The thesis dwells on the state interventions that governments and central banks had to implement in relation to the recent financial crisis and that were focused on stabilization and revitalization of the financial sector. The most attention is dedicated to anti-crisis interventions and the subsequent development in the United States. The first part explains the principles of banking regulation, the main causes of the crisis and the way it spread. The second part illustrates the concrete anti-crisis measures - extraordinary liquidity facilities, bailouts of leading financial institutions, distressed assets buyout, quantitative easing, etc. The third part then, with the aid of market indicators, analyzes the restoration of the standard functions of financial markets and presents an overall assessment of the effectivity and the risks of the realized interventions.

L’objet de cette thèse est d’analyser d’un point de vue financier la cotation et le comportement des obligations privées à la Bourse de Paris à partir de 1838 jusqu’à l’éclatement de la Première Guerre mondiale. Cette étude est divisée en deux parties : La première relate la création et l’évolution des émissions obligataires (marché primaire) durant le 19ème siècle. On s’intéresse aux grands émetteurs qui ont su se servir le mieux des obligations et les raisons de leur succès. Dans cette partie seront également traitées les caractéristiques techniques et les innovations financières des émissions. La deuxième partie tente d’analyser le comportement boursier des obligations(marché secondaire).Pour cela un indice général des cours d’obligations durant le 19ème siècle a été calculé. En se basant sur cet indice nous mettons en lumière pour la première fois, les caractéristiques de ce marché (rentabilité, volatilité, …). Cela permet de comparer nos résultats avec ceux des études antérieures sur les marchés d’actions et de la rente au 19ème siècle. Cet indice permet également de tester les diverses hypothèses financières relevant de la théorie financière moderne (efficience informationnelle, cointégration avec des autres compartiments du marché,…). / This thesis studies the French corporate bonds market during the 19th century. Despite its importance the performance of the corporate bonds quoted on the Paris Bourse has never been studied. In order to analyse this market, a price index of the corporate bond market has been created by using modern techniques. The creation of the index was made possible thanks to an original database created by new data, which has never been used before and collected directly from the publications of the market authorities during the nineteenth century. Thanks to the index, the risk and the return of the market have been measured. Then we compared the performance of the French corporate bonds with those of the stocks and government bonds; the results of thecomparisons are interesting. This study demonstrates that the corporate bonds are the least risky securities and their rate of return is higher than the government bonds during the nineteenth century. Some econometric tests have also been used to compare the efficiency of bond market with the other segments of the Paris Bourse.

Made available in DSpace on 2016-04-25T20:21:48Z (GMT). No. of bitstreams: 1 Maria I Nassif.pdf: 1233741 bytes, checksum: 7a9659feee4cdac433bf1ba77d6362a0 (MD5) Previous issue date: 2007-05-07 / The paper intends to show, by surveying the period immediately before Brazil´s presidential elections in 2002, how O Estado de S. Paulo and Folha de S. Paulo, two major newspapers printed in the country s major financial center, performed as mediators of the pressure applied by the financial markets upon voters and contenders, particularly upon the Worker s Party candidate, Luiz Inácio Lula da Silva. A feedback circuit between news and markets inserted the newspapers in the process of financial capital accumulation. São Paulo´s newspapers undertook the function of organic intelectuals in the electoral process and acted in a very organic way, assumedly as ideological private apparatuses, like political parties / O trabalho pretende mostrar, ao analisar o período imediatamente anterior ao processo eleitoral oficial de 2002, como O Estado de S. Paulo e a Folha de S. Paulo, dois jornais sediados no maior centro financeiro do país, serviram de mediadores das pressões do mercado financeiro sobre o eleitor e os candidatos em disputa, em especial sobre o candidato petista, Luiz Inácio Lula da Silva. Um jogo de retroalimentação entre notícia e mercados inseriu os jornais no processo de acumulação de capital. Os órgãos de imprensa paulistas assumiram a função de intelectuais orgânicos no processo eleitoral e atuaram de forma muito orgânica, assumindo-se como aparelhos privados de ideologia, tais como os partidos políticos

Made available in DSpace on 2016-04-26T14:56:17Z (GMT). No. of bitstreams: 1 Maria I Nassif.pdf: 1233741 bytes, checksum: 7a9659feee4cdac433bf1ba77d6362a0 (MD5) Previous issue date: 2007-05-07 / The paper intends to show, by surveying the period immediately before Brazil´s presidential elections in 2002, how O Estado de S. Paulo and Folha de S. Paulo, two major newspapers printed in the country s major financial center, performed as mediators of the pressure applied by the financial markets upon voters and contenders, particularly upon the Worker s Party candidate, Luiz Inácio Lula da Silva. A feedback circuit between news and markets inserted the newspapers in the process of financial capital accumulation. São Paulo´s newspapers undertook the function of organic intelectuals in the electoral process and acted in a very organic way, assumedly as ideological private apparatuses, like political parties / O trabalho pretende mostrar, ao analisar o período imediatamente anterior ao processo eleitoral oficial de 2002, como O Estado de S. Paulo e a Folha de S. Paulo, dois jornais sediados no maior centro financeiro do país, serviram de mediadores das pressões do mercado financeiro sobre o eleitor e os candidatos em disputa, em especial sobre o candidato petista, Luiz Inácio Lula da Silva. Um jogo de retroalimentação entre notícia e mercados inseriu os jornais no processo de acumulação de capital. Os órgãos de imprensa paulistas assumiram a função de intelectuais orgânicos no processo eleitoral e atuaram de forma muito orgânica, assumindo-se como aparelhos privados de ideologia, tais como os partidos políticos

Made available in DSpace on 2016-04-26T20:23:06Z (GMT). No. of bitstreams: 1 Ana Carolina Souza Fernandes.pdf: 1589846 bytes, checksum: 32dd3ebfc51e93318ca2ac20551ee01d (MD5) Previous issue date: 2014-08-25 / The free circulation of goods and services, financial capital and information is the basis of the globalisation. When it comes to the role of Law in such context there is a convergence of understandings regarding the mismatch between the current Law and the reality that the Law intents to regulate. Actions taken by governments towards regulation of the market, especially the financial and the capital markets, are essential factors and also decisive for the stability and development. This thesis shall analyze the origin and evolution of financial globalization, and its effects, mainly after the 2008 crisis. It is also intented to contextualize the market regulation as a mean to the effectiveness of the right to development, through the actions of the necessary State. Since this is a descriptive and exploratory study, shall be based on literature, national and alien, using the deductive method, and excepcionally, the inductive method / A livre circulação de bens e serviços, capital financeiro e de informação é a base do fenômeno da globalização. Quando se trata do papel do Direito neste contexto há uma convergência de entendimentos acerca do descompasso entre o direito posto e a realidade que pretende regular. Ações por parte dos governos na regulação do mercado, em especial os mercados financeiro e de capital, são fatores essenciais e determinantes para a estabilidade e o desenvolvimento nacionais. A presente dissertação pretende analisar a origem e a evolução da globalização financeira, bem como seus efeitos, principalmente após o advento da crise de 2008. Pretendemos, ainda, contextualizar a questão da regulação dos mercados como um meio de efetivação do direito ao desenvolvimento, por meio da atuação do Estado necessário. Por se tratar de um estudo descritivo e exploratório, será realizado com base em pesquisa bibliográfica, nacional e estrangeira, utilizando-se do método dedutivo e, excepcionalmente, do método indutivo

Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes. / This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.

O clássico Equilíbrio Econômico nunca foi realidade, especialmente após as primeiras crises dos mercados financeiros. Hoje se sabe que as economias estão longe da situação de equilíbrio, sendo vistas mais como um processo em construção do que um estado estático propriamente dito. Se assemelham a um sistema estocástico, e não determinístico como um dia se pensou. O Brasil é um país jovem, e seus sistemas econômico e político ainda estão em formação. Tendo em vista todas as mudanças e crises que o país tem sofrido em sua história recente, este estudo busca uma forma alternativa para que tais eventos possam ser detectados e, principalmente, de certa forma antecipados, para que as providências cabíveis possam ser tomadas a tempo de se evitar grandes perdas financeiras. Para tal, as medidas de Complexidade de SDL e LMC são aplicadas às séries do câmbio dolar-real, Ibovespa e CDS Brasil e avaliadas durante eventos de crises. Detectados os principais eventos de cada série, \"volta-se no tempo\", ao início da crise, e avalia-se, dada a informação disponível naquele momento, a possibilidade de se detectar a crise em seus primeiros estágios. Ao fim, conclui-se que as Medidas de Complexidade LMC e SDL são robustas na detecção de aumentos de volatilidade nos dados de séries financeiras. Assim sendo, apresentam grande potencial como indicadores precoces de crises financeiras. Para tal, não são necessários cálculos extensivos, nem grandes históricos de dados; e também não são necessárias hipóteses sobre a distribuição de probabilidades destes dados. Acredita-se que este seja o primeiro passo em direção à construção de um monitor de crises em tempo real. / The classical Economic Equilibrium has never been a reality, especially after the first financial markets crisis events. It is known nowadays that economies are far from their Equilibrium, they are seen more as a process under construction, not a static state; a stochastic instead of deterministic process, as it was thought before. Brazil is a young country, hence its economic and political systems are still maturing. In light of all the changes and crises it has been suffering in the recent history, this research seeks for an alternative mechanism to detect and anticipate these crisis events, in order to avoid massive financial losses. To this end, the LMC and SDL Complexity Measures are applied to the Dollar-Real exchange rates, Ibovespa and Brazilian CDS time series during crisis events. After detecting the main events, the idea is to \"turn back in time\", to the events\' inception, and analyse if, given the limited amount of information on that time, the crises could be detected on their early stages. Finally, this research concludes that both LMC and SDL Complexity Measures are robust in detecting volatility increases on the financial series, revealing good potential as crises early warning. However, no extensive calculus, large samples, or strong assumptions about the data probability distributions are needed to this aim. Therefore, these results represent the very first step towards a crises real time monitor.

Despite the extent of a theoretical framework in financial market studies, a vast majority of the traders, investors and computer scientists have relied only on technical and timeseries data for predicting future prices. So far, the forecasting models have rarely incorporated macro-economic and market fundamentals successfully, especially with short-term predictions ranging less than a month. In this investigation on the predictability of certain financial markets, an attempt has been made to incorporate a un-exampled and encompassing set of parameters into an Artificial Neural Network prediction system. Experiments were carried out on three market instruments ??? namely currency exchange rates, share prices and oil prices. The choice of parameters for inclusion or exclusion, and the time frame adopted for the experimental sets were derived from the market literature. Good directional prediction accuracies were achieved for currency exchange rates and share prices with certain parameters as inputs, which consisted of predicting short-term movements based on past movements. These predictions were better than the results produced by a traditional least square prediction method. The trading strategy developed based on the predictions also achieved a higher percentage of winning trades. No significant predictions were observed for oil prices. These results open up questions in the microstructure of the markets and provide an insight into the inputs required for market forecasting in the corresponding time frame, for future investigation. The study concludes by advocating the use of trend based input parameters and suggests ways to improve neural network forecasting models.

Since 1980, many convertible bonds have been issued by Swedish companies. Most of these issues have been aimed at the employees. The great number of these employee issues gave rise to a new tax law. This tax law made it necessary to obtain a value on a convertible bond certificate at issue. In the first part of the dissertation, the institutional setting for the issuing of convertible bonds in Sweden is discussed. The relevant tax laws and recommendations given by different organizations are described. Also other features related to the issues are described. Furthermore, an empirical study of convertible bonds issues to emplyees in listed companies is carried out. The main purpose of the study is to quantify the volume of convertible bond issues to employees which have defaulted. Issues with a nominal value of around 500 million Swedish Crowns have been involved in some form of default. In this study, several models are compared to investigate whether the choice of model for valuing convertible bonds is important. These models all fall within the framework of Contingent Claims Analysis. Contingent Claims Analysis is an option based technique for determining the value of a claim whose payoffs depend upon the development of one or several underlying variables. In the study, it is shown in great detail how to set up and use those models. It is shown that the choice of model is important for the value of a convertible bond in certain situations. Those situations are identified by an empirical study of Swedish convertible bonds and through sensitivity analysis. / <p>Diss. Stockholm : Handelshögskolan, 1993</p>

The main purpose of this thesis is to assess the potential of emerging stock markets and commodity markets in attracting the attention of international investors who utilize various portfolio diversification strategies to reduce the cumulative risk of their portfolio. A successful portfolio diversification strategy requires low correlation among financial markets. However, it is now well documented that the correlations among financial markets in developed countries are very high and hence the benefits of international portfolio diversification among these markets have been very limited. This fact suggests that investors should look for alternative markets whose correlations with developed markets are low (or even negative if possible) and which have high growth potentials. In this thesis, two emerging countries&#039 / stock markets and two commodity markets are considered as alternative markets. Among emerging countries, Turkey and China are chosen due to their promising growth performance since the mid-2000s. As commodity markets, agricultural commodity and precious metal markets are selected because of the outstanding performance of the former and the &quot / safe harbor&quot / property of the latter. The structures and properties of dependence between these markets and stock markets in developed countries are examined by modeling the conditional correlation in the dynamic conditional correlation framework. The results reveal that upward trend hypothesis is valid for almost all correlations among market pairs and market volatility plays significant role in time varying structures of correlations.