Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options

Using a stochastic volatility option pricing model, we showthat the implied volatilities of at-the-money options are notnecessarily unbiased and that the fixed interval time-seriescan produce misleading results. Our results do not support theexpectations hypothesis: long-term volatilities rise relativeto short-term volatilities, but the increases are not matchedas predicted by the expectations hypothesis. In addition, anincrease in the current long-term volatility relative to thecurrent short-term volatility is followed by a subsequent decline.The results are similar for both foreign currency and the S&P500 stock index options.     

银行业危机:金融泡沫视角的分析

自20世纪80年代以来,银行业危机爆发越显频繁。然而,通过对银行业危机内部形成机理分析可以发现,银行业危机的爆发其实是伴随着金融泡沫的形成与破灭这一过程的。在金融泡沫的形成过程中,银行往往会给一些高风险行业发放贷款,从而增加银行经营风险;而在金融泡沫破灭之后,这将直接或间接地导致银行产生大量的不良贷款,从而使银行业危机最终爆发。因此,我国应尽快化解国有商业银行的不良资产;完善银行微观治理结构;建立和完善金融监管机制。     

Dividend Policies and Price-Volume Reactions to Cash Dividends on the Stock Market: Evidence from the Istanbul Stock Exchange

This study examines the effects of cash dividend payments on stock returns and trading volumes in the stock market. It also investigates whether there is any difference in the investment behavior of investors with respect to the dividend pay out ratio and size in the Istanbul Stock Exchange (ISE)from 1995 to 2003. Prices start to rise a few sessions before cash dividend payments, and on the ex-dividend day, they fall less than do dividend payments, finally decreasing in the sessions following the payment. Trading volume shows a considerable upward shift before the payment date and, interestingly, is stable after Thus, cash dividends influence prices and trading volumes in different ways before, at, and after payment, providing some profitable active trading strategy opportunities around the ex-dividend day. The findings support price-volume reaction discussions on the divident payment date and the significant effect of cash dividends on the stock market.     

Contagion Effects from the 1994 Mexican Peso Crisis: Evidence from Chilean Stocks

The contagion, or informational spillover, effects of the 1994 peso crisis from the Mexican market to the Chilean market, and to the Chilean American Depository Receipts (ADRs) trading in the U.S., are examined. Significant excess returns are observed for Chilean stocks for the event dates of the Mexican Peso crisis, providing evidence of contagion effects. Significant excess returns on these Chilean ADRs are also observed for each of the five event dates associated with the Peso crisis, suggesting that the contagion effects spilled over to the ADRs. A multiple regression model shows that the spillover contagion effects were very efficiently transmitted from the Mexican market to the Chilean market to the Chilean ADRs. Multifactor regressions show that the most significant influence on the pricing of Chilean ADRs is the raw Chilean Index, rather than the Chilean Index expressed in U.S. dollars.     

Financial Crisis,Politically Connected CEOs,and the Performance of State-Owned Enterprises: Evidence from Korea

This study examines under specific situations the performance of state-owned enterprises (SOEs) from two points of view—business performance and public performance. We find that SOEs with a politically connected CEO perform well even during a financial crisis as the SOEs are able to obtain more favorable treatment. However, the results imply that politically connected CEOs perform poorly when government subsidies are excluded as they may lack the skills for successful management. The results also confirm that SOEs encourage more corporate social responsibility (CSR) activities during a financial crisis in an effort to gain legitimacy by demonstrating that they are committed to social responsibility. However, politically connected CEOs have a negative effect on CSR performance during a financial crisis.     

Implied Volatility in the U.K. Commercial Property Market: Empirical Evidence Based on Transaction Data

The primary aim of this research is to compute implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period of 1984 to 1997, and with approximately 20,000 commercial property transactions in the United Kingdom, we find that implied volatility of rental returns is in the region of 24.83 percent. Over the same sample period, the historical and conditional standard deviations of the log returns of transaction-based rental series is estimated to be 15.60 percent and 35.64 percent, respectively. The tests of information content of these risk measures show that there is strong orthogonality in the information impounded in implied volatility estimates compared to that contained in historical standard deviations.     

Why Has Taiwan Been Immune to the Asian Financial Crisis?

This paper presents the reasons why Taiwan has been immune tothe Asian financial crisis. It shows that the purchasingpower parity theory applies to the N.T. dollar exchangerate and analyzes daily data on exchange rates andstock prices within the ARMA-GARCH regressionframework. Using the Granger causality test, it is shownthat the yen/U.S. dollar exchange rate caused the changein the N.T. dollar/U.S. dollar rate.     

The Impact of Liquidity on Debt Maturity After a Financial Crisis: Evidence from the Gulf Cooperation Council Region

This article contributes to the existent literature on corporate debt maturity by studying a new channel through which firms may mitigate the effects of a major economic downturn such as the 2008 global financial crisis. More specifically, using a sample of 208 listed firms in the Gulf Cooperation Council (GCC) region, we find that an increase in firms’ current ratios after the crisis is associated with an increase in long-term financing. We also find that a financially constrained firm can still access long-term financing if its current ratio after the crisis is beyond a specific threshold. Additionally, we highlight the differences in the typical drivers of debt structure between GCC countries and industries.     

Bank Capital: Lessons from the Financial Crisis

Using a multicountry panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk‐adjusted ratio, the leverage ratio, the Tier 1 and Tier 2 ratios, and the tangible equity ratio. We find several results: (i) before the crisis, differences in capital did not have much impact on stock returns; (ii) during the crisis, a stronger capital position was associated with better stock market performance, most markedly for larger banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk‐adjusted capital ratio; (iv) higher quality forms of capital, such as Tier 1 capital and tangible common equity, were more relevant.     

International Evidence on Risk Taking by Banks Around the Global Financial Crisis

This study models the risks of commercial banks from the United States and developed, emerging, and frontier countries while controlling for bank- and country-specific variables within a panel framework. Bank risk is measured by both the traditional Z-score and a composite bank risk index proposed by the authors. The findings suggest that even though the riskiness of all banks from different country groups increased following the financial crisis, the magnitude of the change is not the same across groups. During the post-crisis period, banks in developed, emerging, and frontier countries experienced a smaller increase in their risk compared to their counterparts in the United States. This article provides support for the claim that banks in emerging and frontier countries have experienced the effects of the financial crisis to a lesser extent compared to those in the United States.     

Bank Relationship and Firm Performance: Evidence From Thailand Before the Asian Financial Crisis

Abstract:   This study examines the relation between bank relations and market performance in Thailand, an economy in which commercial banks play a crucial role through lending relationship and, for a number of companies, equity ownership. Overall, bank relationships, both equity‐based and debt‐based, positively affect capital investment. However, there is a negative relation between lending relationships, both short‐term and long‐term, and market performance indicating that bank lending may not always be consistent with value maximization. There is also evidence of a positive marginal effect of bank monitoring through equity ownership on market performance. Further, the relation between bank equity ownership and market performance appears to be non‐linear with a concave function. Ownership by corporate insiders is also negatively related to bank equity ownership. Overall, the findings highlight the detrimental effects of excessive short‐term debt usage, one of the factors believed to contribute to the financial crisis in Thailand, and the marginal benefit of the equity‐based relationship on firm value.     

Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar

After the global financial crisis (GFC), most major currencies had higher interest rates than the US dollar on forward contract because of increased demand for the US dollar as international liquidity. However, unlike the other major currencies, the Australian dollar and the NZ dollar had lower interest rates than the US dollar on forward contract in the post GFC period. The purpose of this paper is to explore why this happened through estimating the covered interest parity (CIP) condition. In the analysis, we focus on a unique feature of Australia and New Zealand where short-term interest rates remained significantly positive even after the GFC. The paper first constructs a theoretical model where increased liquidity risk causes deviations from the CIP condition. It then tests this theoretical implication by using daily data of six major currencies. We find that both money market risk measures and policy rates had significant effects on the CIP deviations. The result implies that unique monetary policy feature in Australia and New Zealand made deviations from the CIP condition distinct on the forward contract.     

R-Squared and Dividend Payout: Evidence from the Korean Market

The authors investigate R ² and its relationship with dividend payouts in the Korean stock market. R ² is derived from the market model regression. Their results are consistent with the previous literature on corporate governance and dividend payouts: they find that R ² is higher for business group (chaebol) firms and that there is a negative relationship between R ² and dividend payout. However, the relationship is not stronger for the business group firms than for the non-business group firms. The findings elucidate the relationship between R ² and dividend payout policy in the United States.     

基于金融产品创新视角对次贷危机的宏微观透视

金融产品是金融业的细胞,细胞层次发生病变犹如人罹患癌症,必定会危及整体。本文研究了次级抵押贷款、基于次贷的金融创新衍生产品链条,透视了金融产品创新(金融衍生产品)的原理,提出次贷危机发生的根本原因在于金融产品的过度创新、缺乏对金融创新的监管。     

企业财务弹性与投资行为关系：一个金融危机环境下的数据检验

采用1200家中国上市公司金融危机期间2007~2011年的面板数据和随机效应模型,对财务弹性与公司投资行为的关系进行检验,研究发现：不同行业、不同所有权控股、不同板块上市公司的财务弹性及投资行为存在明显差异;财务弹性对投资规模具有较为明显的促进作用,对投资方向的影响作用不明显。     

Investments,Credit, and Corporate Financial Distress: Evidence from Central and Eastern Europe

Although they are instrumental for economic development, productivity-enhancing corporate investments may increase the financial vulnerability of companies, especially in an economic and financial crisis. We employ an instrumental probit model with the aim of finding evidence for the investment and credit patterns that led companies into financial distress during the global financial crisis 2009–2010. The company-level micro-data for our study on three Central and East European countries—Hungary, Bulgaria, Romania and two Baltic countries, Latvia and Lithuania—originates from two independent surveys, the Business Environment and Enterprise Performance Survey conducted in 2008 and the Financial Crisis Survey conducted in 2009/2010. Both were carried out jointly by the EBRD and the World Bank. Our results emphasize a substantial adverse impact from investment intensity and debt financing on company financial soundness during a crisis. On top of that, we discover a strong non-linear pattern in the sensitivity of company distress to its investment-financing nexus.     

从成本收益角度论金融危机中政府救市的必要性

本文通过构建一个成本收益理论模型来研究政府救市对经济产生的积极效应和消极效应,论证金融危机中政府是否应当救市.研究表明,金融危机中政府在进行是否救市的抉择时,应当综合考虑救市对一国的经济增长、金融机构破产损失、金融中介功能、财政成本、通货膨胀成本和道德风险等因素的影响,比较积极效应和消极效应这两者的强弱.如果经济可持续...     

Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets

Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market. We also use bivariate GARCH-M models to examine the behavior of individual markets and their interactions with other markets in the region. All models lend support to the idea of the "Asian contagion," which started in Thailand and rapidly spread to other markets.     

Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices

This paper examines the relationship between the Islamic and conventional equity indices by employing the newly launched MSCI Global Islamic Indices which began in 2008. We argue for the case of cointegration supported by fundamental, category and habitat theories, and against cointegration due to the fundamental difference between Islamic and conventional stocks in terms of debt ratio, accounts receivable and interest bearing securities. We find Islamic and conventional equity markets move together despite fundamental differences and given that market microstructure, dividends, capital gains, taxation and governance systems are different across the markets. Almost simultaneous movement of the permanent and cycle components of Islamic and mainstream equity indices has been supported by the application of the Beveridge Nelson (BN) time series decomposition technique. Theoretically, the volatility of Islamic equities should be lower due to their low leverage ratio. Surprisingly, permanent parts of the Islamic indices appear to be more volatile during the crisis period and less volatile during the post‐crisis period.     

Corporate Debt Structure and the Financial Crisis

We present a DSGE model where firms optimally choose among alternative instruments of external finance. The model is used to explain the evolving composition of corporate debt during the financial crisis of 2008–09, namely, the observed shift from bank finance to bond finance, at a time when the cost of market debt rose above the cost of bank loans. We show that the flexibility offered by banks on the terms of their loans and firms' ability to substitute among alternative instruments of debt finance are important to shield the economy from adverse real effects of a financial crisis.