IFRS adoption and stock misvaluation: Implication to Korea discount

Analyzing publicly traded stocks in Korea surrounding IFRS adoption in 2011, we find that the gap between stock price and firm value, value-to-price (V/P) ratio, narrows following the IFRS adoption and that this narrowed gap is observed only for higher V/P firms. We further find that the return predictability of V/P decreases in the post-IFRS period. Using a path analysis, we report further evidence that mandatory IFRS adoption decreases idiosyncratic volatility and improves trading volume and market liquidity, thereby contributing to the narrowed gap between value and price. We conclude that IFRS adoption contributes to resolution of Korea discount.     

Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic

Since the level of markets’ information efficiency is key to profiteering by strategic players, Shocks; such as the COVID-19 pandemic, can play a role in the nature of markets’ information efficiency. The martingale difference and conditional heteroscedasticity tests are used to evaluate the Adaptive form of market efficiency for four (4) major stock market indexes in the top four affected economies during the COVID-19 pandemic (USA, Brazil, India, and Russia). Generally, based on the martingale difference spectral test, there is no evidence of a substantial change in the levels of market efficiency for the US and Brazilian stock markets in the short, medium, and long term. However, in the long term, the Indian stock markets became more information inefficient after the coronavirus outbreak while the Russian stock markets become more information efficient. Intuitively, these affect the forecastability and predictability of these markets’ prices and/or returns. Thereby, informing the strategic and trading actions of stock investors (including arbitrageurs) towards profit optimization, portfolio asset selection, portfolio asset adjustment, etc. Similar policy implications are further discussed.     

资本市场开放与股权资本成本——基于沪港通、深港通的实证研究

本文基于沪港通和深港通研究资本市场开放对中国内地股权资本成本的影响。研究发现,受政策风险和市场环境等因素所限,沪港通在初始阶段并未对沪市公司的股权资本成本产生显著影响,但随着政策进一步完善、市场逐渐稳定和交易不断活跃,其对股权资本成本的降低效果于实施两年后开始显现;深港通建立在沪港通的制度基础和运行经验上,其在开通后显著降低了标的公司的股权资本成本。本文还进一步分析了资本市场开放影响股权资本成本的竞争渠道和信息渠道,发现深港通对股权资本成本的降低作用主要集中在投资者竞争程度较高,或是公开信息质量较高、信息不对称程度较低的股票样本。     

Are REITs more resilient than non-REITs? Evidence from natural experiments

REITs draw attention from investors around the world, yet our understanding of the various risks associated with such securities is limited. Using the introduction of Arrowhead, a low-latency high-frequency trading platform, to the Tokyo Stock Exchange and the financial crisis of 2008 as natural experiments, we compare the resilience of REITs and equities in terms of liquidity and volatility. The results indicate that the introduction of Arrowhead improved the quality of the Japanese REIT market but also increased the probability of flash crashes. We also find that although the financial crisis significantly deteriorated overall equity market quality, the Japanese REIT market was resilient. Finally, using a difference-in-differences regression model, we show that the higher transparency and better price discovery of REITs, compared to non-REITS, protected them from the negative effects of the financial crisis and the introduction of Arrowhead. Overall, our analysis shows that REITs are more resilient than non-REITs.     

Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

The moderating effect of average wage and number of stores on private label market share: A hierarchical linear model analysis

Existing research on private label market share is primarily in the context of the Western market. The Chinese market context research is scarce, although private labels are developing rapidly in the past several years. This study investigates how the average wage and number of stores affect the Chinese market's private label market share. More importantly, this paper examines the moderating effect of the average wage and the number of stores on the relationship between the private label market share and product assortment as well as the relationship between the private label market share and pricing. Data collected from a Chinese supply chain dyad is analyzed to study category management using hierarchical linear models. The results reveal that the average wage and the number of stores positively affect the private label market share. Furthermore, the average wage enhances the negative effect of the number of brands, weakens the negative effect of the private label price, weakens the positive effect of national brand price. Meanwhile, the number of stores enhances the positive effect of the SKU proliferation of private label, enhances the negative effects of the number of brands, and enhances the negative effect of the private label price. This study contributes to category management. Furthermore, the findings will be valuable to domestic and international grocery marketers and retailers operating private labels in China.     

The maturity effect of stock index futures: Speculation or carry arbitrage?

Using the implementation of trading restrictions on CSI 300 index futures market as a quasi-natural experiment, this paper examines the maturity effect of stock index futures and its determinants. The results show that the maturity effect changes from weakly positive to significantly negative after trading restrictions are implemented. We find that the change in the maturity effect is rooted in the speculative effect, which is measured by the time pattern of price sensitivity to information, while there is a lack of support for the carry arbitrage effect on the maturity effect of index futures. Our findings provide an opportunity to better understand volatility dynamics in the equity futures market.     

优化营商环境与外资企业FDI动机——市场寻求抑或效率寻求

在优化营商环境已成为当前发展中国家引资竞争新优势的背景下,针对优化营商环境影响外资企业FDI动机的考察变得尤为重要。本文在构建企业层面营商环境指数的基础上,考察了发展中国家优化营商环境影响外资企业FDI动机的机制及效应。结论表明:优化营商环境减弱(增强)了外资企业的市场(效率)寻求型FDI动机;内资企业竞争力的增强、外资企业特惠资源的取消和加工贸易型外资企业的存在,使得优化营商环境降低了外资企业的生产率,进而市场(效率)寻求型FDI动机减弱(增强)。细分样本的考察发现,上述结论仅存在于独资企业、工业和低收入国家的外资企业中,对于合资企业、服务业和高收入国家的外资企业,优化营商环境对其FDI动机无显著影响,且生产率的中介效应不存在。本研究从优化营商环境的视角为当前中国引资政策的制定提供了更为具体的政策启示。     

How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?

This study investigates how the dependence structures between stock markets and economic factors have changed during the COVID-19 pandemic using the dynamic model averaging approach. A series of economic factors such as commodity markets, cryptocurrency, monetary policy, international capital flows, and market uncertainty indices are considered. We find that the importance of economic variables and the sign and size of their coefficients are significantly different from those before the COVID-19 pandemic. The stock markets are most influenced by economic factors during the COVID-19 outbreak.     

Banking sector reactions to COVID-19: The role of bank-specific factors and government policy responses

This paper examines the impact of bank-specific factors and variations in the context of stringency of government policy responses on bank stock returns because of the COVID-19 pandemic. A sample of 1,927 publicly listed banks from 110 countries is used for the period of the first major wave of COVID-19, that is, January to May 2020. Our findings indicate that stock returns of banks with higher capitalization and deposits, more diversification, lower non-performing loans, and larger size are more resilient to the pandemic. While banks’ environment and governance scores do not have a significant impact, higher social and corporate social responsibility strategy scores intensify the negative stock price reaction to COVID-19. We further observe that the pandemic-induced reduction in bank stock prices is mitigated as the strictness of government policy responses increases, mainly through economic responses such as income support, debt and contract relief, and fiscal measures from governments.