Speculative Behavior Research Articles

O Fed antes da crise: erros de percepção ou de concepção? análise das atas do FOMC e de falas de Greenspan e de Bernanke de 2001 a 2007

O artigo discute as percepções do Federal Reserve – Fed – nos anos de formação da bolha imobiliária para avaliar se o BC norte-americano subestimou os riscos ou preferiu conviver com eles. No rescaldo das crises de 2001-2002, o Fed considerava o consumo e o mercado imobiliário forças importantes para a recuperação econômica. A partir de 2003-2004, membros do Federal Open Market Comittee – FOMC –passaram a mostrar preocupação com os riscos dos processos em curso no mercado imobiliário e com os efeitos de uma possível reversão da política monetária expansionista sobre os preços dos imóveis, mas daí não resultou a adoção de iniciativas firmes para conter o que se revelaria uma bolha especulativa de grandes proporções. A leniência do Fed pode ser atribuída à crença na resiliência do sistema financeiro diante de crises, à confiança na condução pragmática da política monetária orientada pelo risk management approach e à convicção de que um BC não deve adotar medidas especiais para conter a formação de bolhas especulativas. O artigo analisa as atas das reuniões do FOMC de 2001 a 2007 e alguns pronunciamentos dos presidentes do Fed, naqueles anos, Greenspan e Bernanke, de modo a compreender as percepções do Fed diante dos processos em curso. A análise de atas e pronunciamentos se justifica porque a comunicação com o mercado se tornara instrumento relevante para o Fed na execução da política monetária desde os anos 1990.

Instabilidade financeira no espaço: uma abordagem monetária da dinâmica econômica regional

O trabalho tem como objetivo analisar a relação entre variáveis monetárias e a distribuição espacial das atividades produtivas em um contexto de moeda não neutra. A metodologia consiste na construção e implementação computacional de um modelo de simulação baseado em agentes (agent-based model). Propõe-se um sistema econômico artificial que conecta, por meio do mercado de crédito, os setores produtivo e financeiro, em que o primeiro é caracterizado por concorrência imperfeita (economias de escala e diferenciação assimétrica de produtos) e o segundo, por comportamentos especulativos determinados pela preferência à liquidez. Como resultado, instabilidades geradas endogenamente foram observadas nas simulações, com efeitos sobre a distribuição inter-regional das atividades produtivas. O modelo reproduz importantes regularidades em economia regional, entre as quais uma distribuição rank-size consistente com a Lei de Zipf . Como implicação de política econômica, os resultados sugerem a necessidade da introdução de elementos regionalmente diferenciados na política monetária.

Application Research of Fuzzy Evaluation on Direct Trust Evaluation in the Supply Chain

In order to accurately and effectively evaluate the trust level between enterprises whose supply chain exists in direct transactions, this paper proposed a trust level evaluation method based on reputation, this method by introducing corporate transactions satisfaction level, corporate transaction amount, corporate transactions time, corporate transactions number and rewards and punishments factor five factors, which make description and measurement of corporate reputation more accurate. Meanwhile, in order to improve the measurement accuracy of corporate transactions satisfaction level, this paper proposes a transaction satisfaction evaluation method based on fuzzy evaluation, the transaction satisfaction were evaluated from product quality, product cost and completion time three aspects. Simulation results show that the model proposed by this paper can effectively evaluate the direct trust level of supply chain enterprises by the reputation. Compared with similar existing trust model, this model evaluates direct trust between enterprises more accurately and objectively. It also effectively reduces the occurrence of corporate fraud and speculative behavior.

Keynes's activity on the cotton market and the theory of the ‘normal backwardation’: 1921–1929

The aim of this paper is to assess to what extent Keynes, or any other speculator, could ever have used the theory of futures contracts he formulated in the 1920s as the guiding principle for their investment strategy and what light the theory can shed on speculative behaviour. To this end, we focus our attention on Keynes’ speculations on the cotton market. Our main conclusion is that Keynes did not base his speculation in cotton exclusively on the assumption that futures prices were downward biased in comparison with spot prices, as his theory would predict.

The Research on the Long-Effect Mechanism of Industry-University-Research Cooperation Based on Swarm

The paper regards the speculative behavior in Industry-University-Research collaboration (IURC) as a process of principal-agent game with asymmetric information; establishes a dynamic model of the IURC with asymmetric information. And on this base we conduct simulation research combined with the reputation mechanism to reveal the forming process of mixed strategy between the two parities.

Real-Time Pricing Control on Generation-Side: Optimal Demand-Tracking Model and Information Fusion Estimation Solver

This paper develops the information fusion based pricing control (IFPC) scheme for the generation-side in the liberalized wholesale electricity market. The market mechanism is described by a feedback system, in which the independent system operator (ISO) interacts with generation companies (GenCOs) via proposing and responding to real-time nodal prices. The linear constrained quadratic optimal tracking problem is formulated; and the solution (nodal price sequence) is repeatedly computed by fusing the recently available information with backward manner and updated over the receding preview horizon. So that the total supply dynamically tracks the demand, the price is stationarized and each GenCO gains the maximal profit for the given price. Numeric results on a 118-bus network validate IFPC's effectiveness and flexibility on incorporating various line rating constraints as well as wind power fluctuation uncertainties. Comparative study demonstrates that IFPC outperforms the negotiated predictive dispatch but elapsing heavier computations. The irrational behavior analysis verifies the convergence to equilibrium; and speculation behavior of GenCOs in the real market is also discussed. Along with the rapid development of smart grid, IFPC is practically enabled by the information and communication technology (ICT); its significance and potentials for renewable energy sources (RES) integration would be realized and exploited.

Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index

This paper employs panel smooth transition autoregression models, using the volatility index (VIX) as the transition variable, to evaluate the persistence, efficiency, and spillover effects of stock markets in G-10 and ASEAN-5 countries. The persistence effects are nonlinear and vary with time and across countries, depending on the value of the VIX. When VIXs are over specific thresholds (30.69 and 31.04), the stock returns in G-10 and ASEAN-5 display moderate and similar persistence effects and make lagged stock returns become more important when evaluating current stock returns. The spillover effects occur from VIX to stock returns. The speculation behavior of stock markets in ASEAN-5 is higher than that in G-10; however, the result in the efficiency of stock markets is the opposite.

Speculative behavior and the dynamics of interacting stock markets

We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators׳ strategy/market selections are repeated at each time step and depend on predisposition effects, herding behavior and market circumstances. Simulations reveal that our model is able to explain a number of nontrivial statistical properties of and between international stock markets, including bubbles and crashes, fat-tailed return distributions, volatility clustering, persistent trading volume, coevolving stock prices and cross-correlated volatilities. Against this background, our model may be deemed to have been validated.

Liquidity-Adjusted Price-Dividend Ratios and Expected Returns

This paper proposes a liquidity-adjusted dividend-ratio model by generalizing static liquidity-adjusted asset pricing theory. We show that log stock prices, dividends, and price impact are cointegrated and define their linear combination as liquidity-adjusted price-dividend ratios. By employing vector autoregressive models, we show that expected future price impact has a significant effect on asset prices. By further decomposing it into permanent and transitory price impacts, we show that they make asset prices more speculative and smooth, respectively. We also show that news about the transitory price impact contributes to a considerable degree of stock market volatility. Our implications can help better understand the speculative behavior of asset prices and thus explain the unusual stock market phenomenon in the late 1990s.

SUPERSTITION IN THE HOUSING MARKET

We provide the first solid evidence that Chinese superstitious beliefs can have significant effects on house prices in a North American market with a large immigrant population. Using real estate data on close to 117,000 house sales, we find that houses with address number ending in “4” are sold at a 2.2% discount and those ending in “8” are sold at a 2.5% premium in comparison to houses with other addresses. These price effects are found either in neighborhoods with a higher than average percentage of Chinese residents, consistent with cultural preferences, or in repeated transactions, consistent with speculative behavior. (JEL D03, R2, Z1)

The Proposal of the Changes in the Taxation of Income of the Non-profit Organizations

The paper is focused on the issue of the taxation of incomes of the non-governmental non-profit organizations, especially the civic associations in the conditions of the Czech Republic and in the selected countries of the European Union (Austria, Slovakia, Germany). The main emphasis is put on the comparison of the corporate income tax of the studied countries. Particularly the tax benefits that are provided to the non-profit organizations in the individual countries are compared here. This paper points to the current situation in the Czech Republic, where there is no clear legislation that would regulate the activities by the studied organizations. Changes in the taxation of the incomes of non-profit organizations are designed to eliminate absences with regard to the simplicity and clarity of the individual provisions, and also to prevent misuse of the benefits and to the speculative behavior of tax entities.

Exploring the Hedging Effectiveness of European Wheat Futures Markets during the 2007-2012 Period

The hypothesis that speculative behaviour was the cause of the instability of commodity prices has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the price instability observed after 2007. Indirectly, this could also be thought as a test of whether the increasing presence of speculators in futures markets have made them divorced from physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the hedging effectiveness after 2007.

Attributes Influencing Housing Product Value and Price in Jakarta Metropolitan Region

This paper is a part of an ongoing dissertation research that tries to analyze the relationship between housing prices, Real Estate buyers’ preferences, Real Estate developers’ assumption of price, and external factors arising that influence the price. This paper acts as continuation study using the hypotheses from the author's previous research on the same topic to validate the hypotheses. The findings suggest that design, brand, facilities, reputation, reinvestment value, pricing policy, and speculative behavior play a significant part as internal and external attributes in price definition for housing price in Jakarta Metropolitan Region.

АНАЛИЗ ВЛИЯНИЯ КОЭФФИЦИЕНТОВ РЫНОЧНОЙ УСТОЙЧИВОСТИ НА ИЗМЕНЕНИЕ ЦЕН АКЦИЙ

According to fundamental analysis, share price tends to its intrinsic value. An appreciably large body of research has been devoted to foreign stock markets; meanwhile, the Russian stock market has been studied insufficiently. The hypothesis of fundamental analysis of the Russian stock market was tested in this paper. The effect of market stability factors (P/E; P/B; P/CF; P/D) on changes in share prices was studied. The data from the financial reports on IFRS – GAAP and the data on share prices of 54 companies over the period of 2003–2013 were used. The results give grounds for claiming that the postulates of fundamental analysis cannot be used for the Russian stock market: the market stability factors do not correlate with the changes in share prices. Next, the possible reasons for this speculative behavior of the Russian stock market were considered. The methods for analyzing the reports and the financial and economic situation in order to determine the company value were proposed in this paper. DOI: http://dx.doi.org/10.12731/2218-7405-2013-9-5

The effects of a financial transaction tax in an artificial financial market

We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their effects on liquidity need to be taken into account. We model an agent-based continuous double-auction, allowing for a continuum of investment strategies within the chartist/fundamentalist framework. For certain parameter combinations, our model is able to reproduce certain stylized facts of financial time-series. We find largely positive effects of the FTT for small tax rates. Additionally, for large tax rates we find the effects not to be as negative as previously found.

Hedge e especulação com derivativos cambiais: evidências de operações cotidianas

Este trabalho investiga a dinâmica no uso de derivativos de moedas por parte de empresas não financeiras brasileiras a partir de um banco de dados único, que contém 29 mil operações de balcão efetivamente contratadas por essas empresas junto a um grande banco internacional, entre 2003 e 2011. Embora pesquisas no Brasil (Novaes & Oliveira, 2005; Rossi, 2011) e nos EUA (Géczy, Milton, & Schrand, 2007) apontem para a existência de uma conduta especulativa nas decisões dos gestores, o efetivo impacto desse tipo de comportamento nas decisões da empresa ainda é pouco conhecido, bem como suas implicações para a gestão financeira de riscos e a governança corporativa. Nossa metodologia compara os retornos de contratos que foram mantidos até o vencimento, com os de contratos cuja liquidação foi antecipada pelas empresas. Os resultados mostram que, no período de 2003 a 2008, houve um forte componente especulativo nas decisões cotidianas de tomada e desmonte de posições com derivativos cambiais das empresas. Já no período de 2009 a 2011, não se identifica tal comportamento especulativo, em linha com os resultados de Coutinho, Sheng e Lora (2012). Os resultados reforçam a evidência de que as grandes perdas com derivativos cambiais em 2008 tenham funcionado como um alerta para gestores, conselheiros, investidores e reguladores, que passaram a monitorar mais atentamente as operações com derivativos.

The Impact of Parliamentary and Presidential Elections on Stock Returns in Colombo Stock Exchange (CSE)

The research issue of this study is whether political events result in structural shift in stock return in CSE. The purpose of this study is to find whether there is a predictable pattern in the market and any structural shift in the market response to events of election announcements and release of election results. If a predictable pattern exists, the purpose is to identify any economically viable arbitrage strategies arising out of special pattern of market behavior in relation to events of election announcements and release of election results. To achieve this objective independent analytical devices are used in this research under event study methodology. According to the analysis of results, the formation of market sentiments in relation to election related events can be summarized as follows. If the announcement is taken place under a UNP dominant government, market seems to create negative sentiments around the events. However within few days of announcement market again gains the profit of the loss initially took place with the announcement. According to this speculative behavior, an investor who is having a prior knowledge about the announcement may sell the stocks well in advance of the election announcement in order to avoid subsequent losses taking place in the market. If the announcement is taken place under a SLFP dominant government, market seems to create positive sentiments around the events. According to this speculative behavior, an investor who is having a prior knowledge about the announcement may buy the stocks well in advance of the election announcement in order to sell and earn profit during the post event window. If a market friendly government comes to power with the release of election results, market seems to create positive sentiments, and if a less market friendly government comes to power market responses negatively.

Testing for speculative bubbles in agricultural commodity prices: a regime switching approach

PurposeThe authors' paper aims to deal with the question whether speculative bubbles are present in agricultural commodity prices.Design/methodology/approachThe authors apply a regime switching regression model to test the hypothesis that agricultural prices contain periodically collapsing bubbles. Using daily futures prices for six agricultural commodities, the authors calculate net convenience yields from which price fundamentals are derived.FindingsThe authors discover pronounced deviations between observed prices and their fundamental values. However, they do not find evidence for the presence of periodically and partially collapsing speculative bubbles for five of six commodities. Except for soybeans, the signs and the significance of the estimated coefficients are not entirely in line with the predictions of the theoretical model.Originality/valueThe authors' study adds to the heated discussion on the impact of speculative behavior on agricultural commodity prices. So far, most contributions in the literature either use theoretical arguments for the (non‐) existence of bubbles or apply indirect tests which are plagued by low statistical reliability. In contrast, the authors apply a direct test. They find that the outcome of empirical bubble tests depends on the considered bubble type and on the testing procedure. In view of these ambiguities, definite statements on the presence of speculative bubbles as well as demands for limitations of speculative positions in commodity futures markets should be carefully reconsidered.

From tulip bulbs to sub‐prime mortgages examining the sub‐prime crisis

PurposeThe collapse of the sub‐prime mortgage market parallels several earlier failures within the financial services sector, begging the question why the lessons of past failures were not learned. Throughout history from the tulip bulb crisis of the 1600s to the most recent economic crisis, decision‐makers keep making the same mistakes. This occurs in part because of a failure to recognize similarities between past and current events. This conceptual paper aims to use systems dynamics tools to examine the crisis and illustrate how seemingly independent events are linked.Design/methodology/approachThe paper provides a fundamental review of systems thinking concepts and uses a tool of systems dynamics, causal loop diagrams (CLD), to provide a visualization of the dynamics of the sub‐prime market collapse over time. This approach provides insights that traditional analytic methods do not, which should be beneficial in understanding future cases where speculative demand drives behavior.FindingsThe paper uses the CLD tool to understand the evolution of the recent financial crisis. It finds that the dynamics of the collapse closely mirror many historic financial disasters (the paper cites several) and proposes the fundamental CLD of this phenomenon be elevated to a special category of the “limits to growth” archetype model. The paper makes this recommendation in the hope it will allow investors and policy makers to quickly recognize future speculative events when they happen again.Originality/valueThis paper argues that, despite the surface level uniqueness and complexity of the recent economic collapse, there is an underlying simplicity that links the recent collapse with speculative boom/busts going back over 400 years. The representation that the paper develops applies the language of systems thinking to the most recent financial crisis. A mental model of this system and the corresponding systems structure can be used to not only understand what happened, but also inform decision‐makers when similar speculative behavior occurs in the future.

Explosive Preisentwicklung und spekulative Blasen auf Rohstoffmärkten / Explosive behavior and speculative bubbles on commodity markets

Zusammenfassung In dieser Studie wird untersucht, ob die Preisentwicklung auf Rohstoffmärkten statistische Anhaltspunkte für spekulative Preisblasen liefert. Diese Frage ist von zentraler Bedeutung in der wirtschaftspolitischen Debatte um die Regulierung des Handels von Rohstoffen. Es kann statistisch gezeigt werden, dass sich Rohstoffpreise gelegentlich explosiv verhalten. Die stärkste Evidenz für explosives Verhalten gibt es bei den Industrierohstoffen. Auch bei Nahrungsmittelpreisen können Phasen explosiven Verhaltens statistisch nachgewiesen werden. Eine wichtige Schlussfolgerung ist, dass die Ursachen explosiven Verhaltens auf Rohstoffmärkten und die Effekte von Preisblasen auf die Entscheidungen von Konsumenten und Investoren sowie Verteilungseffekte systematisch untersucht werden müssen.