Browsing by Subject "osakemarkkinat"

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  • Faria, Gonçalo; Verona, Fabio (2016)
    Bank of Finland Research Discussion Papers 29/2016
    Revised version uploaded 21 November 2017. Published in Journal of Empirical Finance, 45, January, 2018, 228–242.
    We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures di erent frequencies of stock market returns.
  • Faria, Gonçalo; Verona, Fabio (2018)
    Journal of Empirical Finance January 2018
    Published in Bank of Finland Research Discussion Papers 29/2016.
    We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method significantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures different frequencies of stock market returns.
  • Faria, Gonçalo; Verona, Fabio (2017)
    Bank of Finland Research Discussion Papers 1/2017
    We show that the out-of-sample forecast of the equity risk premium can be signi ficantly improved by taking into account the frequency-domain relationship between the equity risk premium and several potential predictors. We consider fi fteen predictors from the existing literature, for the out-of-sample forecasting period from January 1990 to December 2014. The best result achieved for individual predictors is a monthly out-of-sample R2 of 2.98 % and utility gains of 549 basis points per year for a mean-variance investor. This performance is improved even further when the individual forecasts from the frequency-decomposed predictors are combined. These results are robust for di fferent subsamples, including the Great Moderation period, the Great Financial Crisis period and, more generically, periods of bad, normal and good economic growth. The strong and robust performance of this method comes from its ability to disentangle the information aggregated in the original time series of each variable, which allows to isolate the frequencies of the predictors with the highest predictive power from the noisy parts.
  • Fedorova, Elena; Vaihekoski, Mika (2008)
    BOFIT Discussion Papers 27/2008
    Published in Czech Journal of Economics and Finance, 2009, vol.59, no.1,2-19.
    We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, Czech Republic, Hungary, Bulgaria, Slovenia and Russia. Most of these markets display considerable segmentation; the aggregate emerging market risk, as opposed to global market risk, is the significant driver for their stock market returns. It also appears that currency risk is priced into stock prices. The difference between local and global interest rates can be used to model the time-variation in the betas for both sources of risk. JEL Classification: G12, G15, G32 Keywords: market integration, segmentation, asset pricing, emerging markets, Eastern Europe country risk
  • Kozluk, Tomasz (2008)
    BOFIT Discussion Papers 4/2008
    In a broad sample of developed and emerging economies over the past ten years we apply the approximate factor model in a search for common global and regional driving-forces in stock market returns and volatility. We focus particularly on two emerging stock markets - Russia and China, because of their unique characteristics and performance in the past years. We find that while Russian markets, like the CEEC region, substantially increased their integration with global stock markets, both the Chinese A- and B-share markets continued to move largely independently from global movements and only slightly increased in comovement with regional forces. We provide evidence of a general increase in global comovement of stock markets over the past decade and a decline in the role of regional forces, which imply a decrease of the effectiveness of cross-country hedging strategies. Keywords: stock markets, financial integration, Russia, China, global and regional integration; JEL Classification: F36, G11, G14.
  • Yao, Yi; Yang, Rong; Liu, Zhiyuan; Hasan, Iftekhar (2012)
    BOFIT Discussion Papers 9/2012
    Published in Global Finance Journal, Volume 24, Issue 1, 2013, Pages 44-68
    This study investigates the effectiveness of government intervention in rescuing bearish markets in a transition economy. Focusing on a pre- and a post-intervention period, the findings reveal that government intervention successfully rescued bearish markets in China and led to a fundamental change in institutional trading strategy after the intervention. We observe that following an intervention, institutions are more sensitive to long-term stock market regulations, whereas individual investors are more concerned about the rules related to their short-term interests. Evidence suggests that a credible signal from the government can be helpful in creating a positive outcome in the market (Bhanot and Kadapakkam, 2006). The findings are important to the current debate regarding the role of govern-ment intervention in markets in other transitional economies, as well as in developed countries. Keywords: Government Intervention; Institutional Trading Strategy. JEL Codes: G15, G18, G32
  • Hasan, Iftekhar; Schmiedel, Heiko; Song, Liang (2010)
    Bank of Finland Research Discussion Papers 2/2010
    Published in Financial Review, Volume 47, Issue 3, August 2012: 469-499 and ECB WP 1201/2010.
    In recent years, demutualized stock exchanges have increasingly engaged in M&A and alliance activities. To shed light on this topic, we investigate short-run share price responses to the formation of 110 stock exchange M&As and alliances in the period 2000 2008. Our ?ndings show that the average stock-price responses to a stock-exchange M&A or alliance is positive. Stock exchange M&As create more value than alliances. For alliances, joint ventures generate more value than non-equity alliances. More value is created when the integration is horizontal and cross-border than when it is vertical and domestic. Evidence is also found for learning-by-doing effects in stock exchange integration activities. Finally, we find that the better the shareholder protection, accounting standards and degree of capital market development in the partnering exchange s country, the higher the merger and alliance premium. These patterns also obtain when we examine long-run performance measures such as the three-year buy-and-hold abnormal return, change in ROA (ROE), change in liquidity, and change in market capitalization of IPO between years t-2 and t+2.
  • Babecký, Jan; Komárek, Lubos; Komárková, Zlatuse (2012)
    BOFIT Discussion Papers 4/2012
    Published in National Institute Economic Review, Volume 223, Issue 1, 2013, Pages R16-R34 as Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives.
    Interest in examining the financial linkages of economies has increased in the wake of the 2008/2009 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration between Russia and China as well as between them and the United States, the euro area and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing stock market integration after the 1997 Asian financial crisis and the 1998 Russian financial cri-sis. Following a major disruption caused by the 2008/2009 global financial crisis, the process of stock market integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the recent crisis have not been uniform at the sectoral level, suggesting potential for d-versification of risk across sectors. JEL classification: C23, G15, G12. Keywords: Stock market integration, beta-convergence, sigma-convergence, China, Russia, sectoral and national analysis
  • Saleem, Kashif (2008)
    BOFIT Discussion Papers 8/2008
    Published in Research in International Business and Finance, Volume 23, Issue 3, September 2009, Pages 243-256
    This study considers the linkage of the Russian equity market to the world market, examin-ing the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear. Keywords: Multivariate GARCH; Volatility spillovers; Russian Financial crisis; contagion; partial integration JEL Classification: C32, G15.
  • Myller, Marko (2009)
    Suomen Pankki. BoF online 12/2009
    Tässä selvityksessä käsitellään pohjoismaisilla osakemarkkinoilla lokakuussa 2009 käynnistyvää keskusvastapuoliselvitystä. Selvityksen pyrkimyksenä on kertoa yleistajuisesti, mikä keskusvastapuoli on, mitä se tekee ja miten se vaikuttaa markkinoiden toimintaan. Uudistuksen seurauksena Helsingin Pörssin suurten ja keskisuurten yhtiöiden osakkeilla tehtyjen kauppojen selvitysprosessi mukautuu kansainvälisiin menettelytapoihin. Hankkeella pyritään luomaan uudenlaista kilpailua markkinoille. Pohjoismaat aikovat ottaa ensimmäisenä maailmassa käyttöön kolmen keskusvastapuolen yhteistoimintaan perustuvan toimintatavan. Käytännössä myös pörssien ja monenkeskisten kauppapaikkojen välinen tasaveroinen kilpailu tulee mahdolliseksi, koska yksi keskusvastapuoli voi palvella useita kauppapaikkoja.
  • Norring, Anni (2015)
    Euro & talous. Blogi
    Vaihdon lisääntymisen ja kurssinousun myötä Kiinan pörssien volatiliteetti on kasvanut.
  • Korkeamäki, Timo; Rainio, Elina; Takalo, Tuomas (2010)
    Bank of Finland Research Discussion Papers 1/2010
    Published in Economics of Transition, Volume 21(3) 2013, 509-551 http://dx.doi.org/10.1111/ecot.12020
    A sweeping and protracted reform of corporate law took place in Finland in the 1970s. The reform brought significant improvements to investor protection and, similar to the US Sarbanes-Oxley Act, tightened disclosure rules at the cost of increasing the work load in corporate reporting. We find that the Finnish stock market generally reacts negatively to news of tightened disclosure rules and increased work loads, whereas news of delays in implementation of reform were largely positive. This raises the question of whether strengthening investor protection by requiring greater transparency necessarily promotes the development of financial markets. It also serves to remind that the implementation costs of reforms should not be overlooked.
  • Korkeamäki, Timo; Virk, Nader; Wang, Haizhi; Wang, Peng (2018)
    BOFIT Discussion Papers 19/2018
    We analyze preferences of foreign institutional investors in the Chinese stock market in a sample that covers 2003 to 2014. We find foreign investors changed their investment behavior during the sample period from generic patterns found in much of the world to China-specific patterns. The results suggest that foreign institutions learned to adjust their investment behavior to account for unique features of the Chinese market.
  • Topi, Jukka (2004)
    Bank of Finland. Financial market report 4
    Share prices increased in several key markets in the autumn of 2004, but market volatility continued to decrease. The value of share trading declined in the third quarter. The dispersion of equity returns between different countries has declined in recent years.
  • Rautava, Jouko (2016)
    Euro & talous. Blogi
    Kiinassa vuosi 2016 on alkanut rauhattomasti, kun pörssikurssit ovat laskeneet tammikuun ensipuoliskolla viime vuoden lopusta lähes viidenneksen. Levottomuus on lisääntynyt myös valuuttamarkkinoilla.
  • Laine, Olli-Matti (2020)
    Bank of Finland Research Discussion Papers 16/2020
    Accepted for publication in International Journal of Central Banking.
    This paper estimates the effect of monetary policy on the term structure of stock market risk premia. Stock market risk premia are solved using analysts’ dividend forecasts and dividend future prices. Although risk-free rates have decreased after the global financial crisis, the results indicate that the expected long-term average stock market return has remained quite stable at around 9 percent. This implies that the average stock market risk premium has increased since the financial crisis. The prices of dividend futures suggest that the rise is related to changes in the term structure of risk premia. The effect of monetary policy on risk premia is analysed using VAR models and local projection methods. According to the results, monetary policy easing raises the average risk premium. The effect is driven by a rise in long-horizon risk premia.
  • Vauhkonen, Jukka (2005)
    Bank of Finland. Financial market report 1
    The median of P/E ratios for shares included in the HEX All-Share Index shows that the record years of the stock market in the late 1990s were not exceptional in light of historical performance.
  • Topi, Jukka (2005)
    Bank of Finland. Financial market report 2
    In the first few months of 2005, share prices on key markets developed without any clear direction. The long-standing decline in stock market volatility came to a halt. In Finland, the dispersion of equity returns between the different sectors has narrowed.
  • Pylkkönen, Pertti (2003)
    Suomen Pankki. Rahoitusmarkkinaraportti Kevät
    Osakekurssien epävarmuutta kuvaava odotettu volatiliteetti kääntyi Yhdysvalain markkinoilla keväällä laskuun. Osakekurssit ovat vahvistuneet viime viikkoina sekä Euroopassa että Yhdysvalloissa, tosin kurssit olivat toukokuun alussa nousseet vasta vuoden vaihteen tasolle. P/E-luvuilla mitaten osakkeiden hintatasot ovat lievästä noususta huolimatta varsin alhaalla aikaisempiin vuosiin verrattuna, mutta lähellä pitkän aikavälin tasoa.
  • Pylkkönen, Pertti (2001)
    Suomen Pankki. Rahoitusmarkkinaraportti Syksy
    Osakekurssien kehitys on syksyn aikana ollut epäyhtenäistä sekä kotimaassa että kansainvälisillä markkinoilla. Etävälittäjät ovat tämän vuoden aikana lisänneet markkinaosuuksiaan HEX:ssä huomattavasti. Syksyllä etävälittäjien markkinaosuus on noussut jo 40 prosenttiin.