World Stock Exchanges Research Articles

THE EFFECT OF TRANSFERING ISRAEL CAPITAL CITY TO JERUSALEM TOWARD INDONESIA MACRO ECONOMY

United States President Donald Trump has just issued a controversial policy by giving Jerusalem recognition as the capital of Israel. This controversial policy triggered a strong reaction from a number of countries, especially Islamic countries including Indonesia. Indonesia through President Jokowidodo strongly condemned the policy of moving the Israeli capital to Jerusalem because it would disrupt political and security stability in the Middle East region. In the midst of the political impact caused by President Donald Trump's policies also affected the global economy. The world stock exchanges reacted immediately with the existence of these policies, one of which was the fall of the stock market index in Japan and South Korea due to investor concerns. The impact of the policies implemented by President Donald Trump also affected the Indonesian economy. This policy will affect the financial markets and capital markets in Indonesia. Trump's policy triggered an increase in the US $ exchange rate against the currencies of other countries including the Indonesian currency. Some of the negative effects on the Indonesian economy were the increase in world crude oil prices. Indonesia is currently no longer an oil exporting country, so that with the increase in world crude oil prices it will provide a fiscal burden in the State Budget (APBN). Fuel subsidies in the state budget will increase along with the increase in world crude oil prices that occur. In addition to the impact on the rupiah exchange rate against the US $, Donald Trump's policy also affects the inflation rate and the SBI interest rate. Through 2018, Bank Indonesia has raised the SBI interest rate by 150 basis points (bps) or 1.5%. The BI Governor explained that one reason for changing the benchmark interest rate was US monetary policy. The determination of high SBI interest rates also had an effect on reducing inflationary pressures. This study aims to look at the influence of President Donald Trump's policies regarding the transfer of the Israeli capital to Jerusalem against Indonesia's macroeconomic indicators. Indonesia's macroeconomic indicators are seen from 3 variables, such as the inflation rate, SBI interest rates and the rupiah exchange rate against US $ Key words : Donald Trump, inflation, SBI interest rates, exchange rates / exchange rates

The world stock exchange: influence of covid-19 and measures rectifying the critical situation

The article focuses on the influence of Coronavirus on the stock exchange in worldwide. We have studied main scenarios and the measures, taken to increase the number of investors in the stock market after COVID-19 in the world and in Uzbekistan.

КОРЕЛЯЦІЙНИЙ АНАЛІЗ ДИНАМІКИ ФОНДОВИХ ІНДЕКСІВ КРАЇН СВІТУ ТА УКРАЇНИ

Globalization processes spread to all spheres of human life, affect the economies of each country in the world, and determine the ever-increasing interconnection of the stock markets of different countries. Stock price dynamics are interconnected in different markets in different way. In the context of current events at the world stock exchanges, the study of the relationship of stock markets of different countries seems quite relevant. The article investigates the relationship of the Ukrainian stock market with the stock markets of the world. From our opinion, the level of stock market development is an important aspect to consider when exploring the interconnections of stock markets in countries around the world. On the base of correlation analysis, we determined the strength of the interconnection of the dynamics of stock indices of the countries depending on the level of development of their stock markets. It is proved that the less developed are the stock markets, the less the growth of their stock indices correlates with the global trends and the growth of stock indices of the developed markets. The stock index of the “frontier” stock markets (MSCI Frontier Index) and the stock index of Ukraine (PFTS Index) have slightly higher correlation coefficients with the stock index of emerging markets (MSCI EM Index) than with the world index (MSCI ACWI) and developed markets index (MSCI World). At the same time, the correlation of the PFTS index with all groups of markets is very weak, and at all insignificant with the MSCI Frontier Index. This result may deal, in particular, with high volatility of the Ukrainian stock market. The level of correlation of MSCI Frontier Index with other groups of markets is slightly higher, than of PFTS. However, correlation of “frontier” stock markets with the world is also weak. A correlation analysis of the dynamics of the PFTS Index and the stock indices of countries such as the USA (S&P 500), Germany (DAX), Poland (WIG), China (SSEC) and Romania (BET), which have different levels of stock market development, confirmed the findings, obtained from the analysis of MSCI indices.

Investment Potential of Private Forests in Croatia

This paper presents a comprehensive financial analysis of the investment potential of seven private forest categories in the Republic of Croatia (total study area of 268,072 ha). It covers the period from 2018 to 2048 and includes forest purchase costs, management simulation, timber transport to mills, timber processing and veneer production, and finally the selling of sawmill, veneer and forest products. Data from the Croatian National Forest Inventory and forest habitats map were used as a basis for analyses. Spatial data on private forests, roads and timber process plants at the national level were also integrated into the analyses. For the forest management simulation, the MOSES 3.0 simulator was used, and the QGis 3.4 software was used for spatial analyses of forests, roads and mils. Based on data from several world stock exchanges that cover companies of the forestry sector, a real (inflation-free) discount rates were used. The financial analyses showed which forest categories have positive investment potential and under which conditions. Results pointed out that multi-aged European beech forests have the highest internal rate of return (8.45%) and are the only one which would meet the expectations of a financially rational investor using criteria of a risk-adjusted inflation-free discount rate of 8%.

Current state and prospects for development of stock exchange in globalization conditions

In the classical form, the stock exchange is an organized by professional participants, constantly operating wholesaler of the best securities, with special trading principles, admission procedures to securitiestrading and brokers. Historically, stock exchanges have become, in a sense, the peculiar locomotives of thesecurities market, and their role in the development of economic relations is quite significant. Today, thereare more than 200 stock exchanges with different levels of capitalization around the world. The activities ofsuch financial institutions have an impact on the intensity of economic processes throughout the market. Inparticular, the stock exchange provides optimal conditions for the circulation of securities and acts as a reg ulator of prices for them. Despite the large number of financial regulators operating in all countries of theworld, only some of them have saved and increased the capacity of their economic potential. The level oftheir capitalization exceeds 1 trillion and equals 87% of the global market.This article proposes consideration of the methodology for analyzing the existence of a dependencebetween the direction of the exchange and the economy. The features and problems, historical aspects ofdevelopment of world stock exchanges have been determined. The comparative analysis of ten largest worldstock exchanges, the rating of which is based on stock indices and data of the total turnover of trades, hasbeen conducted. The dynamics of stock indexes of the investigated exchanges for 2015-2018 has been considered.

ІНДИКАТОРИ РОЗВИТКУ ФОНДОВИХ РИНКІВ ТА ВИКЛИКИ ДЛЯ УКРАЇНИ

Стаття присвячена аналізу основних світових індикаторів кон’юнктури фондових ринків у взаємозв’язку із сучасними особливостями розвитку фондового ринку України. За результатами аналізу провідних фондових індексів країн виявлені сучасні тенденції в розвитку світових фондових ринків і фондового ринку України на сучасному етапі. Встановлено, що в умовах змінного сучасного середовища існують виклики, які формують цінові аномалії в розвитку фондових ринків, та обґрунтовано можливості подальшого розвитку фондового ринку України

Капіталізація сільськогосподарських підприємств як рушій сільського розвитку

It is defined that rural development is possible only if sufficient funding of economic, social and ecological needs reached by local producer’s capital accumulation is available. The expediency of Ukrainian agricultural enterprises level determination on the basis of a dual approach (capitalization of public agroholdings is determined by the market valuation of quoted on the world stock exchanges shares and capitalization of the rest of the agricultural enterprises is determined by the cost of the increase in assets) is substantiated. It is assumed that determinants which influence the size of capitalization are the land bank, legal form of management (as the ability to access the credit resources), equipment availability, use of innovative technologies and other factors which are able to generate profits that eventually may be capitalized in the enterprise or consumed by the owners. It is noticed that small, medium and big agricultural enterprises of Ukraine showed relatively proportional state of development in 2017: maximal invested capital, levels of debt, fixed assets availability and financial results of economic activity were received by medium enterprises, the minimal ones – by small enterprises. The multifactorial analysis of the agricultural enterprises capital cost growth pace sets up that the medium enterprises have the most stable performance as they react on systematic risks easier than the small ones and have higher mobility than the big ones.It was outlined that consequences of a sufficient level of capitalization may include enterprises capacity accumulation, social and public projects financing and development, ecological safety observance, the achievement of local territories sustainable development, etc.

The Digitalization of the Russian Financial Market: The Use of Technologies of the Distributed Ledger by the Institutions of Custodian Infrastructure

Over the past 30 years financial markets have moved from a highly centralized to a globalized system that includes all the world's stock exchanges and other financial institutions. The global stock architecture has united the world market. Traditionally, trading in financial instruments took place between stock brokers and traders who made personal transactions on trading platforms. At that time, stock brokers were monopolists of the market, only their information, their recommendations were the only source of information for investors. This was before the dotcom revolution, when communication became simple and accessible to everyone. Trade has been transformed from physical to electronic form, today you can buy securities, currencies and any derivatives in any quantity, at any time and from anywhere in the world. Development of blockchain technologies is integrated into financial transactions. Financial intermediaries are forced to follow the market and actively introduce new technologies in their processes. This article will consider the possibility of using the technology of the distributed ledger by institutions of custodian infrastructure. Today, a number of Russian financial institutions are developing their own projects using blockchain.

TRANSFORMATION PROCESSES OF THE IPO MARKET: UKRAINIAN AND WORLD EXPERIENCE

The study of IPO as a source of financial resources meets the current needs of the corporate sector in conditions of disintermediation and securitization trends of the financial market. In developed economies, there is a process of shifting the emphasis in the direction of capital attraction precisely on the stock market segment of the financial market, which has a number of advantages over the banking system that are also connected with the innovation and investment development of the national economy. The formation of the proper basis for the development of IPO market determines the timeliness of the consideration of this issue because it didn’t obtain a sufficient spread. The emergence of new instruments is the feature that characterizes the modern stage of the development of the Ukrainian and world economy. Their application is a condition for the further development and use of the potential opportunities for the improvement of economic systems. Enterprises are able to meet current market needs and challenges due to orientation to modern trends and timely reaction to the latest achievements. One of them is the IPO (initial public offering), which is the primary public offering of shares. Participants of the Ukrainian market face a number of obstacles during IPO on the domestic and foreign stock exchanges. It necessitates a comprehensive review of this issue for a further developing of this method of accumulating financial resources. The purpose of this article is to identify the IPO market as a system of interrelated components that form its essence, and on the basis of a generalization of the constraining factors of development – providing recommendations on the perspective lines of improving the IPO market, taking into consideration the peculiarities of the Ukrainian and world stock market. Methodology. Analytical market reviews, materials of periodicals, resources of the Internet are the informational and methodological basis of the investigation. To achieve the goal set, the following general scientific and special methods were used: economic and mathematical methods, structural-logical analysis, analogy, synthesis, comparison and integration, factor analysis. Results. The factors that should be taken into account by the issuer for the success of the IPO procedure are justified. Problematic aspects and directions of their elimination are determined for every concrete stage of the IPO. The model for the domestic companies to enter the IPO market is proposed that has a special significance in the context of increasing the volume of financing innovative activity. Directions for reforming the regulatory and legislative framework are considered. Practical implications. Directions for improving the process of passing through the IPO stages can be applied by issuers, taking into account the peculiarities of the domestic and world stock market. Value/originality. The biggest part of the scientific works is devoted to the theoretical aspects of IPO, clarifying the essence of this process, structuring its participants, the advantages of carrying out. At the same time, a part of the works is devoted to the consideration of IPO as an instrument for attracting financial resources by corporations. The authors reviewed IPO in a system that combines the above aspects with its procedure stages and propositions to cancel out constraining factors that have a place on each step of IPO. The presented integrated approach will allow expanding the use of the IPO in the financial market as a source of financial resources for the corporative sector. It is also important to consider the impact of the planned legislative reforms on the development of the IPO market in Ukraine. Taking into account all the components of the IPO market and existing features of the IPO within the framework of the national financial market and world stock exchanges will highlight directions of the IPO market spread.

Contagion in the world's stock exchanges seen as a set of coupled oscillators

We study how the phenomenon of contagion can take place in the network of the world's stock exchanges when each stock exchange acts as an integrate-and-fire oscillator. The characteristic non-linear price behavior of integrate-and-fire oscillators is supported by empirical data and has a behavioral origin called change-blindness. One advantage of the integrate-and-fire dynamics is that it enables a direct identification of cause and effect in price movements, without the need for statistical tests such as Granger causality tests, often used in the identification of causes of contagion. Our methodology can thereby identify the most relevant nodes with respect to onset of contagion in the network of stock exchanges, as well as identify potential periods of high vulnerability of the network. Over the time period of study, our method is able to identify the importance of the U.K. and U.S. markets as sources for propagation of positive returns, whereas, more surprisingly, the Swiss and some Asian markets (China, South Korea) seem to play a particular role with respect to propagation of downturns across markets. The model is characterized by a separation of time scales, brought about by a slow build-up of stresses, for example, due to (say monthly/yearly) macroeconomic factors, and then a fast (say hourly/daily) release of stresses through “price-quakes” in price movements across the world's network of stock exchanges.

Exchange Traded Funds (ETF): history, mechanism, academic literature review and research perspectives

Evgeny Borisovich Tarasov - National Research University "Higher School of Economics". 
 E-mail: etarasov@hse.ru
 Prior to March of 2016, when the first exchange traded fund (ETF) on RTS was introduced, Russian investors’ only option for investing in the domestic index was through a mutual fund. By contrast, the majority world stock exchanges have been giving their clients the option to invest in their leading domestic indexes not only via index mutual funds but also via exchange traded funds (ETF) since decades. Their absence and therefore the lake of familiarity with these funds might be one of the several reasons Russian investors have been willing to pay a premium for ETF investments through intermediaries relative to what they would pay investing directly. Large number of investors buy western ETF via mutual funds. The premiums Russian mutual funds charge for investing in ETFs translate on up to a 36% premium over a 10-year horizon, compared to buying the same ETF directly. This paper introduces to a broader Russian speaking community ETFs, one of the most important financial innovations of the last 20 years, and provides a survey of the research done in this field. This paper reviews the literature on ETFs and provides a brief history of ETFs and these funds’ investment mechanism. In conclusion, some ideas for further research are suggested.The existing paper are divvied in three groups that unite six topics:The first group of literature is devoted to traditional ETF. There are two topics:1. Is the ETF substitute for index mutual funds? If yes, to which level? If it is substitute, why it did not still the index funds?2. Which influence has the introduction of an ETF on the active that it tracks. This topic covers also liquidity, hedge and arbitrage. Second group of papers emerging recently unites the following topics:3. How effective are the ETF tracking the foreign indexes?4. ETF development besides USA. 5. ETF that track not the share indexes. New generation ETF: synthetic, leveraged, actively managed and smart-beta.Third group of papers devoted to the following topic:6. ETF use for optimal portfolio construction.

Analysis of monthly rates of return in April on the example of selected world stock exchange indices

The article presents a study of the effectiveness of 22 selected stock indices with the use of the rates of return in the month of April. The portfolio replicating the stock index was bought at the closing prices on the last session in March, and sold at the closing prices on the last session in April. The presence of market inefficiency is demonstrated in cases of the following indices: All-Ord, AMEX, BUX, CAC40, DAX, DJIA, DJTA, DJUA, EOE, FTSE100, SMI, SP500, but for the following indices: B-Share, Bovespa, Buenos, Hang-Seng, MEX-IPC, Nasdaq, Nikkei, Russel, TSE and WIG, the obtained monthly rates of return were statistically equal to zero. In the last part of the article, the correlation coefficients of rates of return for analyzed indices in month of April were surveyed.

Conditional Correlation Coefficient as a Tool for Analysis of Contagion in Financial Markets and Real Economy Indexes Based on the Synthetic Ratio

We define contagion in financial markets as a significant increase in cross-market linkages after a shock to one or group of countries. Contagion occurs if cross-market co-movement increases significantly after the shock. In this article, the authors attempt to answer the question whether the selected world stock exchanges and economies are infecting each other within the meaning of the definition provided. Conditional copula functions and conditional Spearman's correlation coefficient will be used as a tool. Construction of a synthetic index of world financial markets is introduced. This index is based on the taxonomic distances of chosen stock market from the “best” object, where the best means object which has highest financial parameters.Main goal of this paper is to analyze changes in dependence between US stock market (S&P500) and chosen groups of world stock markets and constructed real economy index.

Станет ли природный газ товаром мировой биржевой торговли?

The article deals with the evolution of gas industry and the prospects of conversion of natural gas into a world exсhange traded commodity. The prerequisites and restrictions of such a conversion are scrutinized. Currently, the liquefied natural gas (LNG) is becoming a major tool for operational balancing of the short-term swings in demand for gas in different regions of the world. The opportunities for transcontinental price arbitrage are growing. Its further development will lead to the emergence of a stable (adjusted for geopolitical factors) variations in prices in America, Europe and Asia, reflecting the cost of transportation (freight) and liquefaction. Alignment of LNG netback prices in all areas of its delivery will be one of the signs of a full commoditization of the natural gas. Natural gas commoditization in a global scale is supported by the increasing “gas-to-gas competition” pricing mechanism based on short-term trading. At the moment, the Henry Hub serves as a full-fledged indicator of prices for the North American market. Similarly, NBP and TTF send increasingly strong price signals to the European market. At the same time, the role of the only visible Asian spot area – Shanghai stock exchange – is still insignificant. The spot hubs already serve as delivery outlets for execution of gas futures’ contracts and other financial instruments concluded on the key world stock exchanges – New York Mercantile (NYMEX), London Futures (ICE-Futures), Singapore Mercantile Exchange (SMX). These global trading floors are likely to form the infrastructure of future universal system of price indication. Commoditization of natural gas will provide a powerful impetus to a convergence of the markets of pipeline gas and LNG worldwide. The understanding of this perspective, besides the general theoretical interest, is important in terms of assessing the competitiveness of Russian gas in the world natural gas markets in the next decades.

Основные тенденции процесса первоначального размещения акций на крупнейших биржах мира в 2001-2012 гг.

This article is investigating the initial public offerings (IPO) activity at world’s largest stock exchanges in 2001–2012. The main goal of the article is to determine the main trends of the IPO process at the world largest Stock Exchanges in 2001—2012. To achieve this goal the the author examines world and regional exchange centers of IPO-activity concentration and dentifies the factors determining the leading position of particular stock exchanges in various countries and regions in different periods of time. The autor coliects and analyses data from annual «IPO Watch Europe» reports provided by PwC Company in 2001—2012. The obtained time-series gives the opportunity to examine the variations of IPO-activity at different world Stock Exchanges along two dimensions: the overall volume and value of IPO deals at various Stock Exchanges. The analysis proves that the IPO-activity was mostly concentrated at European, US and the Greater China stock exchanges during the period under con sideration. The study reveals the shift of the world IPO-activity to Asian equity markets, with high IPO-activity indicators reported in emerging market econo mies. Brazilian, Saudi Arabian, Polish stock exchanges demonstrate the highest offerings indicators in this group. Thus, they are expected to become the new re gional centers of IPO-activity in future. In order to maintain or increase the current IPO-activity indicators ex-leaders had to resort to the consolidation of existing facilities throng M&A processes.

The Significance of Distance Between Stock Exchanges Undergoing the Process of Convergence: an Analysis of Selected World Stock Exchanges During the Period of 2004–2012

The paper concerns the convergence of selected world stock exchanges from the point of view of their development in the context of geographical and economic distance between them. It presents the methodological approach which points up the necessity of taking into account spatial and economic connections among stock markets in convergence analyses. The research includes 46 largest trading floors analyzed in the period of 2004–2012. The empirical data refer to six diagnostic variables acknowledged as the important determinants of the development of stock markets.

A Wavelet - based Discussion on the Greek Stock Market Integration During the Last Decade

The current paper investigates how has been evolving the integration of the Greek stock market to the major world stock exchanges for a period spanning from the early 2000s till the middle of 2013. The idea of wavelet coherency is adopted in the analysis in order to identify linkages and co-movement patterns that are otherwise not that obvious. It is further investigated if the detected relationships are of short or of long-run character. Also particular attention is paid to the co-movement patterns during the period of the 2007-2009 financial crisis as well as during the period of the Eurozone debt crisis. In addition, conclusions on presence of contagion and transmission of crises are drawn.

The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges

In this paper the two dimensional model of the investment in shares is presented. The shares prices from five different world stock exchanges (New York, London, Frankfurt, Honk Kong, and Sydney) are examined. The copula functions are used to model the risk of investment. The Hurst threshold exponent derived from the local Detrended Fluctuation Analysis is used to determine the safe investment portfolios with no extreme drops in shares prices. The most important result states that the threshold value is not universal for different markets, however, it is influenced by the subsequent level of market freedom. It was shown, that the level, relatively larger in US, UK, and Australia than in Germany and China, affects the Hurst exponent threshold value.

Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators

We study how the phenomenon of contagion can take place in the network of the world's stock exchanges when each stock exchange acts as an integrate-and-fire oscillator. The characteristic non-linear price behavior of the integrate-and-fire oscillators is supported by empirical data and has a behavioral origin. One advantage of the integrate-and-fire dynamics is that it enables for a direct identification of cause and effect of price movements, without the need for statistical tests such as for example Granger causality tests often used in the identification of causes of contagion. Our methodology can thereby identify the most relevant nodes with respect to onset of contagion in the network of stock exchanges, as well as identify potential periods of high vulnerability of the network. The model is characterized by a separation of time scales created by a slow build up of stresses, for example due to (say monthly/yearly) macroeconomic factors, and then a fast (say hourly/daily) release of stresses through price-quakes of price movements across the worlds network of stock exchanges.

Flash boys: a Wall Street revolt

Flash Boys is about a small group of Street guys who figure out that the U.S. stock market has been rigged for the benefit of insiders and that, post-financial crisis, the markets have become not more free but less, and more controlled by the big Street banks. Working at different firms, they come to this realization separately; but after they discover one another, the flash boys band together and set out to reform the financial markets. This they do by creating an exchange in which high-frequency trading-source of the most intractable problems-will have no advantage whatsoever. The characters in Flash Boys are fabulous, each completely different from what you think of when you think Wall Street guy. Several have walked away from jobs in the financial sector that paid them millions of dollars a year. From their new vantage point they investigate the big banks, the world's stock exchanges, and high-frequency trading firms as they have never been investigated, and expose the many strange new ways that Street generates profits. The light that Lewis shines into the darkest corners of the financial world may not be good for your blood pressure, because if you have any contact with the market, even a retirement account, this story is happening to you. But in the end, Flash Boys is an uplifting read. Here are people who have somehow preserved a moral sense in an environment where you don't get paid for that; they have perceived an institutionalized injustice and are willing to go to war to fix it.