Variance swap dynamics

We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems of stochastic volatility models in option pricing of forward starting products.     

Disentangling and quantifying market participant volatility contributions

Thanks to the access to labeled orders on the CAC 40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result, we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g. market maker type agents) have a smaller footprint on the volatility than slower, directional agents. The branching structure of Hawkes processes allows us to examine also the degree of endogeneity of each agent behavior, and we find that high-frequency traders are more endogenously driven than other types of agents.     

Portfolio analysis of intraday covariance matrix in the Greek equity market

The intraday nonparametric estimation of the variance–covariance matrix adds to the literature in portfolio analysis of the Greek equity market. This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. I use three types of portfolios: Global Minimum Variance, Capital Market Line and Capital Market Line with only positive weights. The estimators of volatilities and covariances use 5-min high-frequency intraday data. The dataset concerns the FTSE/ATHEX Large Cap index, FTSE/ATHEX Mid Cap index, and the FTSE/ATHEX Small Cap index of the Greek equity market (Athens Stock Exchange). As far as I know, this is the first work of its kind for the Greek equity market. Results concern not only the comparison of various estimators but also the comparison of different types of portfolios, in the strategy of volatility timing. The economic value of the contemporary non-parametric realized volatility estimators is more significant than this when the covariance is estimated by the daily squared returns. Moreover, the economic value (in b.p.s) of each estimator changes with the volatility timing.     

Options for African agriculture in an era of high food and energy prices

In a world of high food and energy prices, Africa has an imperative to do a better job feeding itself and ensuring that its people are food secure. At the same time, there is a new business opportunity to work with the private sector in developing the continent's potential to produce significantly more food, raw materials, and biofuels for regional and world markets. A challenge for African policy makers is to find the right balance between a food security and a business agenda, and to ensure that the business agenda engages with large numbers of small farms. Agricultural development requires many things, but the fundamentals for Africa are developing markets, increasing agricultural productivity, and managing volatility. This cannot happen at sufficient scale and speed without strong public sector leadership, enabling policies and investments, and well‐focused implementation strategies.     

Exchange rate volatility and United Kingdom trade: evidence from Canada,Japan and New Zealand

This paper investigates the influence of exchange rate volatility on the real imports of the United Kingdom from Canada, Japan and New Zealand during the period 1980–2003. The Johansen multivariate cointegration method and the constrained error correction (general-to-specific) method are applied to study the relationship between real imports and its determinants (including exchange rate volatility). Conditional variance from the GARCH(1,1) model is applied as exchange rate volatility. Both nominal and real exchange rates are employed in the empirical study. Results indicate a significant effect of the exchange rate volatility on real imports. These exchange rate volatility effects are mostly positive. The author thanks an anonymous referee, the editor and Myles Wallace for several useful comments and suggestions. Any remaining errors and omissions are the author’s responsibility alone.     

What drives idiosyncratic volatility over time?

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.

Exchange Rate Regime and Demand for Reserves: Evidence from Kenya,Mexico and Philippines

This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models, three factors are identified as important for the demand of international reserves and foreign reserves: average propensity to import, volume of imports and variability of reserves. The paper employs the cointegration methodology and error correction method to investigate the relationships. Cointegration tests results indicate a reliable long-run stationary relationship between the international reserves (and foreign exchange reserves) and the stated explanatory variables across countries and sub-periods of fixed and clean float. The error correction results indicate causality from the explanatory variables to the reserves during both the short and long run. This is true during both the fixed and the floating periods.

Beliefs,Economic Volatility,and Redistributive Preferences Across Developing Countries

Beliefs about social competition affect redistributive demands and the responsibility assigned to government regarding public provisions. Given the strong link between beliefs and the extent of support for social protection, it is important to explain the cross‐country differences. The paper analyzes the factors that are crucial in explaining redistributive demands across developing countries with a special emphasis on beliefs about social competition. While ideas about luck versus effort in determining economic prospects are explanatory in every country, our findings also suggest that in societies with high economic volatility the role of beliefs is amplified. Vast fluctuations in economic performance fuel the opinion that economic failure is a result of systemic characteristics, and individuals are not necessarily held fully responsible for their material faiths in such settings. Therefore, government is assigned a greater role in basic provisioning.     

市场操纵降低了中国股票市场的信息效率吗——来自沪市A股高频交易数据的经验证据

本文以尾市交易操纵为研究对象,尝试对中国股票市场可疑的尾市操纵行为进行识别与监测,并基于监测结果实证分析市场操纵如何影响市场信息效率。具体来看,本文利用沪市A股2013-2018年的日内高频交易数据,基于股票尾市交易相关指标异常变化特征,构建了尾市交易操纵识别模型,实证检验了市场操纵对信息效率的影响。研究结果表明,市场操纵对信息效率存在不利影响,市场操纵后股票流动性和股票波动性的异常变化是影响信息效率的关键传导路径,上述结论在考虑内生性问题后依然稳健。此外,研究还发现,国有企业、上市公司信息披露质量较高的情形下,市场操纵对信息效率不利影响程度较小。     

基于时变β的基金绩效评价方法及实证研究

无论对投资者还是基金公司证券,投资基金的绩效评价具有重大意义。评估基金的投资绩效,不仅要考察基金的平均收益率,而且要看它承受的风险。本文利用我国基金市场数据样本,在考虑基金贝塔系数时变的情况下构造TVB指标,并且通过实证研究,对比出这种对基金绩效评价方法的优越性。