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Analysis of Global Financial Markets
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Analysis of Global Financial Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (30 September 2019) | Viewed by 27521

Special Issue Editor

Prof. Dr. Dror Y. Kenett

E-Mail Website
Guest Editor
Office of the Chief Economist, Financial Industry Regulatory Authority (FINRA), Washington, DC 20006, USA
Interests: market structure; financial networks; financial stability; systemic risk

Special Issue Information

Dear Colleagues,

The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly-interconnected environment, local financial shocks and events can be easily amplified and turned into global events.  Understanding the individual characteristics of financial markets, as well as their similarities, interconnectedness, and interdependence is crucial to maintaining efficient and resilient financial markets, both on the micro and macro levels. Coupled with the growing availability of data and analytical tools, new insights can be gained on the functioning and characteristics of individual and interconnected markets, how they compare across a variety of metrics, and how they interact on the global level. Such metrics can include market quality, market efficiency, measures of market structure, and liquidity. Understanding these types of metrics on both the micro (within market) and macro (between markets) is critical for ensuring the fairness and efficiency of financial markets, as well as the protection of the investor community. The present Special Issue aims at collecting a number of new contributions both at the theoretical level, as well as in terms of empirical applications.  We hope that this collection of papers will add to this important literature, both at the theoretical and empirical levels.

Prof. Dr. Dror Y. Kenett
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Market structure
  • Interconnectedness
  • Liquidity
  • Macro-prudential
  • Financial markets

Published Papers (6 papers)

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Research

16 pages, 1683 KiB  
Article
Do Global Value Chains Make Firms More Vulnerable to Trade Shocks?—Evidence from Manufacturing Firms in Sweden
by A. M. M. Shahiduzzaman Quoreshi and Trudy-Ann Stone
J. Risk Financial Manag. 2019, 12(3), 151; https://doi.org/10.3390/jrfm12030151 - 18 Sep 2019
Cited by 2 | Viewed by 2558
Abstract
This paper examines the effect of the Global Financial Crisis on manufacturing firms in Sweden by analyzing the effect of trade exposure on firm performance. This study examines the decline in international trade during the global financial crisis by focusing on the relationship [...] Read more.
This paper examines the effect of the Global Financial Crisis on manufacturing firms in Sweden by analyzing the effect of trade exposure on firm performance. This study examines the decline in international trade during the global financial crisis by focusing on the relationship between global production linkages and firm performance. The trade exposure at the firm and industry levels were measured to assess the direct and indirect effects of the crisis on firm performance. Robust evidence was found of a negative relationship between trade exposure and the firms’ sales and value-added growth during the crisis. In addition, it was found that higher export dependence was associated with lower sales growth during the crisis. Our results also show that the effect of the decline in the external demand on firm performance depends on the international input-output linkages. In particular, industries that are upstream in the value chain experienced a less severe decline in performance during the crisis. Full article
(This article belongs to the Special Issue Analysis of Global Financial Markets)
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18 pages, 267 KiB  
Article
Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model
by A. M. M. Shahiduzzaman Quoreshi, Reaz Uddin and Viroj Jienwatcharamongkhol
J. Risk Financial Manag. 2019, 12(2), 94; https://doi.org/10.3390/jrfm12020094 - 06 Jun 2019
Cited by 6 | Viewed by 3347
Abstract
The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro [...] Read more.
The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that the effects of shocks are not symmetric and may have led to some structural changes. The effect of contagion is also studied by decomposing the level series into explained and unexplained behaviors. Full article
(This article belongs to the Special Issue Analysis of Global Financial Markets)
17 pages, 2220 KiB  
Article
Equalizing Seasonal Time Series Using Artificial Neural Networks in Predicting the Euro–Yuan Exchange Rate
by Marek Vochozka, Jakub Horák and Petr Šuleř
J. Risk Financial Manag. 2019, 12(2), 76; https://doi.org/10.3390/jrfm12020076 - 30 Apr 2019
Cited by 32 | Viewed by 3876
Abstract
The exchange rate is one of the most monitored economic variables reflecting the state of the economy in the long run, while affecting it significantly in the short run. However, prediction of the exchange rate is very complicated. In this contribution, for the [...] Read more.
The exchange rate is one of the most monitored economic variables reflecting the state of the economy in the long run, while affecting it significantly in the short run. However, prediction of the exchange rate is very complicated. In this contribution, for the purposes of predicting the exchange rate, artificial neural networks are used, which have brought quality and valuable results in a number of research programs. This contribution aims to propose a methodology for considering seasonal fluctuations in equalizing time series by means of artificial neural networks on the example of Euro and Chinese Yuan. For the analysis, data on the exchange rate of these currencies per period longer than 9 years are used (3303 input data in total). Regression by means of neural networks is carried out. There are two network sets generated, of which the second one focuses on the seasonal fluctuations. Before the experiment, it had seemed that there was no reason to include categorical variables in the calculation. The result, however, indicated that additional variables in the form of year, month, day in the month, and day in the week, in which the value was measured, have brought higher accuracy and order in equalizing of the time series. Full article
(This article belongs to the Special Issue Analysis of Global Financial Markets)
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13 pages, 513 KiB  
Article
Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework
by A. M. M. Shahiduzzaman Quoreshi, Reaz Uddin and Naushad Mamode Khan
J. Risk Financial Manag. 2019, 12(2), 74; https://doi.org/10.3390/jrfm12020074 - 27 Apr 2019
Cited by 2 | Viewed by 3069
Abstract
This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and FGLS [...] Read more.
This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and FGLS in terms of eliminating serial correlations, but the estimator can be sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for Ericsson and AstraZeneca, the 2SQML turns out relatively more efficient than CLS and FGLS. The empirical results suggest that both of the series have long memory properties that imply that the impact of macroeconomic news or rumors in one point of time has a persistence impact on future transactions. Full article
(This article belongs to the Special Issue Analysis of Global Financial Markets)
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16 pages, 1517 KiB  
Article
The Role of Economic Uncertainty in UK Stock Returns
by Jun Gao, Sheng Zhu, Niall O’Sullivan and Meadhbh Sherman
J. Risk Financial Manag. 2019, 12(1), 5; https://doi.org/10.3390/jrfm12010005 - 04 Jan 2019
Cited by 14 | Viewed by 6065
Abstract
We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In [...] Read more.
We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty indices for the UK using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. We then estimated stock sensitivity to a range of macroeconomic uncertainty indices and economic policy uncertainty indices. The evidence suggests that economic activity uncertainty and UK economic policy uncertainty have power in explaining the cross-section of UK stock returns, while UK inflation, EU economic policy and US economic policy uncertainty factors are not priced in stock returns for the UK. Full article
(This article belongs to the Special Issue Analysis of Global Financial Markets)
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11 pages, 2928 KiB  
Article
Exchange Rate Effects on International Commercial Trade Competitiveness
by Ionel Bostan, Carmen Toderașcu (Sandu) and Bogdan-Narcis Firtescu
J. Risk Financial Manag. 2018, 11(2), 19; https://doi.org/10.3390/jrfm11020019 - 08 Apr 2018
Cited by 19 | Viewed by 8042
Abstract
This study is meant to be an evaluation sustained by theoretical and empirical considerations of the exchange rate impact on international commercial trade competitiveness. In this respect, the study aims to find how the exchange rate influences Romanian competitiveness through assessing the effects [...] Read more.
This study is meant to be an evaluation sustained by theoretical and empirical considerations of the exchange rate impact on international commercial trade competitiveness. In this respect, the study aims to find how the exchange rate influences Romanian competitiveness through assessing the effects generated on exports and imports. The main purpose of the study is to assess the complex action of the exchange rate on international commercial trade competitiveness in contemporaneity and the connections between these variables. The empirical part contains a regression analysis where exports and imports are dependent variables influenced by a series of determinants. Full article
(This article belongs to the Special Issue Analysis of Global Financial Markets)
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