Price clustering and natural resistance points in the Dutch stock market: A natural experiment

This paper focuses on the tendency of stock prices to cluster at round numbers (like 10, 20, 30, etc. and to a lesser extent 5, 15, 25, etc.) and the related effect of round number price barriers (prices pass round numbers less frequently than other numbers). Two competing hypotheses are tested, using data from the Dutch stock market of the period 1990–2001. After 1 January 1999 stock prices were listed in euros, while guilders were still the currency of daily life until 2002. The aspiration level hypothesis predicts that round number effects in guilders will only slowly disappear. The odd price hypothesis predicts an abrupt change in round number effects after 1 January 1999. Generally, the results are consistent with the odd price hypothesis.     

Price manipulation in an experimental asset market

We analyze in the laboratory whether an uninformed trader is able to manipulate the price of a financial asset by comparing the results of two experimental treatments. In the benchmark treatment, 12 subjects trade a common value asset that takes either a high or a low value. Only three subjects know the actual value of the asset while the market is open for trading. The manipulation treatment is identical to the benchmark treatment apart from the fact that we introduce a computer program as an additional uninformed trader. This robot buys a fixed number of shares in the beginning of a trading period and sells them again afterwards. Our main result shows that the last contract price is significantly higher in the manipulation treatment if the asset takes a low value and that private information is very well disseminated by both markets if the value of the asset is high. Finally, even though this simple manipulation program loses money on average, it is profitable in some instances.     

Price competition in the market for business telecommunications services

We estimate a two-step control-function model that relates incumbent prices for small-business telecommunications services to the number of facilities-based entrants, cost, demand, regulatory conditions, and a correction for endogenous market structure. Results show that the price effects from entry are understated in ordinary least squares regressions. When controlling for endogeneity, prices are negatively related to the number of entrants, indicating that markets without a competitive presence could exhibit market power. These findings should prove helpful to the Federal Communications Commission and other State regulators determining the conditions under which price and other forms of regulation may be relaxed.     

Price leadership in a homogeneous product market

The present paper reexamines the price-setting Stackelberg duopoly with asymmetric and strictly convex cost functions in a homogeneous product market. It demonstrates that in a generic environment, the higher-cost firm is likely to be the price leader. That is, leadership by such a firm is either (a) a unique equilibrium or (b) a payoff- and risk-dominant equilibrium in the observable delay game. Thus, while this paper complements and generalizes the findings of recent studies that indicate the possibility of the higher-cost firm’s leadership in homogeneous product markets, it also contrasts with the traditional literature that predicts the dominant-firm price leadership in various environments.     

Price flexibility and market performance in experimental markets

Summary Posted offer and double auction pricing institutions are examples of fixed and flexible pricing institutions, respectively. In laboratory settings, double auction markets dominate posted offer institutions in terms of the amount of potential surplus which traders are able to extract. These results are invariant with respect to the experience of traders or the perishability of the good traded. Performance differences across institutions may be due to information differences. The introduction of a second price-posting in the posted offer institution results in a pricing institution which is closer to the double auction's flexible pricing environment. Laboratory results suggest that under otherwise comparable conditions, this innovation is sufficient to remove the performance differences which have been demonstrated to exist between the posted offer and double auction institutions.We acknowledge the support of the Social Sciences and Humanities Research Council of Canada and the Arts Research Board of McMaster University. We thank Robert Moir and Susan Sabourin for computational work on this project and the fifteen undergraduates who worked as recorders and recruiters. We also thank Charles Plott and seminar participants at the Economic Science Association, Canadian Economics Association, and Waterloo University for the comments received on recent versions of this work.     

A note on the pricing of IPOs

This paper studies the pricing of IPOs in a tractable model in which an investment bank faces some investors with superior information. We show how this can lead to underpricing and we make a number of empirical predictions.     

Investigation of the effect of secondary market on the diffusion of innovation

In the high-tech product market, the number of hungry adopters, a new type of early adopters who buy new products and sell them soon in the on- or off-line secondary market to seek for the other new products, has been increasing due to the short product life cycle of high-tech products and the low transaction cost on the Internet. This new phenomenon means that it is inappropriate to consider customers only in the primary market as total adopters in innovation diffusion modeling, since purchasers in the secondary market also have a word-of-mouth effect on the remaining non-adopters. To explain this new phenomenon, we modify the basic Bass diffusion model by incorporating the effect of the secondary market and conduct an empirical analysis. As a result, we conclude that the basic Bass model is likely to overestimate sales volume and tends to forecast lagged peak time when there is an effect from the secondary market. This means that applying a diffusion model to high-tech products without considering the secondary market effect would provide an inaccurate market forecast.     

Spectral analysis of secondary market mexican external debt prices

The secondary market for developing country debt currently is one of the fastest growing segments of the fixed income securities market. This paper examines the spectral properties of secondary market Mexican external debt price variations from January 1986–December 1992. The analysis presented in this paper suggests that the secondary market for Mexican external debt may be characterized by the "random-walk with drift" model. Moreover, large (small) spectral density estimates at high (low) periodicities suggest that secondary market price variations were positively autocorrelated and aperiodic in nature, although there is some evidence to suggest the possible presence of short-period harmonic resonances. Cross-spectral analysis of the relationship between the 10-year U.S. Treasury bond interest rate and secondary market Mexican external debt prices appears to verify the theoretical relationship between market determined interest rates for default-free, dollar denominated debt and secondary market debt prices. More importantly, estimated phase-lag relationships suggest that the secondary market for Mexican external debt probably was inefficient at the semi-strong level.     

Price differentials in a homogenous product market: The case of water

This paper examines the existing price differentials for raw water along the Rio Grande. An extremely active spot market for this good, more than 926 transactions have been made over a five-year time period. Statistical analysis shows a significant difference between the price paid for water by irrigators or municipalities and industry. Even if price differentials did exist at the beginning, convergence would be expected over time for this homogenous good. However, statistical analysis shows no sign of convergence. Investigations have suggested that differentials may continue to exist due not to the lack of information, but to misinformation.     

Price effects of the euro cash changeover: the role of product market competition

The euro cash changeover that took place in 2002 in 12 countries of the European Economic and Monetary Union was associated with abnormal price increases in most member countries. This paper investigates the influence of product market competition on the size of the changeover-related prices hikes, showing that the price hikes were less prevalent in countries with a higher level of competition. For the countries that are to join the euro area in coming years, this means that fostering competition can help contain changeover-related price increases. This aspect is of particular importance for the most recent and next wave of euro adopters, because of their rather heavy product market regulation as measured by the OECD, which are likely to restrain competition. The results indicate that comprehensive reform efforts can be more beneficial in containing changeover-related price hikes than a selective easing of product market regulation in a subset of areas.     

Priced on the note: the case of Japanese IPOs

ABSTRACT

This article examines the pricing of Japanese IPOs: 54.26% are priced in 1,000 Japanese yen increments (The Japanese yen (JPY) has denominations of banknotes and coins. Banknotes are in 1,000, 2,000, 5,000, and 10,000-yen. Coins are in 1, 5, 10, 50, 100, and 500-yen. One thousand banknotes are similar to US $10 dollars. Coins are considered as changes in Japan.) (note-ending IPOs), an economically large increment on a per-share basis that is equivalent to 10 US dollar increments assuming an exchange rate of 1 US dollar to 100 Japanese yen. The number of note-ending IPOs increases with price levels and pricing uncertainty, supporting the negotiation hypothesis. Note-ending IPOs are associated with higher volatility, higher underwriters’ fees, wider filing price range, smaller deal size, shorter firm age, and lower underwriter reputation. Price clustering contributes to IPO underpricing. The initial returns are 60.44% higher for note-ending relative to coin-ending IPOs. These results shed light on the pricing of Japanese IPOs due to negotiations and on investment opportunities with note-ending IPOs.     

Price limits on a call auction market: Evidence from the Warsaw Stock Exchange

We empirically investigate the impact of price limits on volatility and autocorrelation in the call auction segment of the Warsaw Stock Exchange (WSE). Because call auctions offer time-out periods to investors, we do not expect price limits to counter overreaction and panic in this market structure. Indeed, our empirical findings show that price limits result in excess volatility on the next trading day and strong continuation of price movements, which indicates that price limits only delay the adjustment of prices to equilibrium levels. Our results question the necessity of price limits in the call auction system of the WSE.     

专业市场与产业集聚互动研究:来自浙江的案例

在规模报酬递增的行业,如果专业市场对该行业产品存在强需求,往往会导致同类企业在市场周边的集聚,同时集聚经济的形成使得企业能够为专业市场提供低价格的商品。与此同时,产品技术含量增加导致甄别商品质量的难度增加,由此造成的专业市场交易效率下降将降低对采购商和集聚区企业的吸引力,同时集聚区产业组织的变化促使领导型的企业绕开专业市场组织企业间的分工,并建立自身的产品营销体系。     

中国股市新股发行的市场冲击研究

通过建立投资者选择模型,我们对于中国新股发行冲击市场的投资者行为提供了模型化的解释。利用2000～2007年中国A股市场上的新股数据,我们发现了“新股冲击”假说的某些支持性证据．以及新股发行影响二级市场的主要途径,但这种冲击性影响明显被高估了。我们还发现,不参与二级市场的风险厌恶投资者比参与二级市场的风险中性投资者有更强的愿望参与新股申购。减少新股发行负面影响的措施应包括适当提高新股发行价或者平抑新股上市交易价格,扩大投资者参与范围。降低新股发行实际收益率．以减少一、二级市场间的大规模资金流动。     

Price transmission and market integration: vertical and horizontal price linkages for salmon

Relationships between prices are of interest when testing for market integration as well as analyses of supply chains. A feature that has received little attention is that if two supply chains are linked by market integration at some stage, then the whole supply chain will be linked. Furthermore, the leading price in such a system can be in one supply chain and will not be revealed in market integration studies or analysis of a single supply chain. An empirical analysis is provided for the supply chains for salmon which originates in Norway and the United Kingdom and is then sold at retail level in France as smoked salmon. We find a high degree of price transmission in both supply chains, as well as integrated markets.     

处在变革当中的韩国劳务市场

上世纪90年代以前,韩国不仅是世界上实力雄厚的国际工程承包商的国家,而且也是最大的劳务输出国之一。然而,随着经济的发展,韩国目前实际上已由劳务输出国成为部分行业劳动力短缺的国家。劳动力缺失严重已经成为困扰韩国中小企业发展的瓶颈据韩国统计厅公布的一份资料显示:2002     

Cointegration for market forecast in the Spanish stock market

This study is interested in empirically testing the existence of a long-run relationship between the Spanish stock market and its fundamentals, and in checking to which extent this relationship helps in forecasting. This study is concerned with the behaviour of the aggregate Madrid Stock Exchange in a macroeconomic context. It also identifies as macroeconomic fundamentals: industrial production as a proxy for real activity, inflation and interest rates. This study tests the existence of cointegration by Johansen's procedure. The long-run relationships among the variables implied by the existence of cointegration do not allow inference to the interrelations among the variables. To get some insight into the short-run interactions among the variables, an impulse response analysis was performed. This study compares the forecasting ability of its model with respect to alternative multivariate specifications in terms of RMSE. Also measured is the value of the forecast for the financial agents assessing the extent to which it helps improve asset allocation.     

Labour market reform and the macroeconomic efficiency of the labour market in Australia

This paper assesses the effects of a decade and a half of labourmarket reform in Australia on labour market flexibility at themacroeconomic level. Increased labour market flexibility isinterpreted as reduced structural unemployment and enhancedefficiency of matching. We use shifts in the Beveridge Curveas a measure of changes in labour market efficiency (followingSolow, R., What is labour-market flexibility? What is it goodfor?, Keynes Lecture, British Academy, London, December, 1997).Time series analysis of unemployment, vacancies and other relevantvariables strongly suggests that changes in the efficiency oflabour market matching over the period reflect the cyclicaleffects of hysteresis rather than the effects of labour marketreform.     

我国资本市场的国际化与B股市场的发展定位

对一国而言,资本市场国际化是资本市场开放的最高阶段,其中包括筹资的国际化、投资的国际化和交易工具与机构的国际化。发展中国家在资本市场国际化的进程中适合采用渐进式开放模式。我国B股市场属于对外开放的国际化部分,但近年来由于发展取向的不明确,使其长期处于低迷萎缩状态。我国的B股市场应定位于外币证券市场,逐步完成其国际化进程。为此,要扩大B股市场规模,充分利用外汇储蓄,设法解决股权分置问题。