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Het begrijpen van de oorzaken van volatiliteit in de hedendaagse financiële markten is enorm belangrijk. Door de gegevens van de periode van 2002 t.e.m. 2012 in een model te verwerken, probeert deze paper de verbanden te zoeken tussen de dagelijkse volatiliteit bij aandelenprijzen in de Eurozone en verschillende macro-economische variabelen. We gebruiken hiervoor een GARCH model dat de conditionele volatiliteit meet en een “Ordinary Least Squares”-regressie om significante determinanten te zoeken. Deze paper probeert ook diversificatie-opportuniteiten te zoeken door de verschillende sectoren te analyseren met behulp van de gekozen variabelen. De resultaten laten correlatie en een zekere voorspelbaarheid zien voor verschillende determinanten, maar de wisselwerking tussen de volatiliteiten van verschillende variabelen blijft moeilijk vast te leggen.

Commodities. --- Crisis. --- Euro zone. --- Exchange rates. --- GARCH. --- Interest Rates. --- S181-financiële-wetenschappen. --- Stock returns. --- Volatility.

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This master’s thesis studies stock returns forecasting power of microeconomic and macroeconomic variables for European listed companies. Listed companies are divided into six industries and we conduct an in-sample estimation with the Lasso and Elastic Net regression for α=0.5 and α=0.25 in order to compare the selection and the in-sample performance for the models built with the two regularization techniques. In a second step, we study the out-of-sample accuracy of the created models with several statistical tools with two time periods: one including the Covid-19 pandemic period and the other one without this time period. 
The results showed an insignificant relationship between stock returns and the predictive variables for both the training and testing data. Two possible explanations are either there a linear regression cannot forecast stock return as it is too volatile, or it is due to the huge number of outliers in our dataset. In conclusion, the return on equity, return on assets, net profit margin, debt-equity, earnings per share, price-to-earnings, earnings yield, dividend yield, dividend payout, book-to-market, inventory turnover, quick ratio, current ratio, inflation, long term yield and the GDP growth rate do not have prediction power on stock returns for European listed companies in the last decade.

stock returns --- lasso --- elastic net --- prediction --- forecasting --- EU --- out-of-sample --- Sciences économiques & de gestion > Finance

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This study aims to investigate the effect of the 2008 crisis on Moroccan stock market, using asset pricing models, knowing the Capital Asset Pricing Model (CAPM), Fama and French three-factor model, and the Carhart’s four-factor model. These multi-factors models were tested for the period starting 2005 to 2012 and giving much more importance to sub-period related to the crisis event.
For that, we sorted portfolios based on firm’s characteristics, structure and performance, we calculated the premiums related to these models, and run time series regressions in order to study the explanatory power of each independent variable. After that, we used the chow test to validate the break-in time related to the Global Financial Crisis. We found that the Carhart’s four-factor model capture the return stocks in CSE better than the other two models; also, reaction to the financial crisis is as expected for some factors and take a longer time to readjust for others. We conclude that the results are highly dependent on portfolios selection and sub-period related to the crisis.

Stock returns --- Firm characteristics --- performance --- Financial crisis --- Casablanca Stock exchange --- Asset pricing models --- market anomalies --- Sciences économiques & de gestion > Finance

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The authors explore the relative efficiency of stock markets across countries using newly available data on transactions costs and the quality of the informational environment of stock markets. These new measures are constructed from firm-level stock returns in a panel of 60 countries for the period 2000-04. The authors then develop a framework to understand the linkages between efficiency, liquidity, and their determinants. To give empirical content to the framework, they study the determinants of transactions costs and the quality of the informational environment. They find that some institutional arrangements-such as the availability of stock lending and short selling-and the openness of markets are associated with lower transactions costs. The authors also find that, although disclosure rules for directors and officers of listed firms are essential, the ability of shareholders to seek redress is more conducive to a better informational environment in stock markets. This in turn serves as the basis for the policy framework and recommendations for the East Asian region. In particular, the region needs to continue to strengthen the implementation and enforcement of corporate governance, to further enhance the market and institutional infrastructure, and focus on policy measures to foster a larger and more diversified investor base to continue to see gains in the efficiency of stock markets.

Bank Policy --- Capital Markets --- Corporate Governance --- Debt Markets --- Diversified Investor --- Diversified Investor Base --- Emerging Markets --- Exchange --- Finance and Financial Sector Development --- Financial Market --- Lending --- Liquidity --- Market --- Private Sector Development --- Securities --- Securities Markets --- Shareholders --- Stock --- Stock Markets --- Stock Returns --- Transaction --- Transaction Costs --- Transactions --- Transactions Costs

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This paper analyzes bank stock prices around the world to assess the impact of the COVID-19 pandemic on the banking sector. Using a global database of policy responses during the crisis, the paper also examines the role of financial sector policy announcements on the performance of bank stocks. Overall, the results suggest that the crisis and the countercyclical lending role that banks are expected to play have put banking systems under significant stress, with bank stocks underperforming their domestic markets and other non-bank financial firms. The effectiveness of policy interventions has been mixed. Measures of liquidity support, borrower assistance, and monetary easing moderated the adverse impact of the crisis, but this is not true for all banks or in all circumstances. For example, borrower assistance and prudential measures exacerbated the stress for banks that are already undercapitalized and/or operate in countries with little fiscal space. These vulnerabilities will need to be carefully monitored as the pandemic continues to take a toll on the world's economies.

Bank Stock Returns --- Banking Sector --- Banks and Banking Reform --- Business Cycles and Stabilization Policies --- Coronavirus --- Countercyclical Lending --- COVID-19 --- Finance and Financial Sector Development --- Financial Crisis Management and Restructuring --- Financial Sector and Social Assistance --- Government Announcement --- Liquidity Premium --- Macroeconomics and Economic Growth --- Pandemic Impact --- State-Owned Banks