Entry deterrence when the potential entrant is your competitor in a different market

In this article, we present a two‐period model in which one firm operates in two markets: a monopoly and a duopoly. Assuming that this firm has private information on the cross‐price elasticity of demand between the products sold in both markets, it limits its quantity supplied in the monopoly market in order to make its rival in the other market believe that entry into the monopolized market is unprofitable. As a result of this strategy, the average prices observed in both markets increase. This result suggests that the detrimental effects of entry deterrence on consumers' welfare are stronger than those predicted by previous literature.     

Institutional Investors' Trading in Speculation: Evidence from China

The trading behaviour of institutional investors has attracted much attention. However, many issues related to their trading behaviour cannot be addressed without high‐frequency changes in institutional ownership. Based on a measure of the trading behaviour of institutional investors by using an institutional account dataset from China, we find that (i) active institutions trade speculatively by taking advantage of individual investors; (ii) individuals buying high and selling low offer liquidity only on average; (iii) foreign investors do not show significant patterns in speculation; and (iv) trading of active institutions significantly affects price. This study casts doubt on the conventional wisdom that institutional or sophisticated investors improve market efficiency by correcting mispricing, and provides direct evidence for institutional investors' speculation behaviour and their destabilising effect on the stock market. Results suggest that regulators in emerging markets should monitor institutions' speculation to bring fairness and justice to the stock market.     

Market In efficiency in Person‐to‐Person Betting: Examining ‘Known Loser’ Insider Trading on the Exchanges

Applying the Shin z measure of market efficiency to the relatively new person‐to‐person internet betting exchanges, Smith, Paton, and Vaughan Williams found “significantly lower market biases” compared to bookmaker‐dominated markets. A reduced favorite‐longshot bias is interpreted as evidence that insider trading on the exchanges “is not widespread” and “not as commonplace … as is sometimes portrayed in the media.” Given that the Shin measure assumes “betting with bookies,” whereas the exchanges represent “betting without bookies,” the present study employs the notion of ‘significant mover’ to empirically test for the presence of ‘known loser’ insider trading on the exchanges where traditional notions of bookmaking do not apply. Findings indicate that, far from being less problematized by insider trading compared to racetrack betting, activity aimed at profiting from “known losers” may be potentially commonplace on the exchanges. This includes profiting from horses that are unplaced. This study offers new insight into the efficiency of betting markets.     

国际资本流动与房地产、上证市场联动性研究

去年底以来,我国出现了国外短期资本出逃的现象,这直接导致了人民币兑美元汇率的连续"跌停"。一方面,作为国外资本的主要投资场所,房地产市场和上证市场的发展状况直接影响了国外短期资本的投资热情;另一方面,国外短期资本的流动也影响着房地产市场和上证市场的发展。鉴于此,本文从外汇储备、房地产市场以及上证市场三个角度,结合相关的实证分析方法,来深刻揭示这三者之间的相互影响关系。分析过程用到的方法包括ADF检验、协整检验、格兰杰因果检验、脉冲响应函数分析、方差分析等。最后得出三者间存在较为明显的联动效应的结论。     

基于分形市场假说的全国试点碳交易市场有效性研究

碳交易试点市场运行至今已有数年,目前正处于由试点向全国过渡的关键时期.基于分形市场假说,通过计算Hurst指数发现,8个试点碳交易市场均未达到市场弱式有效的标准.各地区交易政策与现状表明其仍存在免费配额供给过剩、控排主体履约驱动力不强等问题.基于此提出要建立全国统一碳市场,必须处理好市场与政府关系,保持市场灵活性,同时完善交易制度,让更多有效投资者进入.     

The Persistence of Dominant‐Firm Market Share: Raising Rivals' Cost on the New York Stock Exchange

To explain the persistence of dominant New York Stock Exchange (NYSE) market share in stock trading of listed securities from 1992 to 2002, we develop a dominant‐firm price leadership model and hypothesize that NYSE specialists raised the costs of rival market makers. The model predicts that natural and induced cost advantages will determine the NYSE's market share vis‐à‐vis the regional exchanges, electronic trading systems, and NASDAQ dealers. Empirically, NYSE market share increases with economies of scale and scope, abnormal price volatility, high asymmetric information, and with trading practices that raise rivals' costs, such as failure to display limit orders that bettered the existing quotes.     

Financing Alternatives for Chinese Small and Medium Enterprises： The Case for a Small and Medium Enterprise Stock Market

Financing alternatives for small and medium enterprises in China are discussed in the present study. In particular, we analyze the significant changes and developments in China s “second board” stock market. China s extensive network of regional assets and equity exchanges, which were set up to facilitate private equity transfer, and non‐performing loan transactions seem to partially fill the void for small and medium enterprises, which cannot easily obtain approval for listing on the stock exchanges. Foreign investors can identify investment opportunities in non‐listed domestic state‐owned and private businesses through these regional assets and equity exchanges. At the same time, foreign stock markets are now attracting the young Chinese enterprises to list their stocks on their exchanges. (Edited by Zhinan Zhang)     

机构投资者持股与内部人交易——基于中国A股市场的证据

作为证券监管机构的监管重点与难点，内部人交易一直以来备受关注。如何有效监督内部人交易，维护证券市场秩序与公平，保护中小投资者利益，是一个重要且具有现实意义的问题。基于2007-2015年中国A股上市公司内部人交易数据，文章探究了机构投资者持股对内部人交易获利能力的影响，发现：（1）机构投资者的存在会提高内部人买入行为的获利能力，会抑制内部人卖出行为的获利能力；（2）机构投资者对内部人交易的影响在卖出样本中存在截面差异，具体表现为在国有企业样本组和非两职合一样本组更显著；（3）机构投资者异质性分析发现，基金投资者会提升内部人买入交易的获利能力，合格的境外投资者会抑制内部人交易的总体获利能力，其他机构投资者一方面会促进买入行为的获利能力，一方面会抑制卖出行为的获利能力；（4）机制路径检验发现，机构投资者对内部人卖出交易的抑制作用存在提高公司盈余质量、提升治理水平和改善信息披露水平三种机制路径。总之，文章验证了机构投资者影响内部人交易的研究推论。     

Trade-size clustering and price efficiency

Using a sample of 26 markets, this paper investigates if trade-size clustering affects price efficiency. Our results suggest that more clustering trades are associated with greater resemblance of a random walk, less pricing errors, and shorter price delays. Moreover, we examine three underlying mechanisms to explain how clustering improves efficiency. First, we show that clustering trades are informative, consistent with the idea that stealth traders leverage such tactics to convey private information to prices. Second, we discover that clustering trades are positively related to investor attention (stock liquidity), implying that informed clustering trades happen at the presence of enormous uninformed investors. High attention and liquid markets help reduce the trading friction, thereby prompting quick price adjustments to private information released by the stealth trading.     

Share portfolios in the early years of financial capitalism: London, 1690–1730

The dramatic expansion of public and private financial markets in the aftermath of the Glorious Revolution has received extensive attention. Despite this, little is known about how ordinary individual investors managed risk within this framework. Using a newly constructed dataset of share ownership for those joint‐stock companies listed in the financial press of the day, we reconstruct individual portfolio holdings for investors in these companies. We examine individual portfolio holdings first for the decade after the Glorious Revolution and then for the years around the South Sea Bubble. Despite a fivefold increase in the number of unique individuals in the market between the 1690s and the 1720s, we find that in each period roughly 80 per cent of those active in the equity market held shares in only one company, even though many shareholders had the capacity or wealth to diversify share portfolios. These outcomes suggest diversification against idiosyncratic liquidity risk. Overall, however, there is limited evidence that individuals were using their financial portfolios to protect against diversifiable shocks. For many, we argue, company‐specific voting and firm governance rules drove market activity.     

Individualism,Uncertainty Avoidance,and Earnings Momentum in International Markets

This study examines whether cultural dimensions such as individualism and uncertainty avoidance can explain the variation in the profitability of the earnings momentum strategies in international markets. Using the time‐varying cultural indices of Tang and Koveos (2008) for 30,383 firms from 41 countries over the period 1995–2008, we show that the level of individualism in a country is positively associated and the level of uncertainty avoidance is negatively associated with earnings momentum profits. Our findings are robust to the inclusion of a comprehensive set of control variables and alternative cultural metrics. The central message is that we emphasize the necessity to go beyond the assumption of perfect rationality and to account for innate differences among international investors to explain how accounting information is incorporated into stock prices. We recommend that cultural dimensions be included in cross‐country research to account for innate differences among international investors.     

非理性假设与中国证券市场发展研究

中国证券市场发展过程中一直存在股价波动大、估值高、内幕信息交易多、非理性投资者多等特征,经典的有效市场理论和投资者微观结构理论无法解释其产生的原因和过程.基于中国资本市场投资者是有限理性和异质性的假设,本文使用分形市场与混沌理论的研究范式,通过模拟建立异质性投资者非线性动力学模型,从内生性因素出发研究不同类型投资者学习变迁的机制,以及这种变迁机制形成中国资本市场特征的必然性.在此基础上,本文提出了完善中国资本市场发展的相关政策建议.     

Stock return seasonalities and investor structure: Evidence from China's B-share markets

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.     

Political risk and the international bond market between the 1848 revolution and the outbreak of the First World War1

This article uses price data and editorial commentaries from the contemporary financial press to measure the impact of political events on investors’ expectations from the middle of the nineteenth century until the First World War. The main question addressed is why political events appeared to affect the world's biggest financial market, the London bond market, much less between 1881 and 1914 than they had between 1843 and 1880. In particular, I ask why the outbreak of the First World War, an event traditionally seen as having been heralded by a series of international crises, was not apparently anticipated by investors. The article considers how far the declining sensitivity of the bond market to political events was a result of the spread of the gold standard, increased international financial integration, or changes in the fiscal policies of the great powers. I suggest that the increasing national separation of bond markets offers a better explanation. However, even this structural change cannot explain why the London market was so slow to appreciate the risk of war in 1914. To investors, the First World War truly came as a bolt from the blue.     

Price and Volume Reactions to Public Information Releases: An Experimental Approach Incorporating Traders' Subjective Beliefs*

This paper examines how market prices, volume, and traders' dividend expectations respond to public information releases in laboratory markets for a long-lived financial asset. The objective is to study deviations from the symmetric information risk-neutral rational expectations (RE) benchmark, which predicts no trade in such settings. The results of a series of double-auction and call markets are reported in which traders manage a portfolio of cash and asset shares over 15 rounds of trading. A public signal regarding the value of the liquidating dividend is released every third round, and traders' subjective expectations of the liquidating dividend are elicited each round as cash-motivated forecasts. We find that, despite the public dividend signal, traders' dividend forecasts are heterogeneous. Forecasts and prices both underreact to the public signals, with prices under-reacting more than forecasts. In general, price changes are not closely associated with public signals, and there is greater excess price volatility in double auctions than in call markets. Forty-three percent of trades are inconsistent with the trader's forecasts, and inconsistent trades occur more frequently in the double-auction markets. On average, approximately 10 percent of the outstanding shares are traded in each round, and trading volume is increasing in the mean absolute forecast revision and decreasing in the contemporaneous dispersion in forecasts. These results suggest that differential processing of the public signal and/or speculative trading for short-term gain may help to explain why symmetric information RE predictions are often not supported in empirical and experimental settings. They also suggest that market reactions to public information releases may be influenced by market microstructure.     

机构投资者行为与指数表现研究

本文旨在研究机构投资者的交易风格与市场指数表现之间的关系。研究结果表明:在样本期内,基金交易引导短期趋势,多扮演着助推指数上涨的角色;保险资金平衡短期趋势,低买高卖助于稳定指数;券商自营的趋势投资色彩更浓;QFII和重点私募的波段操作特点突出。一个有趣的发现是,券商自营交易是基金和重点私募交易的Granger原因。市场短期的涨/跌幅越大,对保险资金和QFII资金的卖出/买入行为促进作用越强,但对其他机构投资者的影响并不显著。     

Financial Market Competition: The Effects of Transparency

European and US financial markets are faced with increased competition for order flow. Fundamental in the competition process is the organization of the trading process, since this directly influences the performance and trading costs of those markets. In this paper we examine the effects of public quote disclosure and the disclosure of transaction information on market liquidity and price efficiency. Our results indicate a clear trade-off between efficiency and liquidity. These findings could explain why a variety of co-existing trading structures can be optimal among competitive financial markets.     

噪声交易与股票流动性:兼对“正(负)相关”理论的评析及“流动性黑洞”现象的解释

噪声交易与股票流动性都是行为金融研究的重点，但二者的相关性问题学界一直未能达成一致，"正负之争"不休。文章改进Kyle （1985）的假设，构建符合中国实际的流动性数理模型，模型表明：噪声交易与流动性负相关，且相关关系受信息不对称、风险厌恶度等因素的影响。进一步，文章以中国沪深300指数的成分股数据证实了"噪声交易-流动性"关系，发现其存在显著的月历效应和市场行情效应。文章对"正（负）相关"理论进行了梳理和评析，为争论的清晰化、明朗化做出贡献。     

Turnover tax and trading volume: Panel analysis of stocks traded in the Japanese and US markets

Japan eliminated turnover tax on stock trading through the end of the 1990’s to revitalize its ailing stock market by reducing the overall transaction cost for stock trading. This paper empirically examines the effect of this exogenous, institutional change in tax policy on stock trading volume in the Japanese market. To do so, we use panel data of stocks traded in both the Japanese and United States markets and compare changes in their trading volumes at the times of the tax changes. We use a well-established V-shape relationship between turnover and price change, with three different assumptions as regards how the price change relates to turnover across stocks and markets. Although a model allowing for both slope and intercept shifts does not offer any indications one way or the other, a more restricted model allowing only for an intercept shift clearly suggests a statistically significant increase in trading volume in the Japanese market but not in the United States markets for April 1999. However, such a result was not obtained for April 1996. These results indicate that the abolition of turnover tax in 1999, but not the rate reduction in 1996, contributed to the trading volume increase.     

Volatility and Volume in Chinese Stock Markets

The fact that stock market returns in Europe and the USA are characterised by conditional heteroscedasticity is by now well documented in a large literature. We address the question of whether the same is true of the four Chinese stock markets (Shanghai and Shenzhen A and B) over the period from 25 November 1994 to 27 April 2001. Using daily index data, we make two departures from the standard GARCH(1,1) model. First, we use exponential GARCH (EGARCH) to allow for asymmetry in the volatility, which may be present as a result of leverage effects. Second, we respond to evidence of two-way causality between volume and return (and return volatility) by introducing a simultaneous equation model of the relationship. The results of estimating the model indicate that asymmetry does not seem to be present to a significant degree, possibly as a result of lack of information or concern among Chinese investors. We find that volume appears to play a significant part in determining index volatility, which may reflect information arrival effects or may alternatively result from the direct impact of trading on volatility. At the same time, we also find that both the level of returns and their conditional variance have an impact on trade volume, probably because positive (negative) returns tend to attract (deter) investors into the markets.