices play a major role in the stock markets a connection between doing good and doing well in business is implied leading indices such as the domini social index and others exemplify the movement toward investing in socially responsible corporations however the question remains does the ratings based methodology for assessing corporate social responsibility csr provide an incentive to firms excluded from sri indices to invest in csr not in its current format the ratings based methodology employed by sri indices in their selection processes excludes many corporations by creating limited membership lists this received ratings based structure is yet to offer an incentive for most of the excluded corporations to invest in improving their levels of csr we therefore ask under what circumstances a ratings based method for assessing csr could provide an incentive to firms excluded from sri indices to invest in csr in this article we attempt to offer a theoretical reply to this question we show that when all firms are publicly ranked according to sri index parameters such indices can indeed create a market incentive for increased investment by firms in improving their performance in the area of social responsibility we further show that this incentive tapers off as the amount of investment required exceeds a certain point or if the amount of payback on that investment fails to reach a certain threshold

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

neoclassical growth the j curve for abatement and the inverted u curve for pollution abstract this paper reexamines the neoclassical environmental growth model of forster to gain insights into the dynamic relationships among pollution abatement effort and economic development whereas the model has heretofore been used to examine steady state levels of capital consumption and environmental quality it also provides a theoretical basis for recent empirical research on j curves for abatement effort and inverted u curves for pollution

the role of the variance premium in jump garch option pricing models abstract we develop a discrete time option pricing model incorporating a variance dependent pricing kernel of christoffersen et al 2013 under an economic framework allowing for dynamic volatility and jump intensity based on the model we examine the role of the variance premium and jump risk premium in explaining s p 500 index option prices and returns according to the results the variance premium is equally important as the jump risk premium in explaining the empirical option data whereas the incorporation of the jump risk premium improves the model fit on option prices the incorporation of the variance premium improves the fit on option returns in particular the variance premium can explain both 1 month holding period returns of 2 month maturity straddles which are significantly negative and call returns which decrease according to moneyness the model incorporating the jump risk premium only has a limitation in explaining the above two stylized returns the outperformance of the model incorporating the variance premium on option returns stems from its ability to capture the wedge between physical and risk neutral volatilities

a sealed bid auction mechanism for siting noxious facilities this paper proposes a sealed bid mechanism for facilitating the siting process of noxious facilities such as prisons trash disposal plants and incinerators for hazardous waste these facilities have created such opposition by communities that the acronyms nimby not in my backyard or lulu local undesirable land use are now in common usage to describe the public s reaction to them the noxious facility siting problem arises because there are economies of scale associated with having only one plant to serve the needs of a wide region the community that hosts the plant absorbs all of the environmental costs while the rest of the region enjoys the benefits of the facility one reason that these facilities have been so strongly opposed by communities is that they generate relatively little new employment and provide limited additional taxes in relation to their perceived negative impact d morell and c magorian 1982 some compensation arrangement is thus needed to share the gains from the winners to the potential loser this paper discusses a sealed bid auction mechanism for selecting a location for the facility so that all communities feel they are better off than under the status quo

do states play welfare games abstract this paper uses a panel of state level annual data from 1983 to 1994 for each of the contiguous united states and the district of columbia to explore the degree to which states simultaneously set welfare benefits using instrumental variables estimation we find substantial empirical evidence that is supportive of the notion of welfare competition furthermore we find that state responses to neighbor benefit decreases tend to be significantly larger in magnitude as their responses to neighbor benefit increases our results therefore have potential implications for public policy in the wake of the increased decentralization of welfare policy associated with the welfare reform of 1996

modeling and forecasting the volatility of carbon emission market the role of outliers time varying jumps and oil price risk abstract the objectives of this study are three fold first we aim to assess whether outliers or extreme observations occur in the european union allowance eua data second we examine if time varying jumps are present in the carbon emission market third we use the crude oil volatility index ovx to investigate the effect of oil market uncertainty on the emission price volatility in order to detect the possible outliers in the eua market we employ a standard methodology proposed by ane et al 2008 and identify several outliers in the emission data after spotting and then removing those extreme points we apply the garch jump models to both original and outlier free observations the results of the jump model show that while time varying jumps do exist in the uncorrected data most of the jump parameters however become insignificant in case of outlier free observations next the application of an extended egarch model in which ovx is introduced in the garch specification demonstrates that emission prices are highly sensitive to oil market implied volatility and that the impact of ovx on the eua market appears to be asymmetric additionally the use of forecast encompassing test documents that considering the outlier free data and using the information content of ovx would improve the volatility forecasts for the carbon emission market the results of our research carry important implications for both investors and policymakers

do environmental right to know laws affect markets capitalization of information in the toxic release inventory abstract this paper investigates how information contained in the u s environmental protection agency s toxic release inventory tri program one of the largest environmental right to know programs affects prices in the housing market i use a strengthening of the reporting requirements for the chemical lead in 2001 as exogenous variation to test for housing price changes near existing firms who must now report using a difference in differences specification i find that listing an existing firm in the toxic release inventory lowers housing prices up to 11 within approximately 1 mile the results suggest that housing market participants do capitalize into prices at least some information conveyed by the tri program

entry and exit patterns of toxic firms we pair an establishment level dataset from texas with public information available in the toxics release inventory tri to evaluate the standing of dirty industries in texas census tracts with a focus on environmental justice concerns the share of nonwhite residents in a tract is positively correlated with the number of tri reporting firms and an inverse u shaped relationship characterizes the number of tri reporting firms and a tract s median income even after controlling for factor prices and other covariates which might drive firm location decisions entrants that report to the tri are more likely to locate in areas with a higher share of nonwhite residents firms that report to the tri are also more likely to enter areas with a low share college graduates in contrast the number of entrants from industries which do not have tri reporters is negatively related to the percent of nonwhite residents in a tract firms in these non reporting industries are also more likely to enter areas with a high share of college graduates polluters appear to agglomerate raising concerns about both chemical releases being concentrated in certain tracts and also affecting nonwhite dense areas disproportionately the strength of these effects often depend on an urban rural classification with rural areas experiencing the most pronounced concerns moreover tri reporting firms are less likely to exit the market relative to their peers which operate in the same industry but do not need to file tri reports suggesting releases may affect a region in the long run

impact of food price volatility on the us restaurant sector although fluctuations in agricultural commodity prices appear to be a source of risk to the us restaurant sector the effect that volatility of food price has on the performance returns of that s

hedging for multi period downside risk in the presence of jump dynamics and conditional heteroskedasticity this study extends the one period zero var value at risk hedge ratio proposed by hung et al 2005 to the multi period case and incorporates the hedging horizon into the objective function under var framework the multi period zero var hedge ratio has several advantages first compared to existing hedge ratios based on downside risk it has an analytical solution and is simple to calculate second compared to the traditional minimum variance mv hedge ratio it considers expected return and remains optimal while the martingale process is invalid thirdly hedgers may elect an adequate hedging horizon and confidence level to reflect their level of risk aversion using the concept of var pondering the occurrence of volatility clustering and price jumps this study utilizes the arji model to compute time varying hedge ratios finally both in sample and out of sample hedging effectiveness between one period hedge ratio and multi period hedge ratio are evaluated for four hedging horizons and various le

conditional correlated jump dynamics in foreign exchange abstract this paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities using daily data of german mark against british pound and japanese yen against the us dollar we find currency return correlations are driven not only by the normal disturbances but also by the characteristics of simultaneous jumps

modeling financial contagion using mutually exciting jump processes we propose a model to capture the dynamics of asset returns with periods of crises that are characterized by contagion in the model a jump in one region of the world increases the intensity of jumps both in the same region self excitation as well as in other regions cross excitation generating episodes of highly clustered jumps across world markets that mimic the observed features of the data we develop and implement moment based estimation and testing procedures for this model the estimates provide evidence of self excitation both in the us and the other world markets and of asymmetric cross excitation with the us market typically having more influence on the jump intensity of other markets than the reverse we propose filtered values of the jump intensities as a measure of market stress and examine their out of sample forecasting abilities

structural stochastic volatility in asset pricing dynamics estimation and model contest abstract in the framework of small scale agent based financial market models the paper starts out from the concept of structural stochastic volatility which derives from different noise levels in the demand of fundamentalists and chartists and the time varying market shares of the two groups it advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments msms where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index in addition to the standard version of msm with a quadratic loss function we also take into account how often a great number of monte carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals the model contest along these lines reveals a strong role for a tamed herding component the quantitative performance of the winner model is so good that it may provide a standard for future research

approaching socially responsible investment with a comprehensive ratings scheme total social impact the socially responsible investment industry sri is slowly changing from a screening avoidance paradigm to a comprehensive paradigm that seeks to affect corporate behavior credible rating systems are a key component of this sea change reliable and recognizable social and environmental metrics are critical to this progress the total social impact tsi rating approach is a new social metric scheme based on a comprehensive rating of stakeholder issues this paper describes the evolution of sri ratings and the role that tsi hopes to play in affecting business behavior by promoting principled business leadership

information as regulation the effect of community right to know laws on toxic emissions abstract there is growing academic and policy level interest in the use of information as quasi regulatory mechanisms such as toxic release inventory tri and green labels mandatory disclosure requirements have been touted as market based incentives that may affect firm behavior we provide new evidence on the effectiveness of disclosure requirements by examining firm behavior in response to disclosures of tri emissions we find that firms with the largest stock price decline on the day this information became public subsequently reduced emissions more than their industry peers this is consistent with the view that financial markets may provide strong incentives for firms to change their environmental behavior

on the measurement of the international propagation of shocks is the transmission stable abstract the empirical literature on contagion focuses mainly on two questions 1 what are the channels through which shocks are transmitted across countries trade macro similarities financial weaknesses or investor behavior 2 is there a shift in the transmission of shocks during crises are crises spread with higher intensity if so why this paper concentrates on the econometric problems that arise in dealing with the second question the data where most of these issues are raised are plagued with problems of simultaneous equations omitted variables and heteroskedasticity the standard methodologies used in the literature are inappropriate if all three are present this paper applies a new procedure that allows one to test for parameter stability taking into account all three predicaments the paper tests for the stability of the transmission mechanisms among 36 stock markets during the last three major international financial crises mexico 1994 asia 1997 and russia 1998

price discontinuities in the market for rins abstract in the last few years a market has emerged for renewable identification numbers rins a unique 28 character alphanumeric code assigned to each domestically produced and imported gallon of renewable fuel as with many commodity markets the arrival of new information can lead to unexpectedly rapid changes or jumps in prices this suggests that rins prices may follow a more complex process than geometric brownian motion gbm we investigate the potential presence of jumps as well as time varying volatility in the spot price for rins our results demonstrate that allowing for jumps and time varying volatility provides statistically important improvements in the modeling of prices relative to gbm both jumps and time varying volatility can contribute to the fatness of the tails in the distribution of price returns which has implications for investments in capital projects linked to renewables

macroeconomic news announcements and stock market jump intensity dynamics abstract this paper examines the effect of macroeconomic releases on stock market volatility through a poisson gaussian garch process with time varying jump intensity which is allowed to respond to such information the day of the announcement per se is found to have little impact on jump intensities employment releases are an exception however when macroeconomic surprises are considered inflation shocks show persistent effects while monetary policy and employment shocks reveal only short lived effects also the jump intensity responds asymmetrically to macroeconomic shocks evidence on macroeconomic variables relevance in explaining jump dynamics and improving volatility forecasts on event days is provided

understanding bilateral exchange rate risks abstract we apply the autoregressive conditional jump intensity arji model to weekly bilateral exchange rate returns of 31 countries and examine the determinants of bilateral exchange rate risks over the period 2001 2013 consistent with the balance sheet effects in the open economy literature we find that bilateral exchange rate risks are significantly reduced by external financial liabilities above and beyond the standard optimal currency area oca factors and the development of domestic financial sectors will attenuate this effect subsample analysis reveals that developed countries also face credit constraints in the global capital market and the negative effects of external liabilities on bilateral exchange rate risks are increasingly pronounced in countries facing more credit constraints

is bitcoin a commodity on price jumps demand shocks and certainty of supply abstract this paper discusses how similar bitcoin is to a commodity the application of a number of both linear and non linear garch models indicates that the role of extreme price movements is particularly pronounced garch models with student t innovations as well as combined jump garch models are among the models with the best fit the role of large movements is found to be stronger in the bitcoin market than in the markets for crude oil and gold as bitcoin shares with these exhaustible resource commodities characteristics such as the fixed supply the analysis of bitcoin prices can generally learn from the analysis of exhaustible resource commodities however whereas the short run supply of gold and oil are uncertain there are no uncertainties on the bitcoin supply side thus the observed movements of bitcoin prices can be interpreted as results of bitcoin demand shocks

how do china s petrochemical markets react to oil price jumps a comparative analysis of stocks and commodities abstract the profound impacts of oil price jumps have caught the attention of scholars because the 2008 global financial crisis has seemingly already passed the existence of oil price jumps is in doubt in this paper we provide evidence that the threat of dynamic jumps still exists in the global oil market in the post crisis period while the stocks and commodities of china s petrochemical markets are both affected by those jumps to the best of our knowledge this is the first study of the reaction of petrochemical markets to oil price jumps in the post crisis period in addition a comparative analysis of petrochemical stocks and petrochemical commodity market is provided in particular we analyze the reactions of the returns and volatility of these markets to oil price jumps we obtained the following findings first the returns of petrochemical stocks and petrochemical commodities are both negatively affected by current oil price jumps while the effects of lagged jumps on these returns are opposite theoretically the former is a reflection of panic induced by extreme risk information while the latter is a reflection of rationality in speculators second the volatilities of petrochemical stocks and petrochemical commodities respond differently to oil price jumps the former is not affected whereas the latter is positively and negatively affected by current and last oil price jumps respectively finally all the above conclusions still hold when considering the effects of normal oil price volatility even after the co movement between oil prices and petrochemical markets is eliminated

doing well while doing bad csr in controversial industry sectors in this article we examine the empirical association between firm value and csr engagement for firms in sinful industries such as tobacco gambling and alcohol as well as industries involved with emerging environmental social or ethical issues i e weapon oil cement and biotech we develop and test three hypotheses the window dressing hypothesis the value enhancement hypothesis and the value irrelevance hypothesis using an extensive us sample from 1995 to 2009 we find that csr engagement of firms in controversial industries positively affects firm value after controlling for various firm characteristics to address the potential endogeneity problem we further estimate a system of equations and change regression and continue to find a positive relation between csr engagement and firm value our findings support the value enhancement hypothesis and are consistent with the premise that the top management of us firms in controversial industries in general considers social responsibility important even though their products are harmful to human being society or environment

entry growth and survival in the green industry abstractentry growth and survival in the green industry regional studies economists are interested in the factors that induce firm entry lead to growth and help firms succeed in various markets such information can be helpful to policy makers but unfortunately such patterns have not been considered for green industries this paper takes advantage of a recent definition of green industries proposed by the us bureau of labor statistics bls to investigate patterns characterizing these industries within the state of texas

the crash of ʼ87 was it expected the evidence from options markets transactions prices of s p 500 futures options over 1985 1987 are examined for evidence of expectations prior to october 1987 of an impending stock market crash first it is shown that out of the money puts became unusually expensive during the year preceding the crash second a model is derived for pricing american options on jump diffusion processes with systematic jump risk the jump diffusion parameters implicit in options prices indicate that a crash was expected and that implicit distributions were negatively skewed during october 1986 to august 1987 both approaches indicate no strong crash fears during the 2 months immediately preceding the crash attempts to explain what caused the stock market crashes around the world in october 1987 have suffered from the paucity of major economic developments occurring around that time that could have triggered the crashes shifting expectations regarding monetary policy foreign investors fears of a dollar decline increasing riskiness of assets none of these appeared major enough if present at all to explain the magnitude of the crashes and although portfolio insurance strategies could conceivably magnify the effects of a jump in fundamentals the initiating jump in fundamentals appears to be lacking

jump dynamics with structural breaks for crude oil prices this study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices we adopt a component arji model with structural break analysis utilizing daily data on west texas intermediate crude oil spot and futures contracts the analytical results verify the existence of permanent and transitory components in conditional variance with the permanent component of conditional variance increasing with the occurrence of a sudden major event such as the iraqi invasion of kuwait operation desert storm and the war between the us and iraq and a relatively greater increase in the transitory component over the same period notably jump intensity fluctuates with an increase in the transitory component of conditional variance in response to abnormal events it is the transitory component which serves as the primary influential factor for jumps in returns therefore speculators are willing to take large risks particularly with respect to anticipating future price movements or gambling in the hopes of rapidly making substantial gains thus speculators prefer the temporary volatility component and engage in trade activities however investors prefer the permanent volatility component because they may well be better off relocating their assets into more stable portfolios to outperform the market portfolio over the long run

why do electricity prices jump empirical evidence from the nordic electricity market the paper empirically explores the possible causes behind electricity price jumps in the nordic electricity market nord pool a time series model a mixed garch earji jump model capturing the com

dynamic jumps in global oil price and its impacts on china s bulk commodities abstract this paper investigated the impacts of oil price shocks especially dynamic jumps in its returns on china s bulk commodity markets at both the aggregate and industry levels after setting a zero lower bound to the jump intensity of the arji model we found that dynamic jumps exist in oil price movements moreover under shocks of oil price jumps not only the returns but also the risks of china s bulk commodity markets are affected significantly and the reactions of risks are characterized by overreactions meanwhile by decomposing oil price shocks into expected positive negative and unexpected positive negative components we discovered that the impacts of unexpected shocks are positive and significantly asymmetric at both levels while those of the expected shocks are negative and insignificantly asymmetric at the industry level in addition the volatility clustering of all price movements and the permanent volatility effects on china s bulk commodities are also authenticated by applying the garch family models

deal structuring in philanthropic venture capital investments financing instrument valuation and covenants philanthropic venture capital phvc is a financing option available for social enterprises that like traditional venture capital provides capital and value added services to portfolio organizations differently from venture capital phvc has an ethical dimension as it aims at maximizing the social return on the investment this article examines the deal structuring phase of phvc investments in terms of instrument used from equity to grant valuation and covenants included in the contractual agreement by content analyzing a set of semi structured interviews and thereafter surveying the entire population of phvc funds that are active in europe and in the united states findings indicate that the non distribution constraint holding for non profit social enterprises is an effective tool to align the interests of both investor and investee this makes the investor behaving as a steward rather than as a principal conversely while backing non profit social ventures philanthropic venture capitalists structure their deal similarly as traditional venture capital as the absence of the non distribution constraint makes such investments subject to moral hazard risk both in terms of perks and stealing and social impact focus

the effect of global oil price shocks on china s precious metals market a comparative analysis of gold and platinum abstract this paper investigated the impacts of global crude oil price shocks on china s precious metals market using the meliorated autoregressive conditional jump intensity arji model chan and maheu 2002 and the extended autoregressive moving average generalized autoregressive conditional heteroscedasticity arma garch gronwald 2012 based on the comparative analysis of gold and platinum markets the results showed that discrete jumps existed in the crude oil market considering the volatility clustering of oil returns the effect of oil price expected shocks on precious metals market was negative 0 7025 1 3341 due to the profitability of capital while that of unexpected shocks was positive 0 0211 0 0645 which can be explained by the adaptive expectation theory in terms of discrete jumps the impact of current jumps on precious metals market was significantly negative 1 4810 2 6775 according to the risk transmission theory and the responses tended to be characterized by overreactions in addition some evidence also suggested permanent volatility effects in china s precious metals market

on the predictive power of arji volatility forecasts for bitcoin motivated by the recent literature on cryptocurrency volatility dynamics this paper adopts the arji garch egarch and cgarch models to explore their capabilities to make out of sample volatility

conditional jump dynamics in stock market returns this article develops a new conditional jump model to study jump dynamics in stock market returns we propose a simple filter to infer ex post the distribution of jumps this permits construction of the shock affecting the time t conditional jump intensity and is the main input into an autoregressive conditional jump intensity model the model allows the conditional jump intensity to be time varying and follows an approximate autoregressive moving average arma form the time series characteristics of 72 years of daily stock returns are analyzed using the jump model coupled with a generalized autoregressive conditional heteroscedasticity garch specification of volatility we find significant time variation in the conditional jump intensity and evidence of time variation in the jump size distribution the conditional jump dynamics contribute to good in sample and out of sample fits to stock market volatility and capture the rally often observed in equity markets following a significant downturn

toxics release information a policy tool for environmental protection abstract this study examines investor reactions to the repeated public disclosure of environmental information about firms in the chemical industry and the effectiveness of this information as a decentralized mechanism for deterring their pollution by allowing investors to benchmark the performance of firms repeated provision of the toxics release inventory led firms to incur statistically significant negative stock market returns during the one day period following the disclosure of that information in the years 1990 1994 these losses had a significant negative impact on subsequent on site toxic releases and a significant positive impact on wastes transferred off site but their impact on total toxic wastes generated by these firms is negligible

evaluating density forecasts with applications to financial risk management density forecasting is increasingly more important and commonplace for example in financial risk management yet little attention has been given to the evaluation of density forecasts the authors develop a simple and operational framework for density forecast evaluation they illustrate the framework with a detailed application to density forecasting of asset returns in environments with time varying volatility finally the authors discuss several extensions copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

mixed diffusion jump process modeling of exchange rate movements this study demonstrates that the mixed diffusion jump process is superior to the stable laws or a mixture of normals as a model of exchange rate changes for the british pound french franc and the we st german mark relative to the united states dollar the parameter value s for the mixed diffusion jump process are dependent on the monetary policy regime in force in the united states with the estimates for the franc and mark being intertemporally similar but different from the pound copyright 1988 by mit press

stochastic trends and jumps in ems exchange rates abstract in this paper we study the statistical properties of ems exchange rate returns our findings show that jumps time varying parameters and conditional leptokurtosis are pertinent features in the empirical distributions of ems exchange rate returns allowance for fat tails however tends to reduce the measured frequency of jumps in the distributions to more realistic proportions most successful in capturing the relevant features of ems exchange rate returns is a combined jump garch model with conditionally t distributed innovations jel f31

do jumps contribute to the dynamics of the equity premium abstract this paper investigates whether risks associated with time varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns we find that jumps and jump dynamics are significantly related to the market equity premium the results from our time series approach reinforce the importance of the skewness premium found in cross sectional studies using lower frequency data and offer a potential resolution to sometimes conflicting results on the intertemporal risk return relationship we use a general utility specification consistent with our pricing kernel to evaluate the relative value of alternative risk premium models in an out of sample portfolio performance application

price and volatility linkages between international reits and oil markets abstract this study analyzes price and volatility transmissions between nineteen real estate investment trusts reits and the oil markets the reits data represents a variety of countries at different stages of their development and the expanded analytical approach includes accounting for structural shifts as gradual processes as opposed to strictly abrupt processes typically assumed in the literature oil prices are found to primarily predict reits prices in mature reits markets but the feedback from reits to oil prices is weak from the perspective of volatility strong evidence of bidirectional transmission in majority of the markets is observed our results are in general robust to a shorter common sample period of the various countries this study further demonstrates the importance of accounting for gradual smooth structural shifts for price transmission analysis

residential amenities firm location and economic development amenities are regarded as increasingly important to the location decisions of certain types of firm yet they are often ignored in economic development research because of the assumption that they attract only workers and that this workforce in turn attracts firms this paper argues for a reduced form model of the impact of amenities on corporate location when testing such a model at the intra metropolitan scale it will be necessary to measure amenities not only at the potential worksite but also where employees are likely to live this paper tests such a firm location model using a sample of municipalities in northern new jersey results support the hypothesis that firms evaluate certain amenities with respect to the likely residential locations of their employees

correlated jumps in crude oil and gasoline during the gulf war this article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the gulf war we find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time but the magnitude of the co movements in volatility falls the covariance is relatively smaller in the second gulf war vs the first conflict the volatility of crude oil is of significantly high levels during periods of the war yet the volatility of gasoline is not as sensitive as crude oil particularly in the second conflict furthermore the jump that occurred by the war did not lead both spot prices to a high persistent level for a long period which fits the feature of the jump models all these findings are important to market traders and hedging strategies

on jump processes in the foreign exchange and stock markets exchange rates exhibit systematic discontinuities even after allowingfor conditional heteroskedasticity in the diffusion process the results are much more significant in theforeign exchange market than in the stock market which suggests differences in the structure of these markets finally this jump component is shown to explain some of the empirically observed mispricings in the currency options market the objective of this article is to analyze and compare the empirical distribution of returns in the stock market and in the foreign exchange market there are a number of reasons why a better understanding of the stochastic processes driving prices in these markets would be useful many financial models rely heavily on the assumption of a particular stochastic process while relatively little attention is paid to the empirical fit of the postulated distribution as a result models like option pricing models are applied indiscriminately to various markets such as the stock market and the foreign exchange market when the underlying processes may be fundamentally different the foreign exchange market for instance is characterized by active exchange rate man

analyzing the impacts of foreign exchange and oil price on biofuel commodity futures abstract this paper employs an arji trend model that combines the autoregressive jump intensity arji and component models to analyze the effects of the u s dollar index and oil prices on the dynamic properties of biofuel related commodity futures the results show that the arji trend model not only provides a better fit for the data on the volatility dynamics of corn soybean and wheat futures but also performs better in terms of out of sample forecasting the u s dollar index and oil prices both generate significant impacts on the returns of the futures since the coexistence of permanent component transitory component and time varying jumps are observed in those futures the arji trend model is beneficial for acquiring a better understanding of the differential attributes among corn soybean and wheat futures

contagion and trade why are currency crises regional abstract currency crises tend to be regional they affect countries in geographic proximity this suggests that patterns of international trade are important in understanding how currency crises spread above and beyond any macroeconomic phenomena we provide empirical support for this hypothesis using data for five different currency crises in 1971 1973 1992 1994 and 1997 we show that currency crises affect clusters of countries tied together by international trade by way of contrast macroeconomic and financial influences are not closely associated with the cross country incidence of speculative attacks

the probability distribution of foreign exchange price changes tests of candidate processes this study investigates empirically candidate processes for characterizing foreign exchange price changes measured over limited horizons extant empirical studies find distributions of exchange returns too long tailed and leptokurtic to satisfy normality four processes are investigated here because of their potential to model o bserved discontinuities in exchange rates and nonstationary sample moments as well as their economic appeal the results favor a mixed jump model for all six major trading currencies tested copyright 1988 by mit press

a characterization of oil price behavior evidence from jump models abstract this paper is concerned with the statistical behavior of oil prices in two ways it firstly applies a combined jump garch model in order to characterize the behavior of daily weekly as well as monthly oil prices secondly it relates its empirical results to implications of hotelling type resource extraction models the empirical analysis shows that oil prices are characterized by garch as well as conditional jump behavior and that a considerable portion of the total variance is triggered by sudden extreme price movements this finding implies that first oil price signals are not reliable and as a consequence both finding optimal extraction paths and decisions regarding the transmission to alternative technologies are likely to be compromised second this behavior is in stark contrast to the notion of deterministic trends in the price of oil

investing in socially responsible companies is a must for public pension funds because there is no better alternative with assets of over us 1 0 trillion and growing public pension funds in the united states have become a major force in the private sector through their holding of equity positions in large publicly traded corporations more recently these funds have been expanding their investment strategy by considering a corporation s long term risks on issues such as environmental protection sustainability and good corporate citizenship and how these factors impact a company s long term performance conventional wisdom argues that the fiduciary responsibility of the pension funds trustees must be solely focused on their beneficiaries and therefore their investment criteria must be based strictly on narrowly defined financial measures it is also asserted that well established financial measurements of corporate performance already include long term risk assessment through discounted present value of future flow of earnings consequently all other criteria are contrary to the best interest of the pension funds beneficiaries in this paper we assert that contrary to conventional wisdom pension funds and for that matter other mutual funds must be concerned with the long term survival and growth of corporations these measures are generally referred to socially responsible investing sri and when applied to corporations it is termed socially responsible corporate conduct srcc we demonstrate that current measurement of future risk assessment invariably understates and quite often completely overlooks these long term risks because of the inherent bias towards short run on the part of financial intermediaries whose compensation depends greatly on short term results furthermore there is ample evidence to suggest that these intermediaries have been engaging in self serving practices and thus failing in their duties to serve their clients i e pension funds best interests because of their large holdings in the total market as well as individual companies these funds cannot easily divest from poorly performing companies without destabilizing the companies stock and overall markets hence they must opt for a strategy of emphasizing investment criteria that encourage companies to take into account long term aspects of their operations in terms of their impact on environment sustainability and community welfare to name a few we argue that an exclusionary and even a primary focus on short term financial criteria is no longer a viable option it also calls for the pension funds to encourage greater transparency and accountability of the entire corporate sector through improved corporate governance thus socially responsible investing practices are not merely discretionary and desirable activities they are a necessary imperative which both the corporations and public pension funds and other large institutional holders will ignore at serious peril to themselves finally the paper considers some of the recent developments where corporations have been responding to these challenges and how their actions might be strengthened through greater disclosure and transparency of corporate activities it also makes recommendations for the pension funds to support further research in creating new measurement standards that further refine the concept of socially responsible investing as a necessary ingredient of long term corporate survival and growth in the context of a changing economic environmental and socio political dynamic

the effect of global oil price shocks on china s agricultural commodities abstract this paper studied the effect of global oil price shocks on agricultural commodities in china including strong wheat corn soybean bean pulp cotton and natural rubber we regarded oil price volatility process as a combination of continuous process and jump process we not only separated oil price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process but also investigated how jump behavior influenced these agricultural commodities we found that the oil price was characterized by volatility clustering and jump behavior at the same time oil price shocks had different effects on agricultural commodities in addition the shocks on most agricultural commodities were asymmetric only natural rubber was under influence of the jump intensity of the oil price in contrast to strong wheat corn soybean bean pulp and cotton

regulation and capitalization of environmental amenities evidence from the toxic release inventory in massachusetts environmental regulation in the united states has undergone a slow evolution from command and control strategies towards market based regulations one such innovation is the toxics release inventory tri a regulation that requires polluting e rms to publicly disclose information about their toxic emissions the basic tenet of this regulation is that it corrects for informational asymmetries between polluters and households allowing communities to pressure polluters to decrease their emissions policy makers have judged the tri a tremendous success as national releases declined by 43 between 1988 and 1999 yet many of the fundamental problems which are known to lead to the classic failure of the coase theorem such as high transaction costs and dife culties in organizing cast doubt on the effectiveness of disclosure rules alone to lead to an efe cient outcome in the caseof pollution we use an event study methodology with high quality data on house prices and other local attributes to assess the extent to which the public values changes in toxic releases and thus the success of tri our major e ndings include 1 declines in toxic releases appear unrelated to any political economy variables that might lead to public activism 2 initial information released under tri had no signie cant effect on the distribution of house prices and 3 house prices show no signie cant impact of declines in reportedtoxic releases over time standard errors aresmall enoughthat we can reject the hypothesis that large declines in toxic releases lead to more than a 0 5 increase in house prices these results also hold when we control for differences in the availability of information on tri and the possible effect of expectations our e ndings cast doubt on the ability of the public to process complex information on hazardous emissions and support the coase theorem in that right to know lawssuch as tri may not be the most effective form of environmental regulation

impact of silver price uncertainty on solar energy firms abstract to the best of our knowledge we are the first to investigate if silver market uncertainty impacts the stock price performance of solar energy firms such investigation could be of vital importance to investors and policymakers given that silver is heavily utilized in photovoltaic pv process for producing solar energy methodologically we apply the garch jump process to estimate the effect of silver market uncertainty proxied by silver volatility index vxslv on the global solar energy stock indexes using a recent data set we document the following key findings first there exists a negative effect of vxslv on the equity indexes under study this result suggests that an upsurge in silver market volatility would create a chaos in the solar energy business second the impact of silver volatility index on renewable energy firms holds even when we control for the impact of oil price volatility ovx albeit ovx when compared to vxslv transmits higher risk to alternative energy stocks as evidenced by the magnitudes of the estimated parameters third the impact of silver market uncertainty appears to be symmetric implying that increases and decreases in vxslv would have a homogeneous impact on the solar energy stock returns we finally show that equity prices of solar energy firms are characterized by time varying jumps the implications of the results are discussed as well

exchange rate jumps and exports evidence from china we apply the autoregressive conditional jump intensity arji model to monthly exchange rate returns of china against 81 countries and investigate the impact of exchange rate volatility on exports over the period of 1995 2004 we decompose bilateral exchange rate volatility into continuous and discrete components and find that only the discrete part of exchange rate volatility that is the exchange rate jumps has a significantly negative effect on exports which to some extent reconciles the old yet unsettled debate in previous literature on the role of exchange rate volatility in international trade there is also some evidence suggesting that the development of domestic financial market will boost international trade but it does not help attenuate the negative effect of bilateral exchange rate jump risk on exports

the effect of global oil price shocks on china s metal markets this paper investigated the impacts of global oil price shocks on the whole metal market and two typical metal markets copper and aluminum we applied the autoregressive conditional jump intensity arji model combining with the generalized conditional heteroscedasticity grach method to describe the volatility process and jump behavior in the global oil market we separated the oil price shocks into positive and negative parts to analyze whether oil price volatility had symmetric impacts on china s metal markets we further used the likelihood ratio test to examine the symmetric effect of oil price shocks in addition we considered the jump behavior in oil prices as an input factor to investigate how china s metal markets are affected when jumps occur in the global oil market in contrast to the existing research paying little attention to this issue our results indicate that crude oil price shocks have significant impacts on china s metal markets and the impacts are symmetric when compared with aluminum copper is more easily affected by oil price shocks

socially responsible investment in the spanish financial market this paper reviews the development of socially responsible investment sri in the spanish financial market the year 1997 saw the appearance in spain of the first sri mutual fund but it was not until late 1999 that major spanish fund managers offered sri mutual funds on the retail market the development of sri in the spanish financial market has not experienced the high levels of development seen in other european countries such as france or italy where interest in sri began during the same period this paper presents an analysis of the impact of sri mutual funds managed by spanish fund managers comparing the evolution of managed assets and number of investors we also analyse the investment strategies adopted by these funds which mainly use negative screening criteria and the participation of non governmental organisations as institutional investors an analysis of the take up of socially responsible investment in the spanish financial market shows majors deficits in this process this is due to spanish investors having limited sensitivity to social issues and knowledge of sri and a lack of development of sri investment strategies such as engagement or shareholder activism by fund managers furthermore the take up of sri mutual funds in the spanish financial market coincided with a fall in the stock market at the beginning of the 21st century we conclude with an analysis of the relationship between sri and corporate social responsibility csr

corporate sustainability ratings an investigation into how corporations use the dow jones sustainability index abstract the purpose of this paper is to explore the use of the dow jones sustainability index djsi with an emphasis on canadian corporations the paper provides insight into the use of the djsi in several areas including the use of its logo the steps taken by corporations to achieve initial acceptance to the index and the steps corporations take to maintain their inclusion in the djsi a content analysis of publicly available information from 24 canadian corporations listed in the djsi north america djsina showed that less than half of those sampled used the djsi logo in their sustainability reports or on their websites the majority of the published references to the djsi were in highlighting corporate achievements or in providing background information on the index a survey of 10 experts from the canadian corporations listed in the djsina revealed a wide range of strategies for gaining and maintaining inclusion in the index particularly involving a large number of internal stakeholders in responding to data requests and working with third parties several suggestions for improving the djsi were also provided including streamlining the questionnaire improving coordination among sustainability ratings agencies and enhancing transparency