共查询到20条相似文献,搜索用时 31 毫秒
1.
Antonio Díaz 《Journal of Financial Services Research》2009,36(1):45-63
I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
相似文献
Antonio DíazEmail: |
2.
The purpose of this study is to investigate the relation between investor protection, adverse selection, and the probability
of informed trading. Previous research has established a direct relation between investor protection and firm liquidity, measured
by bid-ask spreads and depths. In this study, we test the hypothesis that adverse selection is the mechanism through which
poor investor protection leads to higher costs of liquidity. The Hong Kong equity market provides a unique opportunity to
compare adverse selection differences across distinct investor protection environments, holding constant the trading platform
and currency. Using various bid-ask spread decomposition models and probability of informed trading estimates, we confirm
the hypothesized relation between investor protection quality and adverse selection costs. These findings contribute to the
literature by establishing one of the links in the chain connecting investor protection to firm valuation.
相似文献
Dennis Y. Chung (Corresponding author)Email: |
3.
David Abad Sonia Sanabria José Yagüe 《Review of Quantitative Finance and Accounting》2009,32(3):287-308
Using Spanish data, this paper examines, for the first time, the differences in the intraday response of an order-driven market
to earnings announcements made during trading and non-trading hours. We show that the speed of reaction depends on timing
of the announcement: for overnight (daytime) announcements, the improvement in liquidity is (not) immediate. This finding
could explain why Spanish firms prefer to release the bad (good) earnings announcement in trading (non-trading) hours. This
strategic timing differs from the traditional disclosure policy in American markets, suggesting that different microstructures
may react differently to news releases and, consequently, drive the strategic timing of corporate disclosures.
相似文献
José Yagüe (Corresponding author)Email: |
4.
This paper explores empirically the usefulness of credit default swap (CDS) prices as market indicators. The sample of reference
entities consists of large, internationally active German banks and the observation period covers 3 years.
By analysing the explanatory power of three risk sources: idiosyncratic credit risk, systematic credit risk and liquidity
risk, we gain important insights into modeling the dynamics of CDS spreads. The impact of systematic risk, for example, has
three components; one is related to the overall state of the economy, another related to the risk of the internationally active
banking sector, and the third is an unobservable systematic factor.
Default probabilities, inferred from a tractable reduced form model for CDS spreads, are compared with expected default frequencies
from the Moody’s KMV model. The results lend empirical support to the hypothesis that structural models can be less informative
than reduced-form models of CDS spreads in the case of banks with major investment banking activities as the leverage loses
explanatory power.
Although the CDS market appears to have matured over the observation period, during certain periods premiums for liquidity
risk can increase substantially thus limiting the value of CDS spreads as market indicators. We conclude that equity prices
and CDS premia should be considered together to fully exploit the information content of both market indicators and to mitigate
their respective drawbacks.
相似文献
Agnieszka SosinskaEmail: |
5.
Velma Zahirovic-Herbert Geoffrey K. Turnbull 《The Journal of Real Estate Finance and Economics》2008,37(2):113-130
This paper develops an empirical framework for taking into account the effects of endogenous liquidity on price capitalization
estimates. Changes in school attendance zones in the East Baton Rouge Parish public school district provide a natural experiment
for studying how changes in school characteristics affect house prices and liquidity. House price and selling time, or liquidity,
are simultaneously determined in search markets. The empirical model exploits variation in the surrounding neighborhood market
conditions pertinent to each house to identify the system of price and liquidity equations. The estimates are consistent with
search-market theory in that liquidity absorbs part of the capitalization of school quality.
相似文献
Velma Zahirovic-HerbertEmail: |
6.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
7.
Steven Shuye Wang Wei Li Louis T. W. Cheng 《Review of Quantitative Finance and Accounting》2009,32(3):235-267
We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces
additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying
stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities
for speculative and arbitrage activities using futures directly against options. These futures and options trading activities
are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility
and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity
of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings
are robust.
相似文献
Louis T. W. Cheng (Corresponding author)Email: |
8.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
9.
In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific
observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using
a dataset for 19 countries and over 500 real estate investment trusts, we find that, following a negative demand shock, the
“underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced.
相似文献
Susan WachterEmail: |
10.
In October 2006, the NYSE began rolling-out phase three of a four-phase plan initiate its new Hybrid trading mechanism. The
results show that this new trading platform introduced a much larger proportion of electronic transactions relative to floor
auction transactions. This migration to electronic transactions is further evidenced by a mirror shift in price discovery
from floor trades to trades marked for automatic electronic execution. In addition, the move to Hybrid trading introduced
a significant decrease in inventory control costs, as well as a noticeable increase in trade persistence. Finally, the new
trading platform has increased the speed with which orders are met, and has also decreased the proportion of executed shares
which receive price improvement.
相似文献
Yiuman TseEmail: |
11.
Pantisa Pavabutr Sukanya Prangwattananon 《Review of Quantitative Finance and Accounting》2009,32(4):351-371
This paper explores the impact of an exogenous tick size reduction on bid-ask spreads, depths, and trading volume on the Stock
Exchange of Thailand (SET). On November 5, 2001, the SET implemented a tick size reduction on stocks priced below THB 25.
Even though trading on SET is largely dominated by retail investors, the tick reduction produces similar empirical results
found in markets where institutional investors are more dominant. Tick reduction on the SET is associated with declines in
spreads, and quoted and accumulated market depths. The study finds no significant change in trading volume due to the reduction.
相似文献
Sukanya PrangwattananonEmail: |
12.
Carole Comerton-Forde James Rydge Hayley Burridge 《Review of Quantitative Finance and Accounting》2007,29(4):395-413
On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
相似文献
Carole Comerton-FordeEmail: |
13.
Hans Degryse 《Financial Markets and Portfolio Management》2009,23(1):93-103
The Markets in Financial Instruments Directive (MiFID) could be the foundation of new trading platforms in Europe. This contribution
employs insights from the theoretical and empirical literature to highlight some of the possible implications of MiFID. In
particular, we argue that more competition will lead to more liquid markets, reflected in lower bid–ask spreads and greater
depth. It will also lead to innovation in incumbent markets and stimulate the design of new trading platforms. MiFID has already
introduced more competition, as evidenced by the startup of Instinet Chi-X, the announcement of new initiatives, including
Project Turquoise and BATS, and the reactions of incumbent exchanges.
相似文献
Hans DegryseEmail: |
14.
Ben R. Marshall Martin R. Young Rochester Cahan 《Review of Quantitative Finance and Accounting》2008,31(2):191-207
We show that candlestick charting, the oldest known form of technical analysis, is not profitable in the Japanese equity market
over the 1975–2004 period. Candlestick technical analysis, which was developed in Japan in the 1600s, is deeply intertwined
with Japanese culture and is very popular in Japan. However, there is no evidence candlestick technical trading strategies
add value in either the entire 30 year period, in three 10 year sub-periods or in bull or bear markets.
相似文献
Rochester CahanEmail: |
15.
This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
相似文献
Louis T. W. ChengEmail: |
16.
This article revisits the debate on the nature of private placements by specifying that informed insiders make trading decisions
in the secondary market and equity issuance decision in the primary equity market (Lee and Wu (2008)). This article uses conditional residuals from the insider trading regression (abnormal insider trades) and conditional
residuals from equity financing choice regression (unexpected equity financing choice) to measure private information. An
important advantage of conditional correlation coefficient approach over the two-stage approach (Lee and Wu 2008) in testing the presence of asymmetric information is that the former is bounded by −1 and 1 and thus permits cross-sectional
comparisons the relatedness between abnormal insider trades and unexpected equity financing choice.
相似文献
Lee Cheng-FewEmail: |
17.
Large orders, particularly from institutions, are quite common these days and hence there is interest to know if institutional
trading has any bearing on the price effect associated with large trades. Recent empirical studies contradict earlier evidence
of negative price effect on selling large blocks and find no price effect associated with large trades. Existing theoretical
framework suggests a monotonic and increasing adverse price effect for large trades, where the motivation for a large trade
is private information. We model a trading system where pure information, information-liquidity, and pure liquidity traders
trade small and large sizes. The pure information traders strategically choose an order size. Institutions trade only large
sizes because of their low execution costs for large trades; they are information-liquidity traders whose ability to use an
information signal to determine their trades is subject to a binding liquidity constraint. We show that in such a market a
separating equilibrium where trade size is informative does not exist and hence there is no price effect for large trades.
Trade size may be revealing only if there is a buy sell asymmetry (large buy size is not equal to large sell size) or the
corresponding price effect is asymmetric (price effect due to a large buy is not equal to that of a large sell). Further for
a pooling equilibrium to exist, where trade size is not informative, the width of the market denoted by the ratio of order
size (large size/small size) needs to be small, while the shallowness (inverse depth) of the market denoted by the ratio between
pure information and institutional trades and the information signal needs to be stronger (higher). Our results on bid and
ask prices and spread confirm recent empirical evidence on price effect of large and institutional trades found in the literature.
相似文献
Malay K. DeyEmail: |
18.
John E. Core Wayne R. Guay Scott A. Richardson Rodrigo S. Verdi 《Review of Accounting Studies》2006,11(1):49-70
We examine whether managers’ trading decisions (both at a firm and personal level) are correlated with trading strategies
suggested by the operating accruals and the post-earnings announcement drift (SUE) anomalies. We discuss advantages and disadvantages
of the use of managerial trading activity to infer managers’ private valuation about their own securities. Our results provide
corroborative evidence for the accruals anomaly, i.e., managers’ repurchase and insider trading behavior varies consistently
with the information underlying the operating accruals trading strategy. On the other hand, we do not find corroborative evidence
for the SUE anomaly.
相似文献
Rodrigo S. VerdiEmail: |
19.
Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds 总被引:1,自引:1,他引:0
Vinay Datar Raymond W. So Yiuman Tse 《Review of Quantitative Finance and Accounting》2008,31(4):379-393
This article examines the intraday returns and liquidity patterns of the Standard & Poor’s Depositary Receipts (SPY) and the iShares
Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks. Our findings
suggest that some commonality exists in the returns and liquidity of these apparently different assets. First, there are intraday,
daily and monthly patterns in the measures of liquidity for both funds. Second, the measures of liquidity are correlated across
these two assets. Third, there is evidence of intraday spillover in the mean, volatility and depth from the SPY to the EWJ,
but daily spillover is not observed. Our study extends two evolving strands of the literature: the integration of world markets
in terms of returns behavior, and the other strand suggests that liquidity may have a systematic, or market-wide, component.
This paper provides direct evidence of the integration between the US and Japanese markets because contemporaneous trading
prices for the US (SPY) and Japanese (EWJ) indices are employed.
相似文献
Yiuman Tse (Corresponding author)Email: Email: |
20.
Annette Hofmann 《The GENEVA Risk and Insurance Review》2007,32(1):91-111
When risks are interdependent, an agent’s decision to self-protect affects the loss probabilities faced by others. Due to
these externalities, economic agents invest too little in prevention relative to the socially efficient level by ignoring
marginal external costs or benefits conferred on others. This paper analyzes an insurance market with externalities of loss
prevention. It is shown in a model with heterogenous agents and imperfect information that a monopolistic insurer can achieve
the social optimum by engaging in premium discrimination. An insurance monopoly reduces not only costs of risk selection,
but may also play an important social role in loss prevention.
相似文献
Annette HofmannEmail: |