The Impact of the Transaction Costs on Stock Returns in Energy Sector

• Номер работы:
  515665
• Раздел:
  Все работы   →   ВКР   →   Стратегический менеджмент и стратегия развития
• Год добавления:
  22.09.2018 г.
• Объем работы:
  52 стр.
• Содержание:
  List of Abbreviations
  1. Introduction
  2. Literature Review: Stock Returns and Transaction Costs through the Prism of Liquidity
  2.1. Transaction Costs
  2.1.1. Historical Background
  2.1.2. Description of Transaction Costs
  2.1.3. Types and Sources of Transaction Costs
  2.2. Stock Returns and Liquidity
  2.2.1. Liquidity and its Relations with Other Phenomena
  2.2.2. The Impact of Liquidity on Stock Returns
  2.3. Transaction Costs and Small Firm Effect.
  3. The Blockchain Technology as the Way to Decrease Transaction Costs
  3.1. Description of the Technology
  3.2. Classification of Sector Application
  3.3. The Blockchain Technology for Energy Sector
  4. The Data Description
  4.1. World Energy Sector
  4.1.1. Characteristics of Energy Sector
  4.1.2. Energy Sector in the Frames of GICS®
  4.1.3. Energy Indices Covered by Bloomberg
  4.2. The Sample Description
  5. Approaches to Data Analysis
  5.1. LOT Method
  5.2. Regression Analysis
  5.3. Liquidity Measures
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  1. Introduction
  Any business owner is oriented to maximization of the profit of his company. The same can be said about the investor who takes care of implementation of reasonable portfolio strategies to maximize stock returns. Correspondently, each of them faces the problem of optimization. In the frames of this direction the question of transaction costs arises. First of all, their existence should be understood. Its necessity can be found in the work of R.H.Coase (1937) where he points out to the fact that transaction costs are unavoidable. Secondly, they should be estimated in order to make further decisions. It is especially important for stock markets where difficulties with the access to the data exist (Lesmond et.al., 1999). This fact together with insufficient informativity of the direct method makes researchers search for indirect methods of transaction costs estimation.
  Along with consideration the problem of transaction costs at microeconomic level, it is important to pay attention to the macroeconomic level. It is connected with the fact that market liquidity influencing financial performance is determined, in particular, by transaction costs. Correspondently, it is reasonable to find out the laws of process functioning and links between such phenomena as transaction costs, stock returns and liquidity as transaction costs, along with liquidity and marketability, are important asset attributes which have the impact on decisions of investors in relation to portfolio (Datar et.al. 1998). One of the ways to do it is to trace market liquidity impact on stock returns, not forgetting about the role of transaction costs.
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  4. The Data Description
  4.1. World energy sector
  4.1.1. Characteristics of energy sector
  Energy sector occupies an exceptionally important place in the international economy and continuously changes. As a result of restructuring the changes were expressed in transition from long-term contracts to spot transactions and gradually to forward and futures deals. It means that real commodity trade was transformed into trade using financial instruments. Among the trends of energy investment there is decline: in 2016 it was around USD 1,7 trillion (12% lower than in 2015), accounting 2,2% of global GDP (IEA 2017) and in 2017 it continued declining (2% less (IEA 2017)).
  For deeper understanding of energy market functioning, market drivers should be specified (UBS 2018):
  1. Supply:
  - Supply possibilities are tightly connected with new fossil reserves discovery.
  - Limitations of the supply and its uncertainty are influenced by force-majeurs and security uncertainty.
  - Tight supply is also connected with political uncertainty, for example, in the circumstances of price decrease OPEC reduces oil production to support the prices for the commodity.
  2. Demand:
  - Such trends as globalization, rising GDP trade expansion and population growth.
  - Transport fuel demand and demand from developing economies strengthen global energy intensity of GDP.
  - Decrease in demand may be connected with high prices or ecological issues such as CO2 emissions.
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