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1.
Dual trading can have opposite effects: although competition between markets should induce dealers to offer cheaper transactions, market fragmentation could reduce market activity, liquidity, and exchange efficiency. This paper shows that for French stocks traded on the London Stock Exchange's SEAQ International (SEAQ–I), market activity decreases significantly in the Paris Bourse during UK bank holidays. Thus, SEAQ–I market makers seem to divert a new clientele to the Paris Bourse, increasing both market activity and the breadth of the Bourse's order book. Also, contrary to the fragmentation hypothesis, dual trading does not seem to increase information asymmetry.  相似文献   

2.
We explore the relative efficiency of stock markets across countries using newly available data on transactions costs and the quality of the informational environment of stock markets. These new measures are constructed from firm-level stock returns in a panel of 60 countries for the period 2000–2004. We develop a framework to understand the linkages between efficiency, liquidity, transactions costs, and informational quality and then study their determinants. We find that some institutional arrangements – such as the availability of stock lending and short selling – and the openness of markets are associated with lower transactions costs. We also find that, although disclosure rules for directors and officers of listed firms are essential, the ability of shareholders to seek redress is more conducive to a better informational environment in stock markets. This in turn serves as the basis for policy recommendations for the East Asian region. In particular, the region needs to continue to strengthen the implementation and enforcement of corporate governance, to further enhance the market and institutional infrastructure, and focus on measures to foster a larger and more diversified investor base, in order to continue to see gains in the efficiency of stock markets.  相似文献   

3.
Abstract

In recent years, the validity of the weak form efficient market hypothesis (EMH) has been called into question as several studies have uncovered evidence that technical trading rules have predictive ability with respect to both developed and emerging stock market indices. This study analyses the forecasting power of 2 of the most popular trading rules using index data for a selection of 11 European stock markets over the January 1991 to December 2000 period. The findings indicate that the emerging markets included in this paper are informationally inefficient; these markets displayed some degree of predictability in their share returns, although the developed markets did not. Furthermore, the results point to large differences in the performance of the rules examined; while small size filters consistently outperformed the buy-and-hold strategy in the emerging markets examined even after the consideration of transaction costs, the performance of the moving average rules was erratic and varied dramatically from market to market.  相似文献   

4.
This study analyzes why the negative momentum effect appears in Asian (China, Japan, Korea) stock markets, contrary to the U.S. market. We use principal component momentum (PMOM), a newly devised momentum measure. The PMOM is constructed by extracting commonalities from traditional momentum measures using principal component analysis. The results show evidence of positive and negative momentum profits in the U.S. and Asian markets, respectively. Negative momentum profits in Asian markets are attributable to the strong performance reversal of small stocks in the loser portfolio. Conversely, the positive momentum profits of the U.S. market are driven by the performance continuity of small stocks in the winner portfolio. The PMOM strategy is significantly more advantageous than traditional momentum strategies, based on the economic and statistical perspectives of momentum profits. These results are robust to changes in empirical designs.  相似文献   

5.
In this paper, we investigate the pattern of dynamic interactions among the prices of those stocks that are cross-listed on the three major stock markets of the world, i.e. New York, London and Tokyo. Major findings are: first, regardless of the nationality of stocks, innovations in the 'home' market returns are always fed into the returns in the 'overseas' markets, with the former causing the latter in the Granger sense. However, innovations in the New York market returns of foreign stocks are fed back into their respective home markets, contributing to the price discovery there. Second, the 'succeeding' overseas market, which operates immediately after the home market, plays a dual-role: it conducts the home market innovations to the next-opening overseas market, as well as adds its own innovations. Third, the exchange rate changes substantially influence the overseas market returns, but not the home market returns. The exchange rates appear to play a role in the transmission mechanism mainly via the inter-market price parity.  相似文献   

6.
This paper examines the existence of different price reactions to the implementation of stock dividends and rights offerings as the stock market matures over time and the investor mix changes. For that purpose market reactions at the Istanbul Stock Exchange (ISE) are Investigated during three sub-periods displaying different developmental phases of the market defined in terms of institutional framework, transactions volumes and related investor profiles. Differences in price reactions and the accompanying trading volumes are tested as the investor mix changes and small investors enter ISE due to the cultivating of awareness about the stock market. Other possible causes of excess returns such as prior knowledge about the stocks being traded or a preferred trading range are also tested. Considering the characteristics of thinly traded emerging markets, non-parametric tests are employed besides traditional event study methodology and results are immune to the choice of relevant test statistics. The results indicate that the changing mix of investors shift the timing of market reaction from announcement to implementation of stock dividends and rights offerings. Since individual investors, who are attracted by lower relative prices, are not expected to be prompt in timing, excess returns persist over longer event windows and are accompanied by increasing trading volumes.  相似文献   

7.
The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its role as a determinant of commonality in liquidity. Our results suggest that an expansionary monetary policy of the European Central Bank leads to an increase of aggregate stock market liquidity in the German, French and Italian markets. Furthermore, the effect of monetary policy is significantly stronger for smaller stocks, suggesting a non-linear impact of monetary policy on stock liquidity.  相似文献   

8.
We examine the components of displayed (quoted) liquidity and the amount of non-displayed liquidity on the NYSE for a sample of non-US stocks. Consistently with prior work, non-US stocks have less displayed liquidity than similar US stocks. Extending prior research, we find that this is true both in the limit order book and on the floor. As Domowitz et al. [Domowitz, I., Glen, J., Madhavan, A., 1998. International cross-listing and order flow migration: Evidence from and emerging market. Journal of Finance 53, 2001–2027] posit, non-US stocks from transparent/linked home markets have more displayed NYSE liquidity when the home market is open but non-US stocks from opaque/non-linked home markets have more NYSE displayed liquidity when the home market is closed. Non-US and US stocks have similar supplies of non-displayed liquidity, consistent with the idea that the conditional nature of non-displayed liquidity allows NYSE traders to mitigate adverse selection problems inherent in trading non-US stocks. Our results imply that non-US stocks have less total (displayed plus non-displayed) liquidity than US stocks.  相似文献   

9.
The Shanghai International Energy Exchange (INE) facilitates both local and international investment in Chinese petrochemical-related stocks through local crude oil futures. This study investigates whether the Chinese emerging market can better aid investors' risk hedging and asset allocation compared to two major international developed markets–the Brent and West Texas Intermediate (WTI) crude oil futures markets—and examines the pairwise risk hedging effects and multi-asset allocation performance of INE and petrochemical-related stocks. The results show that INE has higher hedge effectiveness than Brent and WTI under pairwise hedging. Further, in multi-asset allocation, the portfolios containing INE outperform other portfolios. Overall, INE results in a better diversification effect and volatility reduction than the use of WTI crude oil futures to construct multi-asset allocation with Chinese petrochemical-related stocks. However, INE performance is inferior to Brent's in terms of constructing portfolios with oil or energy stocks. Finally, our results are robust to the five factors proposed by Fama and French (2015) in asset pricing.  相似文献   

10.
This research note aims to enrich our understanding of reporting incentives of firms listed in European exchange-regulated markets. Many initial public offerings (IPOs) in Europe are within exchange-regulated markets where firms are allowed to choose between local GAAP and IFRS. Therefore, this research note describes the regulatory environment and investigates the choice to voluntarily adopt IFRS within European exchange-regulated markets. Overall, less than 20% of the firms voluntarily adopt IFRS and voluntary IFRS adoption upon IPO is positively associated with firm size, foreign firms, stocks offered to institutional investors prior to the IPO, and a future migration to an EU-regulated market.  相似文献   

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