Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

Recent empirical research has documented that the state of the limit order book influences stock investors' strategies. Investors place more aggressive orders when the same side of the order book is thicker, and less aggressive orders when it is thinner. We conjecture and demonstrate that this behavior is related to long memories of trading volume, volatility, and order signs in stock markets. We investigate our conjecture in two types of artificial stock markets: a transparent market, in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade; and a less transparent market, in which agents observe only the best five bid and ask quotes with the depth available at these limit prices. The first market structure resembles certain actual stock exchanges in the level of pre-trade transparency, such as the Australian Stock Exchange, NYSE OpenBook, and the London Stock Exchange, whereas the second market structure is consistent with stock exchanges such as Euronext Paris, the Toronto Stock Exchange, the Tokyo Stock Exchange, and Hong Kong Exchanges and Clearing. We demonstrate that our long memory results are robust with different levels of pre-trade transparency, implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges.     

Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states

This study presents evidence on the effect of domestic and Euro Area monetary policy on stock prices in four new EU member states of Central Europe and the main determinants of stock price volatility, estimating structural vector autoregressive models identified with short-run restrictions. We find that stock prices in the considered new EU member states are more sensitive to changes in the Euro Area interest rate than to the domestic one. Moreover, the bulk of stock price volatility in these countries is due to shocks related to exchange rate and Euro Area monetary policy. Overall, we find that local stock markets are more sensitive to external shocks than to domestic ones.     

Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model

This study utilizes the nonlinear ARDL (NARDL) model proposed by Shin, Yu, and Greenwood-Nimmo (2014) to quantify the potentially asymmetric transmission of positive and negative changes in each of the possible determinants of industry-level corporate bond credit spreads in China. The determinants we consider include the corresponding industry stock price, China’s stock market volatility, the level and slope of the yield curve (i.e., the interest rate), the industrial production growth rate, and the inflation rate. The empirical results suggest substantial asymmetric effects of these determinants on credit spreads, with the positive changes in the determinants showing larger impacts than the negative changes for most industries we consider. Moreover, the corresponding industry stock prices, the interest rate, and the industrial production growth rate negatively drive the industry credit spreads for many industries. In turn, China’s stock market volatility and the inflation rate positively affect the credit spreads at each industry level. These findings may be helpful to investors, bond issuers and policymakers in understanding the dynamics of credit risks and corporate bond rates at the industry level.     

TS模糊模型在个股股价预测中的应用研究

个股价格短期内的变化量一般可通过股票技术指标间接反映出来,且这些指标间有着一定的相关性;另外,股票价格模型具有Takagi-Sugeno(TS)模糊模型所研究问题的非线性、时变性特点,基于此,本研究将TS模糊模型与分析出的股票常用技术指标相结合进行股价预测。结果显示预测出的价格与股票实际价格近似一致,精度高,因此研究具有一定的实用价值。     

Forecasting stock prices with commodity prices: New evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities

The complexities in modern stock markets make it imperative to unravel the possible predictors of their future values. This paper thus provides insights into the predictability of stock prices of the BRICS countries with large dependence on commodities either for foreign exchange earnings or industrial while accounting for the role of asymmetries. Essentially, empirical evidence abound for the high volatility in world commodity markets, thus making us to determine if positive and negative changes in commodity prices predict stock prices differently. In addition, unlike the traditional forecast models, our choice of forecast models additionally addresses certain statistical features, including conditional heteroskedasticity, serial dependence, persistence and endogeneity, inherent in the predictors, which have the potential of causing estimation bias. In all, we find evidence in favour of the ability of commodity prices to predict stock prices of Brazil, Russia and South Africa. Also, both the in-sample and out-of-sample forecast performances of the predicted models support asymmetries in a number of commodity prices in each of these three countries. Our results are robust to different data samples and forecast horizons.     

The changing relationship between job loss announcements and stock prices: 1970–1999

We study the reaction of stock prices to announcements of reductions in force (RIFs) using a sample of 4273 such announcements in 1160 large firms during the 1970–99 period collected from the Wall Street Journal. We note that the total number of actual announcements for the firms in our sample follows the business cycle quite closely. We then examine changes over time in standard summary statistics (means, medians, fraction positive) of the distribution of stock market reactions, measured by the cumulative excess returns (CER) of firms' stock prices over a 3-day event window centered on the announcement date, as well as changes over time in kernel density estimates of this distribution. We find clear evidence that the distribution of stock market reactions shifted to the right (became less negative) over time. One possible explanation for this change is that, over the last three decades, RIFs designed to improve efficiency have become more common relative to RIFs designed to cope with reductions in product demand. We estimate multivariate regression models of the CER controlling for the stated reason for the announced layoff, industry, and other characteristics of the announced layoff. We find that almost none of the decline in the negative average stock price reaction between the 1970s and 1990s can be explained by these factors.     

基于股东侵占模型的大股东减持行为研究

通过构建单个股东和多个股东侵占模型,分析大股东减持问题,发现影响大股东减持的因素包括大股东持股比例、大股东属性、外部法律保护程度、减持价格、投资收益率分离度及股权制衡程度;再通过实证检验,发现大股东持股比例及股东属性对大股东减持产生显著的正向影响,股权制衡程度对大股东减持产生负向影响,而外部法律保护程度、减持价格及投资收益分离度与大股东减持的关系则并不显著.     

Demutualization,outsider ownership,and stock exchange performance: empirical evidence

We employ a balanced panel data set of 28 stock exchanges to disentangle the effects of demutualization and outsider ownership on the operative performance of stock exchanges. For this purpose we calculate in a first step individual efficiency and factor productivity values via Data Envelopment Analysis. In a second step we regress the derived values on variables that—amongst others—represent the different governance regimes of exchanges in order to examine technical efficiency and factor productivity differences between (1) mutuals, (2) demutualized but customer-owned exchanges, and (3) publicly listed and thus at least partly outsider-owned exchanges. We find evidence that demutualized exchanges exhibit higher technical efficiency than mutuals. However, they perform relatively poor as far as productivity growth is concerned. Furthermore, we find no evidence that publicly listed exchanges possess higher efficiency and productivity values than demutualized exchanges with a customer-dominated structure.      

Information flows within and across sectors in Chinese stock markets

We examine the patterns of information flows within and across sectors of the two Chinese stock exchanges in Shanghai and Shenzhen during 1994–2001. Using the generalized forecast error variance decomposition, we find a high degree of interdependence, indicating that the sectors are highly integrated and sector prices reflect information from other sectors. Industry is the most influential sector in both exchanges, while Finance in Shenzhen is the least integrated with other sectors. Implications of the findings for investors and policymakers are also discussed.     

交叉网络外部性在证券交易所定价中的应用分析

本文利用双边市场理论对证券交易所进行实证检验和模型研究,采用格兰特因果检验方法对上海交易所数据进行了实证分析,研究结果表明相比上市公司而言,投资者是“鸡蛋相生”问题的关键点,因此根据实证结果提出扩大投资者规模是证券市场发展的关键所在.然后针对上市公司和投资者的自网络外部性特征及投资者内部之间交易的特点,采用模型研究得出较强的负自网络外部性使得交易所会降低上市公司的注册费来吸引公司;当注册费太高时,交易所会降低交易费来保留住投资者,反之亦然.     

The stability of money demand in China: Evidence from the ARDL model

This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a significant wealth effect on long- and short-run broad money demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates.     

股东行为对股票价格的影响-基于博弈论的视角

随着证券市场全流通逐步成为现实，产业资本非控制股权投资将在其中发挥着越发重要的作用。本文基于博弈论的框架，运用计量方法提出了“股东博弈模型”，并结合实例进行了案例分析，在这一过程中，本文创造性地提出了“威胁系数”这一博弈指标，来衡量博弈各方决策行为，为理解资本市场中各种现象如何决定股票价格提供了新的思路。     

Budget deficits and stock prices: International evidence

The purpose of this research is to provide empirical evidence regarding deficits and their effects on stock prices. We investigate whether changes in deficits cause changes in stock prices and if so, in what direction. We use Granger causality tests and impulse response analysis of vector autoregressive models to assess the relationship between budget deficits and stock prices in several industrialized nations. The evidence from impulse response analysis and Granger causality tests shows that only in the U.S. deficit reductions have an inverse effect on equity returns.     

The Determinants of Price Adjustments in Retail Supermarkets

This paper examines the determinants of price adjustment decisions by supermarkets to increase or decrease prices for 11 different food categories and evaluates the characteristics of these firms that influence these decisions. We use a unique dataset to analyze firm variables and industry variables and their impact on price adjustment in supermarket stores. The study contributes to the price adjustment literature by identifying determinants of price behavior by stores and product category. We find that the rationale for increasing prices differs from that for decreasing prices, retailers make different adjustment decisions based on product category, and market‐level controls have little impact. Copyright © 2015 John Wiley & Sons, Ltd.     

Monetary policy,asset prices and consumption in China

This paper studies the wealth channel in China. Although the wealth channel has been found to be functioning in many advanced countries, its existence is yet to be explored in most emerging economies, also in China. In order to illuminate dynamics between monetary policy, asset prices and consumption, we use the structural vector autoregression method. The findings support the view that a loosening of China's monetary policy does indeed lead to higher asset prices. Furthermore, a positive shock to residential prices increases household consumption, while the role of stock prices seems to be small from the households’ point of view. Finally, we test the existence of the wealth channel more formally to find out whether those changes in asset prices that are caused by monetary policy are significant enough to increase consumption. In summary, the wealth channel remains weak but there are some signs of it via residential prices. The results are not that different from those attained for the advanced economies, where the size of the wealth channel has been found to be limited.     

Stock market volatility,the news,and monetary policy

The dynamic relationship linking the volatility of equity prices with “the news” and the expected path for monetary policy is investigated. Previous results that link the impact of the news about real activity to changes in current and future interest rates are employed in developing a positive link between changes in volatility and the news. Empirically, our results uncover a positive and statistically significant response of the CBOE volatility index, VIX, to unanticipated changes in employment, but not to inflation. Hence, agents' expectations for the policy response to news have an important influence on the expected volatility of stock prices. (JEL E44, E52)     

Tornado activity,house prices,and stock returns

In this paper we investigate the effects of tornado activity on house prices and stock returns in the US. First, using geo-referenced and metropolitan statistical area (MSA)-level data, we find tornado activity to be responsible for a significant drop in house prices. Spillover tornado effects between adjacent MSAs are also detected. Furthermore, our granular analysis provides evidence of tornadoes having a negative impact on stock returns. However, only two sectors seem to contribute to such a negative effect (i.e., consumer discretionary and telecommunications). In a macro-analysis, which relies on aggregate data for the South, West, Midwest and Northeast US regions, we then show that tornado activity generates a significant drop in house prices only in the South and Midwest. In these regions, tornadoes are also responsible for a drop in income. Tornado activity is finally found to positively (negatively) affect stock returns in the Midwest (South). If different sectors are examined, a more heterogeneous picture emerges.     

Environmental Factors Influencing Accounting Disclosure Requirements of Global Stock Exchanges

The globalization of capital markets has resulted in a great deal of attention being focused on problems created by accounting diversity in different countries. A number of studies have documented variations in accounting disclosure and reporting practices and standards in different countries. Diverse environmental factors have been cited in the literature to explain differences in disclosure levels between countries. This paper examines the relationship between environmental factors and the accounting disclosure requirements of stock exchanges in different countries.
A cross-national disclosure model is developed to investigate the relationship of selected environmental factors and stock exchange disclosure requirements of 35 stock exchanges in different countries. Five environmental factors are used to explain the variation observed in disclosure requirements of the different stock exchanges. The five factors examined are: degree of economic development, type of economy, size of the equity market, activity on the equity market, and dispersion of stock ownership in the equity market. The overall results obtained from the cross-sectional regression indicate that the level of disclosure requirements of stock exchanges is related to the selected environmental factors in different countries. Of die five factors examined, however, only size of the equity market is found to be a significant explanatory variable.     

Was the 2007 crisis really a global banking crisis?

We argue that the 2007 crisis was not a global banking crisis. Stock prices of banks in emerging countries faced a temporary shock but quickly recovered, while stock prices of banks located in industrial countries remained much lower than before the 2007 crisis. Our results also suggest that stock prices of large banks were affected more during the crisis than those of small banks. We also find that managerial efficiency, loan quality, leverage, and the volume of outstanding loans affect bank stock prices.