Uncertainty, Expectations and Asset Price Dynamics

1. Front Matter

   Pages i-xxx

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2. Uncertainty and Volatility

   1. Front Matter

      Pages 1-1

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   2. Uncertainty and Stationarity in Financial and Macroeconomic Time Series—Evidence from Fourier Approximated Structural Changes

      • William A. Barnett, Qing Han

      Pages 3-29

   3. Oil Market Volatility: Is Macroeconomic Uncertainty Systematically Transmitted to Oil Prices?

      • Marc Joëts, Valérie Mignon, Tovonony Razafindrabe

      Pages 31-50

3. Heterogeneity of Beliefs and Information

   1. Front Matter

      Pages 51-51

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   2. Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

      • Saskia ter Ellen, Willem F. C. Verschoor

      Pages 53-79

   3. High Frequency Trading in the Equity Markets During US Treasury POMO

      • Cheng Gao, Bruce Mizrach

      Pages 81-103

4. Transmission and Market Integration

   1. Front Matter

      Pages 105-105

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   2. Crude Oil and Biofuel Agricultural Commodity Prices

      • Semei Coronado, Omar Rojas, Rafael Romero-Meza, Apostolos Serletis, Leslie Verteramo Chiu

      Pages 107-123

   3. Financial Integration and Business Cycle Synchronization in Sub-Saharan Africa

      • Julien Acalin, Bruno Cabrillac, Gilles Dufrénot, Luc Jacolin, Samuel Diop

      Pages 125-146

5. Fundamentals and Bubbles

   1. Front Matter

      Pages 147-147

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   2. Informational Efficiency and Endogenous Rational Bubbles

      • George A. Waters

      Pages 149-172

   3. Stock Market Bubble Migration: From Shanghai to Hong Kong

      • Eric Girardin, Roselyne Joyeux, Shuping Shi

      Pages 173-192

Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.

• Rational expectations
• Uncertainty
• Asset price dynamics
• Nonlinearity
• Bubbles
• Macroeconomic aggregates
• Oil market volatility
• Commodity prices
• Heterogeneous beliefs
• Informational uncertainty
• International portfolio flows
• High-frequency trading
• quantitative finance
• financial crises

• Lille University, Lille Cedex, France

  Fredj Jawadi

Fredj Jawadi is a Full Professor of Finance at the University of Lille, France, and was an Associate Professor of Finance at the University of Evry-Paris Saclay from 2010 to 2018. Currently, he is an Associate Researcher at EconomiX-CNRS and Deputy Director for the Cliometrics and Complexity team (CAC) at the IXXI Complex Systems Institute, France as well as Fellow for the Society of Economic Measurement (US), Fellow at the Economic Research Forum (ERF) in Egypt and Charter Fellow at the Institute for Nonlinear Dynamical Inference (INDI) in Russia. He specializes in finance and applied econometrics. He is the author of several books and international journal papers.

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