Uncertainty, Expectations and Asset Price Dynamics (eBook)

Essays in Honor of Georges Prat

Fredj Jawadi (Herausgeber)

eBook Download: PDF

2018
192 Seiten
Springer International Publishing (Verlag)
978-3-319-98714-9 (ISBN)

Infos

Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.

Fredj Jawadi is a Full Professor of Finance at the University of Lille, France, and was an Associate Professor of Finance at the University of Evry-Paris Saclay from 2010 to 2018. Currently, he is an Associate Researcher at EconomiX-CNRS and Deputy Director for the Cliometrics and Complexity team (CAC) at the IXXI Complex Systems Institute, France as well as Fellow for the Society of Economic Measurement (US), Fellow at the Economic Research Forum (ERF) in Egypt and Charter Fellow at the Institute for Nonlinear Dynamical Inference (INDI) in Russia. He specializes in finance and applied econometrics. He is the author of several books and international journal papers.

Inhalt

An Interview with Georges Prat 6
Introduction: Overview of Georges Prat's Career and Work 6
Context and Motivations 8
Teaching, Research Supervision and Collaboration 9
Contributions to Monetary Theory and Business Cycles 11
Contributions to the Labour Market 14
Contributions to Expectations, Uncertainty and Asset Pricing 16
Introduction 26
Contents 29
Part I Uncertainty and Volatility 31
Uncertainty and Stationarity in Financial and Macroeconomic Time Series—Evidence from Fourier Approximated StructuralChanges 32
1 Introduction 32
2 Literature and Comments 34
3 Principles of Fourier Approximation and the Test 35
3.1 Principle and Method of Fourier Approximation 36
3.2 Frequency Selection 39
3.3 Test the Break Components 40
3.4 Corroboration from a Fourier Unit Root Test 41
4 Fourier Approximation Tests and Analysis of China's Macroeconomic Time Series 42
5 Robustness Check: Corroborations and Comparisons 51
6 Concluding Remarks and Discussion 54
References 56
Oil Market Volatility: Is Macroeconomic Uncertainty Systematically Transmitted to Oil Prices? 59
1 Introduction 60
2 Methodology and Data 62
2.1 Macroeconomic Uncertainty 62
2.1.1 Measuring Macroeconomic Uncertainty 62
2.1.2 Endogenous and Exogenous Components of Uncertainty 65
2.2 Measuring Oil Market Uncertainty 66
2.3 Data 68
3 Results 68
3.1 Transmission of Macroeconomic Uncertainty to Oil Market Uncertainty 68
3.2 Historical Decomposition Analysis 70
3.3 Distinguishing Between Different Types of Shocks 71
4 Conclusion 75
References 76
Part II Heterogeneity of Beliefs and Information 79
Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence 80
1 Introduction 80
2 From Rational Expectations to Bounded Rationality 82
2.1 Efficient Markets 82
2.2 Limits of the EMH 83
2.3 Survey Evidence and Bounded Rationality 84
2.4 Boundedly Rational Heterogeneous Agents Models 85
3 Early Contributions and Supporting Evidence 86
3.1 Early Contributions 86
3.2 Supporting Evidence on the Micro-Level 87
3.3 An Example 89
4 Estimation 91
4.1 Results 92
4.1.1 Stock Market 92
4.1.2 Foreign Exchange Market 96
4.1.3 Commodities 98
4.1.4 Credit 99
4.1.5 Housing 99
4.1.6 Other Asset Classes 100
5 Conclusion 100
References 102
High Frequency Trading in the Equity Markets During US Treasury POMO 107
1 Introduction 107
2 The Model 109
2.1 Model Setup 109
2.2 Limit Order Traders 110
2.3 High Frequency Traders 111
3 HFT Data Set 113
4 Permanent Open Market Operations (POMO) 115
4.1 Announcement Effects 115
4.2 Details of the Auctions 115
4.3 Effect of POMO Flows on the Equity Market 116
5 Empirical Results 119
5.1 HFT Firms Pull Back from the Inside Quote 119
5.2 HFT Firms Trade More Aggressively in the Direction of News 120
5.3 HFT Firms Reduce Their Passive Liquidity Supply 122
6 Additional Effects of HFT Activity 123
6.1 Market Impact of Trades by HFT Firms Becomes Higher 123
6.2 HFT Firms Make More Profits During POMO 124
7 Robustness Checks 126
7.1 Time Window 126
7.2 FOMC Days 127
8 Conclusion 128
References 128
Part III Transmission and Market Integration 130
Crude Oil and Biofuel Agricultural Commodity Prices 131
1 Introduction 132
2 Data 136
3 Causality Dynamics 139
3.1 Testing for Linear Granger Causality 140
3.2 Testing for Nonlinearity 141
3.3 Testing for Nonlinear Causality 141
3.4 The Cross-Bicorrelation Test 143
4 Conclusion 145
References 146
Financial Integration and Business Cycle Synchronization in Sub-Saharan Africa 148
1 Introduction 148
2 The Variables and the Empirical Model 150
2.1 Defining an Indicator of Business Cycle Synchronization 150
2.2 Variables of Financial Integration 153
2.2.1 Risk-Sharing Variables 153
2.2.2 Indicators Related to the Banking Sector 157
2.3 Control Variables 159
2.4 The Econometric Model 160
3 The Results: Is Financial Integration Large Enough to Affect Business Cycle Synchronization? 160
4 Conclusion 166
Appendix 167
References 168
Part IV Fundamentals and Bubbles 170
Informational Efficiency and Endogenous Rational Bubbles 171
1 Introduction 171
2 Asset Pricing 174
3 Intuition 177
4 Evolutionary Dynamics 180
5 Simulations 182
5.1 Excess Variance 185
5.2 Return Predictability 186
5.3 Excess Variance Robustness 189
6 Conclusion 191
References 192
Stock Market Bubble Migration: From Shanghai to Hong Kong 195
1 Introduction 195
2 Literature on China's and Hong Kong's Stock Bubbles 198
3 Methodology and Data 202
3.1 Methodology 202
3.1.1 Speculative Bubble Detection 202
3.1.2 Bubble Migration 203
3.2 Data 204
4 Detecting Bubbles and Their Migration 204
4.1 Bubble Timeline: Detecting Explosive Behaviour 205
4.2 Bubble Migration 208
5 Conclusion 211
References 212

Produkt-Details

• Erscheint lt. Verlag: 30.11.2018
• Reihe/Serie: Dynamic Modeling and Econometrics in Economics and Finance
• Reihe/Serie: Dynamic Modeling and Econometrics in Economics and Finance
• Zusatzinfo: XXX, 192 p. 28 illus.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Asset Price Dynamics • Bubbles • Commodity prices • Financial Crises • Heterogeneous Beliefs • High-Frequency Trading • Informational uncertainty • International portfolio flows • Macroeconomic aggregates • nonlinearity • Oil market volatility • Quantitative Finance • Rational Expectations • Uncertainty
• ISBN-10: 3-319-98714-3 / 3319987143
• ISBN-13: 978-3-319-98714-9 / 9783319987149