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Europe's Entry into the Venture Capital Business: Efficiency and Policy
Stolpe, Michael - Institut für Weltwirtschaft (IfW) - 2004
This paper provides new evidence on Europe's experience with venture capital in the 1990s. Individual countries' activity is not solely determined by country characteristics and a purely domestic history, but also by a common European experience: the interdependence of valuations in primary...
Persistent link: https://www.econbiz.de/10005755118
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Learning and Signalling in the French and German Venture Capital Industries
Stolpe, Michael - Institut für Weltwirtschaft (IfW) - 2003
This paper analyses the efficiency of venture capital and its impact on primary equity markets in France and Germany. It shows that venture capital operates according to the signalling model in France and according to the learning model in Germany. Only the learning model can serve as a...
Persistent link: https://www.econbiz.de/10005700526
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Political risk guarantees and capital flows: The role of bilateral investment treaties
Mina, Wasseem - Institut für Weltwirtschaft (IfW) - 2015
This paper examines the influence of political risk guarantees of bilateral investment treaties on debt and equity flows using panel data on middle income countries for the period 1984-2011. Adopting system GMM methodology, the paper empirically finds that ratified bilateral investment treaties...
Persistent link: https://www.econbiz.de/10011262997
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Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model /
Demary, Markus - Institut für Weltwirtschaft (IfW) - 2009
due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …
Persistent link: https://www.econbiz.de/10008561116
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Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models
Hermsen, Oliver; Witte, Björn-Christopher; Westerhoff, … - Institut für Weltwirtschaft (IfW) - 2009
information is released with a delay, while the average price volatility is virtually unaffected by such regulations …
Persistent link: https://www.econbiz.de/10008561121
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Non-Market Interaction in Primary Equity Markets: Evidence from France and Germany
Stolpe, Michael - Institut für Weltwirtschaft (IfW) - 2004
This paper provides micro-econometric evidence on the relevance of non-market interaction for the timing of initial public offerings (IPOs) in the French and German primary equity markets. The surge of IPO volume in the late 1990s appears to be consistent with rational expectations, not with...
Persistent link: https://www.econbiz.de/10005566212
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Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015
) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …
Persistent link: https://www.econbiz.de/10011170357
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010956052
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The Microstructure of Exchange Rate Management: FX Intervention and Capital Controls in Brazil
Roure, Calebe de; Furnagiev, Steven; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013
This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...
Persistent link: https://www.econbiz.de/10010886994
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The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - Institut für Weltwirtschaft (IfW) - 2002
This paper presents evidence on the accuracy of press reports regarding the foreign exchange market interventions conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the financial press are a relatively inaccurate indicator...
Persistent link: https://www.econbiz.de/10005755250