This article focuses on the asset price volatility at the stock exchange that result from the regime switching behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign debt market. The efficient market hypothesis has been a base for the asset pricing. This hypothesis is discussed in this study. The review of the literature reveals nuances of behavioural finance theory, and allows us to better understand the regime switching behaviour in the market. The object of empirical study is the US sovereign debt market. We use the Markov Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 and 2017 bonds US market, which significantly affects bond prices.
Financial instruments traded in the markets and investors’ situation in such markets are getting more and more complex. This leads to more complex derivative structures used for hedging that are harder to analyze and which risk is harder managed. Because of the complexity of these instruments, the basic characteristics of many exotic options may sometimes be not clearly understood. Most scientific studies have been focused on developing models for pricing various types of exotic options, but it is important to study their unique characteristics and to understand them correctly in order to use them in proper market situations. The paper examines main aspects of options, emphasizing the variety of exotic options and their place in financial markets and risk management process. As the exact valuation of exotic options is quite difficult, the article deals with the theoretical and practical aspects of pricing of chooser options that suggest a broad range of usage and application in different market conditions. The calculations made in the article showed that the price of the chooser is closely correlated with the choice time and low correlated with its strike price. So the first mentioned factor should be taken into consideration when making appropriate hedging and investing decisions.
Abstract. Banks are the main part of financial sector in each economy and strength of banking system becomes vital for ensuring favourable economic stability and growth. Recent failure of two commercial banks in Lithuania showed that managers haven't evaluated liquidity risk or haven't dealt with it properly. The tasks of the paper are to investigate Lithuanian banks position towards liquidity risk, analyse what kind of management tools banks use for ensuring favourable position towards liquidity and to explore the liquidity influence to profitability in Lithuanian banking sector. The article examines liquidity and its management processes in Lithuanian banking sector. Description of liquidity importance is presented. Liquidity risk and its measurement as well as the ways of managing the above mentioned risk is analysed in the article. In order to analyse the relationship between liquidity risk and profitability of banks, analysis of scientific literature, research synthesis and generalizations have been made.
In order to ensure economic growth it is necessary to pay attention to the investments. The bigger amount of investments and their profitability grants the bigger scale of country‘s production and its growth. In the paper foreign direct investments (FDI) in the Baltic Countries were analysed. The theoretical evaluation of foreign direct investment on economic development of country was submitted. It was theoretically analysed the factors that attract foreign direct investment. Based on statistical data FDI and GDP dynamics in the Baltic countries was analysed. FDI flows and GDP connection using correlation and regression analysis was evaluated. Results of analysis was used to evaluate foreign direct investment influence on economic development of Baltic Countries. Stengiantis užtikrinti ekonominį augimą būtina atkreipti dėmesį į investicijas. Kuo didesnės investicijų apimtys ir jų pelningumas, tuo didesni šalies gamybos mastai ir aukštesni jos didėjimo tempai. Straipsnyje nagrinėjamos tiesioginės užsienio investicijos (TUI) Baltijos šalyse 2008–2014 metais. Pateikiamas teorinis tiesioginių užsienio investicijų daromos įtakos vertinimas šalies ekonominei raidai. Teoriškai analizuojami veiksniai, skatinantys tiesiogines užsienio investicijas. Remiantis statistiniais duomenimis, ištirta TUI srautų bei BVP dinamika Baltijos šalyse per 2008–2014 metus. Taikant koreliacinės regresinės analizės metodus tiriamas TUI ir BVP ryšys. Pagal tyrimo rezultatus įvertinama tiesioginių užsienio investicijų daroma įtaka Baltijos šalių ekonominei raidai.
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