[FIN] Marchés financiers: working papers (RePEc, 03/11/2010)

Source : NEP (New Economics Papers) | RePEc

  • Financial Sector Regulation and Reforms in Emerging Markets: An Overview
Date: 2010-10
By: Prasad, Eswar (Cornell University)
URL: http://d.repec.org/n?u=RePEc:iza:izadps:dp5233&r=fmk
This paper provides an overview of the complex conceptual and practical challenges that emerging market economies face as they attempt to reform their frameworks for financial regulation. These economies are striving to balance the quest for financial stability with the imperatives of financial development and broader financial inclusion. I argue that these objectives can in fact reinforce one another. I also discuss aspects of macroeconomic policies and cross-border regulation that have implications for financial stability and the resilience of the financial sector in emerging markets.
Keywords: emerging markets, financial development, financial regulation, financial inclusion
  • Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Date: 2010-10-19
By: Alessandro Beber (University of Amsterdam)
Marco Pagano (Universita di Napoli Federico II, CSEF, EIEF and CEPR)
URL: http://d.repec.org/n?u=RePEc:dgr:uvatin:20100106&r=fmk
Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured different degrees of stringency. We exploit this considerable variation in short-sales regimes to identify their effects with panel data techniques, and find that bans (i) were detrimental for liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price discovery, especially in bear market phases, and (iii) failed to support stock prices, except possibly for U.S. financial stocks.
Keywords: short selling; ban; crisis; liquidity; price discovery
JEL: G12
  • What Segments Equity Markets?
Date: 2010
By: Geert Bekaert (Columbia University)
Campbell R. Harvey (Duke University)
Christian T. Lundblad (University of North Carolina)
Stephan Siegel (University of Washington)
URL: http://d.repec.org/n?u=RePEc:nbp:nbpmis:76&r=fmk
We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many developing countries, the level of segmentation is still significant. In contrast to previous research, we characterize the factors that account for variation in market segmentation both through time as well as across countries. While a country’s regulation with respect to foreign capital flows is important in determining its level of segmentation, we find that non-regulatory factors are also related to the cross-sectional and time-series variation in the level of segmentation. We identify a country’s political risk profile and its stock market development as two additional local segmentation factors as well as the U.S. corporate credit spread as a global segmentation factor.
  • Currency Carry Trades
Date: 2010-10
By: Travis J. Berge
Òscar Jordà
Alan M. Taylor
URL: http://d.repec.org/n?u=RePEc:nbr:nberwo:16491&r=fmk
A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting structures have been proposed, including signals such as carry, value, momentum, and the forward curve. Some of these have been explored individually, and others have been used in combination. In this paper we use new econometric tools for binary classification problems to evaluate the merits of a general model encompassing all these signals. We find very strong evidence of forecastability using the full set of signals, both in sample and out-of-sample. This holds true for both an unweighted directional forecast and one weighted by returns. Our preferred model generates economically meaningful returns on a portfolio of nine major currencies versus the U.S. dollar, with favorable Sharpe and skewness characteristics. We also find no relationship between our returns and a conventional set of so-called risk fact ors.
JEL: C44

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