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Hedging Effectiveness in Energy Market during Economic Crisis: Better Way to Integration
( Aristeidis Samitas ),( Ioannis Tsakalos ),( Nikolaos Eriotis ) 세종대학교 경제통합연구소(구 세종대학교 국제경제연구소) 2011 Journal of Economic Integration Vol.26 No.3
This paper investigates hedging and risk management options in the energy sector. Energy firms tend to adopt risk management tools in order to cover their financial exposure. Taking into consideration that current crisis has a significant effect on their value; we check whether energy firms actually have better output when they use hedging tools. In order to measure the effectiveness of this strategy in the energy industry, we adopt Tobin`s Q methodology. The sample of this study consists energy firms on a worldwide basis. The empirical evidence of this research confirms that energy firms may avoid huge economic problems when they adopt risk management methods. It is better enery market integration.
Financial Market Dynamics in an Enlarged European Union
( Dimitris Kenourgios ),( Aristeidis Samitas ),( Nikos Paltalidis ) 세종대학교 경제통합연구소 2009 Journal of Economic Integration Vol.24 No.2
This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed by Cappiello, Engle and Sheppard (Journal of Financial Econometrics, 2006). Using structural breaks, we identify the optimal time decay where financial markets share highest comovement. The results show an increase in the level of dependence during the period of the internet bubble collapse (2000), the Balkan countries start formally discussions to join European Union (2000), the introduction of Euro banknotes and coins (2002) and the entry of CE countries in EU (2004). The CE European and Balkan countries become gradually more integrated with the EMU countries, which is consistent with the interpretation that these countries may be expected to join the Euro in the future.