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One Market (one + market)
Selected AbstractsMarket interdependence and financial volatility transmission in East AsiaINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2009Giampiero M. Gallo Abstract In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the market, and possible volatility spillover terms from other markets. The specific empirical focus of the paper is on the interdependence structure of seven East Asian markets between 1990 and 2005. We pay specific attention to the stability of the significance of the links across markets on subperiods that consider or exclude the 1997 crisis and contrast results between earlier samples and more recent ones. Copyright © 2008 John Wiley & Sons, Ltd. [source] Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks,OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 4 2008Stefanie Kleimeier Abstract This paper presents a new empirical approach to address the problem of trading time differences between markets in studies of financial contagion. In contrast to end-of-business-day data common to most contagion studies, we employ price observations, which are exactly aligned in time to correct for time-zone and end-of-business-day differences between markets. Additionally, we allow for time lags between price observations in order to test the assumption that the shock is not immediately transmitted from one market to the other. Our analysis of the financial turmoil surrounding the Asian crisis reveals that such corrections have an important bearing on the evidence for contagion, independent of the methodology employed. Using a correlation-based test, we find more contagion the faster we assume the shock to be transmitted. [source] Contagion as a Wealth EffectTHE JOURNAL OF FINANCE, Issue 4 2001Albert S. Kyle Financial contagion is described as a wealth effect in a continuous-time model with two risky assets and three types of traders. Noise traders trade randomly in one market. Long-term investors provide liquidity using a linear rule based on fundamentals. Convergence traders with logarithmic utility trade optimally in both markets. Asset price dynamics are endogenously determined (numerically) as functions of endogenous wealth and exogenous noise. When convergence traders lose money, they liquidate positions in both markets. This creates contagion, in that returns become more volatile and more correlated. Contagion reduces benefits from portfolio diversification and raises issues for risk management. [source] The Antitrust Implications of Capacity Reallocation by a Dominant FirmTHE JOURNAL OF INDUSTRIAL ECONOMICS, Issue 2 2001Ian Gale When a firm acquires rival firms in one market, and moves their capacity to another market, should antitrust authorities be concerned? We address this question by studying a multi-stage game. A dominant firm has the opportunity to acquire fringe firms that operate in the same market. Then, the dominant firm has the opportunity to move capacity from that market to a second market. The model is motivated by a series of acquisitions in the Specialized Mobile Radio industry aimed at establishing a new cellular carrier. We derive necessary and sufficient conditions for the dominant firm to acquire too little capacity relative to the social optimum. The results shed light on the Consent Decree negotiated in US v. Motorola Inc. and Nextel Communications Inc., 1994. [source] Kidneys for Sale: Who Disapproves, and Why?AMERICAN JOURNAL OF TRANSPLANTATION, Issue 5 2010S. Leider The shortage of transplant kidneys has spurred debate about legalizing monetary payments to donors to increase the number of available kidneys. However, buying and selling organs faces widespread disapproval. We survey a representative sample of Americans to assess disapproval for several forms of kidney market, and to understand why individuals disapprove by identifying factors that predict disapproval, including disapproval of markets for other body parts, dislike of increased scope for markets and distrust of markets generally. Our results suggest that while the public is potentially receptive to compensating kidney donors, among those who oppose it, general disapproval toward certain kinds of transactions is at least as important as concern about specific policy details. Between 51% and 63% of respondents approve of the various potential kidney markets we investigate, and between 42% and 58% want such markets to be legal. A total of 38% of respondents disapprove of at least one market. Respondents who distrust markets generally are not more disapproving of kidney markets; however we find significant correlations between kidney market disapproval and attitudes reflecting disapproval toward certain transactions,including both other body markets and market encroachment into traditionally nonmarket exchanges, such as food preparation. [source] Domestic and Foreign Sales When Prices in Both Markets are UncertainBULLETIN OF ECONOMIC RESEARCH, Issue 2 2003Ardeshir J. Dalal This paper obtains comparative static results for a firm that sells a single output domestically and abroad when prices in both markets are uncertain. Results are obtained for both constant absolute risk aversion and for Ross decreasing absolute risk aversion, using a diagrammatic analysis which exploits the properties of expected marginal utility contours. The results depend crucially on whether foreign and domestic sales are net substitutes or complements. The model is more complex and yields fewer unambiguous results , particularly in the case of substitutes , than when there is price uncertainty in only one market. [source] | ||||||||||||||||||||||