Pub Date : 2020-04-30DOI: 10.1017/9781108643849.007
{"title":"The Economics of Financial Integration","authors":"","doi":"10.1017/9781108643849.007","DOIUrl":"https://doi.org/10.1017/9781108643849.007","url":null,"abstract":"","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84489143","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-30DOI: 10.1017/9781108643849.010
{"title":"The Role of Institutional Investors","authors":"","doi":"10.1017/9781108643849.010","DOIUrl":"https://doi.org/10.1017/9781108643849.010","url":null,"abstract":"","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"2008 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89661045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-30DOI: 10.1017/9781108643849.014
Financial stability can be defined as a situation in the economy, characterized by the absence of disproportions, which may cause a negative correction of the financial markets, emergence of a systemic financial crisis or inability of the financial institutions to maintain uniform financial system operations. Financial stability is maintained by adequate regulations of the current and potential risks, by the effectiveness of the risk management and risk redistribution mechanisms, and by the assurance of the public’s confidence in the financial system.
{"title":"Financial Stability","authors":"","doi":"10.1017/9781108643849.014","DOIUrl":"https://doi.org/10.1017/9781108643849.014","url":null,"abstract":"Financial stability can be defined as a situation in the economy, characterized by the absence of disproportions, which may cause a negative correction of the financial markets, emergence of a systemic financial crisis or inability of the financial institutions to maintain uniform financial system operations. Financial stability is maintained by adequate regulations of the current and potential risks, by the effectiveness of the risk management and risk redistribution mechanisms, and by the assurance of the public’s confidence in the financial system.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"101 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80427341","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-04-30DOI: 10.1017/9781108643849.011
{"title":"European Banks","authors":"","doi":"10.1017/9781108643849.011","DOIUrl":"https://doi.org/10.1017/9781108643849.011","url":null,"abstract":"","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88932322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-22DOI: 10.1142/s2282717x19500038
Evangelos Vasileiou
Accurate Value at Risk (VaR) estimations are crucial for the robustness and stability of a financial system. Even though significant advances have been made in the field of risk modeling, many crises have emerged during the same period, and an explanation for this is that the advanced models are not widely applied in the financial industry due to their mathematical complexity. In contrast to the mathematically complex models that torture the data in the output stage, we suggest a new approach that filters the data inputs, based on Technical Analysis (TA) signals. When the trading signals suggest that the conditions are positive (negative) for investments we use data from the previously documented positive (negative) periods in order to calculate the VaR. In this way, we use input data that are more representative of the financial conditions under examination and thus VaR estimations are more accurate and more representative (nonprocyclical) than the conventional models’ estimation that use the last nonfiltered [Formula: see text]-day observations. Testing our assumptions in the US stock market for the period 2000–2017, the empirical data confirmed our hypothesis. Moreover, we suggest specific legislative adjustments that contribute to more accurate and representative VaR estimations: (i) an extra backtesting procedure at a lower than the 99% confidence level as a procyclicality test and (ii) to ease the minimum requirement of 250 observations that is currently the input threshold because it leads to less accurate VaR estimations.
{"title":"ACCURACY VERSUS COMPLEXITY TRADE-OFF IN VaR MODELING: COULD TECHNICAL ANALYSIS BE A SOLUTION?","authors":"Evangelos Vasileiou","doi":"10.1142/s2282717x19500038","DOIUrl":"https://doi.org/10.1142/s2282717x19500038","url":null,"abstract":"Accurate Value at Risk (VaR) estimations are crucial for the robustness and stability of a financial system. Even though significant advances have been made in the field of risk modeling, many crises have emerged during the same period, and an explanation for this is that the advanced models are not widely applied in the financial industry due to their mathematical complexity. In contrast to the mathematically complex models that torture the data in the output stage, we suggest a new approach that filters the data inputs, based on Technical Analysis (TA) signals. When the trading signals suggest that the conditions are positive (negative) for investments we use data from the previously documented positive (negative) periods in order to calculate the VaR. In this way, we use input data that are more representative of the financial conditions under examination and thus VaR estimations are more accurate and more representative (nonprocyclical) than the conventional models’ estimation that use the last nonfiltered [Formula: see text]-day observations. Testing our assumptions in the US stock market for the period 2000–2017, the empirical data confirmed our hypothesis. Moreover, we suggest specific legislative adjustments that contribute to more accurate and representative VaR estimations: (i) an extra backtesting procedure at a lower than the 99% confidence level as a procyclicality test and (ii) to ease the minimum requirement of 250 observations that is currently the input threshold because it leads to less accurate VaR estimations.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90937137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-11DOI: 10.1142/s2282717x19500014
T. Mokoaleli-Mokoteli, Shaun Ramsumar, Hima Vadapalli
The success of investors in obtaining huge financial rewards from the stock market depends on their ability to predict the direction of the stock market index. The purpose of this study is to evaluate the efficacy of several ensemble prediction models (Boosted, RUS-Boosted, Subspace Disc, Bagged, and Subspace KNN) in predicting the daily direction of the Johannesburg Stock Exchange (JSE) All-Share index compared to other commonly used machine learning techniques including support vector machines (SVM), logistic regression and [Formula: see text]-nearest neighbor (KNN). The findings in this study show that, among all ensemble models, Boosted algorithm is the best performer followed by RUS-Boosted. When compared to the other techniques, ensemble technique (represented by Boosted) outperformed these techniques, followed by KNN, logistic regression and SVM, respectively. These findings suggest that investors should include ensemble models among the index prediction models if they want to make huge profits in the stock markets. However, not all investors can benefit from this as models may suffer from alpha decay as more and more investors use them, implying that the successful algorithms have limited shelf life.
{"title":"THE EFFICIENCY OF ENSEMBLE CLASSIFIERS IN PREDICTING THE JOHANNESBURG STOCK EXCHANGE ALL-SHARE INDEX DIRECTION","authors":"T. Mokoaleli-Mokoteli, Shaun Ramsumar, Hima Vadapalli","doi":"10.1142/s2282717x19500014","DOIUrl":"https://doi.org/10.1142/s2282717x19500014","url":null,"abstract":"The success of investors in obtaining huge financial rewards from the stock market depends on their ability to predict the direction of the stock market index. The purpose of this study is to evaluate the efficacy of several ensemble prediction models (Boosted, RUS-Boosted, Subspace Disc, Bagged, and Subspace KNN) in predicting the daily direction of the Johannesburg Stock Exchange (JSE) All-Share index compared to other commonly used machine learning techniques including support vector machines (SVM), logistic regression and [Formula: see text]-nearest neighbor (KNN). The findings in this study show that, among all ensemble models, Boosted algorithm is the best performer followed by RUS-Boosted. When compared to the other techniques, ensemble technique (represented by Boosted) outperformed these techniques, followed by KNN, logistic regression and SVM, respectively. These findings suggest that investors should include ensemble models among the index prediction models if they want to make huge profits in the stock markets. However, not all investors can benefit from this as models may suffer from alpha decay as more and more investors use them, implying that the successful algorithms have limited shelf life.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"39 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83104164","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-07-26DOI: 10.1142/S2282717X19500026
Brando Viganò, S. Vitali, S. Vitali, Vittorio Moriggia, Giovanna Zanotti
Investment certificates are securitized derivatives built as a combination of financial instruments. The financial engineering process aims to create new payoff profiles that allow investors to diversify or to hedge the risk of their portfolios. Such instruments are relatively challenging to price, as highlighted in the recent publications for other European markets. The aim of this paper is to analyze whether in the Italian market there are also differences between the quoted price and the estimated price obtained applying a standard pricing approach well known in the literature. In particular, we analyze three representative certificates, belonging to the classes of target coupon certificates and autocallable certificates, that have been most appreciated by the investors during the last years. To evaluate the price, we propose a Monte Carlo approach that computes directly the payoff of the certificates on a set of scenarios for the evolution of the underlying asset. Moreover, studying the payoff profile of the certificates, we investigate and comment on the recent regulatory debate on “complexity”. We show that complexity, the new parameter behind return and risk, should not be necessarily associated with the engineering level of the financial products and that, sometimes, complexity is not associated with risk.
{"title":"THE INVESTMENT CERTIFICATES IN THE ITALIAN MARKET: A COMPARISON OF QUOTED AND ESTIMATED PRICES","authors":"Brando Viganò, S. Vitali, S. Vitali, Vittorio Moriggia, Giovanna Zanotti","doi":"10.1142/S2282717X19500026","DOIUrl":"https://doi.org/10.1142/S2282717X19500026","url":null,"abstract":"Investment certificates are securitized derivatives built as a combination of financial instruments. The financial engineering process aims to create new payoff profiles that allow investors to diversify or to hedge the risk of their portfolios. Such instruments are relatively challenging to price, as highlighted in the recent publications for other European markets. The aim of this paper is to analyze whether in the Italian market there are also differences between the quoted price and the estimated price obtained applying a standard pricing approach well known in the literature. In particular, we analyze three representative certificates, belonging to the classes of target coupon certificates and autocallable certificates, that have been most appreciated by the investors during the last years. To evaluate the price, we propose a Monte Carlo approach that computes directly the payoff of the certificates on a set of scenarios for the evolution of the underlying asset. Moreover, studying the payoff profile of the certificates, we investigate and comment on the recent regulatory debate on “complexity”. We show that complexity, the new parameter behind return and risk, should not be necessarily associated with the engineering level of the financial products and that, sometimes, complexity is not associated with risk.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79140380","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-07-03DOI: 10.1142/S2282717X19400048
Elisabetta D’Apolito, Antonia Patrizia Iannuzzi, S. S. Labini, E. Sica
This study investigates the financial and non-financial impacts of the use of sustainability criteria in banks’ executive compensation plans. The sample covers all the globally and systemically important European banks over the period 2013–2017. Panel data-fixed effect estimations are employed to mitigate endogeneity concerns and to control for within-firm dynamics. The implementation of sustainable criteria in the banks’ remuneration contracts was found to (i) negatively impact economic performance, (ii) negatively impact the riskiness profile, and (iii) positively impact sustainability performance. These findings have important implications for investors as well as banks. Indeed, these results are encouraging for the use of sustainability targets in executive compensation for restricting excessive risk-taking behaviors and improving sustainability performance.
{"title":"SUSTAINABLE COMPENSATION AND PERFORMANCE: AN EMPIRICAL ANALYSIS OF EUROPEAN BANKS","authors":"Elisabetta D’Apolito, Antonia Patrizia Iannuzzi, S. S. Labini, E. Sica","doi":"10.1142/S2282717X19400048","DOIUrl":"https://doi.org/10.1142/S2282717X19400048","url":null,"abstract":"This study investigates the financial and non-financial impacts of the use of sustainability criteria in banks’ executive compensation plans. The sample covers all the globally and systemically important European banks over the period 2013–2017. Panel data-fixed effect estimations are employed to mitigate endogeneity concerns and to control for within-firm dynamics. The implementation of sustainable criteria in the banks’ remuneration contracts was found to (i) negatively impact economic performance, (ii) negatively impact the riskiness profile, and (iii) positively impact sustainability performance. These findings have important implications for investors as well as banks. Indeed, these results are encouraging for the use of sustainability targets in executive compensation for restricting excessive risk-taking behaviors and improving sustainability performance.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85775770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-07-03DOI: 10.1142/S2282717X19400012
Vincenzo Pacelli, F. Pampurini, S. S. Labini
The crucial role of mutual banks in promoting local development is highlighted by an extensive theoretical and empirical literature. The historical success of mutual banks derives not only from their specific business model, but also from their peculiar and distinguishing corporate governance with member ownership. According to a copious literature, these features have probably allowed mutual banks to better withstand financial crisis. This work compares the cost efficiency of European mutual banks by analyzing a sample which consists of the universe of all the banks operating in Italy, Germany, France and Spain over the period 2011–2016, by employing a stochastic approach (Stochastic Frontier Analysis-SFA) to determine the effects of the recent financial crisis on the efficiency level of this particular kind of bank. The analysis aims to point out the determinants of efficiency in order to understand if the mutual model reveals to be still attractive in the modern banking system. The main contribution of the paper to previous literature consists in comparing different impacts of financial crisis on efficiency of mutual banks in main European countries. Furthermore, the results enrich the recent debate about the cooperative and mutual banking system and its raison d’être. Our results show that the European mutual banks reveal a higher degree of efficiency with respect to commercial banks. Cost efficiency appears to be significantly and negatively related to the level of regulatory capital, the level of credit risk, the level of leverage and the cost-income ratio. On the other hand, it is significantly and positively related to the profitability of the traditional lending activity, to the level of prudence in terms of provisions against credit risk and to the amount of liquidity as a buffer against unexpected troubles.
{"title":"THE PECULIARITY OF THE COOPERATIVE AND MUTUAL MODEL: EVIDENCE FROM THE EUROPEAN BANKING SECTOR","authors":"Vincenzo Pacelli, F. Pampurini, S. S. Labini","doi":"10.1142/S2282717X19400012","DOIUrl":"https://doi.org/10.1142/S2282717X19400012","url":null,"abstract":"The crucial role of mutual banks in promoting local development is highlighted by an extensive theoretical and empirical literature. The historical success of mutual banks derives not only from their specific business model, but also from their peculiar and distinguishing corporate governance with member ownership. According to a copious literature, these features have probably allowed mutual banks to better withstand financial crisis. This work compares the cost efficiency of European mutual banks by analyzing a sample which consists of the universe of all the banks operating in Italy, Germany, France and Spain over the period 2011–2016, by employing a stochastic approach (Stochastic Frontier Analysis-SFA) to determine the effects of the recent financial crisis on the efficiency level of this particular kind of bank. The analysis aims to point out the determinants of efficiency in order to understand if the mutual model reveals to be still attractive in the modern banking system. The main contribution of the paper to previous literature consists in comparing different impacts of financial crisis on efficiency of mutual banks in main European countries. Furthermore, the results enrich the recent debate about the cooperative and mutual banking system and its raison d’être. Our results show that the European mutual banks reveal a higher degree of efficiency with respect to commercial banks. Cost efficiency appears to be significantly and negatively related to the level of regulatory capital, the level of credit risk, the level of leverage and the cost-income ratio. On the other hand, it is significantly and positively related to the profitability of the traditional lending activity, to the level of prudence in terms of provisions against credit risk and to the amount of liquidity as a buffer against unexpected troubles.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77012860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-01DOI: 10.1142/S2282717X1975001X
F. Arnaboldi
This work discusses some of the critical aspects of bank corporate governance in the European Union. Enhancing sound corporate governance practices has become one of the major concerns in the supervisory authority’s agenda and one of the critical features to evaluate banks’ stability. The global rethinking about corporate governance rules has translated into a stronger focus on board diversity for EU banks. The existing literature and sound corporate governance practices support the view that different types of board members may bring different capabilities to their banks. Even if board diversity may add complexity to the functioning of the board, the advantages it brings are of utmost importance in the challenging environment banks are facing. This work highlights the fragmentation of the EU corporate governance rules as banks have to comply with 27 sets of different regulations and codes. This complexity should not be ignored, as member states’ specificities, legal systems, and a more general openness to diversity influence the effect reforms may have on banks’ performance and stability.
{"title":"CORPORATE GOVERNANCE IN THE EUROPEAN BANKING SECTOR: SOME REMARKS ON DIVERSITY","authors":"F. Arnaboldi","doi":"10.1142/S2282717X1975001X","DOIUrl":"https://doi.org/10.1142/S2282717X1975001X","url":null,"abstract":"This work discusses some of the critical aspects of bank corporate governance in the European Union. Enhancing sound corporate governance practices has become one of the major concerns in the supervisory authority’s agenda and one of the critical features to evaluate banks’ stability. The global rethinking about corporate governance rules has translated into a stronger focus on board diversity for EU banks. The existing literature and sound corporate governance practices support the view that different types of board members may bring different capabilities to their banks. Even if board diversity may add complexity to the functioning of the board, the advantages it brings are of utmost importance in the challenging environment banks are facing. This work highlights the fragmentation of the EU corporate governance rules as banks have to comply with 27 sets of different regulations and codes. This complexity should not be ignored, as member states’ specificities, legal systems, and a more general openness to diversity influence the effect reforms may have on banks’ performance and stability.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"59 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76939228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：