No description available.

No description available.

Banking supervision and regulation: Possible changes as a consequence of the global financial crisis Master Thesis Author: Bc. Jaroslav Mihok Supervisor: PhDr. Adam Geršl Ph.D. Academic Year: 2010/2011 Abstract The thesis is devoted to the analysis of recent global financial crisis and subsequent reform of the regulatory and supervisory framework. After the discussion of the causes of the crisis the proposed reforms are presented. The presentation of the reforms is divided into three parts. The first one consists of the global initiatives and general recommendations. Subsequent two parts focus on the specifics of the reforms in the United States of America and in the European Union. Afterwards the reforms are compared and subjected to the critical analysis. Key words: Dodd-Frank Act, De Larosière report, financial crisis, reform of the regulatory and supervisory framework

No description available.

The study aims at identifying the most appropriate and effective approach towards securities regulation and the prevention of securities fraud, given the specific legal and socio-economic circumstances of a particular country. On the basis of the above premise, a number of more specific objectives of the study can be drawn, namely: • to ascertain the need for securities regulation by examining the concept and theory of regulation; • to examine the concept and theory of securities fraud by highlighting some of the definitional and criminological debate on it; • to evaluate the merits and demerits of certain types of regulatory measures in order to identify the most appropriate method of regulation in a given set of circumstances; • to assess the appropriateness of using the criminal law as a primary enforcement tool against securities fraud and the suitability of adopting other alternative remedies; and • to identify the main problems encountered in the regulation of securities and find ways to overcome them. Focusing on the above objectives, the study examines contemporary approaches towards the regulation of securities and the prevention of securities fraud, with special reference to two countries, namely, the United Kingdom and Malaysia. As a result, the study finds that despite the numerous objections against regulatory intervention in the operation of the financial markets, the practical reality of the modern-day securities market arguably necessitates some forms of regulation of the market. However, the choice of regulatory method is crucial in determining the success of the regulatory process in curing market inefficiencies and failures. Interestingly, the study discloses that the particular circumstances of a country may have a significant influence on the choice of regulatory method. Thus, a method of regulation that works well in a particular country may not necessarily work as well in a different country with a different set of circumstances. In addition, the method of regulation should also be flexible enough to meet the changing needs of the dynamic financial market.

The purpose of this thesis is to provide evidence on the predictability of asset prices: does it exist and what are its characteristics? Therefore processes underlying asset price behaviour are the central concern of this thesis. Utilising UK futures market data, initial time-series tests consider if, ex post, prices depart from random behaviour and if linkages exist between prices set in different markets. Results show that departures from randomness exist, namely, persistence and mean reversion, and suggest that prices in some markets may be used to forecast prices set in other markets. The thesis then investigates the mean reversion characteristics of the data by conducting 'model-based' tests on the existence and sources of mean reversion. Subject to the maintained hypothesis of the cost-of-carry model, tests reveal expected transitory components in commodity and metals prices across maturities. For financial assets, expected mean reversion is found only at the near to maturity horizons. Implied cash flow yields and interest rate movements have a role in driving the transitory process but this varies across assets and maturities. Using multivariate estimation procedures and focussing on asset bases, the thesis then explores whether predictability may be due to a common component driven by an unobservable source of risk. Movement in the price of systematic risk is proxied by ex ante variables that have been shown to have predictive power for returns from bond and stock markets. For financial assets, the evidence cannot reject common movement at short horizons but rejects common movement at longer horizons. Further tests reveal that the observed short run commonalties are dominated by systematic components associated with expected future spot rates. In contrast, tests reveal that agents' in metal and energy markets appear to price the systematic risk associated with their futures position as well that associated with spot price forecasts.

No description available.

No description available.

No description available.

This thesis examines Put Call Parity (PCP) deviations in the LIFFE FTSE-100 Options quoting system and tests the two competing hypotheses put forward in the literature. Our dataset covers the period of July 1994 to March 1997 and contains 357,985 and 431,145 observations (for the European and the American types) resulting in 40,124 and 57,382 PCP deviations respectively. We calculate PCP misspricings using the model proposed in Kamara and Miller (1995). The model used here accommodates market imperfections but does not include taxes. The model also allows for the immediacy risk and the early exercise risk associated with evidence of Put-Call Parity deviations documented in the literature. We find evidence of significant deviations, net of costs, throughout the period. We test misspricings in both American and European contracts for the same period and equal contract parameters and find evidence supporting both hypotheses where appropriate. The level of deviations found suggest that other factors could attribute to their identification, we propose liquidity-related factors such as inventory constraints. We assume that persistent deviations from the PCP, which are not supported by the option pricing theory are indications of market inefficiency. In well functioning markets we expect that larger PCP deviations will be removed from the system first. We fit a Cox Proportional Hazard model and test the significance of the level of deviations as a covariate. We find the degree of deviations to be a significant factor in the duration of the misspricings for the majority of the observations. We conclude that under these evidence the market is not characterised as inefficient. The last part of this thesis models the PCP deviation series as a sequential stochastic process. We fit around the process the Autoregressive Conditional Duration Model, as proposed by Engle and Russell (1995) and modified by Bauwens and Giot (1997). We conclude that the model offers an adequate representation for this high frequency, irregularly spaced series. Keywords: Put-Call Parity, High Frequency, Duration, Cox (AND) Proportional (AND) Hazai-ds, Irregularly Spaced Observations, Autoregressive (AND) Conditional (AND) Duration (AND) Model.