Market Maker Performance: The Search for Fair Weather Market Makers

The London Stock Exchange has long been concerned that some market makers do not fulfill their obligations. This study describes a range of measures to identify such fair weather market makers. The results indicate that three firms of market makers meet the criteria for fair weather market making. It is also discovered that market makers in a given stock all quote the same fixed spread in round pennies and that this is about twice the touch. Internalized order flow is pervasive, with market makers receiving 57% of their order flow from associated brokers. However, fair weather market making is found to be distinct from order preferencing and internalization.     

The Impulse of Stock Market Volatility and the Market Crash of October 1987

This paper employs the technique of variance decomposition and impulse response functions to examine the dynamic nature of stock market volatility relationships among six major countries during the pre, around, and post October 1987 crash period. During the period around the crash, the US stock market volatility explains much better the variations of the stock market volatility of Australia, Hong Kong, Japan, Singapore and the UK. Our findings clearly indicate that the crash originated in the US and then spread to other major stock markets.     

The Performance of REIT-owned Properties and the Impact of REIT Market Power

Using a unique, detailed panel dataset of lodging properties, this paper tests whether properties owned by real estate investment trusts (REITs) perform differently than other properties and whether the concentration of real estate ownership brought about by REITs has increased market power. Our results demonstrate that REIT-owned properties, which are primarily mid-scale and high-end hotels, did not perform significantly better, on average, than other mid-scale or high-end hotels in the same geographic area. However, because of the superior overall performance of mid-scale and high-end hotels, REIT properties as a whole did perform better, on average, than non-REIT properties. From these results we conclude that the superior performance of REIT properties was due to the fact that REITs tended to acquire properties in market segments that performed well; REIT ownership in itself does not appear to have increased performance. Our results also suggest that the superior performance of the market segments in which REITs have a significant presence is not attributable to the market power of the REITs.     

The Components of Electronic Inter-Dealer Spot FX Bid-Ask Spreads

Abstract:  This paper applies an established bid-ask spread decomposition model to the inter-dealer spot foreign exchange market. In addition, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order-driven markets and which is found to produce more plausible results than the original model. Price clustering is introduced as a new explanatory factor within this framework and is shown to be vitally important in understanding the composition of bid-ask spreads in this market.     

房地产投资信托制度(REITs)风险之法律规制与运营控制

房地产投资信托制度(REITs)中的风险问题,是任何一个研究REITs的理论界或实务界人士都必须回答的问题。在规制REITs风险的方法中,主要分为两种:最直接的处理风险问题的方法是由美国《投资公司法案》控制债务杠杆;而其它法规对REITs风险的规制,则是较为间接的控制风险的方法。伞型合伙(UPREITs)结构的风险,美国财政部和国家税务局IRS的相关法规可对此进行规制。下属合伙(DOWNREITs)结构的风险则可以采用三种运营方式予以控制。     

资本市场开放、本币升值与居民资产结构调整——分析中国股市上涨的三重视角

理论界和实务界普遍认为流动性过剩是导致股市、房市价格上涨的重要原因。自2006年下半年以来,央行接连实施紧缩性货币政策,但都未影响到股市和房市的价格上涨势头。论文从资本市场开放、人民币升值与居民资产结构调整三个角度对我国股市近期的上涨进行理论分析,认为我国资本市场对内对外的逐步开放、人民币缓慢升值与居民资产结构调整是我国股市近期上升的主要原因,并指出股市上涨的流动性过剩假说存在认识误区,新形势下紧缩性货币政策调控股市存在困难。     

深市买卖价差逆向选择成分的估算与分析

本文以深市150家上市公司为样本，估算买卖价差逆向选择成分，研究逆向选择成分与公司特征之间的关系，并探讨其日内变化模式。研究发现信息不对称对深市买卖价差的贡献度为39％。公司规模越大，其股票的逆向选择成分越小；逆向选择成分随着交易量水平的上升而降低；高价股的逆向选择成分比低价股低。总体而言，逆向选择成分在早市呈现“倒U”型，在午市呈现“L”型。逆向选择成分与公司特征之问的关系及逆向选择成分的日内变动模式的实证分析结果，符合信息不对称与公司特征之问的逻辑关系及信息不对称的日内变动模式。     

The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics

The Chicago Mercantile Exchange reduced the size of its S&P 500 futures contract when it reduced the multiplier from 500 to 250 and increased the minimum tick from 0.05 to 0.10 on November 3, 1997. This is a rare major change in a very successful contract's specifications. We analyze effects of this change on liquidity and market dynamics in both a univariate and a multivariate context. The main contribution of this study is the use of multiple intervention analysis with various dynamic response functions to examine the effects of the split while taking into account several other major market events surrounding it. A multivariate analysis is also used to test the impact of the split using a structural model of liquidity and market dynamics. Empirical findings offer limited support for the hypotheses that smaller contract size resulted in smoother trading, and that more public customers trade the S&P 500 futures contract following its split. We observe a reduction in the average transaction size as well as a temporary narrowing of the bid-ask spreads, but no significant change in volatility that can be attributed to the split. We do not find any significant and lasting impact on other liquidity and market variables.     

Stock Market Development and the Decline of the Portion of Dividend Payers throughout the World

I contend that stock market development has substantially contributed to the decline of dividend payers worldwide. Using data from 31 countries, my research shows that stock market development makes firms in countries with a relatively high dependence on stock market financing less likely to pay dividends, to pay less, and more likely to omit. These results also are robust to the sample selection, the time‐varying firm characteristics, and the differences in legal systems, capital market scales, and country‐level information disclosure.     

我国股市扩容与大盘走势实证分析

融资功能是证券市场的主要功能之一,但股市扩容往往被列为“利空”因素,实证研究表明扩容本身并不会直接导致股指下降,而且能从多个方面对股市稳定健康发展发挥积极作用,我国A股市场指数正是在不断扩容的基础上迭创新高总体保持上升趋势,并且大扩容往往是在大牛市的背景中完成的。     

The effect of settlement regimes on trading cost and market efficiency: evidence from the National Stock Exchange

Using data from 65 of the most actively traded stocks from the National Stock Exchange of India we study the relationship between impact cost and three indicators of market efficiency under different settlement regimes. Our data is uniquely suited for this study because it encompasses a transition by the National Stock Exchange of India from fixed to rolling settlement. As a by-product of our study we are able to examine inefficiencies related to the day of the week on which trades are conducted for different settlement regimes. In summary our data reveals that rolling settlement reduces aggregate impact costs, leading to greater market efficiency. Employing a fixed effects model we show that impact cost has a stronger relationship to our indicators of market efficiency under rolling settlement. However, we find evidence of two structural inefficiencies related to the day-of-the-week on which trades are conducted: 1) under rolling settlement, trades conducted earlier in the week (and settled by Thursday) have lower impact costs, and 2) there is an impact cost premium for Friday trades.     

Concentration of the UK Stock Market

Abstract:  During 1999 and 2000 a large number of articles appeared in the financial press which argued that the concentration of the FTSE 100 had increased. Many of these reports suggested that stock market volatility in the UK had risen, because the concentration of its stock markets had increased. This study undertakes a comprehensive measurement of stock market concentration using the FTSE 100 index. We find that during 1999, 2000 and 2001 stock market concentration was noticeably higher than at any other time since the index was introduced. When we measure the volatility of the FTSE 100 index we do not find an association between concentration and its volatility. When we examine the variances and covariance's of the FTSE 100 constituents we find that security volatility appears to be positively related to concentration changes but concentration and the size of security covariances appear to be negatively related. We simulate the variance of four versions of the FTSE 100 index; in each version of the index the weighting structure reflects either an equally weighted index, or one with levels of low, intermediate or high concentration. We find that moving from low to high concentration has very little impact on the volatility of the index. To complete the study we estimate the minimum variance portfolio for the FTSE 100, we then compare concentration levels of this index to those formed on the basis of market weighting. We find that realised FTSE index weightings are higher than for the minimum variance index.     

市价委托的提交策略、风险控制与实施方案

通过实证研究,本文认为相对于限价委托,市价委托方式更为常用。市场行情越不稳定,交投越活跃,投资者越倾向于采用市价委托。市价委托的主要风险在于可能引起产生股价大幅变动,本文通过价格波动与成交效率两个角度进行比较,认为最优五档成交转限价和最优五档成交并撤销方案应是在市场现有基础上推出市价委托的首选方案。     

论我国股指期货的风险与对策

股票指数期货是20世纪80年代发展起来的金融创新产品。在我国期货市场推出该品种,对建设有中国特色的资本市场有其特殊意义。因此,有必要对我国股指期货的运作风险进行分析和把握,以利于我国股指期货的健康发展。     

中国股市趋向弱势有效之实证研究

本在对中国股票市场有效性的研究结果进行考察的基础上，运用有效市场理论分析了相关研究中存在的问题，最后得出中国股票市场正趋于弱势有效的结论。     

Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress

We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We also study the robustness of the link between market information and financial downgrading in the light of the safety net and asymmetric information hypotheses. Some of our results support the use of market-related indicators. Other results show that the accuracy of the predictive power depends on the extent to which bank liabilities are market traded.      

股票市场非线性随机游走检验

中国股票市场指数收益率不服从正态分布假设，基本符合随机游走的特征，具有弱式有效性的市场特征，沪市指数收益率的时间序殊随机性略大于深市。造成这一现象的原因包括市场结构的非理性与投资行为的非理性等因素。     

印花税调整对股票价格影响的实证研究

印花税下调在短期内对大盘股指产生显著影响,但这种影响随时间的推移而逐渐减弱;税率下调对沪市和深市单只股票具有冲击效应,个股产生正的超额收益;税率下调对两市的大盘波动性产生显著影响,刺激了"噪声交易者",在短期内产生了噪声效应。目前印花税仍然存在一些不足,建议:拓宽税基,改双向征税为单向征税,尽快开征股票交易税。     

论证券市场的会计监管

证券市场存在着会计市场失灵、会计造假案件频发、法律的不完备性等一系列问题,股权分置改革后,随着市场规模的进一步扩大,又会出现许多新的问题,因此证券市场的会计监管就显得十分必要。为了提高证券市场会计监管的效率,应该以政府监管为主导,会计师事务所的监管为辅助,同时发挥新闻媒体和学术界在监管中的积极作用。     

股票市场均衡与大股东行为选择——对中国股市非均衡的理论分析

中国上市公司的大股东侵害了中小投资者权益。大股东的侵害行为影响了投资者的行为选择并导致了中国股市的非均衡。"股权分置"改革的本质是使大股东的投票权趋于完备——赋予其"用脚投票权",这必将改变大股东与中小股东的博弈规则、扩充大股东的行为可选集,并最终使中国股市趋于动态均衡。