KREDIT und KAPITAL - Issue 3/1994


Contents


Articles

Tödter, Karl-Heinz
Eine transaktionsorientierte Geldmenge

Funke, Michael
The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH

Almekinders, Geert J.
Theories on the Scope for Foreign Exchange Market Intervention

Hacker, Renate
Insiderhandel am Markt für Kaufoptionen - Eine empirische Studie (Teil I)

Schlag, Christian
Neues zum Intervalling-Effekt am deutschen Aktienmarkt

Book Reviews

Brand, Diana
Substitution in Developing Countries. Theory and Empirical Analysis for Latin America and Eastern Europe (Friedrich L. Sell)



Summaries

Tödter, Karl-Heinz
"Transaction-Oriented Money Supply"

The definition of money supply is of key importance within the framework of money supply management strategies. In this paper, the emphasis is not on the choice of the money supply components, but on the way in which they are aggregated and weighted. The transaction-oriented money supply with the M3 (TM3) components is a multiplicative Aggregate with a constant weighting; it has a sound microeconomic basis and does not presume perfect substitutability of one of the money supply components by another. The weights are the average costs, expressed as a percentage of the transaction, during the forecasting period. As a result, the weights of the non-interest components are greater than in M3, whilst the weights of the term deposits are correspondingly lower. The long-term income elasticity estimated for TM3 correlates with that of M3, whereas the long-term interest elasticity is visibly greater.

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Funke, Michael
"The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH"

Stock returns have long been recognized to be heteroscedastic as well as leptokurtic. One model that captures both characteristics is the GARCH process. This article is concerned with modelling the dynamic and distributional properties of fine frequency West German stock market data from January 1, 1987 to December 31, 1990. The stylized results are that the conditional heteroscedasticity in daily stock returns is well represented by a stochastic GARCH (1,1) process with near unit roots.

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Almekinders, Geert J.
"Theories on the Scope for Foreign Exchange Market Intervention"

This paper traces out recent developments in modelling foreign exchange market intervention. The central question is whether and how intervention is able to influence the course of the exchange rate. The channels of influence of unsterilized and sterilized intervention in some well-established models of exchange rate determination are set out. Furthermore, the mechanics of foreign exchange market intervention in some recent studies are analysed. These studies adhere to the assumption that the foreign exchange market is efficient in the sense that market participants use some structural model as a yardstick when taking positions on the foreign exchange market. Finally, some alternative approaches to the study of foreign exchange intervention are discussed. The latter approaches drop the assumption that the foreign exchange market is efficient.

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Hacker, Renate
"Insider Trading in the Call Options Market - An Empirical Study (Part 1) "

Starting from the assumption that investors with an important piece of non-public information prefer dealing in options, this paper investigates for a sample of firms listed at the Frankfurter Wertpapierbörse whether there is some indication that call option prices lead stock prices.

In the first part of this paper existing empirical studies of the relation between option and stock markets are categorized. The special approach of this study is then placed in one of the described categories. Further on the author discusses several arguments supporting the assumption that dealing in options is especially advantageous to insiders. For the later development of the test scenario and a meaningful interpretation of the test results it is also very important to discuss the factors that might determine the intensity of Potential insider activity in the option market. At the end of this first part of the article the hypothesis of the study is specified in great detail.

The statistical test and the test results will be described in the second part of the paper.

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Schlag, Christian
"New Aspects regarding the Intervalling Effect on the German Stock Market"

This paper studies the intervalling effect on the German stock market. The term intervalling effect should be understood to mean a systematic relationship between the applied yield maturities and the estimated ß-coefficient within the framework of the market model. As Frantzmann (8) and Zimmermann (18) have shown, the "anomaly" that exists on the German market is significant. In this paper, the results of sub-samples formed in accordance with the criteria of liquidity and corporate size prove that, for the category of the most liquid and "best" of all shares, the intervalling effect is reflected by a decrease in the ß-factor with increasing maturities, whilst the opposite phenomenon is to be observed for most of the other categories. When the market model is applied to estimating the market risk of stock, this effect should therefore always be taken into account in the implementation of results in practice.

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