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Market Regimes (market + regime)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Capital Market Regimes and Bank Structure in Europe

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 6 2010
RONALD E. SHRIEVES
international banking; market integration; shareholder protection We hypothesize that fundamental features that distinguish European capital markets have predictably influenced emerging national differences in bank capitalization and loan growth. Using bank-level data from 13 European countries, 1998 to 2004, we find evidence of positive effects of "equity-friendly" market features on bank capitalization and positive effects of both "equity-friendly" and "credit-friendly" market features on loan growth. The findings are strongest in small banks and in banks with cooperative charters. Our results suggest that ongoing and prospective integration of European banking markets is mitigated by relatively static features of the equity and credit markets on which banks rely. [source]

Labour Market Regimes and Worker Recruitment and Retention in the European Union: Plant Comparisons

BRITISH JOURNAL OF INDUSTRIAL RELATIONS, Issue 4 2001
Jane Morton
We analyse worker recruitment and retention outcomes, contrasting production worker skill profiles in the UK subsidiaries of five multinationals with, in each case, a matched plant in another EU state. From personnel records we build up plant distributions of worker pay, age, schooling, prior experience and tenure. We find evidence of local management discretion, with differences in unit labour costs and in recruitment/retention outcomes between the matched subsidiaries. UK plants have a ,hire and fire' environment and a less skilled worker mix. Such outcomes can be linked to the UK's lower labour costs and less regulated labour market. [source]

Heterogeneity, Efficiency and Asset Allocation with Endogenous Labor Supply: The Static Case

THE MANCHESTER SCHOOL, Issue 3 2001
Marcelo Bianconi
We study the implications of consumption and labor allocations with ex ante efficiency and possibly ex post inefficiency on international/interregional portfolio diversification. The answers we obtain depend crucially on the market regime relative to unemployment insurance. If there are complete markets for unemployment insurance, changes in asset allocation are small in the presence of ex post inefficiency, but if there are incomplete markets for unemployment insurance, changes in asset allocation can be large. The direction of the asset movement is towards more diversification. [source]

THE SOCIAL EFFICIENCY OF INSTRUMENTS FOR THE PROMOTION OF RENEWABLE ENERGIES IN THE LIBERALISED POWER INDUSTRY

ANNALS OF PUBLIC AND COOPERATIVE ECONOMICS, Issue 3 2006
Dominique Finon
ABSTRACT,:,This paper compares the social efficiency of the two main regulatory instruments used to promote renewable energy sources in electricity generation (RES-E), taking into consideration their role in promoting the preservation of the climate. They are based on a purchase obligation and act either by price (feed-in tariffs) or by quantity (RES-E quotas). In their reference design, the instruments show different performances in several dimensions: market incentives intensity, control of the cost for consumers, safeguards of RES-E investments, and conformity with the new market regime of the electricity industry. The comparison shows that neither instrument offers an optimal solution in each of these dimensions. In particular, the intrinsic qualities of the quotas instrument that are put forward to mandate its adoption by the EU members are overestimated. A government will thus select an instrument in accordance with the relative importance of its objectives: environmental policy versus cost control by market pressure. [source]

TERRORISM AND THE RETURNS TO OIL

ECONOMICS & POLITICS, Issue 3 2009
BROCK BLOMBERG
The effect of terrorism on global oil prices has been largely explained through demand-side effects. We estimate an empirical model to re-examine the effect of terrorism on the price of global oil stocks across oil market regimes that reflect different supply constraints. We believe that terrorism will have larger impacts when global capacity is tight (i.e. when global demand is close to global supply). This means that any shock to capacity (say by conflict) should have the largest impact on profits before the first OPEC shock in the early 1970s. Since then, conflict shocks would not allow firms to exploit production in the same way, thus reducing the available profits that could be garnered by such production manipulation. If capacity constraints are binding when a conflict occurs, then we predict that a positive stock price reaction can be expected for oil firms from such a shock. We exploit a new panel dataset to investigate the relationship between oil profitability and conflict, using conflict data from the top 20 oil producing and exporting countries in the world. We show that in the later part of our sample, 1974,2005, as cartel behavior of OPEC member countries has diminished and as conflict has become more regular and thus the information surrounding it noisier, oil stock prices do not increase in response to conflict. However, in earlier capacity constrained eras, we find that oil stocks can in fact increase in response to conflict. In some cases, the impact of conflict may cause the return of oil stocks to increase by as much as 10 percentage points. [source]

Indexing, cointegration and equity market regimes

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2005
Carol Alexander
Abstract This paper examines, from a market efficiency perspective, the performance of a simple dynamic equity indexing strategy based on cointegration. A consistent ,abnormal' return in excess of the benchmark is demonstrated over different time horizons and in different real world and simulated stock markets. A measure of stock price dispersion is shown to be a leading indicator for the abnormal return and their relationship is modelled as a Markov switching process of two market regimes. We find that the entire abnormal return is associated with the high volatility regime as the indexing model implicitly adopts a strategic position that pays off during market crashes, whilst effectively tracking the benchmark in normal market circumstances. Therefore we find no evidence of market inefficiency. Nevertheless our results have implications for equity fund managers: we show how, without any stock selection, solely through a smart optimization that has an implicit element of market timing, the benchmark performance can be significantly enhanced. Copyright © 2005 John Wiley & Sons, Ltd. [source]