Cross-country performance of Lévy regime-switching models for stock markets

This article compares the performance of regime-switching Lévy models across sixteen (16) international stock markets. From a cross-country perspective, the empirical application is dedicated to the study of equity markets in the Americas, Asia and Europe. The results are of interest for a financial audience in order to document the sensitivity of stock indexes to the intensity of jumps, under changing economic regimes (expansion or recession). We pick up singularities in Japan and Malaysia compared to other countries and regions of the world.     

Liberalisation of the internal market: Efficiency advantages and requirements

The expected welfare effects of the completion of the internal European market by 1992 will differ markedly from one member country to another. What requirements must be met for liberalisation of the internal market? How could the disparities in the distribution of welfare effects be lessened?     

Estimating the effect of a retraining program on the re-employment rate of displaced workers

In this article, we estimate the effects of a French retraining program on the re-employment rate of displaced workers by matching techniques. This program, called ‘Conventions de conversion’, was intended to improve re-employment prospects of displaced workers by proposing them retraining and job seeking assistance for a period of 6 months beginning just after the dismissal. Our empirical analysis is based upon non-experimental data collected by the French Ministry of Labour. Matching estimates show that this program succeeded in increasing the employment rate of trainees by approximately 6 points of percentage in the medium-term, namely in the 2nd and 3rd years after the date of entry into the program. This improvement is essentially due to an increase of their re-employment rate in regular jobs, namely jobs under long-term labour contracts.     

Differences in Performance of Independent and Finance-Affiliated Venture Capital Firms

We examine the differences in the investment behavior of independent and finance-affiliated venture capital firms (VCFs). We find that differences in internal management mechanisms and staff backgrounds lead to external performance differences. Using VC-backed companies listed in Singapore as our sample, we find significant differences between these two types of VCFs in industry preference, investment duration, VCF syndication, number of board seats, initial underpricing, and long-term market returns. Independent VCFs add more value to their portfolios. Thus, we conclude that the participation of independent VCFs is an important corporate-level factor for the success of the venture capital market.     

Ex post bidding and efficient coordination unemployment

Abstract.  We study the implementation of constrained‐efficient allocations in labour markets where a basic coordination problem leads to an equilibrium matching friction. We argue that these allocations can be achieved in a non‐cooperative equilibrium if wages are determined by ex post bidding. This holds true even in finite‐sized markets where the equilibrium‐matching process has decreasing returns to scale – where the 'Hosios rule' does not apply – both with and without heterogeneity. JEL classification: D83, J64     

Networks,weak signals and technological innovations among SMEs in the land-based transportation equipment sector

On apprend plus par la conversation des Doctes,

que par la lecture de leurs livres

Les épistres de Seneque

Translation by François de Malherbe,

Paris, Anthoine de Sommaville, 1639, p. 21

Small and medium-sized enterprises, because of their limited resources, use a variety of sources and are linked to different networks to obtain the information they need to develop their strategy and then to gradually organize their environment. Among other things, networks keep them up-to-date with changes in the economy and allow them to take advantage of opportunities to innovate, thus remaining ahead of their competitors. The networks – personal or business – with which these firms interact the most are usually geographically or sociologically close by, embedded in the environment, and are known as strong tie networks. They generally supply signals in a familiar language, based on habit as well a good reciprocal knowledge, which are easy to understand. In addition to this, however, the most dynamic firms also have contacts with weak tie networks, which are further removed from the usual behaviours of entrepreneurs and provide weak signals that, while difficult to grasp and decode, nevertheless offer new, pre-competitive information that can support major innovations. Very little empirical research has been done so far to test the probability of this theory. This paper reports on the results of a survey involving 147 SMEs, all in the land-based transportation equipment sector. It confirms the importance of weak tie networks as opposed to other types of networks, recognizing their complementary contribution to technological innovation. The organization's absorptive capacity is also found to be a significant intermediary factor in taking advantage of weak tie networks.     

Options introduction and volatility in the EU ETS

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EUA futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had the effect of decreasing the level of volatility in the EU ETS while impacting its dynamics. These findings are fairly robust to other likely influences linked to energy and commodity markets.