Volatility transmission in global financial markets

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

Significant deterioration in nanomechanical quality occurs through incomplete extrafibrillar mineralization in rachitic bone: Evidence from in-situ synchrotron X-ray scattering and backscattered electron imaging

Bone diseases such as rickets and osteoporosis cause significant reduction in bone quantity and quality, which leads to mechanical abnormalities. However, the precise ultrastructural mechanism by which altered bone quality affects mechanical properties is not clearly understood. Here we demonstrate the functional link between altered bone quality (reduced mineralization) and abnormal fibrillar-level mechanics using a novel, real-time synchrotron X-ray nanomechanical imaging method to study a mouse model with rickets due to reduced extrafibrillar mineralization. A previously unreported N-ethyl-N-nitrosourea (ENU) mouse model for hypophosphatemic rickets (Hpr), as a result of missense Trp314Arg mutation of the phosphate regulating gene with homologies to endopeptidase on the X chromosome (Phex) and with features consistent with X-linked hypophosphatemic rickets (XLHR) in man, was investigated using in situ synchrotron small angle X-ray scattering to measure real-time changes in axial periodicity of the nanoscale mineralized fibrils in bone during tensile loading. These determine nanomechanical parameters including fibril elastic modulus and maximum fibril strain. Mineral content was estimated using backscattered electron imaging. A significant reduction of effective fibril modulus and enhancement of maximum fibril strain was found in Hpr mice. Effective fibril modulus and maximum fibril strain in the elastic region increased consistently with age in Hpr and wild-type mice. However, the mean mineral content was ∼21% lower in Hpr mice and was more heterogeneous in its distribution. Our results are consistent with a nanostructural mechanism in which incompletely mineralized fibrils show greater extensibility and lower stiffness, leading to macroscopic outcomes such as greater bone flexibility. Our study demonstrates the value of in situ X-ray nanomechanical imaging in linking the alterations in bone nanostructure to nanoscale mechanical deterioration in a metabolic bone disease. Copyright

Volatility transmission in global financial markets

This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jumpactivity is only importantwithin the equitymarkets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.

An experimental analysis of information acquisition in prediction markets

We study which factors in terms of trading environment and trader characteristics determine individual information acquisition in experimental asset markets. Traders with larger endowments, existing inconclusive information, lower risk aversion, and less experience in financial markets tend to acquire more information. Overall, we find that traders overacquire information, so that informed traders on average obtain negative profits net of information costs. Information acquisition and the associated losses do not diminish over time. This overacquisition phenomenon is inconsistent with predictions of rational expectations equilibrium, and we argue it resembles the overdissipation results from the contest literature. We find that more acquired information in the market leads to smaller differences between fundamental asset values and prices. Thus, the overacquisition phenomenon is a novel explanation for the high forecasting accuracy of prediction markets.

How social preferences shape incentives in (experimental) markets for credence goods

Credence goods markets suffer from inefficiencies caused by superior information of sellers about the surplus-maximising quality. While standard theory predicts that equal mark-up prices solve the credence goods problem if customers can verify the quality received, experimental evidence indicates the opposite. We identify a lack of robustness with respect to heterogeneity in social preferences as a possible cause of this and conduct new experiments that allow for parsimonious identification of sellers’ social preference types. Our results confirm the assumed heterogeneity in social preferences and provide strong support for our explanation of the failure of verifiability to increase efficiency.

Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.