The Ex-dividend Day: Action On and Off the Danish Exchange

We examine ex-dividend day behavior on the Copenhagen Stock Exchange. We report price-drop ratios of 32% and 18% for close-to-close and close-to-open samples, respectively, well below the ratios observed in the United States. Our findings are generally consistent with limit order adjustment explanations from recent literature. In Denmark, a unique average price trading opportunity makes it possible for investors to capture dividends without directly altering supply or demand in the regular market, and therefore not necessarily driving the price-drop ratios toward one.     

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

Abstract:  This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds.     

Payout Policy Tax Clienteles,Ex‐dividend Day Stock Prices and Trading Behavior in Germany: The Case of the 2001 Tax Reform

This paper examines the impact of the German 2001 tax reform, where Germany switched from a full imputation system to a classical system. Theory suggests that both price drop ratios and trading volume decrease following the reform. We document a significant reduction in the valuation of net dividends–in particular for high dividend yield stocks–and weakening payout policy tax clienteles. Ex‐dividend day returns are likely to be driven by short‐term traders. Though the reform removed incentives for cross‐border dividend stripping and reduced tax heterogeneity among investors, we show that the high trading volume around ex‐dividend days persists.     

The response of the Dollar/Yen exchange rate to economic announcements

The paper examines the impact of major U.S. macroeconomic announcements on the Dollar/Yen exchange rate. We find that these announcements are responsible for most intraday and day-of-the-week volatility patterns in this market and we identify the most important announcements. The initial reaction to a major 8:30 announcement begins around 8:30:10 and lasts until about 8:30:50. A partial price correction is normally observed between 8:31 and 8:32. Price movements after 8:32 are basically independent of those observed earlier although volatility continues to be higher than normal until about 8:55.     

An Empirical Examination of the Return Volatility-Volume Relation in Related Markets: The Case of Stock and Options

This paper empirically examines the impact of option trading on the relation between daily stock return volatility and stock trading volume. For a sample of firms for which options were newly listed on the CBOE from 1982 to 1985, the empirical evidence indicates that there is a structural shift in the relation after option trading is introduced. Also, the findings show that daily stock return volatility is significantly and positively correlated with contemporaneous option volume, but not one-day lagged option volume. These results suggest that contemporaneous option volume may be an important variable in modelling daily stock return volatility and heteroskedasticity.     

On the Use of Portfolio Risk Models and Capital Requirements in Emerging Markets: The Case of Argentina

A portfolio-based model (CreditRisk+ of Credit Suisse FirstBoston) and recent Central Bank of Argentina credit bureau dataare used to estimate whether current capital and provisioningregulations match actual risks. Arguing that provisions shouldcover expected losses and that capital requirements should coverpotential losses beyond expected losses subject to some statisticallevel of tolerance, the article assesses how well actual capitaland provisioning requirements match the estimated requirementsgiven by the model. Actual provisioning requirements were foundto be close to implied levels of expected losses. The estimateof potential losses was found to be highly sensitive to theassumptions of the model, especially the parameter relatingthe volatility of a loan's rate of default to its mean value.This volatility parameter cannot be estimated accurately withthe credit bureau data because of the short time span covered,so proxy data were used to estimate it, and two values aroundthat estimate were tried. The difficulty of estimating thiscritical parameter implies that the results should only be regardedas suggestive. Moreover, the methodology only seeks to estimatecredit risk and not interest rate risk or exchange rate risk,nor does it fully take into account the indirect effects ofinterest rates and exchange rates on credit risk. As recentevents in Argentina have demonstrated, estimating credit riskalong these lines should be thought of as just one tool in attemptingto assess the appropriate level of bank provisions and capital.     

美元霸权:生存基础、生存影响与生存冲突

本文首先对美元霸权进行了界定,认为美元霸权的内涵是美元的超中心地位+发行自由化,外延是对全球造成的不和谐影响。内涵也是其生存基础,外延也是其生存影响。在分析美元霸权的生存基础与生存影响的基础上,本文认为,从长期来看二者具有内在矛盾:生存基础带来生存影响、生存影响反过来动摇生存基础。生存冲突决定了美元霸权的退出具有历史必然性,论文最后提出了美元霸权软着陆的构想。     

基于GARCH模型的黄金指数与美元指数波动性研究

近几年的黄金市场与美元指数市场波动都比较大,但波动的方向不一致。通过对两者的波动进行研究,主要有单位根检验、ARCH效应的检验、GARCH模型分析以及因果关系检验,结果表明,黄金指数GARCH(1,1)最适合描述其市场波动,美元指数GARCH(2,1)最适合描述其市场波动,美元指数的预测对黄金指数的预测会有帮助。     

The fragile capital structure of hedge funds and the limits to arbitrage

During a financial crisis, when investors are most in need of liquidity and accurate prices, hedge funds cut their arbitrage positions and hoard cash. The paper explains this phenomenon. We argue that the fragile nature of the capital structure of hedge funds, combined with low market liquidity, creates a risk of coordination in redemptions among hedge fund investors that severely limits hedge funds' arbitrage capabilities. We present a model of hedge funds' optimal asset allocation in the presence of coordination risk among investors. We show that hedge fund managers behave conservatively and even abstain from participating in the market once coordination risk is factored into their investment decisions. The model suggests a new source of limits to arbitrage.     

Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones

This paper investigates the interdependence of price volatility across the U.S. stock market and two emerging markets: Poland and Hungary. Using daily data for countries located in different time zones, we point out the problems caused by the presence of nonsynchronous trading effects. To address this problem we use open-to-close logarithmic returns of major stock market indexes. The asymmetric impact of good and bad news is described by a multivariate exponential general autoregressive conditional heteroskedastic model. We investigate the sample from May 2004 to December 2011. The evidence is that the U.S. prices spill over to other markets. Our results show no pronounced volatility spillovers among the three examined markets. Moreover, we observe the presence of negative asymmetry in the case of all markets.     

The development fit index of digital currency electronic payment between China and the one belt one road countries

Central bank digital currency is one of the most important financial innovations in the global economy. However, the understanding of its cross-border application is insufficient. This study analyses the driving and supporting factors that affect the application of China’s digital currency electronic payment system in One Belt One Road countries. Using country-level data for 2019, this study proposes a systematic development fit index, consisting of six first-level indicators and 41 proxy variables. The index value shows that fit is determined by bilateral investment, bilateral trade, level of financial development, geopolitics, economic foundation and infrastructure development. Among the sample One Belt One Road countries (average index value 56.39), Malaysia (83.98), Singapore (80.5), Thailand (78.76), Russia (76.25) and the United Arab Emirates (75.48) have the most potential to participate in the new monetary system launched by China. The results provide practical implications for Chinese and OBOR governments in making related strategies.     

The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets

Using a tri-variate vector autoregression model, we study the relationships between the four Asian emerging equity markets: Hong Kong, Korea, Singapore and Taiwan, and the two largest equity markets in the world: U.S. and Japan. We find that while most of the unexpected variations in stock returns in these Asian emerging markets is explained by domestic own shocks, the impacts from the U.S. and Japan are larger in Hong Kong and Singapore than in Korea and Taiwan. This foreign effect is pronounced after the Crash of the October 1987, especially in Singapore. This revised version was published online in August 2006 with corrections to the Cover Date.     

The Volatility of Return Revisions and Financial Statement Literacy in Emerging Markets: The Case of Cross‐listed Chinese Firms

Are foreign investors in emerging markets more financial statement literate than domestic investors? If so, this conjecture implies that foreign (domestic) investors are more likely to revise their return expectations to cash flow (discount rate) news. It also implies that cash flow news and discount rate news are likely to be uncorrelated when evaluating return revisions by domestic investors, whereas cash flow news and discount rate news are likely to be negatively correlated when evaluating return revisions by foreign investors. The Chinese equity markets yield robust empirical results that are consistent with both hypotheses.     

2011年全球经济与市场回顾和2012年展望

2011年,受欧洲主权债务危机不断蔓延的影响,发达国家经济复苏缓慢并呈现逐步分化趋势,新兴市场国家作为全球经济复苏主引擎的作用仍然突出,但也面临着经济增长趋缓的困扰。2012年,由于欧债危机隐患未除、全球金融系统依然脆弱以及发达国家自身结构性问题远未解决,全球经济方向将面临较大不确定性。未来新兴市场经济体有望继续充当全球经济复苏的主要动力,但增速将趋于放缓。发达经济体将维持宽松的货币政策,并将迫于财政赤字压力采取财政紧缩措施,而新兴经济体预计将实施相对稳健的货币政策与较为宽松的财政政策,以应对通货膨胀和经济增速趋缓的双重压力。     

外汇期权信息含量与在岸离岸市场效率

央行在“8·11”汇改后放松了汇率中间价的管理,采用更为市场化的方式形成中间价,这种变化对于人民币汇率衍生品市场的影响尚属未知。为此,本文从人民币期权组合的Black-Scholes隐含波动率历史报价数据中提取出在岸、离岸市场人民币期权的无模型隐含波动率和风险中性偏度,在将样本划分为汇改前后三个不同的阶段的基础上,检验了期权隐含指标对未来汇率分布的预测能力。实证结果表明,在“8·11”汇改之后,随着人民币中间价形成机制变得更加市场化,期权价格中包含了越来越多关于未来汇率分布的信息,在岸和离岸期权市场的信息效率都有显著提高,意味着人民币中间价形成机制的市场化能显著提升我国金融市场效率。因此,在兼顾金融安全的角度上,稳步促进人民币中间价形成机制市场化进程将有利于我国金融市场效率的提高。     

The Importance of Industry and Country Effects in the EMU Equity Markets

Most empirical studies find that country effects are larger than industry effects in stock returns, although industry effects have gained in importance recently. Our results support the dominance of country effects relative to industry and common effects in the EMU equity markets in the 1975–2001 period. However, there is an increasing importance of industry effect relative to country effect in the 1990s. In fact, industry effects is similar in magnitude to country effect in the post‐euro period. The evolution of the ratio of country to industry effect is explained by the decrease in the cross‐sectional variance of interest rate movements across EMU countries. Thus, there is evidence that nominal convergence has reduced the differences between national equity markets.     

The Changing Roles of Industry and Country Effects in the Global Equity Markets

Abstract

This paper examines the roles of country and industry effects on international equity returns using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001. The study focuses on the evolving process of those effects over time and on geographical differences. The main results are as follows: although the country effects still dominate the industry effects in the full sample period, there has been a major upward shift in industry effects since 1999. The degree of this shift varies across regions and is prominent in Europe and North America, while in Asia Pacific and Latin America, country effects still dominate. The increasing industry effects are not found to be confined to the Technology, Media and Telecommunications sectors and thus are not considered a temporary phenomenon. The above developments have implications for international portfolio diversification.     

中美黄金市场的价格发现和动态条件相关性研究

本文运用向量误差修正模型、Hasbrouck信息份额分析法和Engle(2002)提出的动态条件相关多元GARCH模型,研究从2004年11月18日至2008年11月17日期间,中国黄金市场与美国黄金市场的价格发现和动态条件相关性。实证结果发现:中国黄金市场现货和美国黄金市场期货、ETF三者间存在长期均衡关系,美国黄金市场ETF和期货在价格发现过程中居主导地位;中美黄金市场间的相关性随时间变化而动态改变,上海黄金交易所开设夜市交易及延长夜市交易时间,增加了两个市场的关联性,但中国黄金期货的推出和2008年全球金融危机的加深,又使中美黄金市场间的相关性有所降低。     

The Asset Growth Effect and Investor Protection in Emerging Markets: The Role of the Global Financial Crisis

The previous evidence shows that firms experience lower returns after a period with higher growth in assets. Two alternative explanations have been raised to explain this effect: mispricing and optimal investment. This study examines this effect in 26 emerging markets over the period of 2005–2013 with a special attention to the recent global financial crisis. We find a stronger asset growth effect during the crisis years relative to other years. This effect is stronger in firms with small or medium stock turnover ratio and firms operating in industries with low R&D intensity. We also investigate the heterogeneity across countries and find that a stronger asset growth effect during the crisis years exists only for emerging markets with low protection of shareholders and creditors. We argue that this evidence is in line with the mispricing hypothesis.