The global foreign exchange market is the largest financial market with turnover in this market often outstripping the GDP of countries in which they are located. The dynamics in the foreign exchange market, especially price dynamics, have huge implications for financial asset values, financial returns and volatility in the international financial system. It is therefore an important area of study. Exchange rates have often departed significantly from the level implied by fundamentals and exhibit excessive volatility. This reality creates a role for central bank intervention in this market to keep the rate in line with economic fundamentals and the overall policy mix, to stabilize market expectations and to calm disorderly markets. Studies that attempt to measure the effectiveness of intervention in the foreign exchange market in terms of exchange rate trends and volatility have had mixed results. This, in many cases, reflects the unavailability of data and the weaknesses in the empirical frameworks used to measure effectiveness. This thesis utilises the most recent data available and some of the latest methodological advances to measure the effectiveness of central bank intervention in the foreign exchange markets of a variety of countries. It therefore makes a contribution in the area of applied empirical methodologies for the measurement of the dynamics of intervention in the foreign exchange market. It demonstrates that by using high frequency data and more robust and appropriate empirical methodologies central bank intervention in the foreign exchange market can be effective. Moreover, a framework that takes account of the interactions between different central bank policy instruments and price dynamics, the reaction function of the central bank, different states of the market, liquidity in the market and the profitability of the central bank can improve the effectiveness of measuring the impact of central bank policy in the foreign exchange market and provide useful information to policy makers.

On July 20/21 in 2012, an international workshop was held on the subject of the global impact of the Euro-Financial-Crisis at the University of Potsdam. Prof. Dr. Detlev Hummel, faculty Finance and Banking, was the host of the event. Academic colleagues from Beijing, Moscow and Connecticut (USA) as well as domestic capital market and banking experts presented their analyses. Different aspects of national and international finance markets were examined, with a focus on the European region, China and Russia. Mistakes and failures of the banking regulations were identified as one, but note the sole cause of the economic problems. A lack of budget discipline of some politicians and the loss of business competitiveness of certain European nations were mentioned, too. Some members of the European Union did not succeed in mastering the challenges of the global economy. There have been structural issues in some states that impede their competitiveness in the global market, for example with China. The participants pointed out a number of other reasons for the crisis, like dubious distribution types as well as a lack of transparency of certain financial products. Furthermore, remuneration and incentive schemas of investment banks and especially the reckless risk management policy of large banks were identified as other factors for the crisis. The participants of the international workshop in Potsdam agree that the birth of the Euro-currency was a political event and will remain a challenge. The reform of the banking supervision and further steps towards an economic and fiscal union are new research tasks. / Am 20./21. Juli 2012 fand an der Universität Potsdam ein internationaler Erfahrungsaustausch über die globalen Folgen der Euro-Finanzkrise statt. Eingeladen hatte Prof. Dr. Detlev Hummel, Lehrstuhl für Betriebswirtschaftslehre mit dem Schwerpunkt Finanzierung und Banken. Kooperationspartner aus Peking, St. Petersburg und Moskau sowie Connecticut (USA), wie auch heimische Kapitalmarkt- und Bankexperten trugen Analysen vor. Es wurden unterschiedliche Aspekte aus Sicht nationaler und internationaler Finanzmärkte vorgestellt, wobei neben dem europäischen Raum auch China und Russland im Fokus standen. Die Ursachen der Euro-Finanzkrise wurden einerseits in einer unzureichenden Bankenregulierung gesehen. Eine mangelnde Haushaltsdisziplin politischer Entscheidungsträger und der Verlust der Wettbewerbsfähigkeit bestimmter europäischer Staaten standen ebenso zur Debatte. Teile der europäischen Gemeinschaft haben die Herausforderungen der Globalisierung nicht gemeistert. Es handelt sich hierbei um Strukturprobleme einzelner Staaten, die eine globale Wettbewerbsfä-higkeit, beispielsweise gegenüber China, verhindern. Weitere Ursachen - wie die teils fragwürdigen Vertriebsformen sowie die mangelnde Transparenz bestimmter Finanzprodukte, aber auch extreme Vergütungs- und Anreizmechanismen von Investmentbanken, vor allem aber die leichtfertige Risikopolitik großer Institute sowie Systemschwächen dabei - wurden aufgezeigt. Die Teilnehmer des internationalen Workshops in Potsdam waren sich darüber einig, dass die Einführung des Euro ein politisches Ereignis war und eine solche Herausforderung bleibt. Die Reform der europäischen Bankenaufsicht und weitere Schritte in Richtung einer wirtschaftlichen und finanzpolitischen Union stellen neue Aufgaben für die Forschung dar.

The object of the study is Lithuanian financial market in the global context. The study aims to conceptualize the term of globalisation and by means of economic analysis principles to identify and comprehensively assess the impact of globalisation on the Lithuanian financial market. For this purpose the author has conducted a comparative analysis of the theoretical concepts of globalisation and has conceptualized the term of globalization from the paradigmatic aspect, analyzed and systematized the dimensions of globalisation, performed the analysis of quantitative assessments of globalisation, analyzed the phenomena and the causes of globalisation of financial markets and characteristics of modern financial markets, has identified and structured the indicators defining the level of globalization of financial markets, has analyzed the theoretical aspects of the impact of globalisation on today’s financial markets as well as the results of the empirical research conducted in this area. On the basis of the identified and systematized criteria, the author has developed a theoretical model targeted to assess globalisation, the application of which has helped to conduct the empirical study and assess the impact of globalisation on the Lithuanian financial market from legal, structural, monetary, and financial aspects. The qualitative and quantitative research findings have showed that the processes of globalisation significantly affect the Lithuanian financial market; it is... [to full text] / Disertacijos tyrimo objektas yra Lietuvos finansų rinka globaliame kontekste. Tyrimo tikslas yra konceptualizuoti globalizacijos sąvoką ir, remiantis ekonominės analizės principais, nustatyti ir kompleksiškai įvertinti globalizacijos įtaką Lietuvos finansų rinkai. Siekiant tyrimo tikslo, disertacijoje atlikta globalizacijos teorinių koncepcijų lyginamoji analizė ir konceptualizuota globalizacijos sąvoka paradigminiu aspektu, išanalizuotos ir susistemintos globalizacijos dimensijos, atlikta globalizacijos kiekybinių vertinimų analizė, ištirtos finansų rinkų globalizacijos priežastys ir šiuolaikinės finansų rinkos ypatumai, identifikuoti, išnagrinėti ir susisteminti finansų rinkų globalizacijos lygį nusakantys rodikliai, išanalizuoti globalizacijos įtakos šių dienų finansų rinkoms teoriniai aspektai ir šia tema atliktų empirinių tyrimų apie globalizacijos poveikį rezultatai. Atlikusi globalizacijos procesų kokybinių ir kiekybinių vertinimų teorinę-metodologinę analizę, autorė susistemino globalizacijos matavimo rodiklius ir sukūrė holistinį kompleksinį finansų rinkos globalizacijos vertinimo modelį. Juo remiantis autorė atliko globalizacijos įtakos Lietuvos finansų rinkai empirinį tyrimą ir įvertino, kaip globalizacija veikia Lietuvos finansų rinką. Atlikto kokybinio ir kiekybinio tyrimo rezultatai rodo, kad globalizacijos procesai daro reikšmingą įtaką Lietuvos finansų rinkai, ji tampa atviresnė, ne tik de jure, bet ir de facto, išauga kapitalo mobilumas, Lietuvos finansų... [toliau žr. visą tekstą]

Disertacijos tyrimo objektas yra Lietuvos finansų rinka globaliame kontekste.Tyrimo tikslas yra konceptualizuoti globalizacijos sąvoką ir, remiantis ekonominės analizės principais, nustatyti ir kompleksiškai įvertinti globalizacijos įtaką Lietuvos finansų rinkai. Siekiant tyrimo tikslo, disertacijoje atlikta globalizacijos teorinių koncepcijų lyginamoji analizė ir konceptualizuota globalizacijos sąvoka paradigminiu aspektu, išanalizuotos ir susistemintos globalizacijos dimensijos, atlikta globalizacijos kiekybinių vertinimų analizė, ištirtos finansų rinkų globalizacijos priežastys ir šiuolaikinės finansų rinkos ypatumai, identifikuoti, išnagrinėti ir susisteminti finansų rinkų globalizacijos lygį nusakantys rodikliai, išanalizuoti globalizacijos įtakos šių dienų finansų rinkoms teoriniai aspektai ir šia tema atliktų empirinių tyrimų apie globalizacijos poveikį rezultatai. Atlikusi globalizacijos procesų kokybinių ir kiekybinių vertinimų teorinę-metodologinę analizę, autorė susistemino globalizacijos matavimo rodiklius ir sukūrė holistinį kompleksinį finansų rinkos globalizacijos vertinimo modelį. Juo remiantis autorė atliko globalizacijos įtakos Lietuvos finansų rinkai empirinį tyrimą ir įvertino, kaip globalizacija veikia Lietuvos finansų rinką. Atlikto kokybinio ir kiekybinio tyrimo rezultatai rodo, kad globalizacijos procesai daro reikšmingą įtaką Lietuvos finansų rinkai, ji tampa atviresnė, ne tik de jure, bet ir de facto, išauga kapitalo mobilumas, Lietuvos finansų... [toliau žr. visą tekstą] / The object of the study is Lithuanian financial market in the global context. The study aims to conceptualize the term of globalisation and by means of economic analysis principles to identify and comprehensively assess the impact of globalisation on the Lithuanian financial market. For this purpose the author has conducted a comparative analysis of the theoretical concepts of globalisation and has conceptualized the term of globalization from the paradigmatic aspect, analyzed and systematized the dimensions of globalisation, performed the analysis of quantitative assessments of globalisation, analyzed the phenomena and the causes of globalisation of financial markets and characteristics of modern financial markets, has identified and structured the indicators defining the level of globalization of financial markets, has analyzed the theoretical aspects of the impact of globalisation on today’s financial markets as well as the results of the empirical research conducted in this area. On the basis of the identified and systematized criteria, the author has developed a theoretical model targeted to assess globalisation, the application of which has helped to conduct the empirical study and assess the impact of globalisation on the Lithuanian financial market from legal, structural, monetary, and financial aspects. The qualitative and quantitative research findings have showed that the processes of globalisation significantly affect the Lithuanian financial market; it is... [to full text]

This paper examines the relationship between the development of the aggregate bond markets and real GDP in 13 highly developed economies. The recent interest in the ties between the real and the financial sector has usually been on the banking sector and the stock markets, rather ignoring the bond markets as a third essential source of external finance. We fill this gap by providing empirical evidence for causality patterns supporting the supply-leading approach in the USA, UK, Switzerland, Germany, Austria, the Netherlands and Spain over the 1950 to 2000 period. In the cases of Japan, Finland and Italy we find evidence of interdependence between bond market capitalization growth and real output growth. Granger causality test and co-integration approach are employed to support this conjecture. (author's abstract) / Series: EI Working Papers / Europainstitut

Participants in the NFL gambling market can largely be divided into two distinct groups: informed bettors (“Sharps”) and uninformed bettors (“Squares”). Empirical and anecdotal evidence suggest that the dynamic between Sharp and Square bettors is very similar to that between institutional and retail investors. Professionals tend to be far better informed and utilize rational betting/investing strategies while individuals exhibit biases which perpetuate irrational strategies and therefore pricing inefficiencies. This study finds that uninformed participants in financial markets and the NFL betting market do share similar biases, and that these biases can be exploited by informed participants to generate positive excess returns. The ability of Sharp bettors to generate excess returns, much like professional investors, is well covered in academic research. This study adds to the existing literature by analyzing whether “Follower” bettors can achieve statistically significant excess returns and higher than expected winning percentages by identifying reverse line movements and imitating the bets of Sharp gamblers.

Due to the fact that the European transition economies practically started from scratch in financial market development the size of financial markets in the CE-10 is significantly smaller with respect to GDP than in developed market economies. We can show by residual analysis that financial markets in the Czech Republic and Slovakia still need some restructuring. We also find that stock markets hardly contribute to economic prosperity, neither in the CE-10 nor in the EU. (authors' abstract) / Series: EI Working Papers / Europainstitut

This dissertation investigates the information considerations of volatility, pricediscovery and the relationship change in volume and volatility resulting from index derivatives transactions on financial markets in Australia. The impact of information on volatility was investigated in the essay one, as volatility is a key factor for accurately pricing derivative securities. I assessed the forecast accuracy, unbiasedness and information content of volatility forecasts, based on implied volatility and conditional volatility models for the S&P/ASX 200 Index Options market in Australia. The conditional volatility models produce the most accurate forecasts and are robust when forecasting into short time horizons. Essay two, investigates the information content of the index and option markets in the price-discovery process. Based on the above volatility results, the long-run equilibrium relationship between the share price index and the implied price of the share-price-index option was investigated. Causality was determined to show which market leads the other. Information share measures were used to gauge the contribution of the share price index and index option markets to the price-discovery process. Unambiguous evidence shows the index market leads the options market and the former contributes more to price-discovery than the latter. In essay three, I investigate the dynamic relationship between the future price volatility of the S&P/ASX 200 Index and the trading volume of the S&P/ASX 200 Index Options to explore the informational role of option volume in predicting price volatility. I found the contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH volatility to the call options volume are positive, significant and strong.

No description available.

No description available.