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Stock market equilibrium

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  • The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market’s sector indices rather than the composite index. Thus in this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STI), as well as with various Singapore Exchange Sector indices—the finance index, the property index, and the hotel index.

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  • More recently, Granger (1986) and Johansen and Juselius (1990) proposed to determine the existence of long-term equilibrium among selected variables through cointegration analysis, paving the way for a (by now) preferred approach to examining the economic variables-stock markets relationship. A set of time-series variables are cointegrated if they are integrated of the same order and a linear combination of them is stationary. Such linear combinations would then point to the existence of a long-term relationship between the variables.

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  • The analysis of weekly price indices in Kuwait, Bahrain, and Oman stock markets showed that: (1) share prices were cointegrated with one cointegrating vector and two common stochastic trends driving the series, which indicates the existence of a stable, long-term equilibrium relationship between them; and (2) prices were not affected by short-term changes but were moving along the trend values of each other. Therefore, information on the price levels would be helpful for predicting their changes.

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  • There have been some attempts to explain theoretically the behavior of the stock return volatility. Veronesi (1999) constructs a model with regime shifts in the endowments in which investors will- ingness to hedge against their own uncertainty on the true regime generates overreaction to good news in bad times and volatility clustering. In contrast to that paper, I assume that the exogenous state variables are not subject to regimes, neither do they exhibit mean-reversion.

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  • In a recent contribution, Gallmeyer and Holli…eld (2008) propose a model with heterogeneous beliefs and short sale constraints. They are able to show some e¤ects of heterogeneous beliefs and of short sales constraints on equilibrium volatility at a …xed point in time through extensive simulations. However, their constraints are imposed exogenously, while the rich dynamics obtained in this paper come from the endogenous solvency constraints and binding regimes which arise naturally from limited commitment....

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  • Stock markets can be differentiated by their trading systems. These trading systems vary in the way transactions are handled, type of transactions made, type of information available to market participants, and the process of matching orders to sell and buy (Glen 1994). Trading systems can be classified by the method of matching the orders, i.e. periodic vis–a vis continuous market, and also by the presence of a market maker, i.e. continuous system with a monopolistic specialist vis-à-vis a competition continuous market.

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  • Much of my market design philosophy stems from a desire to understand the impact of agent interactions and group learning dynamics in a financial setting. While agent-based markets have many goals, I see their first scientific use as a tool for understanding the dynamics in relatively traditional economic models. It is these models for which economists often invoke the heroic assumption of convergence to rational expectations equilibrium where agents’ beliefs and behavior have converged to a self-consistent world view.

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  • Another well-known empirical fact is the predictability of stock returns by variables that are informative about the business cycle. 1 The evidence suggests that the equity premium is time varying, that is, it is higher at business cycle troughs than at peaks. In an equilibrium asset pricing model, time variation in the equity premium must be explained by time variation in the price or quantity of risk.

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  • Chapter 2 - Asset classes and financial investments. In this chapter, we first describe money market instruments. We then move on to debt and equity securities. We explain the structure of various stock market indexes in this chapter because market benchmark portfolios play an important role in portfolio construction and evaluation. Finally, we survey the derivative security markets for options and futures contracts.

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  • Chapter 18 - Equity valuation models. This chapter describes the valuation models that stock market analysts use to uncover mispriced securities. The models presented are those used by fundamental analysts, those analysts who use information concerning the current and prospective profitability of a company to assess its fair market value. We start with a discussion of alternative measures of the value of a company.

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  • In this chapter, we first describe money market instruments. We then move on to debt and equity securities. We explain the structure of various stock market indexes in this chapter because market benchmark portfolios play an important role in portfolio construction and evaluation. Finally, we survey the derivative security markets for options and futures contracts.

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  • In this chapter, we first describe money market instruments. We then move on to debt and equity securities. We explain the structure of various stock market indexes in this chapter because market benchmark portfolios play an important role in portfolio construction and evaluation. Finally, we survey the derivative security markets for options and futures contracts.

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  • In addition McQueen and Vorkink (2004) are able to reproduce GARCH volatility using a preference-based model with time-varying sensitivity to news. In a related paper, Vanden (2005) develops a model where the representative agent exhibits a utility function with several risk aversion regimes, which in equilibrium leads to volatility regimes and volatility clustering.

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  • The model used–an extension of the log-linear dividend-price ratio model of Campbell and Shiller (1988, 1989)–facilitates a straightforward test of these alternatives in a linear regression with the log price-earnings ratio as dependent variable. The regression results suggest that the correlation between the price-earnings ratio and expected inflation is the result of both effects; that is, an increase in expected inflation reduces equity prices because it is associated with both lower expected real earnings growth and higher required real returns.

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  • Chapter 1 - The investment environment. This chapter can help you become an informed practitioner of investments. We will focus on investments in securities such as stocks, bonds, or options and futures contracts, but much of what we discuss will be useful in the analysis of any type of investment. The chapter will provide you with background in the organization of various securities markets; will survey.

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  • This chapter can help you become an informed practitioner of investments. We will focus on investments in securities such as stocks, bonds, or options and futures contracts, but much of what we discuss will be useful in the analysis of any type of investment. The chapter will provide you with background in the organization of various securities markets; will survey.

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  • Similarly, when the price is below p*, the quantity supplied qs is less than the quantity demanded qd. This causes some buyers to fail to find goods, leading to higher asking prices and higher bid prices by buyers. The tendency for the price to rise is illustrated with the arrows pointing up. The only price which doesn’t lead to price changes is p*, the equilibrium price in which the quantity supplied equals the quantity demanded. The logic of equilibrium in supply and demand is played out daily in markets all over the world, from stock, bond...

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  • In principle, the EU Agricultural Council may change the reference intervention prices in the light of developments in production and the markets. Governmental purchases may be replaced by aids for private storage. As administrational cuts to intervention prices were difficult to achieve in the past and, as intervention prices above the respective equilibrium induced production growth and stock building, a tendering system for butter was implemented in 1987 and SMP intervention purchases were limited to 109000 tonnes.

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  • Fourth, the model provides a rational to the empirical …nding that volatility factors are priced in the cross section of stock returns. In the current model, stock return volatility factors are driven by systematic risk factors: sentiment and solvency risks. These factors, which drive volatility factors, are shown to be priced across di¤erent stocks in an equilibrium consumption CAPM.

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