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This study examines volatility within three related intra-day series – transaction returns, quote midpoint returns, and limit order book midpoint returns – for a set of NYSE-listed stocks. We document statistically significant GARCH effects both overall and surrounding earnings announcements in all three series for the majority of stocks in the sample. We then compare the extent of volatility clustering among the series. In addition, the relation between volatility and market structure is examined via a set of cross-sectional regressions, and relations among the series over time are studied in a vector autoregressive framework. 相似文献
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关于证券市场有些朋友盼望证券市场早日开放,盼望外国券商早日到来.其心情之迫切,犹如盼望亲人解放军.视股市开放为云开日出,视股市开放为家家都把红旗挂.但开放后到底会出现什么情况,现在无人可以预料. 相似文献
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《Quantitative Finance》2013,13(2):262-269
We investigate the relation between trading activity - measured by the number of trades [iopmath latex="$N_{Delta t}$"] N t [/iopmath] - and the price change [iopmath latex="$G_{Delta t}$"] G t [/iopmath] for a given stock over a time interval [iopmath latex="$[t,~t+Delta t]$"] [t, t + t] [/iopmath]. We relate the time-dependent standard deviation of price changes - volatility - to two microscopic quantities: the number of transactions [iopmath latex="$N_{Delta t}$"] N t [/iopmath] in [iopmath latex="$Delta t$"] t [/iopmath] and the variance [iopmath latex="$W^2_{Delta t}$"] W 2 t [/iopmath] of the price changes for all transactions in [iopmath latex="$Delta t$"] t [/iopmath]. We find that [iopmath latex="$N_{Delta t}$"] N t [/iopmath] displays power-law decaying time correlations whereas [iopmath latex="$W_{Delta t}$"] W t [/iopmath] displays only weak time correlations, indicating that the long-range correlations previously found in [iopmath latex="$vert G_{Delta t} vert$"] |G t| [/iopmath] are largely due to those of [iopmath latex="$N_{Delta t}$"] N t [/iopmath]. Further, we analyse the distribution [iopmath latex="$P{N_{Delta t} gt x}$"] P{N t>x} [/iopmath] and find an asymptotic behaviour consistent with a power-law decay. We then argue that the tail-exponent of [iopmath latex="$P{N_{Delta t} gt x}$"] P{N t>x} [/iopmath] is insufficient to account for the tail-exponent of [iopmath latex="$P{G_{Delta t} gt x}$"] P{G t>x} [/iopmath]. Since [iopmath latex="$N_{Delta t}$"] N t [/iopmath] and [iopmath latex="$W_{Delta t}$"] W t [/iopmath] display only weak interdependence, we argue that the fat tails of the distribution [iopmath latex="$P{G_{Delta t} gt x}$"] P{G t>x} [/iopmath] arise from [iopmath latex="$W_{Delta t}$"] W t [/iopmath], which has a distribution with power-law tail exponent consistent with our estimates for [iopmath latex="$G_{Delta t}$"] G t [/iopmath]. Further, we analyse the statistical properties of the number of shares [iopmath latex="$Q_{Delta t}$"] Q t [/iopmath] traded in [iopmath latex="$Delta t$"] t [/iopmath], and find that the distribution of [iopmath latex="$Q_{Delta t}$"] Q t [/iopmath] is consistent with a Lévy-stable distribution. We also quantify the relationship between [iopmath latex="$Q_{Delta t}$"] Q t [/iopmath] and [iopmath latex="$N_{Delta t}$"] N t [/iopmath], which provides one explanation for the previously observed volume-volatility co-movement. 相似文献
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Kee H. Chung Jangkoo Kang Joon-Seok Kim 《Review of Quantitative Finance and Accounting》2011,36(1):57-81
Large tick sizes imposed on high-priced stocks on the Korea Stock Exchange (KSE) are significant binding constraints on bid-ask
spreads. Nearly 60% of quoted spreads are equal to the tick size for stocks with the largest tick size and more than 87% of
quoted spreads are equal to the tick size for stocks in the largest size portfolio. We also show that the average spread of
KSE stocks with large tick sizes is greater than that of matched NYSE stocks, whereas the average spread of KSE stocks with
the smallest tick size is smaller than the corresponding figure for the matched NYSE stocks. We interpret these results as
evidence that traders on the KSE are paying large trading costs because of the artificially imposed large tick sizes. 相似文献
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《Journal of Corporate Finance》2006,12(3):560-593
This paper examines the link between capital market governance (CMG) and several key measures of market performance. Using detailed data from individual stock exchanges, we develop a composite CMG index that captures three dimensions of security laws: the degree of earnings opacity, the enforcement of insider laws, and the effect of removing short-selling restrictions. We find that improvements in the CMG index are associated with decreases in the cost-of-equity capital (both implied and realized), increases in market liquidity (trading volume, market depth, and U.S. foreign investments), and increases in market pricing efficiency (reduced price synchronicity and IPO underpricing). The results are quite consistent across individual components of CMG and over alternative market performance measures. 相似文献
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Jer-Yuh Wan Chung-Wei Kao 《Journal of International Financial Markets, Institutions & Money》2009,19(1):77-93
This paper investigates the dynamics of price adjustments and the price discovery roles of two markets on Taiwan's foreign exchange, TFI and CFE. Results from the multivariate threshold model indicate prices are integrated nonlinearly. The roles of price discovery are asymmetric, depending on the size and sign of the price discrepancies between the two markets. In the lower regime of discrepancies, each market employs information from its counterpart and reacts to each other with different adjustment speeds. When the discrepancy is in the upper regime, CFE's role of price discovery is characterized by its exogenous behavior within the error-correction process. 相似文献
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美国的纽约证交所(NYSE)和纳斯达克股票交易市场(Nasdaq),联同欧洲的伦敦证交所(LSE)、欧洲证交所(Euronext)和德国证交所(DB)共同构筑了国际证券市场的五角形格局,时过境迁,国际证券市场的五角形格局正在悄然崩溃,在金融并购浪潮的汹涌侵袭之下,五角形的一角,甚至两角时刻面临着香消玉损的命运安排 相似文献
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Kalman J. Cohen Steven F. Maier Walter L. Ness Hitoshi Okuda Robert A. Schwartz David K. Whitcomb 《Journal of Banking & Finance》1977,1(3):219-247
This paper is divided into two distinct parts. Part I, Empirical Evidence, tests a previously formulated variance, thinness relationship for security returns. First quarter 1972 daily returns variance is regressed on market value of shares, share price, trading activity, sales variance, and institutional holdings for 178 firms selected by stratified random sampling from AMEX and NYSE (specialist exchanges), and from Tokyo and Rio de Janeiro (non-specialist exchanges). The principal finding is that returns variance and market value are inversely related on non-specialist exchanges, but not on specialist exchanges; this difference is attributed to specialists' impact. Part II, Policy Proposals, discusses the manner in which designated market makers may be effectively incorporated into a continuous auction exchange. Issues discussed include: desirability of price stabilization, transfers implicit in the existing U.S. specialist system, consolidation and public availability of the limit order book, number of designated market makers for a security, competitive bidding, and compensation for performing the price stabilization function. Stabilization is modeled as an external economy, and specific policy proposals for internalizing it are advanced. 相似文献
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This study examines empirically the degree to which the history of daytime and overnight price changes and order flow affects estimates of traders' beliefs about future security price changes. Estimates indicate that forecasts of the permanent component of price changes occurring after the open of trading are significantly related to past price changes and order flow; but the same is not generally true for price changes occurring after the close. These results are consistent with models of technical analysis, and models in which the process of trading facilitates price discovery. The evidence also suggests that private information is an important determinant of price movements. 相似文献
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Richard H. Puckett 《Journal of Monetary Economics》1984,14(1):97-104
This paper examines the dissents of Federal Open Market Committee members regarding the domestic monetary policy directive. It shows that, on balance, governors appointed by Democratic U.S. presidents dissented significantly on the easier side, while governors appointed by Republican U.S. presidents dissented significantly on the tighter side. The pattern of dissents for the Reserve Bank presidents was like that of Republican appointees to the Board of Governors. The Bank presidents' voting did not reflect regional points of view. Furthermore, the timing of the dissents by both the governors and presidents did not seem to be associated with the onset of Congressional or presidential elections. 相似文献
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本文运用产业组织理论和简单的博弈论原理证明,保险企业采用给予折扣等非规范竞争是保险企业经营者的一种理性选择。而具体的非规范竞争行为又与市场需求弹性、保险企业管理水平、承保企业的所有制性质相关。根据对保险市场折扣行为的分析,笔者的结论是监管机构除了对相关行为进行有效监管以外,还要逐步放开费率厘定权、鼓励保险企业进行险种创新并进一步开放保险市场。 相似文献
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In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We show that the uncertainty elasticity of liquidity (UEL: percent change in liquidity given a 1% change in VIX) has increased around regulatory changes in the US markets that increased the role of public traders in liquidity provision, reduced the minimum allowable price variation, weakened the affirmative obligation of NASDAQ dealers, and abolished the specialist system on the NYSE. 相似文献
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Hans R. Stoll 《Journal of Financial Services Research》1992,6(1):75-106
The research for this article was supported by a grant from the New York Stock Exchange and by the Dean's Fund for Summer Research. 相似文献
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Despite the introduction of sophisticated stock market indices, investors often trade portfolios of the flawed indices to change their exposure to the market. In this study, we show that these transactions cause significant mispricing in individual stocks, especially during periods of significant market movement. As an influential, albeit flawed, stock index, we focus on the Nikkei 225. We find index constituents that are excessively weighted on the index, experience buying (selling) pressure when the stock market surges (falls), and experience price corrections after such periods of change. In contrast, non-constituent stocks do not experience such trading pressure. 相似文献
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This paper studies the relationship between firm leverage and supplier market structure. We find that firm leverage decreases with the degree of competition between suppliers. Specifically, leverage decreases with the elasticity of substitution between suppliers. Leverage also decreases with the number of suppliers when the elasticity of substitution is high, and increases with the number of suppliers when the elasticity is low. We also provide empirical evidence that is consistent with the model predictions. 相似文献
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《Journal of Financial Intermediation》2014,23(1):47-75
This paper shows that the effects of financial liberalization on the credit market of a small and capital constrained economy depend on the market structure of domestic banks prior to liberalization. Specifically, under perfect competition in the domestic credit market prior to liberalization, liberalization leads to lower domestic interest rates, in turn leading to increased credit penetration. However, when the initial market structure is one of imperfect competition, liberalization can lead to the exclusion of less wealthy entrepreneurs from the credit market. This provides a rationale for the mixed empirical evidence concerning the effects of liberalization on access to credit in developing markets. Moreover, the analysis provides new insights into the consequences of foreign lenders’ entry into developing economies. 相似文献
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美国资产支持证券市场结构与次按危机解析 总被引:1,自引:0,他引:1
美国次按危机不仅给世界多家金融巨擎造成巨大损失,甚至险些在世界范围内酿成了一场全面的流动性危机。文章从信贷资产证券化发起机构、CDO发起流程、信用评级的制定及下调原理,流动性危机的成因这一逻辑顺序全面回顾了美国资产支持证券市场的运作机制以及次贷危机产生的根源,以期为深入研究次级债问题提供参考。 相似文献