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Alan Budd 《Economic Outlook》1999,23(4):5-11
The Bank of England’s Monetary Policy Committee has now been in operation for two years. How can one judge whether it is performing its tasks successfully? In this article Alan Budd considers some of the difficulties in answering what might appear to be a straightforward question. 相似文献
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《管理科学学报(英文)》2021,6(3):312-323
Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability. 相似文献
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《The Quarterly Review of Economics and Finance》1999,39(4):547-563
This study examines the characteristics of firms that issue convertible debt versus firms that issue convertible preferred stock. The findings are consistent with the agency, information asymmetry, optimal capital structure, financial distress, and tax benefits hypotheses. The findings also indicate that these two types of convertible securities are used to raise external capital by distinctively different groups of firms. First, convertible preferred stock issuing firms have larger nondebt tax shields and higher levels of financial, operating, and bankruptcy risks than convertible debt issuing firms. Second, firms that issue convertible debt have greater free cash flow (financial slack) and growth potential than firms that issue convertible preferred stock. 相似文献
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《The Quarterly Review of Economics and Finance》2002,42(1):155-162
This article provides both statistical analysis and empirical evidence that the dummy variable regression models extensively employed in the market seasonality literature may wind-up misleading results. We show that the estimates of the said model tend to reject the null hypothesis incorrectly once the stock returns exhibit higher volatility for the specified period under examination. Our empirical results suggest that the so-called “January effect” could be attributed to the application of inappropriate statistical method. 相似文献
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Hong Li 《The Quarterly Review of Economics and Finance》2012,52(4):358-368
This paper investigates how China's stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China's regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The results show that Chinese stock market is linked to these overseas markets and the reforms permit spillovers to these markets from China. The subsequent regression analyses of the time-varying conditional correlations, in the presence of growing economic integration, exchange rate risk and financial turbulence, further indicate that the interdependences between China and the regional markets increase due to the implementation of liberalisation policies. However, the correlation between China and the global market remains weak even though this correlation responds positively to the institutional reforms on China's stock market additionally. 相似文献
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随着证券市场的不断发展,需要对上市公司及大股东的行为加强监管,尤其是需要对大股东占用上市公司资金进行监管和抑制.根据注册会计师对上市公司年报出具的审计报告,分析了大股东欠款对上市公司的影响,欠款的成因,并提出了抑制大股东欠款的具体措施. 相似文献
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Software as a service (SaaS) is a service model in which the applications are accessible from various client devices through internet. Several studies report possible factors driving the adoption of SaaS but none have considered the perception of the SaaS features and the organization’s context. We propose an integrated research model that combines the process virtualization theory (PVT), the technology-organization-environment (TOE) framework and the institutional theory (INT). PVT seeks to explain whether processes are suitable for migration into virtual environments via an information technology-based mechanism as SaaS. The TOE framework seeks to explain the effects of the intra-organizational factors, while INT seeks to explain the effects of the inter-organizational factors on the technology adoption. This research addresses a gap in the SaaS adoption literature by studying the internal perception of the technical features of SaaS and technology, organization, and environment perspectives. Additionally, the integration of PVT, the TOE framework, and INT contributes to the information system (IS) discipline, deepening the applicability and strengths of these theories. 相似文献
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Between 1978 and 1985, the airline industry underwent a period of phased-in deregulation. Airline deregulation resulted from passage of the Airline Deregulation Act on October 24, 1978. This paper investigates the impact of two main provisions of this Act on the security returns in the airline industry. Using event study methodology, this study examines the impact of (1) airlines becoming responsible for determining their domestic routes and schedules (December 31, 1981) and (2) airlines being allowed to set domestic fares and engage in price competition (January 1, 1983) on the returns of a sample of airline common stocks. The study finds a positive market response around the phase-in provision permitting airlines to assume responsibility for determining their domestic routes and schedules, but a negative response around the phase-in provision allowing airlines to set domestic fares and engage in price competition. 相似文献
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Robert B. Durand 《European Accounting Review》2013,22(4):789-813
Abstract The aim of this study is to investigate whether the impact of the SEC's Form 20-F reconciliation requirements on non-US firms' choices of foreign stock exchanges was different for firms from common law and code law countries, that is, for firms with different accounting, legal and financial systems. We examined attributes of 253 cross-listed firms from the UK, Australia, France, Germany and Japan in the 1999 financial year. We found the ability to raise further capital in the home market was relevant for firms from both groups. In addition, firms from code law countries listing on the NYSE or NASDAQ were more likely to have greater foreign revenue and lower leverage. We expected differences in accounting requirements to be a greater barrier to listing on the NYSE or NASDAQ for code law firms. However, we found firms from code law countries were more likely to select a Form 20-F exchange than firms from common law countries, providing support for suggestions that a NYSE/NASDAQ cross-listing has a bonding role for code law firms. 相似文献
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Ideally, early warning indicators (EWI) of banking crises should be evaluated on the basis of their performance relative to the macroprudential policy maker’s decision problem. We translate several practical aspects of this problem — such as difficulties in assessing the costs and benefits of various policy measures, as well as requirements for the timing and stability of EWIs — into statistical evaluation criteria. Applying the criteria to a set of potential EWIs, we find that the credit-to-GDP gap and a new indicator, the debt service ratio (DSR), consistently outperform other measures. The credit-to-GDP gap is the best indicator at longer horizons, whereas the DSR dominates at shorter horizons. 相似文献
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We examine the co-movement of the G7 stock returns with the numbers of confirmed COVID-19 cases and causalities based on daily data from December 31, 2019 to November 13, 2020. We employ the wavelet coherence approach to measure the impact of the numbers of confirmed cases and deaths on the G7 stock markets. Our findings reveal that both the number of confirmed COVID-19 cases and the number of deaths exhibit strong coherence with the G7 equity markets, although we find heterogeneous results for the Canadian and Japanese equity markets, in which the numbers of COVID-19 cases and the deaths exhibit only a weak relationship. This evidence is more pronounced in the long-term horizon rather than the short-term horizon. Moreover, the lead-lag relationship entails a mix of lead-lag relations across different countries. We present the implications of these findings for both policymakers and the international investment community. 相似文献
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This paper investigates the extent to which the frequency distribution of the rightmost digit of stock prices is influenced by numerical superstitions. To identify the moderating variables that strengthen the superstition for numbers, we take into account factors including the amount of information, change of tick size, Chinese festivals, and bear market effect. Furthermore, we examine whether the frequency of lucky (unlucky) numbers as the final digit of prices decreases (increases) for firms with higher trading by institutional investors. The results indicate that investors in the Taiwan Stock Exchange tend to avoid number 4. Our results also find that the effects of numerical superstitions on the frequency of the final digit decrease when the amount of information increases. Investors appear to be more likely to avoid unlucky number 4 in the following four conditions: when the tick size becomes smaller, when it is one week before Chinese New Year, when it is the seventh month in the lunar calendar, and when it is in a bear market. We further document that institutional investors are not affected by numerical superstition. Moreover, our results support the notion that informed traders buy and sell more (less) actively the stocks with a lower (higher) frequency of prices ending with 4. 相似文献
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货币反替代是指在一国的经济发展过程中,居民在本币坚挺且存在升值趋势下,普遍看好本币的币值或在本币货币资产收益率明显高于外国货币资产收益率时,改变原来对外币的偏好,从而抛售外币资产,持有本币资产,使外币过分集中于中央银行的行为和现象。本文在封“热钱”的内涵进行辨析的基础土,分析货币反替代的目的和渠道,并封1990—2007年货币反替代率进行测度,进而实证检睑货币反替代封中国股市的冲击,研究发现:货币反替代规模较大、流动速度加快、反转性强;货币反替代与国内股票价格正相关,即货币反替代会推动国内股价上涨;当货币反替代出现反转时,则会引起国内股价下跌. 相似文献
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This paper examines the impact of ADR activity on liquidity of four major Latin American stock markets. We construct a measure of ADR activity in U.S. markets for a sample of ADRs trading during January 2003–December 2010, which is subsequent to the financial liberalization episodes and currency crises that shocked emerging markets in the 1990s. The sample lists 164 depositary receipt programs (Levels I, II, and III): 16 from Argentina, 81 from Brazil, 19 from Chile, and 48 from Mexico. Using System GMM methods to handle the potential effects from stock market development on economic growth and ADR issuance, we find that higher ADR turnover in U.S. markets has positive effects on domestic market turnover, particularly for issuance of exchange-listed (Levels II and III) ADRs. This positive relationship is not a statistical artifact created by the global financial crisis of 2008. 相似文献
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Inga Chira 《Journal of Economics and Finance》2014,38(1):53-70
The study examines the relationship between the country-specific governance characteristics of the origination country and the post-listing returns of cross-listed firms. In addition, the study researches the relative impact of those governance indicators on the abnormal returns of cross-listed stocks following the passage of the Sarbanes-Oxley (SOX) Act. The positive abnormal returns experienced by foreign companies around their listing in the U.S. are shown to be driven by the governance indicators of their home countries, i.e., the worse the governance characteristics of the origination country are, the higher the abnormal return for a cross-listed firm is. The governance indicators that influence abnormal returns to the highest degree are director liability, rule of law, control of corruption, political and economic development, and the integrity of the legal system. The abnormal returns generated by cross-listed foreign firms after the adoption of SOX are higher than those experienced by cross-listed foreign firms in the pre-SOX period. This outcome is pronounced for companies which score the worst on the combined set of country-specific governance characteristics. Thus, the main implication of the study is that foreign companies with a specific set of governance characteristics should consider listing on the U.S. stock markets. To be specific, companies from countries with lower governance standards, as reflected in low scores on director liability and control of corruption, are likely to derive the highest benefits from cross- listing on the NYSE or NASDAQ exchanges. 相似文献
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We examine the impact of the COVID-19 pandemic on G20 stock markets from multiple perspectives. To measure the impact of COVID-19 on cross-market linkages and deeply explore the dynamic evolution of risk transmission relations and paths among G20 stock markets, we statically and dynamically measure total, net, and pairwise volatility connectedness among G20 stock markets based on the DY approach by Diebold and Yilmaz (2012, 2014). The results indicate that the total volatility connectedness among G20 stock markets increases significantly during the COVID-19 crisis, moreover, the volatility connectedness display dynamic evolution characteristics during different periods of the COVID-19 pandemic. Besides, we also find that the developed markets are the main spillover transmitters while the emerging markets are the main spillover receivers. Furthermore, to capture the impact of COVID-19 on the volatility spillovers of G20 stock markets, we individually apply the spatial econometrics methods to analyze both the direct and indirect effects of COVID-19 on the stock markets’ volatility spillovers based on the “volatility spillover network matrix” innovatively constructed in this paper. The empirical results suggest that stock markets react more strongly to the COVID-19 confirmed cases and cured cases than the death cases. In general, our study offers some reference for both the investors and policymakers to understand the impact of COVID-19 on global stock markets. 相似文献
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《International Journal of Forecasting》2020,36(2):334-357
We analyze the impact of sentiment and attention variables on the stock market volatility by using a novel and extensive dataset that combines social media, news articles, information consumption, and search engine data. We apply a state-of-the-art sentiment classification technique in order to investigate the question of whether sentiment and attention measures contain additional predictive power for realized volatility when controlling for a wide range of economic and financial predictors. Using a penalized regression framework, we identify the most relevant variables to be investors’ attention, as measured by the number of Google searches on financial keywords (e.g. “financial market” and “stock market”), and the daily volume of company-specific short messages posted on StockTwits. In addition, our study shows that attention and sentiment variables are able to improve volatility forecasts significantly, although the magnitudes of the improvements are relatively small from an economic point of view. 相似文献
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We investigate the effect of monetary policy on stock market bubbles and trading behavior in experimental asset markets. We introduce the possibility of investing in interest bearing bonds to the widely used laboratory asset market design of Smith et al. (1988). Treatment groups face a variable interest rate policy which depends on asset prices, while control groups are subjected to a constant interest rate. We observe a strong impact of our interest rate policy on liquidity in the stock market but only a small impact on bubbles. However, we find that announcing the possibility of reserve requirements significantly reduces bubbles. 相似文献