Similar Search Results

Informed Trading, Short Sales Constraints and Futures' Pricing

Hietala, Pekka; Jokivuolle, Esa; Koskinen, Yrjö - Suomen Pankki - 2000

The purpose of this paper is to provide an explanation for relative pricing of futures contracts with respect to underlying stocks using a model incorporating short sales constraints and informational lags between the two markets. In this model stocks and futures are perfect substitutes, except...

Persistent link: https://www.econbiz.de/10005649005

The rigidity bias

Herrala, Risto - Suomen Pankki - 2003

We study the basic economic problem of choice between long-term and short-term commitments under a general characterization of uncertainty (aggregate uncertainty). When contingencies are contractible, a perfect market of Arrow-Debreau contingent claims implements the social optimum. When...

Persistent link: https://www.econbiz.de/10005207147

Return-volatility linkages in the international equity and currency markets

Francis, Bill B; Hasan, Iftekhar; Hunter, Delroy M. - Suomen Pankki - 2002

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross-autocorrelations...

Persistent link: https://www.econbiz.de/10005423700

Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market

Laakkonen, Helinä - Suomen Pankki - 2015

This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in...

Persistent link: https://www.econbiz.de/10011207864

What determines bank stock price synchronicity? Global evidence

Francis, Bill; Hasan, Iftekhar; Song, Liang; Yeung, Bernard - Suomen Pankki - 2012

This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996–2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided...

Persistent link: https://www.econbiz.de/10010945107

In search of concepts: The effects of speculative demand on returns and volume

ap Gwilym, Owain; Wang, Qingwei; Hasan, Iftekhar; Xie, Ru - Suomen Pankki - 2013

Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...

Persistent link: https://www.econbiz.de/10010691919

Financial and economic downturns in OECD countries

Haavio, Markus; Mendicino, Caterina; Punzi, Maria Teresa - Suomen Pankki - 2013

This article empirically studies the linkages between financial variable downturns and economic recessions. We present evidence that real asset prices tend to lead real cycles, while loan-to-GDP and loan-to-deposit ratios lag them. Using a probit analysis, we document that downturns in real...

Persistent link: https://www.econbiz.de/10010722795

The determinants of global bank credit-default-swap spreads

Hasan, Iftekhar; Liu, Liuling; Zhang, Gaiyan - Suomen Pankki - 2014

fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility …, and risk-free rate) are significantly associated with bank CDS spreads. Second, some CAMELS indicators, including asset … quality, cost efficiency, and sensitivity to market risk, contain incremental information for bank CDS prices. Moreover …

Persistent link: https://www.econbiz.de/10011114570

Banks’ option to lend, interest rate sensitivity, and credit availability

Hasan, Iftekhar; Sarkar, Sudipto - Suomen Pankki - 2002

Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset … determine its overall interest rate risk. Empirical evidence indicates that low-slack banks indeed have significantly more … interest rate risk than high-slack banks. The model also makes predictions regarding the effect of deposit and lending rate …

Persistent link: https://www.econbiz.de/10005648888

A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans

Jokivuolle, Esa; Peura, Samu - Suomen Pankki - 2000

useful for estimating recovery rates required by many popular models of credit risk and for determining collateral haircuts …

Persistent link: https://www.econbiz.de/10005207168