Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the Short Sterling interest rate and FTSE100 stock index futures contracts traded on the London International Financial Futures and Options Exchange (LIFFE). It also examines the effect of scheduled macroeconomic announcements and interest rate changes on the intraday behaviour of the variables of interest. We find clear differences and similarities with US studies and between the interest rate and equity contracts, which have important theoretical implications. This new evidence helps discriminate between the theories seeking to explain these intraday patterns.     

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.     

Macroeconomic Volatility and Welfare in Developing Countries: An Introduction

Macroeconomic volatility, both a source and a reflection ofunderdevelopment, is a fundamental concern for developing countries.Their high aggregate instability results from a combinationof large external shocks, volatile macroeconomic policies, microeconomicrigidities, and weak institutions. Volatility entails a directwelfare cost for risk-averse individuals, as well as an indirectone through its adverse effect on income growth and development.This article provides a brief overview of the recent literatureon macroeconomic volatility in developing countries, highlightingits causes, consequences, and possible remedies. It then introducesthe contributions of a recent conference on the subject, sponsoredby the World Bank and Pompeu Fabra University, Barcelona.     

Household Wealth and Macroeconomic Activity: 2008–2013

This paper provides estimates of the effects of the fall in financial and housing wealth in 2008–09 on overall macroeconomic activity. When the wealth losses are run through a structural macroeconometric model, it is estimated that the fall in wealth contributed about 2.1 percentage points to the rise in the unemployment rate in 2009 and about 3.3 points in 2010. The contribution to the fall in real GDP was 4.5% and 5.4% in the 2 years. These estimates account for most—but not all—of the recessionary increase in unemployment. The remaining increase in unemployment may have resulted more directly from financial stresses, but little evidence is found for this in this study.     

Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse

This paper develops a high-frequency risk measure: the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. By reconstructing the open Limit Order Book of Deutsche Börse, changes in the tick-by-tick (ex-ante) frictionless return and actual return are modeled jointly. The risk related to the ex-ante liquidity premium is then quantified. Our model can be used to identify the impact of ex-ante liquidity risk on total risk, and to provide an estimation of the VaR for the actual return at a point in time. In our sample, liquidity risk can account for up to 32% of total risk depending on order size.     

美元贬值的内外因素、目的及衍生效应

近年来,美元的走势升贬相依,交替进行,但总体趋势以贬值为主,分析其内外因素有：强势美元的羁绊效应,横刀断流次贷危机,美国双赤字形成的重债缠身等,也有与其分庭抗礼欧元的崛起,全球美元外汇储备过剩导致世界经济的失衡。美元贬值目的在于玩转美元转嫁债务,掠夺财富;其衍生效应为美国投资环境恶化,流动性缺口出现,发展中国流动性过剩,世界金融秩序扰乱。由此得出的启示是美元的贬值有底线,一定的流动性积聚乃是金融市场稳定之源,以静制劝是中国的基本对策。     

Cash Flow Volatility, Prices and Price Volatility: An Experimental Study

The value of an asset is equal to the present value of its expected future cash flows. It is affected by the magnitude, timing and riskiness, or volatility, of the cash flows. We hypothesize that if the expected values of two assets?? cash flows are equal, the value of the asset with more volatile cash flows will be lower. Furthermore, we examine the impact of the volatility of cash flows on the volatility of prices. We consider a simple experimental environment where subjects trade in an asset which provides dividends from a known probability distribution. The expected value of the dividends is identical in all experimental treatments. The treatments vary with respect to the volatility of dividends. We find that when dividends are more volatile, transaction prices are lower. We also find that the volatility of prices is lower in the treatment with highly volatile dividends. In addition, as expected, trading volume is lower when cash flows are less volatile.     

人民币汇率波动与我国通胀、产出波动：一个扩展泰勒曲线的研究

发挥市场供求对汇率的调节作用,增强人民币汇率双向浮动弹性,是当前我国汇率体制改革的主要方向。本文在泰勒曲线的框架下考察人民币汇率波动对我国宏观经济波动和货币政策实施的影响。通过实证研究发现,1994—2006年通货膨胀波动对人民币汇率波动是不敏感的,人民币汇率传递效应不显著,人民币汇率波动对宏观经济波动没有显著的影响;2007年以后人民币汇率波动推动泰勒曲线向内移动,因此更大的人民币汇率弹性对货币政策传导和货币政策有效性是有利的,逐步扩大的人民币汇率弹性区间对我国宏观经济运行是适宜和可接受的。另外人民币汇率波动也使得泰勒曲线更加陡峭,稳定通货膨胀所导致的产出缺口波动减小了,因而更有利于货币政策当局追求一个低而稳定的通胀目标。     

期货交易活跃度、波动性与投资者结构关系的实证研究

本文将期货市场上的投资者分为个人与机构两类,基于白糖、优质强筋小麦和PTA三个期货品种的样本数据,探讨了交易结构和持仓结构对期货交易活跃度和期货价格波动性的影响规律。研究结果表明:期货交易活跃度主要受交易结构的影响,而期货价格波动大小主要受持仓结构的影响;根据最优的弹性二次模型结果,两者的弹性均呈现出边际递减的经济学变化规律。     

Locals,foreigners, and multi-market trading of equities: Intraday evidence from Thailand

We study stock market orders and trades in a developing country, Thailand, where foreign ownership limits partially segment local and foreign investors into two distinct markets. Some foreigners forgo voting rights and distributions to trade on the “local board”, while some locals forgo such benefits and pay a price premium to trade on the “foreign board”. Regardless of nationality, these cross-market traders typically submit orders when liquidity is high, fill orders at relatively beneficial prices, exploit patterns in stock prices across markets, display profitable holding-period returns, and enhance price discovery. This suggests that skilled, informed trading that affects market quality does not depend on trader nationality.     

Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence

We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed-end country funds during the 1994 Mexican peso crisis. Peso exchange-rate changes affect prices and trading volumes of Latin American equities, and some closed-end fund behavior is consistent with noise trader theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell-off of non-Mexican securities or that other non-Mexican trading patterns change at times of high peso news flow. Thus, the Tequila Effect is largely confined to price changes.     

Locals, foreigners, and multi-market trading of equities: Intraday evidence from Thailand

We study stock market orders and trades in a developing country, Thailand, where foreign ownership limits partially segment local and foreign investors into two distinct markets. Some foreigners forgo voting rights and distributions to trade on the “local board”, while some locals forgo such benefits and pay a price premium to trade on the “foreign board”. Regardless of nationality, these cross-market traders typically submit orders when liquidity is high, fill orders at relatively beneficial prices, exploit patterns in stock prices across markets, display profitable holding-period returns, and enhance price discovery. This suggests that skilled, informed trading that affects market quality does not depend on trader nationality.     

A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange

This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, the authors find that the Chinese Securities Index 300 index futures dominate Singapore's A50 index futures in both intraday price discovery and intraday volatility transmission. However, A50 futures contracts also make a substantial contribution (26-37 percent) to the price discovery process. These results have important implications for both traders and policymakers.     

Earnings Volatility,Post–Earnings Announcement Drift,and Trading Frictions

We find that lower ex ante earnings volatility leads to higher Post–Earnings Announcement Drift (PEAD). PEAD is a function of both the magnitude of an earnings surprise and its persistence. While prior research has largely investigated market reactions to the magnitude of the earnings surprise, in this study we show that the persistence of the earnings surprise is equally important. A unique feature of the anomalous PEAD returns documented here concerns the association between abnormal returns and trading frictions. Besides demonstrating that firms with lower earnings volatility have higher abnormal returns, we also find that lower earnings volatility firms have lower trading frictions. Taken together, these findings imply that higher abnormal returns are associated with lower trading frictions. We exploit this implication to empirically demonstrate that PEAD returns due to earnings volatility are not concentrated in the firms with the largest trading frictions, which is in contrast to the findings in prior anomaly studies.     

噪声、跳跃与高频价格波动——基于门限预平均实现波动的分析

高频数据中的噪声和价格跳跃使得波动的估计缺乏一致性,本文提出用门限预平均实现波动的方法估计同时存在市场微观结构噪声和价格跳跃时高频价格波动,该方法是资产价格实际波动的一致估计,并有最优的收敛速度。模拟发现,门限预平均实现波动和常用的高频波动估计方法相比,有更小的均方误差。中国证券市场的实证分析表明,门限预平均实现波动能减少波动预测误差,得到更为精确的风险管理价值。     

Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880–1940

Why does stock volatility increase when output declines? The theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though cause and effect are typically hard to separate, the transition from Imperial to Weimar Germany offers a natural experiment because major political events left clear traces on stock prices. Current and past increases in volatility are associated with output declines, consistent with U.S. experience. However, political events are more clearly the source of volatility, and the results support the view that the relationship between volatility and output reflects the joint effects of political factors.     

Information, Trading, and Volatility: Evidence from Weather-Sensitive Markets

We find that trading‐ versus nontrading‐period variance ratios in weather‐sensitive markets are lower than those in the equity market and higher than those in the currency market. The variance ratios are also substantially lower during periods of the year when prices are most sensitive to the weather. Moreover, the comovement of returns and volatilities for related commodities is stronger during the weather‐sensitive season, largely due to stronger comovement during nontrading periods. These results are consistent with a strong link between prices and public information flow and cannot be explained by pricing errors or changes in trading activity.