Browsing Department of Economics and Business Administration by Author "Molnar, Peter"

Now showing items 1-14 of 14

    • Can policy and financial risk predict stock markets? 

      Helseth, Marius Aleksander Emblem; Krakstad, Svein Olav; Molnar, Peter; Norlin, Karl-Martin (Peer reviewed; Journal article, 2020)
      Since higher risk should be rewarded with higher expected returns, more risky time periods are expected to predict rising stock markets. This paper focuses on implied volatility as a measure of financial risk and economic ...

    • Connectedness of energy markets around the world during the COVID-19 pandemic 

      Akyildirim, Erdinc; Cepni, Oguzhan; Molnar, Peter; Uddin, Gazi Salah (Peer reviewed; Journal article, 2022)
      This paper studies the connectedness among energy equity indices of oil-exporting and oil-importing countries around the world. For each country, we construct time-varying measures of how much shocks this country transmits ...

    • Determinants of the forward premium in the Nord pool electricity market 

      Haugom, Erik; Molnar, Peter; Tysdahl, Magne Ødegaard (Peer reviewed; Journal article, 2020)
      Nord Pool is the leading power market in Europe. It has been documented that the forward contracts traded in this market exhibit a significant forward premium, which could be a sign of market inefficiency. Efficient power ...

    • Do political risks harm development of oil fields? 

      Bøe, Kristine; Jordal, Therese; Mikula, Stepan; Molnar, Peter (Journal article; Peer reviewed, 2018-01-11)
      We examine the impact of political risks and financial development on investments in the petroleum industry utilizing a unique dataset of investments in individual oil and gas fields around the world. We find that the ...

    • Event study on changes in capital structure and volatility 

      Petkevic, Kristina; Helleland, Tatyana (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-15)
      The authors of this paper test whether the changes in the capital structure and more specifically the changes in Debt to Equity ratio can explain the changes in the implied volatility and realized volatility. In addition, ...

    • Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin 

      Lyocsa, Stefan; Molnar, Peter; Plihal, Tomas; Siranova, Maria (Peer reviewed; Journal article, 2020)
      We study whether news and sentiment about bitcoin regulation, the hacking of bitcoin exchanges and scheduled macroeconomic news announcements affect the volatility of bitcoin, measured as realized variance and its jump ...

    • Impact of Oil Price Changes on Wage Formation in Norway between 1970 and 2016. A time series analysis of macroeconomic effects. 

      Onyszko, Martyna (Master thesis, 2017-06)
      In this paper, I would like to shed light on the issue as to how the impact of fall in oil demand does affect the Norwegian wage formation in years 1970 to 2016, using a dataset to determine long-term relationships between ...

    • Implied Volatility and Rebalancing Timing: Market cycles and the relationship between implied volatility indices and stock index returns. 

      Holst, Niklas; Rønning, Harald (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-14)
      This paper studies market timing based upon the level of the VIX and compares VIX based portfolio rotations with modern rebalancing practices. The thesis analyses the outcomes of the different rebalancing and trading ...

    • Leverage Effect in Equity Markets Around the World 

      Horpestad, Jone Byberg; Olsen, Torbjørn Bigseth (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)
      Equity indices are known to exhibit an asymmetric leverage effect, meaning that negative returns have a greater impact on volatility than positive returns of the same magnitude. We reevaluate the presence of leverage effect ...

    • Money demand and quality of institutions 

      Skaar, Morten Rossland; Torp, Kim Andre Brynthe (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)
      We study which variables can explain the demand for cash across countries. Our study is based on 11 years of data for 45 countries ranging from low income to high income. As expected, we find that GDP per capita is positively ...

    • Oil Price and Equity Markets: Modeling Co-Movement and Conditional Value at Risk 

      Solvang, Jørn; Aarø, Thomas (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-13)
      This paper studies the co-movement between oil prices and stock markets during the period 2006 – 2017 utilizing quantile regression. The studied stock indices are AEX, BOVESPA, CAC40, DAX30, EUROSTOXX50, FTSE100, SMI, ...

    • Valuation of SalMar ASA 

      Fongaard, Torjus Syversen; Svanholm, Magnus Larsen (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)
      This thesis examines the fair value per share of SalMar ASA, a Norwegian salmon farming company, at 3rd of May 2017. The analysis has been performed using fundamental and relative valuation methods. Future cash flows are ...

    • What can explain the performance of Initial Coin Offerings? 

      Yuryev, Georgy (Masteroppgave/UIS-HH/2018;, Master thesis, 2018-06)
      I study features the most successful initial coin offerings (ICOs) have in common and analyze factors which can predict post-ICO token performance. I find that 79% of startups did have a working prototype, minimum viable ...

    • What can explain the price, volatility and traded volume of Bitcoin? 

      de Vries, Jon Erik; Aalborg, Halvor Aarhus (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-06)
      We study which variables can explain and predict the return, volatility and traded volume of the cryptocurrency Bitcoin. The explanatory variables which we investigate are return, volatility, traded volume, transaction ...