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Information Transmission in Informationally Linked Markets: Evidence from US and Chinese Commodity Futures Markets
Commodity futures Informationally linked markets Synchronous and non-synchronous trading Price discovery
2014/1/13
This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information...
Additive habit formation: Consumption in incomplete markets with random endowments
Optimal Consumption Investment Utility Maximization Habit Formation Random Endowments Incomplete Markets
2011/7/4
We provide a detailed characterization of the optimal consumption
stream for the additive habit-forming utility maximization problem, in
a framework of general discrete-time incomplete markets and r...
Optimal consumption and investment for markets with randoms coefficients
Black-Scholes market Stochastic volatility Optimal consumption and Investment Hamilton-Jacobi-Bellman equation Banach fixed point theorem Feynman - Kac formula.
2011/3/23
We consider an optimal consumption - investment problem for financial markets of Black-Scholes's type with the random coefficients. The existence and uniqueness theorem for the Hamilton-Jacobi-Bellman...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
VENTURE CAPITALISM, NEW MARKETS AND INNOVATION-LED ECONOMIC GROWTH
VENTURE CAPITALISM NEW MARKETS INNOVATION-LED ECONOMIC GROWTH
2014/6/24
This paper explores the new market-mediating mechanisms linking SU invention on the one hand and economic growth on the other. Two such mechanisms come to our mind under venture capitalism (of which ...
The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
Market Properties Portfolio Diversification Stock Markets
2010/10/29
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a port...
Comovements in International Stock Markets
realized volatility realized correlation stock markets fi nancial integration economic integration
2014/6/25
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. I...
Do Industries Lead Stock Markets?
Asset Pricing Information and Market Efficiency Financial Markets and Macroeconomy International Financial Markets
2014/3/18
We investigate whether the returns of industry portfolios are able to predict the movements of stock markets. In the U.S., we find that a significant number of industry returns, including retail, serv...