Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market

This study carries out investigation of technical analysis and Sentiment-Threshold Autoregressive (Sentiment-TAR) trading rules in the Malaysian stock market, using daily data from Jan 1, 2001 through December 31, 2016. The findings reveal that while the Sentiment-TAR trading rules (more specifically Sentiment^WORLD-TAR) have better predictive power than technical trading rule, the magnitude of predictability is shown to vary with sectors. Robustness of results is further verified by in- and out-of-sample test and bootstrap analysis. As expected, the inclusion of transaction costs eliminates the trading profits for the majority of the trading rules. Nevertheless, results reveal that investors can gain substantially by combining Sentiment-TAR and TRB rules and by investing in certain sectors.     

Financial,ecological and managerial impacts of emission trading schemes: the case of Lufthansa

Commencing in 2012, emissions from flights departing from or arriving at airports within the European Union (EU) will be covered under the EU emissions trading scheme (ETS). This research analyzes the financial and ecological impacts of the ETS for the Lufthansa Group using a simulation model built on the now‐fixed system design. The results show that while ecological impacts are modest in the first years after introduction, the ETS will result in much higher emission reductions in the medium and long term. These ecological benefits come at the expense of increased financial impacts. This paper argues that the ETS will have a variety of managerial implications at the company level in fields such as environmental monitoring, financial risk management and marketing. Copyright © 2010 John Wiley & Sons, Ltd and ERP Environment.     

Lasso-based index tracking and statistical arbitrage long-short strategies

In this paper, we apply the lasso-type regression to solve the index tracking (IT) and the long-short investing strategies. In both cases, our objective is to exploit the mean-reverting properties of prices as reported in the literature. This method is an interesting technique for portfolio selection due to its capacity to perform variable selection in linear regression and to solve high-dimensional problems (which is the case if we consider broader indexes such as the S&P 500 or the Russell 1000). We use lasso to solve IT and long-short with three market benchmarks (S&P 100 and Russell 1000 – US stock market; and Ibovespa – Brazilian market), comprising data from 2010 to 2017. Also, we formed IT portfolios using cointegration (a method widely used for index tracking) to have a basis for comparison of the results using lasso. The findings for IT showed similar overall performance between portfolios using lasso and cointegration, with a slight advantage to cointegration in some cases. Nonetheless, lasso-based IT portfolios presented average monthly turnover at least 40% smaller, indicating that lasso generated portfolios that had not only a consistent tracking performance but also a considerable advantage in terms of transaction costs (represented by the average turnover).     

Day trading and stock price volatility

When an investor buys and sells the same stock on the same day, he is said to have made a day trade. Using the trading records of Finnish traders, this paper examines whether day trading is related to volatility of stock prices. I find a strong positive time-series relation between the number of day trades by individual investors and intraday volatility among heavily day traded stocks. This effect is robust after controlling for a previously documented volume–volatility relation. The result suggests that the joint hypothesis of price pressure and volatility induced day trading dominates the liquidity effects of day trading.     

Limited arbitrage is necessary and sufficient for the existence of an equilibrium

In Chichilnisky (Working Paper No. 586, 1991), Chichilnisky (Working Paper No. 650, 1992) and Chichilnisky (Economic Theory, 1995, 5, 79–108), I introduced the concept of a global cone and used it to define a condition on endowments and preferences, ‘limited arbitrage’, which I showed to be necessary and sufficient for the existence of a competitive equilibrium. In response to a comment (Monteiro et al., Journal of Mathematical Economics, 1997, 26, 000-000), I show here that the authors misunderstood my results by focussing on brief announcements which cover other areas, social choice (Chichilnisky, American Economic Review, 1994, 427–434 and algebraic topology (Chichilnisky, Bulletin of the American Mathematical Society, 1993, 29, 189–207), rather than on the publication which contains may proofs on equilibrium. The comment's example is irrelevant to my results in Chichilnisky (Economic Theory, 1995, 5, 79–108) because it starts from different conditions. Limited arbitrae is always necessary and sufficient for the existence of a competitive equilibrium, with or without short sales, with the global cones as I defined them, and exactly as proved in Chichilnisky (Economic Theory, 1995, 5, 79–108).     

期货市场程序化交易研究

随着我国金融市场的繁荣发展,期货市场也呈现出快速发展的趋势,但是由于期货市场分布比较散乱,交易的种类和程序存在着很大的差异,导致期货市场风险居高不下。     

Institutional investors' attention to environmental information,trading strategies,and market impacts: Evidence from China

Using a large proprietary database of intraday high‐frequency trading, we investigate the trading strategies of institutional investors in dealing with the negative environmental event disclosure of listed companies and their impact on markets, aiming to reveal the mechanism of the lack of “green efficiency” in China's capital market from the perspective of institutional investors. The results show that institutional investors react to negative environmental events prior to the announcements, indicating premature information leakage in the market; in addition, their trading behaviors mitigate the immediate effect of negative environmental event announcements on stock price. After the event is disclosed, institutional investors engage in short‐term selling and long‐term buy and hold. This trading strategy undermines the irrational selling of individual investors in the event of disclosure, short‐term decline in stock price, and long‐term reversal of market overreaction. In a China context, institutional investors generally take environmental information into consideration. However, they fail to recognize the long‐term value effect of negative environmental events and instead cater to trading strategies towards market volatility.     

Hard to arbitrage,hard for analysts to forecast

This paper examines whether limits to arbitrage (LA) affect analysts' earnings forecast accuracy. Using the LA index, which is constructed from unique trading constraints in the Chinese stock market and other commonly used measures, we find that forecast accuracy is much lower for stocks with high LA. Moreover, our results are more suited to explanations of cognitive bias that turn to investor sentiment or limited attention and cannot be fully explained by more objective factors, including analyst ability, broker size, broker experience, and commission pressure. We also find that LA amplifies analyst forecast dispersion. Such results indicate that LA distorts analysts’ earnings expectations and provides new insight into how LA affects anomaly returns.     

Asymmetric positive feedback trading and stock pricing in China

Defining asymmetry of feedback trading (AFC) as the difference between buying-winners and selling-losers intensities, the paper investigates if AFC impacts stock pricing. We show that buying stocks with low AFC and selling stocks with high AFC makes significant positive returns after controlling traditional pricing factors. The return mainly comes from the long leg and cannot be simply attributed to either mispricing, liquidity, or risk premium. Further study shows that the negative impact of AFC on future stock return is reinforced with an increase in past returns, maximum daily return, relative valuation level, asset growth rate, or operating profit rate. As AFC represents retail trading intensity, the results imply that the inactiveness of retail investors may make price relative underreaction to good news and thus lead to positive expected stock return.     

Projective system approach to the martingale characterization of the absence of arbitrage

The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of perfect measure spaces, we characterize the absence of arbitrage when the time set is countable.     

Procurement mechanisms and the emergence of new governance structures in the CEECs: evidence from the Bulgarian wine industry

During transition, Bulgaria witnessed the dismantling of communist agri-food supply channels and a weakening of contract enforcement mechanisms. Wineries have had to establish grape procurement and purchasing relationships with a more diverse set of growers and intermediaries. In an attempt to overcome the weaknesses of procurement via spot markets, they have sought more interdependent contractual forms that secure greater control over the quality of inputs and minimise the possibility of opportunistic behaviour. The desired option by wineries is complete backward integration but attempts to achieve this have been limited by fragmented land ownership, credit constraints and incomplete property rights.     

The effect of transaction costs, payment terms and power on the level of raw materials inventories

This paper proposes and tests an explanation for the level of raw materials inventories based on transaction cost economics theory and the role of power in a supply chain. According to this explanation, raw materials inventories are larger the higher a company's transaction costs and the lower its storage-related production and management costs. Factors that affect these costs are the company's vulnerability to opportunism, whether the input becomes more or less costly to store and manage as it moves through the supply chain, payment terms and the company's power in relation to its supplier. This explanation for the level of raw materials inventories was tested on a large sample of customer industries matched to their main supplier industries. Consistent with this theory, the empirical results show that companies hold larger raw materials inventories the more money their suppliers spend on research and development and the less important the customers are to their suppliers. These results are important because they indicate companies must consider a wider range of factors than previously thought necessary when establishing inventory policy.     

论我国商事登记制度

文章通过分析我国现行商事登记法律制度中有违效率价值的问题就完善我国商事登记法律制度实现效率与价值最佳均衡提出几点立法建议。     

Technical analysis,spread trading,and data snooping control

This paper utilizes a large universe of 18,410 technical trading rules (TTRs) and adopts a technique that controls for false discoveries to evaluate the performance of frequently traded spreads using daily data over 1990–2016. For the first time, the paper applies an excessive out-of-sample analysis in different subperiods across all TTRs examined. For commodity spreads, the evidence of significant predictability appears much stronger compared to equity and currency spreads. Out-of-sample performance of portfolios of significant rules typically exceeds transaction cost estimates and generates a Sharpe ratio of 3.67 in 2016. In general, we reject previous studies’ evidence of a uniformly monotonic downward trend in the selection of predictive TTRs over 1990–2016.     

完善中国期货交易立法及监管的思考

期货交易的发展有赖于期货交易市场的发展成熟及其立法的完善。我国在20世纪90年代初期建立了期货交易市场,但期货立法方面仍存在尚待完善之处。本文通过分析中国的期货立法及监管现状,同时比照美国的期货交易立法特点和成就,提出中国期货交易立法与制度改革的建议措施。     

Financial intermediation in an overlapping generations model with transaction costs

We analyze an overlapping generations economy where agents interact to share liquidity risk. We show that a pure exchange economy has excessive trade in equilibrium because agents interact to rebalance their portfolios. Intergenerational financial intermediaries reduce the number of interactions because agents only transact when they face liquidity needs. In the absence of asset risk, intermediaries match redemptions with deposits and dividends, and never sell assets. If the economy is subject to transaction costs, the intermediated economy can sustain higher stationary investment and welfare. We also find that dead weight transaction costs can increase welfare because it protects banks from interbank arbitrage and dampens the inherent cyclicality of market economies.     

Nonlinear mean reversion in the term structure of interest rates

The expectations hypothesis implies that the yield curve provides information on the future change in the short-term interest rate. However, transaction costs exist in the financial market, which prevent investors from realizing the arbitrage opportunity, when the arbitrage does not fully cover the transaction costs. The purpose of this paper is to assess the effect of transaction costs on the predictability of the term structure by using the threshold vector error correction model, which allows for the nonlinear adjustment to the long-run equilibrium relationship. A significant amount of threshold effect is found, and the adjustment coefficients are regime-dependent. The empirical result supports the nonlinear mean reversion in the term structure of interest rates.     

Automated trading systems statistical and machine learning methods and hardware implementation: a survey

Automated trading, which is also known as algorithmic trading, is a method of using a predesigned computer program to submit a large number of trading orders to an exchange. It is substantially a real-time decision-making system which is under the scope of Enterprise Information System (EIS). With the rapid development of telecommunication and computer technology, the mechanisms underlying automated trading systems have become increasingly diversified. Considerable effort has been exerted by both academia and trading firms towards mining potential factors that may generate significantly higher profits. In this paper, we review studies on trading systems built using various methods and empirically evaluate the methods by grouping them into three types: technical analyses, textual analyses and high-frequency trading. Then, we evaluate the advantages and disadvantages of each method and assess their future prospects.     

应收账款成因与对策的理论研究

企业的资产质量是评价一个企业的重要指标,也是企业生存发展的重要保证。应收账款是企业的一项流动性较差的资产,分析应收账款形成原因是治理应收账款的重要前提,传统观点主要从扩大销售提高市场占有率方面对应收账款进行分析。本文结合经济发展的新形势从全新的角度对应收账款进行了分析,并据此提出了治理对策,以供探讨。     

Option pricing and replication with transaction costs and dividends

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration. It is shown that, while the option holder's optimal exercise policy at the ex-dividend date varies according to the stock price, there are intervals of values for such a price where the optimal policy would depend on the holder's preferences. Nonetheless, the perfect hedging assumption still allows the derivation of optimal hedging portfolios for both long and short positions of a market maker on the option.