Abstract: The diversity in the current degree of financial development across the EU can be a great opportunity at a time where this area is poised to become increasingly financially integrated. Integration should accelerate the development of the most backward financial markets, and allow companies from these countries to access more sophisticated credit and security markets. In line with a large recent literature, it is reasonable to expect that financial integration will have a 'growth dividend' in Europe. This Paper attempts to quantify this growth dividend, using both industry and firm-level data to estimate the empirical relationship between financial market development and growth, and to gauge how it will distribute itself across countries and sectors.

Abstract: Financial structure is an important determinant of the efficiency and stability of financial systems and the channels through which monetary policy is transmitted. We document the substantial differences in the financial systems of the euro area, the UK, the USA, Japan, and non-Japan Asia. The traditional classification of bank-based and market-based systems is shown to be too simplistic. We focus on two particular aspects of financial structure: financial institutions and the housing and mortgage markets. It is shown that institutional investors differ in important ways across the regions considered. One recent change is that Central Banks, particularly those in Asia, have become significant institutional investors. Housing and mortgage markets differ even more. We are still a long way from understanding which kind of financial structure is best.

Abstract: Automated electronic trading is provided by the cooperation of various modules that generate trade orders and transmit the trade orders to the appropriate broker platform for execution of the trades. The trade orders are generated based on trade strategies and other settings that are determined by the trader or client or combination. These tools enable a client to set up automated trading based on trade orders generated remotely by a professional trader using a vendor module to manage multiple trading strategies and market data inputs.

Abstract: This work investigates the effectiveness of an agent based trading system. The system developed employs a simple genetic algorithm to evolve an optimized trading approach for every agent, with their trading decisions based on a range of technical indicators generating trading signals. Their trading pattern follows a simple fitness function of maximizing net assets for every evolutionary cycle. Their performance is analyzed compared to market movements as represented by its index, as well as investment funds run by human professionals to establish a relative measure of success. The results show that the developed system performs comparably to its human counterparts across different market environments, despite these agents being rather primitive in nature. Future forthcoming work refines and explores the potential of this approach further.

Abstract: We describe a dynamic model of financial intermediation in which fundamental characteristics of the economy imply a unique equilibrium path of bank and financial market lending. Yet we also show that economies whose fundamental characteristics have converged may continue to have very different financial structures. Because setting up financial markets is costly in our model, economies that emphasize financial market lending are more likely to continue doing so in the future, all else equal.

Abstract: This paper explores the degree of financial market integration between the new and old EU member states. It also considers the likely effects of the ongoing integration process on the new members’ financial sectors. In particular, the paper discusses the implications of the high concentration of financial services and the dominance of foreign-owned institutions for the provision of financial services to small and medium-sized enterprises (SMEs) in the ten accession countries. Using enterprise data on 2,427 firms, the paper finds that access to finance still constitutes a major problem for business development and that financing conditions are considerably more difficult for SMEs than for larger entities.

Abstract: A computerized trading system for facilitating transactions of financial instruments between a plurality of traders. The computerized trading system includes a user interface, a matching engine, and a trade restrictor. The trade restrictor may be configured to detect bids and offers deviating from an expected price range, from an expected time delay or having exceeded a certain volume, and to restrict booking of the bids and offers meeting these criteria. For example, bids and offers resulting a an inverted market may be cancelled or adjusted. The inverted market occurs when a new or existing bid is higher than a best offer, or a new or existing offer is lower than a best bid. The price range criteria can also be set using statistical ranges calculated based on current bids and offers, or bids and offers that have been supplied by the same trader of the bids and offers being restricted.

Abstract: Using Spanish stock market data running from January 1982 to December 1998, this paper examines competing models of price formation in security markets on the basis of the relationship between expected returns and different risk measures

Abstract: In the 1990s, exchange rate crises followed stock market crashes and sharp economic contractions, with devastating effects on countries around the world. The frequency and extent of these events led many policymakers, regulators, journalists, and market participants to declare a “crisis of global capitalism” and to call for a new “international financial architecture.” When financial crises occur in neighboring countries in rapid succession, it is tempting to believe that financial distress is capable of spreading like a contagious disease. Moreover, it is logical to look for potential carriers of such a disease among market participants such as commercial banks, international mutual funds, and global investors. The problem, however, is that much of the evidence does not support the idea of international financial contagion. This article surveys and synthesizes the empirical evidence on international asset price co-movements, the volatility of cross-border capital flows, and the relationship between those flows and asset prices. A careful reading of this evidence suggests that the observed co-movements during the 1990s might not have been excessively large, given the global economic and capital market environment. As the author suggests, the appearance of what some might call contagion could instead be attributed to errors in domestic financial policies that have simply been repeated many times by affected countries in response to common economic shocks. And this in turn implies that while the various reform proposals to date have been directed mainly at the international and supra-national level—involving questions such as the appropriate exchange rate and international financial market regimes, and how to organize the IMF and the World Bank group of the future–the most important questions may be those concerning government policy at the national level. Fiscal and monetary policymakers may need to rethink how their governments regulate access to the domestic financial sector, how their markets are supervised by the central bank, and how such supervision can be used to improve risk management for the financial service sector.

Abstract: Policymakers have increasingly recognized the structural impediments to effective competition in electricity markets, which has resulted in a renewed emphasis on the need for careful market design and market monitoring in wholesale and retail electricity markets. In this study, we review the market monitoring activities of four Independent System Operators in the United States, focusing on such topics as the organization of an independent market monitoring unit (MMU), the role and value of external market monitors, performance metrics and indices to aid in market analysis, issues associated with access to confidential market data, and market mitigation and investigation authority. There is consensus across the four ISOs that market monitoring must be organizationally independent from market participants and that ISOs should have authority to apply some degree of corrective actions on the market, though scope and implementation differ across the ISOs. Likewise, current practices regarding access to confidential market data by state energy regulators varies somewhat by ISO. Drawing on our interviews and research, we present five examples that illustrate the impact and potential contribution of ISO market monitoring activities to enhance functioning of wholesale electricity markets. We also discuss several key policy and implementation issues that Western state policymakers and regulators should consider as market monitoring activities evolve in the West.

Abstract: A trading system is disclosed which allows an exchange to protect market data from electronic reproduction by traders but allows the traders to use the market data (such as the last traded price, current resting bids and offers) to assist in making the trades. The system includes an exchange server having a database having market data relating to commodities traded over the exchange. A group of trader computers each having a display are coupled to the exchange server. The trader computers have a trader interface run on the computer allowing each trader to place and accept orders for commodities traded over the exchange. The trader interface is capable of receiving market data from the exchange server. An external data source such as an Excel spreadsheet is stored on the trader computer having at least one data field. A trader module is coupled to the trader interface and external data source. The trader module reads market data from the trader interface and the at least one data field of the external data source. The trader module displays the market data and the one data field on the display. The displayed data cannot be exported to the external data source but can be used to make trading decisions and manage orders.

Abstract: In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. The model seeks to capture a number of features suggested by recent empirical analysis of limit order data, such as; fat-tailed distribution of limit order placement from current bid/ask; fat-tailed distribution of order execution-time; fat-tailed distribution of orders stored in the order book; long memory in the signs (buy or sell) of trades. The model developed here extends the earlier one of Chiarella and Iori (2002) in several important aspects, in particular agents have heterogenous time horizons and can submit orders of sizes larger than one, determined either by utility maximisation or by a random selection procedure. We analyze the impact of chartist and fundamentalist strategies on the determination of both the placement level and the placement size, on the shape of the book, the distribution of orders at different prices, and the distribution of their execution time. We compare the results of model simulations with real market data.

Abstract: Historically, the stock and securities markets in the Gulf Cooperating Countries (GCC) have been limited in their capacity to raise international capital. Apart from the fact that many are simply not open to outside investment, they have been regarded as thinly traded, less liquid and less efficient than Western stock markets. Meaningful and comparable stock market data has only been gathered for less than four years. The GCC countries are striving to strengthen and expand their financial markets in relation to their listing, regulatory, trading and settlement procedures, as well as to improve transparency and informational efficiency. The GCC economies have much in common including their growing levels of economic development and trade integration, and also their collective contribution to world oil production. Bahrain has long been regarded as the most open of the GCC economies, but the question arises as to whether or not Bahrain drives the other GCC markets. This study focuses on both short and medium-term relationships using ordinary least squares regressions, vector auto regressive techniques, cointegration tests, pairwise causality, variance decomposition and impulse response analysis of daily indexed share market data to provide evidence of continuing cointegration and interdependence in stock markets in the GCC. Saudi Arabia and Kuwait markets are the major drivers of the other GCC markets.

Abstract: In this paper, we suggest an approach for measuring contagion across b and we outline preliminary results for the European banking sec Information on contagion is crucial for authorities addressing risks financial stability. Information on cross-border contagion, i.e., the exten which European banking systems have become interconnected, is critical. The introduction of the euro and the emergence of comm wholesale interbank markets can be expected to increase the risk of c border contagion.

Abstract: We develop an empirical model for the adoption process of a new durable product that accounts for consumer heterogeneity as well as consumers” forward-looking behavior. Accounting for heterogeneity is important for two reasons. As the mix of consumers with different preferences and price sensitivities could change over time, firms need to update their marketing strategies. Further, it allows for a variety of shapes for the aggregate adoption process over time. As prices for durable and technology products fall over time with firms continually introducing enhanced products, consumers may anticipate these prices and improvements and delay their purchases in the product category. Forward-looking consumers optimize purchase timing by trading off their utilities from buying the product and their expectations on future prices, quality levels, and brand availability. Such forward-looking behavior will result in price dynamics in the marketplace as price changes today influence future purchases. And it results in different shapes of the new product sales pattern over time by influencing the time to take-off. We show how the parameters of our model can be estimated using aggregate data on the sales, prices, and attributes of brands in a product category. We apply our model to market data from the digital camera category. Our data are consistent with the presence of both heterogeneity and forward looking behavior among consumers. At the product category level, we are able to decompose the effects of the entry of Sony into primary demand expansion and switching from other brands. At the brand level, we find that there exist several segments in the market with different preferences for the brands and different price sensitivities leading to differences in adoption timing and brand choice across segments. For a given brand, we show how the changing customer mix over time has implications for that brand”s pricing strategies. We characterize how price effects vary across brands and over time and how price changes in a given time period influence sales in subsequent periods. Model comparison and validation results are also provided.

Abstract: This chapter aims to shed more light on the business case for sustain-ability (BCS) in the financial services sector. It focuses on the business activities of banks and insurance companies with commercial customers, and the findings are based on interviews and a survey of West European and US banks and insurance companies that operate internationally and have a corporate structure. Some smaller financial companies and two banks with a public mandate (IFC and KfW) were included in the sample because of their specific engagement with the subject of our research.

Abstract: An inter-bank/inter-institutional financial network formulated in accordance with the principles of the present invention supports the implementation of certain Shari'ah (Islamic) compliant financial products. A standardized, Shari'ah (Islamic) compliant financial instrument is created which is conducive to trading and which has comparable characteristics to those traded on the conventional markets. An inter-bank/inter-institutional financial alliance is formed under which the participants in the network play multiple and varied financial roles in select financial offerings prior to taking an investment offering to the Islamic investment marketplace for placement. In particular, each participating institution in the inter-bank/inter-institutional financial alliance agrees to support the position of another participating institution as may be required under a contingent guarantee of repurchase in support of such other participating financial institution's issuance of financial instruments. Further, the guarantee is agreed for issuance within a Shari'ah compliant operational framework which does not allow for the acceptance of consideration or specific security/collateral against the issuance of a guarantee, thus enabling the deployment of a financial mechanism having a financial impact similar to a conventional securitization or financial enhancement that would otherwise be disallowed under Shari'ah financial guidelines. Thus, when the financial instrument is issued, it is underwritten for repurchase via a syndication amongst the inter-bank/inter-institutional financial participants via their respective issuance of their repurchase guarantee which are callable on a contingent basis. The issuer also acts as repurchase guarantor on a contingent basis on behalf of another bank in the inter-bank alliance as issuer of their respective financial instruments.

Abstract: We describe the application of a nested logit function for modelling consumer brand choice using household transaction data from the Indian market. This is unique since it is one of the first attempts to integrate disparate consumer information sources available at various levels of aggregation towards developing a prediction model for brand market share in India. We test the usefulness of the model for forecasting brand market share in the premium detergents market in Mumbai, India. The results of the model building exercise reveal the importance of advertising, specifically the role of ad message in influencing brand choice. It is concluded that such modelling initiatives show significant returns for market planning exercises in developing markets. However, the need for streamlining the collection of market data and its subsequent organization in a form that can help develop more portent prediction models is apparent.

Abstract: In this paper, we demonstrate the use of actual financial data for financial ratio analysis. We construct a financial and industry analysis for Motorola Corporation. The objective is to show students exactly how to compute ratios for an actual company. This paper demonstrates the difficulties in applying the principles of financial ratio analysis when the data are not homogeneous as is the case in textbook examples. We use Motorola as an example because the firm has several segments, two of which account for the majority of sales and represent two industries (semi-conductor and communications) that have different characteristics. The case illustrates the complexity of financial analysis. Disciplines Business | Social and Behavioral Sciences Publication Details This article was originally published as Collier, H, Grai, T, Haslitt, S and McGowan, CB, An example of the use of financial ratio analysis: the case of Motorola, Decision Sciences Institute Conference, Florida, 2-6 March 2004. This conference paper is available at Research Online: http://ro.uow.edu.au/commpapers/24

Abstract: In this paper we suggest an alternative approach to testing for the dual structure of the labour market. The novelty of the suggested approach is that rather than considering wage determination we concentrate on the turnover. To perform the test we suggest using a latent class count data framework, which allows modelling the turnover in the unobserved primary and secondary markets in the appropriate way. To illustrate the suggested approach we apply our methodology to the German labour market data. Our testing procedure finds no support for the predictions of the dual labour market theory. We also consider the problem of inconclusiveness of the test for involuntary confinement to the secondary market.

Abstract: Financial markets can influence economic growth by improving productivity of capital, channelling investment to firms and increasing savings for greater capital accumulation. Because of asymmetric information, however, prudential regulation is necessary to ensure the stability of financial markets, particularly during financial liberalization. At times of liberalization, interest rate controls may be a potentially stabilizing force that should not be viewed only as a form of financial repression. This is particularly true given the potential the negative impact stock markets- due to the associated volatility and speculation - on economic development.

Abstract: At the selling side of an open electricity market in general there are two kind of market structures, i.e., one is a long term market structure similar to the forward trading and the another is a short term market structure similar to the spot transaction. The power suppliers purchase power in these two markets to meet the need from consumers, but the electricity prices in these two markets are not same. Therefore, at present for power suppliers the problem to be settled urgently is that how to find the optimal combination of power purchasing in the two markets to obtain the highest profits and to decrease the risk to the lowest level. According to the Markovitz theory for the investment risk a mathematical model with two objects is established and solved by K-T stipulation and the analytical solution is obtained. A simulation for the actual market data is carried out.

Abstract: This article reports on research into the relationship between labour market change and the private rental market in non‐metropolitan South Australia for the period 1990–2000. Using Small Area Labour Market data, Census data and records from the Residential Tenancy Tribunal the study investigates the capacity of the private rental market to respond to labour market and population growth. The article finds that there is considerable ‘stickiness’ within the private rental market in regional South Australia and that there has been a limited supply response to changing levels of demand. This has contributed to housing and labour shortages in some regions and over supply in others. Each circumstance has generated considerable dilemmas for public policy. The reasons underlying the imperfect market response are considered and the implications for the future development of the regions are discussed.

Abstract: Previous empirical studies that use an option pricing model to estimate deposit insurance costs have been limited to banks that issue publicly traded securities: a bank's security prices are used to infer its risk characteristics. However, if deposit insurance costs are needed for privately held banks, as would be the case under a system of risk-based insurance premiums, then an alternative method is required. This paper presents a "market comparable" approach for valuing private banks' deposit insurance. The approach first uses information on public depository institutions to identify the statistical relationships between a bank's supervisory accounting data and its risk characteristics derived from equity market data. Second, it uses these relationships to predict the risk characteristics of a private depository institution based on its supervisory accounting data. This approach is applied to over 7000 private banks and thrifts to estimate their risk characteristics and their implied risk-neutral and physical probabilities of insolvency. For the vast majority of institutions, these risk characteristics and insolvency probabilities are within a reasonable range.

Abstract: The significant price-trading volume correlation found in the residential property market presents a challenge to the rational expectation hypothesis. Existing theories account for this fact with either capital market imperfection (down-payment effect or loss-aversion consideration) or imperfect information (search theoretic models). This paper employs data from both the sale and the rental commercial real estate market, which face different degrees of severity of capital market constraint and thus provide an indirect but effective test for alternative theories. Policy implications are also discussed. JEL Classification: R30, R31.

Abstract: In this valuable new book, a distinguished group of authors takes stock of the existing state of knowledge in the field of finance and the development process. Each chapter offers a comprehensive survey and synthesis of current issues. These include such critical subjects as savings, financial markets and the macroeconomy, stock market development, financial regulation, foreign investment and aid, financing livelihoods, microfinance, rural financial markets, small and medium enterprises, corporate finance and banking.