Positive Feedback Trading and Investor Sentiment

This article examines how investor sentiment affects positive feedback trading behavior. By analyzing the daily closing total return of CSI 300 index and its individual returns of stocks, we find that relatively high or low sentiment induces active positive feedback trading. With a specific indicator of sentiment, we explain the microstructure setting of the relationship between positive feedback trading and sentiment. We adopt the classical feedback model from Sentana and Wadhwani (1992) to measure positive feedback trading behavior. By adding sentiment factor to the model, we successfully explain how sentiment influences the behavior of both feedback traders and rational investors. The empirical findings suggest that positive feedback traders are more likely to trade when the prices of most securities move forward together. When the sentiment of feedback traders is at an intermediate level, the feedback trading behavior is insignificant.     

Mass media effects on trading activities: television broadcasting evidence from Japan

This study examines how information broadcasting through television (TV) media influences stock market activities. Consistent with the effect of TV information to attract investor attention, we find that increased information flow through TV is significantly associated with greater trading volume and larger price change. For information type, hard news from business-oriented programmes and earnings-related news strongly contributes to the attention effect, while the effect of soft news is weaker. Bid–ask spread widens for more TV information flows, suggesting that new information arrival in the market expands information asymmetry. Finally, the impact of TV is more influential for stocks with more individual shareholders than those with institutional shareholders.     

Noise traders,firm-specific uncertainty and technical trading effectiveness

This is the first study to document evidence of technical trading effectiveness at firm level in the Chinese A-share market by investigating the relationship between excess profits of technical trading rules and firm-specific characteristics. Our results reveal that firms with higher excess profits from technical trading have more noise traders and higher institutional ownership and that those firms tend to be growth firms with lower liquidity and higher firm-specific uncertainty. Further analysis shows that the profitability of technical trading rules is unsustainable and the excess profits of the highest technical trading profit quintile portfolio disappear in the following year.     

High-Frequency Trading,Liquidity Withdrawal,and the Breakdown of Conventions in Foreign Exchange Markets

Conventions, or “that the existing state of affairs will continue indefinitely, except in so far as we have specific reasons to expect a change” (Keynes 1936), play a central role in over-the-counter markets. For instance, by allowing expectations about the future to become more harmonized and orderly, they act as stabilizers for the provision of liquidity. Conventions might, of course, change at any time. Nonetheless, by being attached to the daily trading routine and/or integrated within the institutional structure, the confidence in their relevance and validity can be long-lasting. In the foreign exchange market, in particular, where prices are quoted to end-users on demand, market-making banks rely on a convention to quote prices to each other to maintain liquidity. However, the rise of algorithmic and high-frequency trading poses a practical as well as a theoretical challenge to such conventions. By reacting ultra-fast to new information, including to new limit orders submitted by others, markets largely populated with algorithmic traders have become susceptible to a withdrawal of liquidity at an unprecedented speed and scale. Using a high-frequency dataset provided by Electronic Broking Services (EBS), we investigate the process of liquidity withdrawal from the foreign exchange spot market. By doing so, we consider the crowding out of conventions associated with liquidity provision, traditionally upheld through mutual understanding among financial institutions – in other words, reciprocity and trust among humans.     

Organizational Design,Competition, and Financial Exchanges

We investigate the incentives for vertical and horizontal integration in the financial securities service industry. In a model with two exchanges and two central securities depositories (CSDs), we find that decentralized decisions might lead to privately and socially inferior industry equilibria with vertical integration of both CSDs with their respective exchanges. Allowing for horizontal integration of CSDs avoids privately inferior industry equilibria. However, we observe too little horizontal integration from the social perspective. We link our results to recent regulatory and institutional developments such as the emergence of multilateral trading facilities, over-the-counter regulation, and financial harmonization.     

Option trading after the opening bell and intraday stock return predictability

Prior literature finds that information is reflected in option markets before stock markets, but no study has explored whether option volume soon after market open has predictive power for intraday stock returns. Using novel intraday signed option-to-stock volume data, we find that a composite option trading score (OTS) in the first 30 min of market open predicts stock returns during the rest of the trading day. Such return predictability is greater for smaller stocks, stocks with higher idiosyncratic volatility, and stocks with higher bid–ask spreads relative to their options’ bid–ask spreads. Moreover, OTS is a significantly stronger predictor of intraday stock returns after overnight earnings announcements. The evidence suggests that option trading in the 30 min after the opening bell has predictive power for intraday stock returns.     

Wealth transfer through private placements: Evidence from China

We examine private issuance of public equity (PIPE) in China, and our results suggest that PIPE investors benefit from the price manipulation before and after issuance. These investors tend to cash out after lockup expiration and make large profits. We also find evidence that the trading of PIPE investors after lockup expiration is informed. Tests about the abnormal returns in the 3 years after lockup expiration suggest that at least part of the benefits PIPE investors receive come from wealth transfer from outside investors. Overall, PIPE issuers in China seem to use an opaque mechanism to compensate PIPE investors.     

Strategic insider trading around earnings announcements in Australia

This paper tests, within the Australian setting, whether directors strategically time trades in their own firms, around earnings announcements, in the context of impediments to trading in the immediately preceding period. I show that both signed and unsigned trade activity are insignificantly different from zero in the preceding period, and significantly negative and positive after the event. Further, directors in Australia significantly sell following positive earnings news, and buy after negative news, providing evidence of ‘indirect’ trading. Directors’ trades in the longer-term pre-announcement period are also negatively related to the news content sentiment, contrary to expectation. Finally, I find evidence of positive autocorrelation between directors’ trades over the longer-term past, and those executed after earnings announcements, which, in the absence of the ‘short-swing’ rule in Australia, casts doubt over short-term strategic insider trading, more generally.     

广东湖北碳排放权市场动态相依性分析与风险测度

选择具有代表性的湖北和广东碳排放权交易市场为研究对象,利用GARCH-POT-Copula模型对这两个市场的动态相依性与组合风险度量进行分析。研究结果表明:广东和湖北碳排放权市场之间的相依度较小,两个碳排放权市场价格波动不能给对方市场带来较大的影响,两市场近似于独立存在。提出了要从配额指标、基础设施建设、报送系统、市场交易主体等方面建立健全和完善全国统一的碳排放权交易市场的建议。     

林权流转价格及其影响因素分析

以林农拥有的活立木为研究对象,利用2007—2017年浙江省1546宗活立木流转样本,采用多元线性回归实证分析了是否在林权交易中心交易对活立木流转价格存在影响。结果表明:关键解释变量是否在林权交易中心进行交易对活立木流转价格具有显著的正向影响;流转面积、单位面积蓄积、区域虚拟变量、坡度等对流转价格都产生一定程度的影响;流转期限对流转价格的影响不大。因此,需要加强对林权交易中心的宣传,降低相关的交易成本,从而吸引更多的小规模林农参与交易。