CHANGE IN VOLATILITY REGIMES AND DIVERSIFICATION IN EMERGING STOCK MARKETS

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for stock returns is controlled by a state-varying mechanism is introduced and used to design a state-varying US-EM (emerging market) portfolio establishment strategy. Additionally, a conventional random-variance framework, the MVGARCH (multivariate GARCH) model, in which a time-varying technique is involved is employed and subjected to comparative analysis. The empirical results are consistent with the following notions: First, as being consistent with a study conducted by Ramchand and Susmel , the US-EM market correlations are higher when the US market is more volatile. However, this study further indicates that the US-EM market correlations increase relatively more when both the US and EM markets simultaneously experience a high variance condition. Moreover, the situation of both the US and EM stock markets at a high volatility state is associated with a minimum risk reduction benefit and a maximum cross-market correlation. Second, the state-varying portfolio loadings established by the MVSWARCH model could effectively enhance asset allocation effectiveness; however, this benefit arises more as a result of risk reduction than an increase in mean returns.     

Ein Jahr danach: Erste empirische Ergebnisse der Ausschreibungen für Windenergie an Land gemäß EEG 2017

The sixth amendment of the German Renewable Energy Sources Act (Erneuerbare-Energien-Gesetzes [EEG]) came into force at January 1st, 2017. Especially regarding onshore wind energy, it includes fundamental changes. Having set raised market integration as well as market compatibility and cost-efficiency as the main three goals, market-based tendering shall be the instrument to reach them.Meanwhile, the first three calls have been completed. This enables the opportunity for a first evaluation of the tendering as a system to fund onshore wind energy in Germany and a comparison of the criticism which came along with the newest amendment. At first glance, several improvements can be found: Especially a—previously expected—forced competition on the market but also low bid and tender values show a massive potential of cost reduction. However, the analysis further shows that energy cooperatives are disproportionally privileged, which leads to a distortion of competition and the risk of a future non-continuous development. Additionally, the current system results in regional disparities, coming along with disadvantages especially for the southern states. 10 suggestions for improvement show possible answers concerning the main shortcomings.