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1.
This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS indices of US and Europe. For this exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock, Dechert, & Scheinkman, 1987) is employed to test for prevalence of nonlinearity in the US and European datasets. The author then subjects both the US and European datasets to the close-returns test (Gilmore, 1993, 1996, 2001) to examine whether the close-returns plots pertaining to these datasets exhibit any chaotic patterns. The CDS datasets were prepared differently for BDS and close-returns test. Since the BDS test cannot differentiate between linear and non-linear dependency, a best-fitting AR model was fitted to the transformed CDS datasets to remove linear-dependency in the data. The BDS test was then applied to the stationary, linearly-independent AR residuals pertaining to transformed US and European datasets. BDS test outcomes revealed rejection of null hypothesis (i.i.d.) with regard to US and European investment-grade CDS indices. The close-returns test outcomes revealed prevalence of an underlying structure that is neither random nor chaotic in nature. In short, the study's findings reveal prevalence of non-chaotic nonlinearity in the US and European CDS indices. These findings not only augment existing literature on nonlinearity of different asset classes, but also reflect the need for researchers and practitioners to accommodate and appropriately account for nonlinearity while modeling CDS indices spread movements.  相似文献   
2.
With 40% of the world able to access the internet, online marketplaces provide the small entrepreneur with a hitherto incomprehensible opportunity to reach a global audience with very low barriers to entry and low risk. Yet, academic research has not studied the factors unique to online businesses that affect their long-term survival. This study is the first of its kind that does so using data gathered from eBay’s feedback system in 2004, 2009, and 2013. The results present data on the rate of discontinuance of eBay ventures. Further, a logistic regression analysis suggests that unique factors such as venture size, age, and feedback reputation positively influence the likelihood of long-term survival of an eBay venture. Based on these results and the ensuing discussion, implications for researchers and practitioners are provided.  相似文献   
3.
This article develops a model of the upstairs market where ordersize, beliefs and prices are determined endogenously. We testthe model's predictions using unique data for 5,625 equity tradesduring the period 1985 to 1992 that are known to be upstairstransactions and are identified as either buyer or seller initiated.We find that price movements prior to the trade date are significantlypositively related to trade size, consistent with informationleakage as the block is 'shopped' upstairs. Further, the temporaryprice impact or liquidity effect is a concave function of ordersize, which may result from upstairs intermediation.  相似文献   
4.
Why do security prices change? A transaction-level analysis of NYSE stocks   总被引:34,自引:0,他引:34  
This article develops and tests a structural model of intradayprice formation that embodies public information shocks andmicrostructure effects. We use the model to analyze intradaypatterns in bid-ask spreads, price volatility, transaction costs,and return and quote auto-correlations, and to construct metricsfor price discovery and effective trading costs. Informationasymmetry and uncertainty over fundamentals decrease over theday, although transaction costs increase. The results help explainthe U-shaped pattern in intraday bid-ask spreads and volatility,and are also consistent with the intra-day decline in the varianceof ask price changes.  相似文献   
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6.
For many years marketing academics have recommended, and practitioners have implemented, organization‐wide programs that measure customers' levels of satisfaction with a firm's offerings because it is believed that satisfied customers are both more likely to continue using a previously adopted product and less likely to engage in negative word‐of‐mouth communication. Given the ubiquity of product‐review forums resulting from today's increasing levels of e‐commerce, this paper pairs cause constructs from the diffusion literature with effect constructs from the satisfaction and services literatures to reconsider that perspective. Specifically, it examines the relationships bet‐ween six perceived innovation attributes known to influence a new product's diffusion process and two post‐adoption behaviors, satisfaction and negative word‐of‐mouth communication. The results quash previous assumptions that satisfaction mediates negative word‐of‐mouth communication and reveal that satisfied customers do speak ill of previously adopted products. Implications for both theory and practice are also presented. © 2010 Wiley Periodicals, Inc.  相似文献   
7.

This paper examines the degree of efficiency of Indian ADRs and their underlying stocks trading in NSE/BSE from an adaptive markets hypothesis (AMH) perspective that is theoretically grounded in nonlinear serial dependence. For this purpose, the authors employ the windowed as well as the rolling hinich bicorrelation test procedures on ADRs and the underlying stocks issued by Indian firms such as, and limited to, Dr. Reddy’s Laboratories, HDFC Bank, ICICI Bank, Infosys, Wipro, Tata Motors, and Sterlite Industries. The study’s findings indicate that the degree of market efficiency witnessed at the level of individual scrips (ADRs or underlying domestic stocks) differs considerably from the degree of efficiency of the broader stock market in which such scrips trade. Further, the degree of efficiency witnessed amidst all US and Indian scrips considered for this study was found to be heterogeneous in nature and in-turn warrants a ranking approach. Lastly, the degree of efficiency witnessed in certain (not all) dually-listed Indian scrips was found to be homogenous across trading locations. However, this does not happen to be the case for all other dually-listed scrips considered for this study. The study’s findings bring to light the need for disaggregated, firm level market efficiency studies aimed at examining firm-level market efficiency at different trading locations and in-turn identifying the antecedents behind homogeneity (or lack-thereof) in firm-level market efficiency across multiple trading locations.

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8.
Conclusion The evidence in this article helps to explain the black-white earnings differential in 1970, six years after the passage of Fair Employment Legislation, in terms of traditional measures such as experience and education along with a public policy measure that has of late come under fire. And contrary to the notion that the gains from such government policy have not benefited the less fortunate workers but simply accrued only, or mainly, to upper- or middle-class blacks, the results presented here indicate that enforcement, such as it is, has had beneficial effects for black men and women in virtually all major occupational categories. When a distinction is made between the various major occupational categories, the importance of education and experience as factors that contribute toward explaining black-white earnings differentials is generally supported by this study. However, neither education nor experience shows a consistent explanatory power across occupational categories and especially across the sexes. For example, experience is more frequently found to be a significant factor for black men than it is for black women. Education, on the other hand, was found to have no statistically significant relationship with wage differentials in major blue-collar job categories for both men and women, thus lending some credence to the dual labor market thesis regarding returns to education. By far the factor we have found to be the most consistent with respect to its impact upon racial wage differentials for both men and women is the fair employment variable. Indeed, across major occupational groups the existence and enforcement of fair employment laws seems to have had, generally, a more significant effect on reducing racial wage differentials than each of the other independent variables.  相似文献   
9.
In search of liquidity: block trades in the upstairs and downstairs markets   总被引:1,自引:0,他引:1  
We analyze the ability of various market mechanisms to provideliquidity for large equity trades. Using data on 21,077 blocktransactions in Dow Jones stocks, we find that the 'downstairs'NYSE floor market is a significant source of liquidity. Althoughnegotiation in the informal 'upstairs' market provides betterexecution than the downstairs market for large trades, thesedifferences are economically small. We find, however, that upstairsmarkets are used by traders who can credibly signal that theirtrades are liquidity motivated. Thus, upstairs markets allowtrades that may not otherwise occur.  相似文献   
10.
Consolidation, fragmentation, and the disclosure of trading information   总被引:15,自引:0,他引:15  
It is commonly believed that fragmented security markets havea natural tendency to consolidate. This article examines thisbelief, focusing on the effect of disclosing trading informationto market participants. We show that large traders who placemultiple trades can benefit from the absence of trade disclosurein a fragmented market, as can dealers who face less price competitionthan in a unified market. Consequently, a fragmented marketneed not coalesce into a single market unless trade disclosureis mandatory. We also compare and contrast fragmented and consolidatedmarkets. Fragmentation results in higher price volatility andviolations of price efficiency.  相似文献   
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