JEFAS Vol. 17 Nº 33 (2012)

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https://hdl.handle.net/20.500.12640/3790

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    Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999–2007
    (Universidad ESAN. ESAN Ediciones, 2012-12-30) Arroyave C, Elizabeth T.; Agudelo R., Diego A.
    We study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have gotten positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.
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    Pricing Asian power options under jump-fraction process
    (Universidad ESAN. ESAN Ediciones, 2012-12-30) Peng, Bin; Peng, Fei
    A framework for pricing Asian power options is developed when the underlying asset follows a jump-fraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô's lemma and self-financing dynamic strategy. With the boundary condition an analytic formula for the option with geometric average starting at any time before maturity is derived by solving the PDE and the option with arithmetic average is evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming numerical evidence indicates that the technique proposed is computationally efficient and dramatically improves the accuracy of the simulated price. Moreover this study will pave a novel way to copy with the option contracts based on thinly-traded assets like oil or currencies or interest rates.
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    Evaluación del impacto de la política de incentivos sectoriales en el desarrollo de los municipios mineros de Castilla y León
    (Universidad ESAN. ESAN Ediciones, 2012-12-30) Berumen, Sergio A.
    It is discussed whether the policy of incentives to the mining sector is or is not appropriate. Proponents argue that thanks to this the municipalities have greater opportunities to develop, while detractors argue that it makes no sense to channel resources into an industry without a future. In this paper we have proposed to evaluate the impact of the aid generated within the Coal Plan 1998–2005, the National Strategic Coal Reserve Plan 2006–2012, and the Structural Funds of the European Union 2000–2006 in twelve selected socioeconomic variables in the 105 municipalities of Castilla y León between 1998 and 2010.
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    Spatial equilibrium, market integration and price exogeneity in dry fish marketing in Nigeria: A vector auto-regressive (VAR) approach
    (Universidad ESAN. ESAN Ediciones, 2012-12-30) Mafimisebi, Taiwo E.
    Fish is the cheapest animal protein source in Nigeria, and dry fish in particular has the potential to solve the pervasive protein shortage problem owing to its relative affordability compared with fresh fish. Boosting dry fish consumption will entail retail price reduction which is achievable only if the market for dry fish operates efficiently. This study, after testing and correcting price series for non-stationarity, modelled marketing efficiency in 66 pairs of spatially separated markets. The unit root test was used to reveal the order of econometric integration of the price series. All price series showed non-stationarity at their levels (P<0.05), but on first-differencing, they all rejected the null hypothesis of non-stationarity. This confirmed that they were generated by the same stochastic processes and, thus, capable of exhibiting long-run spatial equilibrium. The vector auto-regressive test showed that 59.1% of the markets had prices which were spatially integrated on the long-run. The Granger-causality model revealed that prices in Bauchi, Akure, Makurdi and Kano markets were driving prices in other locations. Kano market exhibited very strong exogeneity while others were either strongly or weakly exogenous. It is concluded that there is low extent of spatial pricing efficiency in Nigeria's dry fish market. The study recommended improved market infrastructures, improved information collection, collation and dissemination, and decisive policy reforms aimed at lowering retail price at the identified leader markets, as ways of enhancing spatial pricing efficiency.
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    Who responds more to monetary policy, conventional banks or participation banks?
    (Universidad ESAN. ESAN Ediciones, 2012-12-30) Macit, Fatih
    In this paper I investigate whether there is a systematic difference between conventional banks and participation banks in terms of their response to monetary policy shocks. For this purpose I look at the quarterly loan growth of commercial banks and participation banks in Turkish banking sector and see whether the lending channel of monetary policy differs depending on bank type. At the same time I control for some bank specific variables namely the log of real assets the ratio of liquid assets to total assets and the ratio of equity to total assets. I find that participation banks show larger reaction to monetary policy. In terms of bank specific variables banks with higher liquidity ratio tend to have higher loan growth whereas banks with larger asset size have smaller loan growth.
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    Modeling, simulation and analysis of a securities settlement system: The case of Central Securities Depository of Mexico
    (Universidad ESAN. ESAN Ediciones, 2012-12-30) Muñoz, David F.; Palacios, Arturo; Lascurain, Miguel de
    The Instituto para el Depósito de Valores (INDEVAL) is the Central Securities Depository of Mexico. It is the only Mexican institution authorized to perform in an integrated manner the activities of safe-keeping custody management clearing settlement and transfer of securities. In this article we report the modeling simulation and analysis of a new Securities Settlement System (SSS) implemented by INDEVAL as part of a project for the implementation of a safer and more efficient operating system. The main objective of this research was to use reduced amounts of cash and securities within reasonable periods of time for the settlement of securities of the Mexican market. A linear programming model for the netting and clearing of operations was used. The performance of the new SSS was evaluated by performing experiments using a deterministic simulation model under different operation parameters such as the number and monetary value of transactions the time between clearing cycles and also under a new set of rules for pre-settlement operations. The results presented may be used by other Central Securities Depositories to make decisions related to the efficient and safer use of their resources. The implementation of the model took more than three years. Now many transactions that would remain pending if processed individually are settled together thus reducing liquidity requirements dramatically —by 52% in cash and 26% in securities.