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1.
We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991–2005 period
and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no
evidence of a statistically significant rise in firm-specific volatility. On the contrary, the ratio of firm-specific risk
to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display
lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to
changes in the composition of the market.
相似文献
Ana Paula SerraEmail: |
2.
This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets’ volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.
相似文献
Badi H. Baltagi (Corresponding author)Email: |
Dong LiEmail: |
Qi LiEmail: |
3.
María del Carmen García Centeno Román Mínguez Salido 《International Advances in Economic Research》2009,15(1):71-87
The objective of this paper is to put forward a new autoregressive asymmetric stochastic volatility model for modeling volatility
and to compare results obtained for this model with an autoregressive stochastic model and another asymmetric volatility model,
such as, asymmetric generalized autoregressive conditional heteroskedasticity model. The results obtained from the estimation
by maximum likelihood have shown the volatility behavior is asymmetric in the majority of cases. This fact is better shown
by the ARSVA model, than the rest of alternative models. Moreover, the ARSVA model is able to reproduce other stylized facts
of such series, such as high kurtosis, no autocorrelation of returns, slow decreasing of the autocorrelation function of the
squared returns and high persistence.
相似文献
Román Mínguez Salido (Corresponding author)Email: |
4.
Pierre-Guillaume Méon 《Constitutional Political Economy》2006,17(3):207-216
This note studies the volatility of the policy chosen by a committee whose members’ preferences are volatile, due to common and individual preferences shocks. It is shown that majority voting mitigates the latter but not the former. The volatility of the policy is smaller the smaller the volatility of members’ preferences, smaller the larger the size of the committee, and smaller than if it was chosen by a single member. The results hold in a context of uncertainty and with multidimensional issues.
相似文献
Pierre-Guillaume MéonEmail: Phone: +32-2-650-66-48 |
5.
In this paper we examine empirically the impact of privatisation on output in the UK, through macroeconomic transmission channels.
While most privatisation studies focus on microeconomic shocks, namely at the firm level, we are interested to see whether
a large scale privatisation policy, as the one pursued in the UK in the 1980 and 1990s, had a measurable impact on output.
This may contribute to the ex post evaluation of this policy and complement the microeconomic evidence. We use quarterly data
from 1979 to 1998 of privatisation proceeds, as our impulse policy variable, and of private consumption, gross fixed capital
formation, net government expenditures, as transmission channels, and aggregate output as our final response variable. The
econometric methodology is based on Structural Vector Auto-regressive models and Impulse Response Functions. Non-stationarity
and cointegration properties of the time series have also been considered. We find that privatisation shocks do not have an
impact in the consumption-output model, but have a moderate and transitory impact in the investment and the public expenditures
models. Such positive demand effects, however, have not been completely matched by supply side effects, and, consequently,
privatisation in the UK did not contribute to a sustained economic growth.
相似文献
Massimo FlorioEmail: |
6.
The recent period of intensive and extensive development of global economic integration, or globalization, has reached a crossroads.
The regime of the neoliberal Great Capitalist Restoration is not sustainable and fundamental governance changes must be made.
This paper adds perspective to the choices that must be made at this critical juncture of the global social economy by applying
the master concepts of Schumpeter’s Creative Destruction and Polanyi’s Protective Response.
相似文献
James Ronald StanfieldEmail: |
7.
Order aggressiveness and order book dynamics 总被引:2,自引:0,他引:2
In this paper, we study the determinants of order aggressiveness and traders’ order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a six-dimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects.
相似文献
Nikolaus HautschEmail: |
8.
Diego Comin 《Empirica》2009,36(2):165-176
This paper discusses several approaches to generating the observed persistence in macro models and presents evidence in favor
of models where endogenous technology adoption propagates transitory shocks into the medium term.
Prepared for the Conference on “The Interrelation of Cycles and Growth” in honor of Gunther Tichy.
相似文献
Diego CominEmail: |
9.
This study sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statistically significant, and that the hypothesis that an increase in the number of traders reduces exchange rate volatility is not supported. The novelties of our study consist in documenting that the positive impact of information arrival on volatility is relatively stable across three different exchange rate regimes, and in that the impact is relatively similar for both weekly volatility and weekly realised volatility. It is not given that the former should be the case since exchange rate stabilisation was actively pursued by the central bank in parts of the study period. We also report a case in which undesirable residual properties attained within traditional frameworks are easily removed by applying the log-transformation on volatilities.
相似文献
Genaro Sucarrat (Corresponding author)Email: URL: http://www.core.ucl.ac.be/~sucarrat/index.html |
10.
Based on a sample of 1,084 European regions (EU15) from 1995 to 2004, we estimate the relationship between the average growth
rate of GDP per capita and the volatility of the growth rate allowing for spatial effects. The spatial lag and spatial error
models show that the regional per capita growth rate and volatility are significantly positively related on average. However,
the inclusion of country interaction terms reveals that the volatility impact is not uniform across countries. In particular,
the relationship between growth and volatility is significantly positive for the majority of countries but significantly negative
for three countries (namely Finland, Italy, and Ireland).
相似文献
Martin FalkEmail: |
11.
Export variety and the economic performance of countries 总被引:3,自引:0,他引:3
We explore the relationship between export variety and economic development, using data on OECD countries between 1964 and
2003. We show that structural change in the world economy has a particular arrow of time leading to a growing variety of exports.
Distinguishing between related variety (within sectors) and unrelated variety (variety between sectors), we also show that
related variety stimulates growth instantaneously, while unrelated variety only promotes growth with a considerable time lag.
This finding is in line with the evolutionary notions that economic development and international trade patterns are path
dependent.
相似文献
Koen FrenkenEmail: |
12.
In this article we propose a two step procedure for modeling the propagation of financial shocks. The first step consists
in the estimation, by means of SWARCH models, of the conditional probability of being in a period of high volatility, while
in the second step such indicators are included in a structural simultaneous equations models for interdependences among different
countries. The results show that episodes of financial crisis effectively happened during periods of high volatility and that
such measures of instability are important in explaining the propagation of devaluation expectations between six European
Countries during the ERM period.
相似文献
Marta BevilacquaEmail: |
13.
Tyler Cowen 《The Review of Austrian Economics》2007,20(1):1-10
Under a variety of assumptions, subsidized bidding for creative resources fails to spur economic growth. First, under many
conditions, the resource would find an optimal location in any case. Second, the bid may be good for a winning city's economy,
but bad for the arts more generally. The bid winner is not necessarily the most appropriate home for the resource. Third,
bids based on publicly available information are unlikely to beat the market price for attracting those resources. The key
to stimulating growth, and drawing successful creative resources, is to stimulate the underlying microconditions for entrepreneurship,
whether in the private or public sectors. Furthermore, we should make arts subsidies less location-specific.
相似文献
Tyler CowenEmail: |
14.
Robert D. Tollison 《The Review of Austrian Economics》2009,22(2):127-130
Besley’s treatment of principled agents is a major contribution to public choice and political economy. By focusing on politics
as an agency problem, he has shown the way to a new generation of research on the interface of politics and economics.
相似文献
Robert D. TollisonEmail: |
15.
Dilip K. Das 《International Review of Economics》2008,55(4):401-417
A tectonic shift in the global economic prowess became obvious around the turn of the last century. Three decades of macroeconomic
reforms, sustained growth and global integration have turned China into a future economic power of global magnitude, with
unmatched breadth of resources and a robust manufacturing sector. Significance of the Chinese economy has radically increased
and it has traversed from the periphery of the global economy to the core. For all appearances, this progress is likely to
continue in the foreseeable future. China has grown to be the fourth largest economy in the world in a short time span and
the third largest trader. Events like dawning of an economic superpower occur once in several generations. China is endeavoring
to make a new niche for itself in the global economy as well as formulate a new role.
相似文献
Dilip K. DasEmail: |
16.
Thierry Aimar 《The Review of Austrian Economics》2009,22(3):199-207
The Austrian School has had a curious destiny: while contributing many concepts to contemporary economic theory, it is either
ignored or criticised by much of modern economic literature. This article discusses possible reasons for this institutional
sidelining and the main futures of a renewal of Austrian thought.
相似文献
Thierry AimarEmail: |
17.
Saving government failure theory from itself: recasting political economy from an Austrian perspective 总被引:1,自引:0,他引:1
Peter J. Boettke Christopher J. Coyne Peter T. Leeson 《Constitutional Political Economy》2007,18(2):127-143
The economic approach to politics revolutionized the way scholars in economics and political science approached the study
of political decision-making by introducing the possibility of government failure. However, the persistent and consistent
application of neoclassical models of economics also seemed to suggest that once the full costs were accounted for, this failure
was an illusion. This paper counters these arguments, typically associated with George Stigler, Gary Becker and Donald Wittman,
by focusing on the underlying economic theory. We develop an alternative model of political economy grounded in the Austrian
conception of the dynamic market process.
相似文献
Christopher J. CoyneEmail: |
18.
The paper investigates price dynamics under market liberalization, with a focus on the effects of lowering price floors. We
analyze price dynamics by specifying and estimating a dynamic Tobit model under time-varying volatility, where the market
price is censored by a government-set support price. The model is applied to the U.S. butter market over the last three decades.
The econometric results show how the price support program affects both expected prices and the volatility of prices. It is
found that the censoring effects of a price support program can be significant and large even if the price support is set
relatively low.
相似文献
Jean-Paul ChavasEmail: |
19.
The paper investigates the factors affecting the equilibrium level of output in a panel of European countries. Output depends
on factor inputs and on the technology and the efficiency with which those factors are used. Efficiency may be driven by international
conditions and institutional changes such as the Single Market Programme in Europe. The technology indicators used in this
study depend upon research and development and also include the level of labour efficiency which is indexed on skills data.
The level of the capital stock depends upon the user cost of capital, which may depend upon risk and hence on the volatility
of the economy. Recent literature suggests that real exchange rate volatility is important in determining investment and therefore
has an impact on equilibrium output. A link of this form is uncovered for the European economies. If policy can reduce these
volatilities then it can also raise equilibrium output.
相似文献
Ray BarrellEmail: |
20.
Mansor H. Ibrahim 《International Review of Economics》2007,54(4):463-483
In this paper, we empirically examine the finance-economic development relations for the case of Malaysia. Using a battery
of time series econometric techniques, we document robust evidence suggesting favorable output effects of financial market
development. Likewise, there are consistent results showing the adverse real effects of financial volatility. The results
of the development of financial intermediaries, however, are fragile. Moreover, the development of the financial markets hinges
crucially on macro-economic performance and financial stability of the country. However, the process of financial market development
is likely to be accompanied by financial volatility, leaving Malaysia with the trade-off between financial development and
financial volatility. Lastly, we obtain limited evidence indicating the complementarity between financial market and banking
sector developments.
相似文献
Mansor H. IbrahimEmail: |