Influence of Social Media over the Stock Market

This research analyzes investors’ activity through social media and these media's influence over the Chicago Board Options Exchange Market Volatility Index (VIX) using a logit model and a fuzzy‐set qualitative comparative analysis (fsQCA). The logit results show that social media sentiment influences stock markets. Meanwhile, the fsQCA results show that the investors’ profile is important for explaining how social media influence the stock market. Particularly, holding period combined with experience in technical investors contributes to avoiding a raise in market risk, whereas for nontechnical investors message sentiment and experience form the combination that contributes to avoid a raise in market risk.     

Bulgaria’s hyperinflation in 1997: transition,banking fragility and foreign exchange

This article has two objectives: to study the 1997 episode of hyperinflation in Bulgaria, and to compare and contrast this analysis with the post-Keynesian theoretical approach. This approach highlights the role of three components observed simultaneously in order to understand the emergence of hyperinflation: a virulent distributive conflict; the presence of indexing mechanisms; and finally, flight from domestic currency into one or more foreign currencies. The article reveals that a transitional economy like that of Bulgaria in the 1990s may generate hyperinflation in the absence of any violent distribution conflict: the transition and the banking crisis engender inflation. The foreign exchange rate is decisive in the emergence of hyperinflationary dynamics (and therefore mistrust of domestic currency). This interpretation of hyperinflation is confirmed by an econometric analysis.     

FROM INSTITUTIONS TO FINANCIAL DEVELOPMENT AND GROWTH: WHAT ARE THE LINKS?

This paper presents an integrated overview of the literature linking institutions, financial development, and economic growth. From the large body of research on institutional development, the paper first selects those contributions that make it possible to study the role of institutional arrangements in ameliorating/worsening the information frictions and transaction costs that characterize the development of financial markets. The paper then investigates the theoretical mechanisms by which these specific frictions affect economic growth and presents the stock of empirical evidence quantifying the impact of institutions on growth through financial development.     

Small transaction costs, absence of arbitrage and consistent price systems

The aim of this note is to establish a criterion of absence of arbitrage opportunities under small transaction costs for a family of multi-asset models of financial markets.     

Asymmetry, realised volatility and stock return risk estimates

In this paper we estimate minimum capital risk requirements for short and long positions with three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility to price changes. We also address the problem of the extremely high estimated persistence of the GARCH model to generate observed volatility patterns by including realised volatility as an explanatory variable into the model??s variance equation. The results suggest that the inclusion of realised volatility improves the GARCH forecastability as well as its ability to calculate accurate minimum capital risk requirements and makes it quite competitive when compared with asymmetric conditional heteroscedastic models such as the GJR and the EGARCH.     

Category management and consumer choice

This paper shows the results of an exploratory analysis of the structure of a complex product category: Wine. In complex categories, a usual strategy of consumers is the partitioning of alternatives into homogeneous subsets and the sequential eliminations of subsets until a product/brand is chosen from among few homogeneous alternatives in the last subset. To identify if there is such a kind of strategy and the product attributes involved is of great interest for the retailer. After a discussion of the different modelling alternatives of the choice process, the authors provide an application of the additive trees (ADDTREE) model to explore the hierarchical structure. The ADDTREE results provide a first overview of the competitive market structure of the wine category: competition becomes more intense as the wine category is partitioned by, first, the type of wine criteria and, second, the designation of origin (DO) criteria.     

Bilateral trade of cultural goods

International trade flows of cultural goods have grown rapidly over the last decades and their liberalization will be an important issue of future multilateral trade negotiations. In this paper, we focus on bilateral trade in cultural goods and investigate its determinants. Furthermore, we use trade in cultural goods as a proxy for countries’ cultural proximity and study if countries with proximate cultural tastes have more intense bilateral exchanges. Our estimations show a positive and significant influence of cultural flows on overall trade, suggesting that regulations fostering domestic cultural creation might have impacts going beyond what is generally expected.     

Is power more evenly balanced in poor households?

The structure of intra-household allocation is crucial to know whether a transfer from a rich household to a poor one translates into a transfer from a rich individual to a poor one. If rich households are more unequal than poor ones, then a progressive transfer among households reduces intra-household inequality, hence inequality among individuals. More specifically, two conditions have to be satisfied for extending Generalized Lorenz judgments from household level to individual one. The fraction of the couple's expenditures devoted to goods jointly consumed should decrease at the margin with the couple's income as well as the part of private expenditure devoted to the disadvantaged individual. This double concavity condition is non-parametrically tested on the French Household Expenditure Survey (2000). It is not rejected by the data and supports the view that power is more evenly distributed in poor households.     

Self-employment of immigrants and natives in Sweden – a multilevel analysis

Recent research suggests that self-employment among immigrants is due to a combination of multiple situational, cultural and institutional factors, all acting together. Using multilevel regression and unique data on the entire population of Sweden for the year 2007, this study attempts to quantify the relative importance for the self-employed of embeddedness in ethnic contexts (country of birth) and regional business and public regulatory frameworks (labour market areas). This information indicates whether the layers under consideration are valid constructs of the surroundings that influence individual self-employment. The results show that 10% (women) and 8% (men) of the total variation in individual differences in self-employment can be attributed to the country of birth. When labour market areas are included in the analyses, the share of the total variation increases to 14% for women and 12% for men. The results show that the ethnic context and the economic environment play a minor role in understanding individual differences in self-employment levels. The results can have important implications when planning interventions or other actions focusing on self-employment as public measures to promote self-employment often are based on geographic areas and ethnic contexts.