Strategic interaction between futures and spot markets

We study an oligopolistic industry where firms are able to sell in a futures market at infinitely many moments prior to the spot market. A kind of Folk-theorem is established: any outcome between perfect competition and Cournot can be sustained in equilibrium. We then find that the Cournot outcome can be sustained by a renegotiation-proof equilibrium. However, this is not true for the competitive outcome. Furthermore, only the monopolistic outcome is renegotiation-proof if firms can buy and sell in the futures market. These results suggest, contrary to existing literature, that the introduction of futures markets may have an anti-competitive effect.     

PowerPlay: Exploring decision making behaviors in energy efficiency markets

Computer models are widely used to analyze decisions about energy efficiency improvements in the residential and commercial sectors. Few models exist that can actually be run interactively by decision makers to play out alternative future scenarios. None are available that interactively capture the dynamics, subtleties and complexities of interdependent decisions by utilities, households and firms in an ever-changing technological and economic environment.This paper presents the features and experiences of PowerPlay, a computer-facilitated game which fills that gap and does more: it is a game to be played by at least a dozen player groups who interact with each other, make deals (or break them), plan for the future and revise decisions. The computer model functions like a game board to trace actions and offer choices. The observed behaviors can be analyzed to advance understanding of investment strategies and consumer choices; to generate experimentally-based data on energy efficiency changes; and to provide the basis for analyses that can substantiate or complement historical, time-series driven specifications of energy models.     

The turning black tide: energy prices and the Canadian dollar

Abstract.  This paper revisits the relationship between energy prices and the Canadian dollar, using an equation first developed by Amano and van Norden (1995) . They found evidence of a negative relationship between these two variables, such that higher real energy prices led to a depreciation of the Canadian dollar. Based on structural break tests, we find a break point in the sign of this relationship, which changes from negative to positive in the early 1990s. The timing of the break is consistent with major changes in Canada's energy policies and in energy-related cross-border trade and investment.     

Limited attention in residential energy markets: a regression discontinuity approach

It is well known that limited attention affects consumption decisions, in particular, when the decision environment is complex. The objective of this study is to determine whether or not, and to what extent, limited attention is prevalent in residential energy markets. We use data on more than 10,000 randomly selected customers of a California-based utility company and examine consumption responses as measured by changes in kilowatt-hours after a bill has crossed a salient threshold. The results of a sharp regression discontinuity design indicate that consumers use significantly less electricity in a month following the receipt of a bill that crossed a given threshold, such as $50 for lower-income households, who then show a 2–4% reduction in the consumption. We find that even at the threshold, the degree of inattention is roughly 0.75, consumers still tend to ignore the actual (i.e., full) cost of energy use. As previous studies have found inattention to be related to income, we focus primarily on lower-income households. However, there is some evidence that higher-income households have a similar response at higher thresholds. Considering the urgent need to reduce greenhouse emissions and increase energy savings, our results may contribute to the design of more effective billing and feedback mechanisms for energy-end-users.     

Negative price spikes at power markets: the role of energy policy

In Germany, substantial drops in wholesale power prices have become a regular phenomenon. While such price drops have far-reaching implications for the functioning of the power market, their underlying determinants remain poorly understood. To fill this gap, we propose a Markov regime-switching model to investigate low-price events at the European Power Exchange. Our analysis focuses on the role of energy policies that promote renewable energies and have led to significant reductions of nuclear capacities after the Fukushima accident. We find that high electricity infeed from renewable sources increases negative price spike probabilities, while the decommissioning of nuclear plants under the Nuclear Moratorium had an opposing effect. Simulations of market outcomes under different energy policies indicate that reaching ambitious renewable energy targets increases the frequency of low-price events and compromises the financial viability of conventional generation units, while a nuclear phase-out or an increase in storage capacities mitigates these effects.     

Comparison between specific taxation and volume quotas in a free entry Cournot oligopoly

We revisit the classic discussion of the comparison between tax and quota, but in a free-entry Cournot oligopoly. We investigate a quantity ceiling regulation as a quota policy. We find that tariff-quota equivalence holds if the firms are symmetric and the number of firms is given exogenously. However the equivalence does not hold and taxes dominate quotas in the free entry market because quota can increases the number of entering firms and increases the loss caused by excessive entries.     

Dynamic linkages between stock markets: the effects of crises and globalization

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between the series of daily returns on selected stock indices over different time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing procedure based on the model confidence set methodology. We consider two types of dependencies: regular dependence measured by means of the conditional Spearman’s rho, and dependencies in extremes quantified by the conditional tail dependence coefficients. The main result consists of a collection of rankings created for the considered subperiods, which show how the mean level of strength of the dependencies have been changing in time. The rankings obtained for Spearman’s rho and tail dependencies differ, which allows us to distinguish between the results of crises and the effect of globalization.     

关于我国股票市场与债券市场收益率联动性的实证研究

股票和债券的资产组合在证券投资领域是一种传统而常见的投资组合方式.为了从组合中获取最大收益和最大限度地规避风险,研究这两种资产之间的联动性问题具有重要意义.基于对股票市场与债券市场收益率联动性进行的实证分析,我们发现股票市场与债券市场收益率之间存在长期影响;股票市场与债券市场收益率之间存在领先-滞后关系;股票市场与债券市场收益率之间的月度相关性是时序变化的,可以用模型进行描述与预测.     

Modelling the linkages between US and Latin American stock markets

This paper examines the linkages between US and Latin American stock markets during the 1995–2002 period using recently developed cointegration techniques that allow for structural shifts in the long-run relationship. Results suggest that when conventional cointegration tests are applied, a long-run relationship is found only in the cases of Brazil and Mexico for the Dow Jones (DJ) index, and in the case of Brazil for the Standard and Poor's 500 (SP500) index. In contrast, if the possibility of structural breaks is introduced, strong evidence is found in favour of such a relationship between the Argentine, Chilean and Venezuelan indices and the DJ index after the 1998 financial turmoil, and between the Brazilian and Mexican indices and the DJ index before such turbulence, while some marginal cointegration is detected between the Mexican and DJ indices from February 1998. Additionally, evidence is found of a cointegrating relationship between the Argentine, Chilean and Mexican indices and the SP500 index from August 1998, April 1999 and October 1999, respectively, and between the Brazilian and the SP500 indices before November 1997, as well as some marginal cointegration between the Mexican and SP500 indices before October 1999. The results suggest that the gains from international diversification for investors with long holding periods is limited.     

创业板市场:全球模式比较及对我国的启示

全球经济发展的实践表明,创业板市场在推动新经济的发展中起到了不可替代的重要作用。随着我国经济快速增长和产业结构的升级换代,在我国设立能为风险投资提供退出机制、符合国际惯例和市场化要求的创业板市场,已成为推动我国中小企业特别是中小高新企业的发展、提升我国经济实力和科技竞争力的必要条件。它的设立将是我国融资机制改革的重大突破,是建立和完善我国多层次资本市场体系的关键性一步。创业板市场能否成功运作,不仅取决于投资者和上市公司的热情,更取决于市场的定位是否合理、管理者是否具备高水平的监管能力以及市场是否拥有先…     

中国A股与B股的市场分割性检验

本文以布莱克版CAPM(资本资产定价模型 )作为理论模型 ,修正国外先进的市场分割检验模式 ,运用较复杂的计量经济估计方法对我国A、B股市场的一体化 (或分割性 )进行实证研究。实证结果表明 ,中国A、B股市场在很大程度上是一体化的。     

城市绿色消费问题对策--绿色工程

本文针对城市绿色消费问题提出了全面化、社会化的绿色工程概念，对绿色工程框架进行了详细的分析和阐述，并给出了支持绿色工程有力实施的平台体系。借此，希望本研究有助于我国循环经济的建设与发展。     

Volatility transmission between stock and foreign exchange markets: a connectedness analysis

ABSTRACT

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.     

The comovement between exchange rates and stock prices in the Asian emerging markets

This study investigates the comovement between exchange rates and stock prices in the Asian emerging markets. The sample covers major institutional changes, such as market liberalization and financial crises, so as to examine how the short-term and long-term relations change after such events. The autoregressive distributed lag (ARDL) model proposed by Pesaran et al. (2001) is adopted, which allows us to deal with structural breaks easily, and to handle data that have integrals of different orders. Interest rates and foreign reserves are also included in the analysis to reduce potential omitted variable bias. My empirical results suggest that the comovement between exchange rates and stock prices becomes stronger during crisis periods, consistent with contagion or spillover between asset prices, when compared with tranquil periods. Furthermore, most of the spillovers during crisis periods can be attributed to the channel running from stock price shocks to the exchange rate, suggesting that governments should stimulate economic growth and stock markets to attract capital inflow, thereby preventing a currency crisis. However, the industry causality analysis shows the comovement is not stronger for export-oriented industries for all periods, such as industrials and technology industries, thus implying that comovement between exchange rates and stock prices in the Asian emerging markets is generally driven by capital account balance rather than that of trade.     

The impact of subprime mortgage on correlation between stock and FX markets

Our researching period contains the American subprime mortgage crisis, an insignificant financial crisis and the Asian financial crisis periods. We analyse and compare the interrelations between the stock and Foreign Exchange (FX) markets in Taiwan by the daily data of stock prices and NTD/US exchange rates. The empirical results found that there is no effect on the long-term equilibrium between the stock and FX markets during the American subprime mortgage crisis. It also shows that, whether financial crisis occurs or not, there is no cointegration between the stock and FX markets. Furthermore, the results find that there exists bidirectional causality between the stock and FX markets among the American subprime mortgage crisis and the Asian financial crisis period. However, there is only unidirectional relationship from stock prices to exchange rates during insignificant financial crisis period. Such results imply that two financial crises do significantly affect the short-term interrelationships between the stock and FX markets and lead to more importance for the connection between two markets.     

开发海外能矿资源适时规避五项风险

建立多元、稳定和可靠的能矿资源供应保障,是维护我国能矿资源安全、促进经济社会可持续发展的重大战略问题.支持我国企业开展国际能矿资源合作,是这一战略的重要支撑.企业在走出去开发能矿资源的过程中往往要面临不同于国内经营环境的各种风险,如何规避这些风险是我们正面临的重要课题.     

The tradeoff between risk sharing and information production in financial markets

The production of information in financial markets is limited by the extent of risk sharing. The wider a stock's investor base, the smaller the risk borne by each shareholder and the less valuable information. A firm which expands its investor base without raising capital affects its information environment through three channels: (i) it induces incumbent shareholders to reduce their research effort as a result of improved risk sharing, (ii) it attracts potentially informed investors, and (iii) it may modify the composition of the base in terms of risk tolerance or liquidity trading. Implications for individual firms and the market as a whole are derived.     

Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test

This study examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the United States, Europe and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those markets and US Monetary policy, oil prices, global financial risk and uncertainty factors. The recently developed Hafner and Herwartz (2006)’s causality-in-variance test provides evidence of risk transfers between these seemingly different equity markets, indicating a contagion between them during the full sample and the subperiods. The volatility structure of these markets is dominated by short-run volatility in the first period and by high long-run volatility in the second period. The volatility impulse response analysis indicates a similar volatility transmission pattern although it is characterized by a more volatile and short-lived structure in the second period. It also appears that the Islamic equity market responds to shocks from the risk factors and not from the oil price and the US economic policy uncertainty index during both periods.     

Stochastic dominance relationships between stock and stock index futures markets: International evidence

In this paper, we first modify the stochastic dominance (SD) test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers. We then adopt both tests to examine the SD relationships between stock indices and their corresponding index futures for 10 countries. The sample contains data from 6 developed countries and 4 developing countries. The study proposes that there should be no SD relationship between spot and futures markets in developed financial markets in which arbitrage opportunities (both pure and quasi) are rare and short-lived. However, we expect that SD relationships could be found in emerging financial markets that have more impediments to arbitrage. Consistent with this conjecture, our study finds that there are no SD relationships between spot and futures markets in the mature market sample, implying that these markets could be efficient. However, for the emerging markets, spot dominates futures for risk averters, while futures dominate spot for risk seekers in the second- and third-order SD. These results indicate that there are potential gains in expected utilities for risk averters (seekers) if they switch their investment from futures (spot) to spot (futures) in the emerging markets.