Stock market study : regulation of unlisted securities : hearings before a subcommittee of the Committee on Banking and Currency, United States Senate, Eighty-fourth Congress first session, on S. 2054, a bill to amend the Securities Exchange Act of 1934, as amended.

Hearings held June 27, 1955-July 6, 1956.

Exchange controls and European stock market integration

This paper examines the impact on stock price predictability that the removal of exchange controls had on major European countries during the late 1970s and 1980s. It is found that for Germany, Switzerland and France, the removal of exchange controls led to an increase in the interdependence between these and other markets. In contrast, there is little evidence of an increase in interdependence for the UK and Italy.

Exchange controls and the transmission of equity market volatility:the case of the UK

The paper investigates the impact that the relaxation of UK exchange controls in October 1979, had on the transmission of equity market volatility from the UK to other major equity markets. It is suggested that the existence of exchange controls in the UK was an important source of market segmentation which disturbed the transmission of shocks from one country to another, even when shocks contained global information. It is found that when a spillover GARCH(1,1) model is estimated for the five years before and after the removal of exchange controls, volatility shocks spill over from the UK to other markets much more strongly after the removal of exchange controls. This appears to suggest that volatility as well as returns have become more closely related since the UK removed exchange controls.

The emergence of knowledge exchange:an agent-based model of a software market

We investigate knowledge exchange among commercial organizations, the rationale behind it, and its effects on the market. Knowledge exchange is known to be beneficial for industry, but in order to explain it, authors have used high-level concepts like network effects, reputation, and trust. We attempt to formalize a plausible and elegant explanation of how and why companies adopt information exchange and why it benefits the market as a whole when this happens. This explanation is based on a multiagent model that simulates a market of software providers. Even though the model does not include any high-level concepts, information exchange naturally emerges during simulations as a successful profitable behavior. The conclusions reached by this agent-based analysis are twofold: 1) a straightforward set of assumptions is enough to give rise to exchange in a software market, and 2) knowledge exchange is shown to increase the efficiency of the market.

FOREIGN INVESTMENT AND THE BRAZILIAN REAL ESTATE MARKET

This article discusses the main aspects of the Brazilian real estate market in order to illustrate if it would be attractive for a typical American real estate investor to buy office-building portfolios in Brazil. The article emphasizes: [i] - the regulatory frontiers, comparing investment securitization, using a typical American REIT structure, with the Brazilian solution, using the Fundo de Investimento Imobiliario - FII; [ii] - the investment quality attributes in the Brazilian market, using an office building prototype, and [iii] - the comparison of [risk vs. yield] generated by an investment in the Brazilian market, using a FII, benchmarked against an existing REIT (OFFICE SUB-SECTOR) in the USA market. We conclude that investing dollars exchanged for Reais [the Brazilian currency] in a FII with a triple A office-building portfolio in the Sao Paulo marketplace will yield an annual income and a premium return above an American REIT investment. The highly aggressive scenario, along with the strong persistent exchange rate detachment to the IGP-M variations, plus instabilities affecting the generation of income, and even if we adopt a 300-point margin for the Brazil-Risk level, demonstrates that an investment opportunity in the Brazilian market, in the segment we have analyzed, outperforms an equivalent investment in the American market.

Qualitative assessment of stock prices listed on the Sao Paulo stock exchange: An approach from the perspective of homogeneity analysis

The stock market suffers uncertain relations throughout the entire negotiation process, with different variables exerting direct and indirect influence on stock prices. This study focuses on the analysis of certain aspects that may influence these values offered by the capital market, based on the Brazil Index of the Sao Paulo Stock Exchange (Bovespa), which selects 100 stocks among the most traded on Bovespa in terms of number of trades and financial volume. The selected variables are characterized by the companies` activity area and the business volume in the month of data collection, i.e. April/2007. This article proposes an analysis that joins the accounting view of the stock price variables that can be influenced with the use of multivariate qualitative data analysis. Data were explored through Correspondence Analysis (Anacor) and Homogeneity Analysis (Homals). According to the research, the selected variables are associated with the values presented by the stocks, which become an internal control instrument and a decision-making tool when it comes to choosing investments.

The Role of Non-Market Valuation in Forest Management and Recreation Policy

Forests, and particularly those where native and mixed species are gown, provide a variety of non-wood values, important among which are recreation and environmental services. Substantial progress has been made in recent years in estimating economic values on these services. A considerable amount of research on forest values has been carried out recently in tropical and sub-tropical eastern Australia, some of which is reported in the following papers. The need for estimates of non-wood forest benefits is apparent, and it is clear that further development of techniques and a greater understanding of the way these values can be integrated into public-sector decision making is required.

How differently do our non-large companies listed on the Portuguese Stock Exchange perform?

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

The financial system in Mozambique: Opportunities, barriers and market potential

This research is empirical and exploratory intending to analyse the attractiveness of banking in Mozambique, considering its positive outlook. To identify the opportunities and barriers, the methods adopted were elite interviews with banking executives, complemented by secondary data. The opportunities for new entrants seem to include bankarization and the emergence of micro and smallmedium enterprises; other avenues seem to include investment banking, support of mega-projects (e.g. energy, infrastructures) through syndicates and cooperation with multilaterals, and the participation in developing capital markets. Conversely, the main barriers include shortage of talent, inadequate infrastructures, poverty, unsophisticated entrepreneurial culture (e.g. informal economy, inadequate financial reporting), burdensome bureaucracy (e.g. visas), foreign exchange regulation, as well as low liquidity and high funding costs for banks. The key conclusions suggest a window of opportunity for niche markets, and new products and services in retail and investment banking.

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

MarketOpolis: A market simulation based on investors decisions

This study aims to replicate Apple’s stock market movement by modeling major investment profiles and investors. The present model recreates a live exchange to forecast any predictability in stock price variation, knowing how investors act when it concerns investment decisions. This methodology is particularly relevant if, just by observing historical prices and knowing the tendencies in other players’ behavior, risk-adjusted profits can be made. Empirical research made in the academia shows that abnormal returns are hardly consistent without a clear idea of who is in the market in a given moment and the correspondent market shares. Therefore, even when knowing investors’ individual investment profiles, it is not clear how they affect aggregate markets.

Implementation of the Walrasian correspondence by market games

In this paper we present a set of axioms guaranteeing that, in exchange economies with or without indivisible goods, the set of Nash, Strong and active Walrasian Equilibria all coincide in the framework of market games.

Why did London become the main money market? Monetary Policy, Arbitrage and European Money Market Integration in 18th century

How did the leading capital market start to attract international bullion? Why did London become the main money market? Monetary regulations, including the charges for minting money and the restrictions on bullion exchange, have played the key role in defining the direction of the flow of international bullion. Countries that abolished minting charges and permitted the free movement of bullion were able to attract international bullion, and countries that applied minting taxes suffered an outflow of bullion. In these cases monetary authorities tried to limit bullion movement through prohibitions on domestic bullion exchange at a free price, and tariffs and quantitative restrictions on bullion exports. The paper illustrates the logic of international monetary flow in the 18th century, using empirical evidence for England, France and Spain. The first section defines and measures monetary policy, and the second section introduces minting charges into the arbitrage equation in order to explain the logic of bullion flow between the pairs of nations England-France, England-Spain and France-Spain. The conclusion emphasises the importance of monetary policy in the creation of leading money markets.

3-Regime symmetric STAR modeling and exchange rate reversion

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlinearity and asymmetric e¤ects. Our framework allows for a gradual adjustment from one regime to another, and considers threshold e¤ects by encompassing other existing models, such as TAR models. We apply our methodology to three di¤erent exchange rate data-sets, one for developing countries, and o¢ cial nominal exchange rates, the sec- ond emerging market economies using black market exchange rates and the third for OECD economies.