中关村管委会与纽交所携手合作

纽交所集团执行副总裁兼美国上市及现金交易执行联合主管史考特·卡特勒在出席签约仪式时表示：“我们非常荣幸与中关村管委会建立长期伙伴关系,并高度重视此次合作,相信双方能够实现优势共享,共同成长。中关村作为中国领先的经济、科技及教育试验园区及中国创业和高科技投资热点实验区,     

Reputation Effects in Trading on the New York Stock Exchange

Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocating with the stock obtain lower trading costs than brokers not moving and brokers beginning trading post‐move. Our results suggest that reputation plays an important role in the NYSE's liquidity provision process.     

纽约股票交易所要上市?

许多新鲜事物都是首先在美国问世.这里有来自全世界的能人、好人和坏人.就其金额而言,这里是全世界最大的市场.但也有例外,例如,证券交易所的上市就是首先在瑞典推出的.欧洲的其他交易所也随即跟上.北欧的挪威的交易所、德国的证券交易所已经上市.英国平常与欧洲大陆不太合拍,但这次伦敦交易所也已经放出话来,今年晚些时候就上市.     

Stock prices and the flow of information in the Athens Stock Exchange

The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.     

Volume,Volatility, and New York Stock Exchange Trading Halts

Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following “pseudohalts”: nonhalt control periods matched on time of day, duration, and absolute net-of-market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The extent of media coverage is a partial determinant of volume and volatility following both halts and pseudohalts, but a separate halt effect remains after controlling for the media effect.     

Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule

We examine the impact of Rule 10a-1, the Uptick Rule, on short-sell orders sent to the NYSE. The principal finding is that the execution quality of short-sell orders is adversely affected by the Uptick Rule, even when stocks are trading in advancing markets. This is inconsistent with one of the three stated objectives of the rule, i.e., to allow relatively unrestricted short selling when a firm's stock is advancing so that the rule does not affect price discovery during such times. Journal of Economic Literature Classification Numbers: G18, K22     

Evidence of the Nostationarity of the Variance Rate of Return of New York Stock Exchange Listed Common Stock

The variance rate of return is shown to be nonstationary for the majority of stocks studied, with a median change of 100 percent over a period of one and one-half years. The degree of change declines as the interval between estimates is shortened as does the extent to which the variance rates of different of the change do not appear to be strongly related to the trading frequency of the stock.     

跟踪报道中国上市公司在纳斯达克和纽约股票交易所

中华网(CHINA) 2001年1月股介变动图 美国PR有线新闻,1月4日,中华网宣布进军泰国,在经过三年的出资购买计划后,成功收购了在曼谷的电子商务服务公司Cyderimage,从而加速其在亚洲地区扩张电子解决商务.     

跟踪报道中国上市公司在纳斯达克和纽约的股票交易所

中华网(CHINA) 2000年12月股价变动图 ▲美国PR有线新闻,12月4日,中华网公司子公司"城网联系"在网络营销协会(WMA)组织的网络大奖赛和香港设计家协会组织的2000年设计展上连膺六奖.     

Boards,ownership structure,and involuntary delisting from the New York Stock Exchange

This study examines whether the likelihood of becoming involuntarily delisted from NYSE is associated with a firm’s board of directors and ownership characteristics. To this end we compare 161 firms that were delisted from NYSE between 1998 and 2004 to a set of industry and size-matched control firms. Consistent with our expectations, we find that the likelihood of delisting is related to a firm’s governance characteristics. Our results on the importance of the board of directors are new to this setting and add to a large body of evidence linking corporate boards and ownership characteristics to corporate performance.     

Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange

This article tests for differences in execution costs among specialist firms for New York Stock Exchange listed securities. Execution cost differences provide a measure of the relative performance of specialist firms. We find a substantial difference in effective spreads and order processing costs across specialist firms, controlling for stock characteristics. While economically significant, the differences in execution costs between specialist firms are much smaller than the cross-market differences reported by Huang and Stoll (1996). Within a specialist firm, there is a positive relation between order processing costs and trading activity that is consistent with the hypothesis that active stocks subsidize inactive stocks.     

Order submission strategies,liquidity supply,and trading in pennies on the New York Stock Exchange

We use NYSE system order data to conduct a controlled experiment examining changes in trader behavior, displayed liquidity supply, and execution quality around the reduction in the minimum price variation to $0.01. Although traders do not substantially reduce their use of traditional limit orders in favor of market orders or non-displayed orders, they do decrease limit order size and cancel limit orders more frequently after decimals than before. These changes in order submission strategy appear to result in less displayed liquidity throughout the limit order book more than 15 cents from the quote midpoint. This reduction in displayed liquidity, however, does not manifest itself in poor execution quality. Even for large system orders, traditional execution quality is not worse with decimals than with fractions.     

On the independence of transactions on the New York Stock exchange

This paper presents empirical tests of a model of intraday transaction price walks haveior events both the existence of price reversal's in transaction price sequence with random, New York daily. and longer different intervlas. In genral, we find that trasaction of independ events both with respect to their time execution and the siem and (bid or ask) or whick thaye are executed. Over very short intervals times, however, transapction tend to cluster in time and on a particular side of the market. We conjecture that this latter phenomenon is a consequence of market procedures on the New York Stock Exchange.     

Stock prices and volume

We undertake a comprehensive investigation of price and volumeco-movement using daily New York Stock Exchange data from 1928to 1987. We adjust the data to take into account well-knowncalendar effects and long-run trends. To describe the process,we use a seminonparametric estimate of the joint density ofcurrent price change and volume conditional on past price changesand volume. Four empirical regularities are found: (i) positivecorrelation between conditional volatility and volume; (ii)large price movements are followed by high volume; (iii) conditioningon lagged volume substantially attenuates the 'leverage' effect;.and (iv) after conditioning on lagged volume, there is a positiverisk-return relation.     

证券交易所的可竞争性与我国证交所的发展

在技术与制度激变的全球化时代,证券交易所越来越成为了金融业中的竞争实体,21世纪初全球证交所大范围的整合并购,要求我们对于证券交易所的定位与发展应该有新的认识。本文从证交所在市场的中可竞争性出发,探讨我国证券交易所的未来发展。     

Competition on the London Stock Exchange

This paper investigates the determinants of the level of competition on the order–driven market organised by the London Stock Exchange. In contrast to previous empirical market microstructure studies, we treat the level of competition as an endogenous variable. The statistical nature of the measures of competitive activity used in this paper necessitate use of a count regression model. Using a sample 50 stocks, we find that users of the system tend to follow the lead of other users (termed the 'herding effect') and that competition is greater during the period when the US exchanges are open (termed the 'US effect'). In addition, the level of competition is positively related to the bid–ask spread pertaining to a particular stock (termed the 'spread effect'). The latter result is most likely due to traders following a strategy where trade immediacy is traded off against price advantage. Finally, we find that the magnitude of the herding effect, the spread effect, and the fit of the count regression models (termed the 'fit effect') vary in a predictable manner across the liquidity of stocks.     

Net Settlement and Counterparty Risk: Evidence from the Formation of the New York Stock Exchange Clearing House in 1892

The securities settlement literature indicates that centralized settlement can reduce monitoring incentives and lead to excessive risk‐taking and inefficient risk‐sharing. This paper examines broker‐failure rates and counterparty losses surrounding the transition from bilateral to multilateral settlement facilitated by the NYSE. Study results provide evidence that net settlement reduced failures without diminishing risk constraining incentives. The study constructs a controlled comparison of broker failures through data collected from the NYSE and the Consolidated Stock Exchange, which traded identical securities settled under different systems. The results suggest that multilateral settlement is advantageous when financial markets are highly stressed.     

上海证券交易所新交易系统评估及改进策略

交易系统的优劣直接影响着金融市场的效率,是衡量一国交易所乃至一国金融市场竞争力必不可少的因素。建设高效率的金融交易系统,也是上海成为国际金融中心的必要条件。本文首先根据上海证券交易所新交易系统结构提出了6个衡量指标:低时延性、可连接性、灵活性、多功能性、可靠性以及可扩展性;然后,对上海证券交易所新交易系统从上述六方面进行全面评估;最后,在结合自身交易制度和保持自身交易系统特点的前提下,适当借鉴国外交易所交易系统的优点,提出相关措施与建议。     

Stock prices and demand for money in China: New evidence

This paper investigates the relationship between stock prices and the real money demands for China within a cointegrated framework. This study reports two important results. First, test results reveal that a stable long-term relationship exists between broad money (M2) and its determinants including real income, foreign interest rate, and stock prices. Second, stock prices have a significant substitute (positive) effect on long-run broad-money (M2) demand and its omission can lead to serious misspecification in the money demand function in both the short- and long-run. Finally, we demonstrate that long-run income elasticity is not significantly different from unity with the inclusion of stock prices in the money demand equation.     

Price Clustering on the Tokyo Stock Exchange

This paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also extends to order book depth. There is evidence of strategic trading behavior as traders place orders one price tick better than zero and five to avoid queuing orders at prices ending in these digits. Strategic trading behavior declined and clustering increased when the market became anonymous.