The value of the corporate voting right: Evidence from Switzerland

This paper analyzes the value of voting power of Swiss firms which usually issue high-voting- rights stock, low-voting-rights stock, and non-voting stock. Two variables measuring voting- power-inequality are constructed. They are both useful in explaining the voting-rights-premia. Also, the allocation of the voting rights is analyzed. It is shown that majority shareholders hold the high-voting-rights stock.     

Determinants of equity return correlations: a case study of the Amman Stock Exchange

This paper seeks to explain time-varying correlations among equity returns. The literature has shown that fundamental and economic factors can explain stock returns or the volatility of markets. Here, panel data analysis is employed to examine whether these factors can also explain the comovement of stock returns. Time-varying correlations among sectoral indexes are estimated using a restricted multivariate threshold GARCH model with dynamic conditional correlation controlling for the asymmetric effects of news and the influence of financial crises. The empirical results from this panel data analysis show that equity return correlations can be explained not only by macroeconomic variables but also by fundamentals within an industry.     

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。     

The Cross-Section of Stock Returns on The Shanghai Stock Exchange

This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993–2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns. JEL Classification: G14, G15     

Stealth trading: The case of the Tokyo Stock Exchange

The stealth trading hypothesis asserts that informed traders trade strategically by breaking up their orders so as to more easily hide among the liquidity traders. Using data for the Tokyo Stock Exchange (TSE), a pure order-driven market, we find evidence that price changes are driven by small- and medium-size trades, with small trades making the greatest contribution to price change relative to their contribution to trading volume. We also find that large trades explain a greater portion of the cumulative price change on high volatility days. Hence, our results support the stealth trading hypothesis for the TSE.     

The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation

This paper investigates the information content of trading volume on the Toronto Stock Exchange before and after the move towards fully electronic trading. It is argued that if price discovery improves under electronic trading, the predictive power of volume should be less significant. The empirical analysis supports more accurate price discovery under electronic trading. Results from both the structural and vector autoregression models indicate that the predictive power of volume for price variability disappears after full automation.     

Stock exchange demutualization,self-listing and performance: The case of the Australian Stock Exchange

This paper examines the effects of the recent spate of financial exchange mutual-to-stock conversion phenomenon on the performance of listed exchanges and the quality of the stock market using the Australian Stock Exchange (ASX) as a case study. We find that the ASX stock significantly outperformed the stock index and the control group on a market-adjusted return basis. The stock market performance is driven by strong operating performance. The profitability ratios of the ASX have significantly improved in the five years following the demutualization and self-listing. The performance improvements remain significant even after controlling for growth in the Australian economy. From a market quality perspective, we document evidence of increased trading activity by foreign investors after ASX’s demutualization and self-listing. Interestingly, we also find that bid-ask spreads of the stock market have narrowed in the post-conversion period. In particular, small-cap firms have become more liquid. The results show that stock exchange conversion from mutual to publicly traded exchange is not only value enhancing for the exchange and its shareholders, but it is also beneficial for the stock market as a whole.     

Stock splits in a neutral transaction cost environment: Evidence from the Athens Stock Exchange

This paper investigates the value consequences of stock splits in a market where institutional characteristics minimize the effects of price realignment and signaling. We find that despite these market conditions, stock splits by Greek firms produce positive price reaction around the announcement day. Further, split factors are directly related to pre-split price levels and deviations from average market prices. Splitting firms also realize earnings improvement which is not reversed after the stock split. Consistent with these findings, market reaction is inversely related to the post-split target price and the size of firm. We interpret this as evidence in support, respectively, of the self-selection and “attention-gathering” hypotheses. As reported in other international studies, there is no evidence of liquidity improvement.     

The Toronto Stock Exchange preopening session

This paper documents order submission strategies during the Toronto Stock Exchange preopening session. I find that the registered trader (RT) actively participates in the market opening, even though he cannot set the opening price directly, and has no apparent informational advantage. RT opening trades are profitable, moderate overnight price changes, and appear to be motivated, in part, by inventory adjustment concerns. I examine interlisted stocks that simultaneously open for trading under two different mechanisms and show how the comparative levels of pre-trade market transparency of each exchange impacts RT profits and participation.     

The valuation effects of overseas listings: The case of the Tokyo Stock Exchange

Shareholders of U.S. firms that listed stock on the Tokyo Stock Exchange from 1973 to 1989 are shown to have experienced no significant wealth gains. The pattern of the market's reaction to a Tokyo listing tracks closely the reactions to a domestic listing, where gains prior to listing are later erased. The findings indicate no advantages to a listing for a firm with a prior business presence in Japan, and they do not support the hypothesis of diminishing returns to foreign listings. The findings are consistent with the integration of international capital markets.     

Liquidity Dynamics Around Jumps: The Evidence from the Warsaw Stock Exchange

The aim of our study is to examine the dynamics of trading volume and the number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps with macroeconomic and firm specific news. We find that only the minority of jumps is associated with public information releases, whereas the majority of them is motivated by liquidity shocks observed in the spreads, volume, and the number of trades. Our findings show that jumps are related to the inability of the market to absorb new and big orders. Liquidity shocks in volatility, volume, and quoted spread are the key drivers accompanying the occurrence of the jumps. Finally, the introduction of a faster and more efficient trading system improves the liquidity by increasing the depth of the market.     

Constructing a Multifactor Model for the Shanghai Stock Exchange

ABSTRACT

We examine the validity of five factor models for explaining the time-series and cross-sectional variations in stock returns in the Shanghai Stock Exchange. The factor models include four models proposed by previous literature. Moreover, we propose a four-factor model (comprising market, size, book-to-market, and sales-to-price factors) to explain variations of stock returns in the Shanghai Stock Exchange. The results show that the Shanghai stock market exhibits size, book-to-market, and sales-to-price effects. Both the adjusted coefficient of determination and regression model intercepts indicate that the proposed four-factor model explains variations of stock returns in the Shanghai Stock Exchange more effectively in comparison with other multifactor models.     

The underpricing of IPOs on the Stock Exchange of Mauritius

This paper investigates the underpricing of IPOs on the Stock Exchange of Mauritius (SEM). Taking into account the whole population of firms which went public since the inception of the SEM until 2010, the results show an average degree of underpricing within the range 10–20%. Using a regression approach, we demonstrate that the aftermarket risk level and auditor's reputation both have a significant positive impact on initial returns. We propose the use of the Z-score as a composite measure of a firm's ex ante financial strength, and find that it has a significant negative effect on the degree of short-run underpricing.     

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。     

The behavior of equity securities on the German Stock Exchange

This is the first major empirical study of the German Stock Exchange and involves the analysis of monthly data for ninety German companies from 1960 to 1970. Whereas previous studies had suggested that German securities were peculiar, this analysis showed that, except for the high positive serial correlation of returns for the larger companies, German securities had very similar properties to securities elsewhere. Betas for German companies were fairly stationary over time, with the interperiod correlation for company betas ranging from 0.2 to 0.4. When the effect of measurement error was reduced, the perceived stationarity increased and a significant regression tendency towards the mean was observed. Further, it was found that the behaviour of German securities did not conflict with the domestic capital asset pricing model and indeed supported it during the bull market of the early 1960s.     

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.     

汇率冲击、公司特质与外汇风险暴露——基于上证180样本股票的分析

开放经济条件下,汇率波动对上市公司价值的影响成为学者和业界广泛关注的重要课题。学者在研究外汇风险暴露的过程中发现,即使是同行业的公司,外汇风险暴露差异也很大,公司特异性因素对外汇风险暴露的水平有重要影响。2005年7月21日人民币汇率形成机制改革启动,人民币汇率波动幅度不断扩大,我国企业面临的外汇风险将不断增大。本文在对我国上市公司外汇风险暴露进行实证分析的基础上,采取两阶段回归方法,对影响上市公司外汇风险暴露公司特异性因素进行深入分析,认为36%的样本上市公司有显著的外汇风险暴露,这一比例高于发达国家的水平;外汇风险暴露与外部经济活动、负债状况和公司成长性密切相关。     

Dividend Signalling Equilibria: Quantitative Evidence From The Brussels Stock Exchange

The objective of this research is to document the market reaction to dividend changes on the Brussels Stock Exchange and to relate it to information releases by the firms. The results show important differences between Belgian investors' behavior and U.S. investors' behavior. On the Brussels Stock Exchange, when companies use dividends as the usual way to remunerate stockholders, the market reaction to unexpected dividend changes is weak and statistically insignificant. The market reaction to dividend initiations is also quite insignificant. However, when companies both release information regarding their activities (commercial, financial, or social information) and initiate dividends, the market reaction is comparable to what has been documented in previous U.S. studies.