The Small Business Capital Market Behavior in Athens Stock Exchange

Financing small and medium enterprises (SMEs), especially business investments and growth, is a composite and particular complicated affair in the Greek entrepreneurial reality. This paper examines the significance of secondary capital markets, as an alternative source of financing small-medium enterprises’ new entrepreneurial plans. Cointegration technique is applied to test the relationship between the secondary capital market and the dominant sectors in Athens Stock Exchange (ASE). Causality tests are also used to provide evidence on the existence of interdependence between the cointegrated series. The results indicate that there is significant uni-directional causality between primary and secondary capital market in Greece, enhancing us to suggest valuable policy implications.      

Shift‐contagion Vulnerability in the MENA Stock Markets

As part of a broader financial development reform agenda, the Middle East and North Africa (MENA) countries have successfully expanded and revitalised their stock markets over the last decade. Whereas previous contributions have investigated efficiency, international integration and portfolio diversification opportunities, very little is known about these markets’ vulnerability to external financial crises. In this paper, we investigate shift‐contagion to the MENA region using a comprehensive battery of econometric tests for a number of different crises episodes: the 1997 Asian crisis, the 1998 Russian virus and its Brazilian sequel, the 2000 Turkish collapse, the 9/11 turmoil, the 2001 Argentinean crisis, the 2002 Enron/WorldCom scandal and the 2007–09 global financial crisis. We found that Turkey, Israel and Jordan were the most vulnerable markets over the 1997–2009 period, followed by Tunisia, Morocco, Egypt and Lebanon. Our results also highlight heterogeneous but increasing levels of sensitivity to external financial shocks, especially during the recent global financial crisis. From a financial point of view, this suggests that MENA‐based diversification strategies may be relatively inefficient during periods of global turmoil. From an economic point of view, our results suggest that stock market development also involves potential destabilisation costs. This issue should be acknowledged and addressed by policymakers if these countries are to ensure a smooth transition towards international financial integration.     

Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH,Announcement, and Seasonality Effects

We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Conditional Heteroskedasticity effects); (b) prior knowledge of when major scheduled macroeconomic announcements, such as the employment report or Producer Price Index, will be released; and (c) knowledge of seasonality patterns. We find that all three information sets have significant incremental predictive power, but macroeconomic announcements are the most important determinants of periods of very high intraday volatility (particularly in the interest‐rate markets). We show that because the three information sets are not independent, it is necessary to simultaneously consider all three to accurately measure intraday volatility patterns. For instance, we find that most of the previously documented time‐of‐day and day‐of‐the‐week volatility patterns in these markets are due to the tendency for macroeconomic announcements to occur on particular days and at particular times. Indeed, the familiar U‐shape completely disappears in the foreign‐exchange market. We also find that estimates of ARCH effects are considerably altered when we account for announcement effects and return periodicity; specifically, estimates of volatility persistence are sharply reduced. Separately, our results show that high volatility persists longer after shocks due to unscheduled announcements than after equivalent shocks due to scheduled announcements, indicating that market participants digest information much more quickly if they are prepared to receive it. However, contrary to results from equity markets, we find no evidence of a meaningful difference in volatility persistence after positive or negative price shocks. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 517–552, 2001     

The Profitability of Option‐Based Contrarian Strategies: An Empirical Analysis

Short‐selling restrictions limit investors' opportunities to profit from contrarian strategies in equity markets. We examine the proposition that incorporating options into contrarian strategies constitute a viable alternative to investors when short‐selling restrictions are in place. In particular, we combine equities with the call and put options traded on the Australian Stock Exchange to investigate the profitability of contrarian strategies in the hybrid market and options market alone. We assess the practical issues in the execution of these approaches, including testing for the effects of limited liquidity and transaction costs. We also investigate how fundamental factors (such as dividend yield, firm size, book‐to‐market ratio, earnings per share, price‐earnings ratio, value stocks, and market conditions) affect contrarian portfolios. The results show that employing options can enhance the profitability of contrarian strategies under certain market conditions.     

The Effects of Market Makers and Stock Analysts in Emerging Markets

We exploit a quasi‐experiment to examine the effects of market makers and stock analysts in three emerging stock markets. We find substantial differences in the effects across markets, and in contrast to existing literature, the effects of market makers are not always positive. Our results suggest that the structure of market makers' agreements and compensation matters for their effects on market quality. Stock analysts, on balance, have marginally positive effects on liquidity and informational efficiency. The benefits of market makers are weaker in the presence of stock analysts, and vice versa, suggesting that market makers and stock analysts are more like substitutes than complements in their effects on market quality.     

Beijing Stock Exchange Supports Innovation-Driven Small and Medium-sized Enterprises

On September 2,2021,general secretary Xi Jinping announced in his speech at the China International Fair for Trade in Services—Global Services Trade Summit,that the State will continue to support innovation and development of small-and medium-sized enterprises,deepen the reform of the National Equities Exchange and Quotations(NEEQ) and set up the Beijing Stock Exchange to build a main camp for serving innovative small-and medium-sized enterprises.     

The Influences of Major Currencies in Foreign Exchange Markets: A Regression‐Based Measure and Its Application

Based on the regression explanatory power, we propose a measure of the relative influences of a group of major currencies, including the US dollar, euro, Japanese yen, and UK pound, on the exchange rate behaviors of lesser currencies. Using the measure and 27 sample floating currencies, we empirically examine the cross‐currency and temporal variations in the relative influences of two, three, and four major currencies during the 16‐year post‐euro period of 1999 to 2014.     

Volatility Spillovers and the Risk-Return Relation Between Stock and Foreign Exchange Markets in Brazil

We examine the evidence of mean and volatility spillovers between stock and foreign exchange markets in Brazil with multivariate GARCH models and nonlinear Granger causality tests. We also use a multivariate GARCH-in-mean model to assess the relationship between risk and return in these markets. The results indicate that the stock market leads the foreign exchange market in price formation and that nonlinear Granger causalities from the exchange market to the stock market do occur. Part of these nonlinear causalities are explained by volatility spillovers. We show that exchange rate volatility affects not only stock market volatility but also stock returns.     

Dynamics of Stock Prices and Exchange Rates Relationship: Evidence From Five Sub-Saharan African Financial Markets

This article examines the dynamic relationship between stock prices and exchange rates for five Sub-Saharan African financial markets: Ghana, Kenya, Mauritius, Nigeria and South Africa. It uses weekly data, covering the floating exchange rate regime from January 14, 2000, to December 31, 2009, and applies both the Vector Autoregression and the Dynamic Conditional Correlation models. Results from the Vector Autoregression model suggest no evidence of cointegration between stock prices and real exchange rates for all the five countries in the sample. Results from the dynamic conditional correlation show that the correlation coefficients are not constant for the period under study, and the estimates largely show a negative time-varying correlation for all the countries except Ghana that indicates a positive correlation.     

上市并购目标公司的特征研究

运用ANOVA和Logit回归方法探求我国并购目标公司区别于非目标公司的财务特征,并对几种具有代表性的并购动机做出检验。结果表明,替换无效率的管理层理论和交易成本理论对并购上市公司的动机具有较强解释力,与此同时还有部分并购出于投机动机。     

异质信念与股票收益——基于我国股票市场的实证研究

本文以经调整后的换手率和收益波动率作为投资者异质信念的代理指标,采用1997—2007年间的样本数据,分别运用资产组合分析法和截面收益回归法,直接验证在我国股票市场上投资者异质信念对股票收益的影响。本文的研究发现支持了基于异质信念假设的资产定价理论:在卖空限制约束下,异质信念导致当期股价高估,与股票未来收益负相关。文章的结论经FF四因素模型调整后依然成立。本文还发现,与美国股票市场相比,我国股票市场高估程度更严重,持续时间更长。因此,引入卖空机制可以在一定程度上解决我国股票市场高估问题。     

Fast‐Expanding Markets: The Revolution of the Microeconomy

Where will we find growth opportunities ? the kind that will take our businesses to the next level? The usual and popular choice of terms we use when looking at current markets and potential ones often include developed markets and emerging economies. These terms have inspired a new golden age of racing to the new treasure hidden in the capacities of these markets. Based on the seminal concept of “fast‐expanding markets,” this article discovers growth as residing at a new level, capable of redefining geographies and territories, often untapped or unnoticed by the most conventional macroeconomic analysis. © 2015 Wiley Periodicals, Inc.     

The Effect of Delays in Information Exchange in Electronic Markets

In this research I explored the impact of information delays in a simple model of negotiation through an electronic market system. I found that a market can accurately reflect buyers' and sellers' preferences only if the rate of injection of price information multiplied by the rate of transfer of price information falls between 0 and 2. It is argued that markets adjust themselves to this constraint in practice. The alternatives are to experience chaotic and catastrophic volatility in prices or to go out of operation. Thus, electronic commerce can provide value beyond merely speeding up operations and increasing capacity. It also helps avoid misleading behavior by both buyer and seller and allows markets to operate in a wider range of trading environments.     

Two‐Factor Decomposition Analysis for Correlation between Mainland China and Hong Kong Stock Markets

We analyzed the correlation between mainland China and Hong Kong stock markets based on cash flow (CF) news and discount rate (DR) news instead of considering market return as a whole. We decomposed stock return into CF news and DR news following Campbell and Vuolteenaho. Then, the VAR‐ BEKK‐GARCH method was used to investigate the time‐varying correlations of CF news and DR news in the two markets. We ensured robustness by using the structural break test from Bai and Perron to estimate the structural break points during the sample period. The results show that CF news and DR news in the mainland China market is more volatile than in the Hong Kong market, and DR news correlation is usually negative when the mainland China market is undergoing some reform. The estimated structural break points were matched to important events in the mainland China market and the two markets become increasingly correlated.     

Exchange Rate Effects on Domestic Prices in Bulgaria and Poland: Progress in Making Markets?

The economic liberalization which has occurred in Central and Eastern Europe (CEE) over the past 15 years generally has involved establishing domestic markets and privatizing state‐owned firms, both with the intention of integrating the CEE economies into the global economy and allowing the benefits of competition to be realized. We explore how well this has been accomplished in two countries, Poland and Bulgaria, and the domestic conditions that contribute to its accomplishment. The sensitivity of domestic markets to international shocks, as reflected in exchange rate effects on domestic prices, may be viewed as an indicator of how integrated a country’s markets are into the global economy, and a proxy for competition in those markets. In explaining variation in exchange‐rate pass‐through, we examine the impact of market structure, economic liberalization and infrastructure as factors contributing to the development of competitive markets. We find that although integration into global markets can significantly increase market competitiveness, domestic factors also play a significant role.     

Banking Relationships: Effects on Debt Terms for Small Spanish Firms*

This paper analyzes the effect of banking relationships on interest rates and the probability that guarantees must be provided in a sample of small and medium‐sized enterprises (SMEs). The results indicate that SMEs that work with fewer banks obtain debt at a lower cost. This seems to suggest that concentrated banking relationships reduce the uncertainty of lending to risky firms, which translates into lower interest rates. Reduction in risk could come from greater flexibility in negotiations, increased control over the investment, and mitigation of the free‐rider problem. When the relationship is exclusive, which would represent the maximum concentration, a bank can take advantage of its monopoly position and require more guarantees from a firm. SMEs that have longer‐term relationships with their bank are more likely to be required to provide guarantees. This result seems to suggest that SMEs involved in longer‐term relationships are subject to the information monopoly of the lender.     

The Role of Financial Ratios in the Variance of Stock Trading Volume in Emerging Stock Markets

The study used quarterly panel data of 6 years from 2010 to 2015 of all companies listed on both Vietnamese stock markets including the Ho Chi Minh City Stock Exchange and Ha Noi Stock Exchange, and on three leading industries consisting of insurance-banking, foodstuff, and real estate to explore the relationship among four key financial ratios and stock trading volume. Two models, fixed effects model (FEM) and random effects model (REM), with robust standard errors, were applied for this study. The key findings showed that earnings before tax on sales, debt on owner’s equity, and owner’s equity on total assets significantly influenced trading volume.