共查询到20条相似文献,搜索用时 46 毫秒
1.
Shinhua Liu 《Journal of Financial Services Research》2008,34(1):77-91
Theories predict that launching index futures could affect the price informativeness for the underlying stocks. We test this
hypothesis by taking advantage of the introduction of the Nikkei 225 futures contracts in Singapore on September 3, 1986.
Employing two alternative statistical methods applied to both daily and weekly data, we find that, following the listing of
the index futures, returns become significantly more random and less predictable for the underlying stocks, even after controlling
for concurrent marketwide shifts. These findings suggest improved price informativeness for the underlying stocks, which is
further corroborated by their higher trading volume following the event.
相似文献
Shinhua LiuEmail: |
2.
Apostolos Dasilas 《Financial Markets and Portfolio Management》2009,23(1):59-91
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004.
We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price
anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading
volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of
dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm
that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.
相似文献
Apostolos DasilasEmail: |
3.
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation
overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications
and control variables. This finding contrasts with previous evidence that implies a positive relation between transaction
costs and price volatility, while consistent from the converse with the hypothesis proposed by Stiglitz (1989) and Summers and Summers (1989). Our results suggest that imposing higher transaction costs might still be a feasible policy tool for stabilizing the market
by curbing short-term noise trading.
相似文献
Zhen Zhu (Corresponding author)Email: |
4.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
5.
Steven Shuye Wang Wei Li Louis T. W. Cheng 《Review of Quantitative Finance and Accounting》2009,32(3):235-267
We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces
additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying
stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities
for speculative and arbitrage activities using futures directly against options. These futures and options trading activities
are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility
and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity
of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings
are robust.
相似文献
Louis T. W. Cheng (Corresponding author)Email: |
6.
Carole Comerton-Forde James Rydge Hayley Burridge 《Review of Quantitative Finance and Accounting》2007,29(4):395-413
On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
相似文献
Carole Comerton-FordeEmail: |
7.
Oliver Kim Steve C. Lim Taewoo Park 《Review of Quantitative Finance and Accounting》2009,32(2):145-168
In this paper we examine how sales affect earnings and in turn the stock price using a model in which sales contribute to
earnings by a fixed sales margin rate and the stock price responds more sensitively to sales-induced earnings than to non-sales-induced
earnings. We report that the regression coefficient of the sales margin (2.54) is about three times the earnings response
coefficient (0.85) for the full sample and can be as high as 19 times the earnings response coefficient for an industry (i.e.,
11.95 vs. 0.62 for restaurants). We contribute to the literature by identifying and documenting factors that make separating
out the sources of earnings more important in equity pricing.
相似文献
Taewoo ParkEmail: |
8.
This article revisits the debate on the nature of private placements by specifying that informed insiders make trading decisions
in the secondary market and equity issuance decision in the primary equity market (Lee and Wu (2008)). This article uses conditional residuals from the insider trading regression (abnormal insider trades) and conditional
residuals from equity financing choice regression (unexpected equity financing choice) to measure private information. An
important advantage of conditional correlation coefficient approach over the two-stage approach (Lee and Wu 2008) in testing the presence of asymmetric information is that the former is bounded by −1 and 1 and thus permits cross-sectional
comparisons the relatedness between abnormal insider trades and unexpected equity financing choice.
相似文献
Lee Cheng-FewEmail: |
9.
Henryk Gurgul Paweł Majdosz Roland Mestel 《Financial Markets and Portfolio Management》2007,21(3):353-379
This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of
DAX companies. Contemporaneous as well as dynamic interactions are investigated for a period from January 1994 to December
2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume
in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition,
we establish that lagged return volatility induces trading volume movements. Finally, we examine dependencies in the tails
and find no significant support for the hypothesis of the independence of the maximal values of absolute returns and trading
volume.
相似文献
Roland Mestel (Corresponding author)Email: |
10.
Ronald C. Rutherford Thomas M. Springer Abdullah Yavas 《The Journal of Real Estate Finance and Economics》2007,35(1):23-38
Previous research (Rutherford et al. 2005; Levitt and Syverson 2005) identify and quantify agency problems in the brokerage of single-family houses. Real estate agents are found to receive
a premium when selling their own houses in comparison to similar client-owned houses. Given the homogeneity of the condominium
market in comparison to the single-family house market, we use a large sample of condominium transactions to examine if agency
problems exist in the condominium market. Controlling for sample selection and endogeneity bias of the data, we find evidence
for a similar price premium for agent-owned condominiums. In contrast to the results for single-family houses in the same
geographic market, we find that agent-owned condominiums must stay on the market longer to receive a higher price.
相似文献
Abdullah YavasEmail: |
11.
We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
相似文献
Jonathan FletcherEmail: |
12.
Pricing futures on geometric indexes: A discrete time approach 总被引:1,自引:0,他引:1
Arie Harel Giora Harpaz Jack Clark Francis 《Review of Quantitative Finance and Accounting》2007,28(3):227-240
Several futures contracts are written against an underlying asset that is a geometric, rather than arithmetic, index. These
contracts include: the US Dollar Index futures, the CRB-17 futures, and the Value Line geometric index futures. Due to the
geometric averaging, the standard cost-of-carry futures pricing formula is improper for pricing these futures contracts. We
assume that asset prices are lognormally distributed, and capital markets are complete. Using the concepts of equivalent martingale
measure and the risk-neutral valuation relationships in conjunction with discrete time methodology, we derive closed-form
pricing formulas for these contracts. Our pricing formulas are consistent with the ones obtained via a continuous time paradigm.
相似文献
Jack Clark FrancisEmail: |
13.
How do commodity futures respond to macroeconomic news? 总被引:1,自引:1,他引:0
Dieter Hess He Huang Alexandra Niessen 《Financial Markets and Portfolio Management》2008,22(2):127-146
This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures
indices. Based on a large sample from 1989 to 2005, we show that the daily price response of the CRB and GSCI commodity futures
indices to macroeconomic news is state-dependent. During recessions, news about higher (lower) inflation and real activity
lead to positive (negative) adjustments of commodity futures prices. In contrast, we find no significant reactions during
economic expansions. We attribute this asymmetric response to the state-dependent interpretation of macroeconomic news. Our
findings are robust to several alternative business cycle definitions.
相似文献
Alexandra Niessen (Corresponding author)Email: |
14.
The Dynamic Impact of Macro Shocks on Insurance Premiums 总被引:1,自引:0,他引:1
We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
相似文献
Ying Sophie HuangEmail: |
15.
We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the US findings
of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and US markets that could impact on merger motives.
Compared with the US, New Zealand is a small capital market; with weak takeover regulation and a prolonged aftermath of the
1987 stock market crash. Consistent with US research, we find evidence of synergy and hubris motivations in New Zealand takeovers
although we find the synergy motivation is stronger. Contrary to expectations we find no evidence of agency motivated takeovers.
相似文献
Hamish D. AndersonEmail: |
16.
Shinhua Liu 《Journal of Financial Services Research》2007,32(3):161-176
This study examines the effect of transaction costs on the time series behavior of stock returns over a period surrounding
the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant decreases in
estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for Japanese stocks
dually listed in the United States as American Depository Receipts (ADRs), which were not subject to the tax law change. We
also find lower price basis between the ADRs and their underlying Japanese stocks. These results are consistent with the hypothesis
that a reduction in transaction costs improves the efficiency of the price discovery process.
相似文献
Shinhua LiuEmail: |
17.
Cheng-few Lee Keshab Shrestha Robert L. Welch 《Review of Quantitative Finance and Accounting》2007,28(2):163-185
In this paper, we derive an equilibrium relationship between the yields on Eurodollar and Treasury bills based on equivalent martingale results derived by Harrison and Kreps (1979) and Harrison and Pliska (1981, 1983) as well as the corporate debt pricing model developed by Merton (1974). The derived equilibrium relationship incorporates the models used by Booth and Tse (1995) and Shrestha and Welch (2001) as special cases. The equilibrium relationship indicates that the conditional volatility of the yield on Eurodollars explains the variation in the TED spread.
We empirically test the equilibrium relationship using a GARCH-M model and the concept of fractional cointegration. We use
both the ex ante data implied by the respective futures contracts as well as the ex post spot data with daily, weekly and monthly frequencies. We find empirical support for the Equilibrium relationship.
相似文献
Robert L. WelchEmail: |
18.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
19.
In October 2006, the NYSE began rolling-out phase three of a four-phase plan initiate its new Hybrid trading mechanism. The
results show that this new trading platform introduced a much larger proportion of electronic transactions relative to floor
auction transactions. This migration to electronic transactions is further evidenced by a mirror shift in price discovery
from floor trades to trades marked for automatic electronic execution. In addition, the move to Hybrid trading introduced
a significant decrease in inventory control costs, as well as a noticeable increase in trade persistence. Finally, the new
trading platform has increased the speed with which orders are met, and has also decreased the proportion of executed shares
which receive price improvement.
相似文献
Yiuman TseEmail: |
20.
Hsuan-Chu Lin 《Review of Quantitative Finance and Accounting》2007,29(2):173-180
This paper identifies and corrects a typographical error in Black and Cox (J Finance 31:351–367, 1976). While the typographical error is seemingly trivial, the magnitude of the pricing error that it generates can be substantial.
相似文献
Hsuan-Chu LinEmail: |