Liquidity commonality in order-driven trading: evidence from the Athens Stock Exchange

We examine the presence of liquidity commonality in the order-driven Athens Stock Exchange (ASE). Unlike the majority of liquidity commonality studies that focus on the bid–ask spread, our analysis extends deeper in the Limit Order Book, providing insight on the price impact of both small and large trades. We utilize a 6-month FTSE/ATHEX-20 intraday data set to estimate the liquidity factor model of Chordia et al. (2000). To this end, we conduct single-equation analysis as well as panel data analysis with the use of two-way clustered errors, correcting for simultaneous firm and time correlations. Moreover, we apply standard principal component analysis on stock liquidities to extract the marketwide liquidity component. We find that liquidity commonality is low at the bid–ask spread, whereas it increases deeper in the book; consequently, large traders face liquidity risks associated with both individual stock and marketwide illiquidity. Moreover, our empirical evidence hints that liquidity commonality is asynchronous, suggesting that the ASE trading process includes various levels of information speed. Our analysis contributes to the understanding of liquidity commonality in order-driven trading, especially in emerging markets like the ASE where trading activity is limited and information speed is low.     

Is corporate payout taxation a long run phenomenon? Evidence from international data

This paper examines whether dividend and capital gains taxation influences corporate payout policy using the country level data of 21 countries in panel versions of time series models. We find that dividend relative to capital gains tax penalty is cointegrated with corporate payouts (dividends and share repurchases) i.e. corporate payout taxation may be a long run phenomenon. Further, the cointegrating vector estimates are largely consistent with the traditional view of dividend taxation whereby the tax penalty discourages dividends, while the estimates give limited support to the premise that firms substitute dividends for share repurchases in response to an increase in dividend tax penalty. Long run causality also operates between the tax penalty and payouts in the error correction models. Additionally, dividend tax appears to be more influential than capital gains tax on dividend payout decisions. Lastly, taxation affects dividends more significantly in countries with high investor protection.     

Relationship between oil,stock prices and exchange rates: A vine copula based GARCH method

In this paper, we apply a vine copula approach to investigate the dynamic relationship between energy, stock and currency markets. Dependence modeling using vine copulas offers a greater flexibility and permits the modeling of complex dependency patterns for high-dimensional distributions. Using a sample of more than 10 years of daily return observations of the WTI crude oil, the Dow Jones Industrial average stock index and the trade weighted US dollar index returns, we find evidence of a significant and symmetric relationship between these variables. Considering different sample periods show that the dynamic of the relationship between returns is not constant over time. Our results indicate also that the dependence structure is highly affected by the financial crisis and Great Recession, over 2007–2009. Finally, there is evidence to suggest that the application of the vine copula model improves the accuracy of VaR estimates, compared to traditional approaches.     

定向增发、资产注入与股市波动——股权分置改革后的股市脆弱性模型推导及其政策含义

股权分置改革的完成并不能消除上市公司大股东与中小股东之间的利益冲突。在全流通时期,大股东理性参与上市公司的定向增发、资产注入及其后的股份减持很可能诱致股市的过度波动。对这种股市过度波动所引致的股市脆弱性机理我们进行了模型推导和因子分析。分析表明,牛市中,大股东参与定向增发、资产注入会导致牛市的助涨。而当熊市来临时,大股东会停止资产注入并减持股份,进而起到熊市助跌的作用。针对由此引起的股市脆弱性,监管部门应采取相应的监管措施。     

Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions

We examine the change in the effect of Federal Reserve’s policy actions on stock returns after the Fed started to use unconventional policy actions. We find that the response of stock returns to monetary policy actions are almost seven times higher after the federal funds rate hit the zero lower bound. We conduct additional analysis to examine the underlying causes of the increase in the impact of monetary policy actions of stock returns. We show that investors rebalance their portfolios towards equity after selling Treasury securities to the Federal Reserve during large scale asset purchases.     

Comparing linear and nonlinear forecasts for stock returns

We compare the out-of-sample performance of monthly returns forecasts for two indices, namely the Dow Jones (DJ) and the Financial Times (FT) indices. A linear and a nonlinear artificial neural network (ANN) model are used to generate the out-of-sample competing forecasts for monthly returns. Stationary transformations of dividends and trading volume are considered as fundamental explanatory variables in the linear model and the input variables in the ANN model. The comparison of out-of-sample forecasts is done on the basis of forecast accuracy, using the Diebold and Mariano test [J. Bus. Econ. Stat. 13 (1995) 253.], and forecast encompassing, using the Clements and Hendry approach [J. Forecast. 5 (1998) 559.]. The results suggest that the out-of-sample ANN forecasts are significantly more accurate than linear forecasts of both indices. Furthermore, the ANN forecasts can explain the forecast errors of the linear model for both indices, while the linear model cannot explain the forecast errors of the ANN in either of the two indices. Overall, the results indicate that the inclusion of nonlinear terms in the relation between stock returns and fundamentals is important in out-of-sample forecasting. This conclusion is consistent with the view that the relation between stock returns and fundamentals is nonlinear.     

Equity returns,bond returns,and the equity premium in the German capital market

This article reviews the empirical evidence for equity returns, bond returns, and the equity premium in the German capital market for the period from 1870 to 1995. Taken together, the studies reviewed provide convincing evidence that over longer investment periods, average equity returns have been higher than average bond returns. These excess returns, however, have been highly volatile and negative in many years, illustrating the higher risk of equity investments. Moreover, market timing had a major positive or negative impact on overall returns. Despite the historical evidence of a substantial equity premium there is still little equity investment by German households.     

浅析宏观经济政策对金融市场的影响

近几年来,国内经济的发展可谓势头猛增,国家出台了一系列的宏观经济政策,这些宏观经济政策对我国金融市场的发展具有一定的影响。本文就国家的宏观经济政策对我国的金融市场产生的影响进行浅析评论。     

我国上市公司股票期权激励问题研究

本文首先阐述了股票期权的含义及理论基础;其次,在介绍了我国股票期权实施现状的基础上,系统地分析了我国公司所面临的相关法律法规、外部市场环境及内部治理结构等方面的问题;最后,针对以上存在的各项问题提出了相应的对策建议。     

限售股权定价的实证检验

我国上市公司的非流通股权实质为限售股权,股权分置改革改变了限售期的不确定性.通过对2004～2006年5月间326笔我国上市公司限售股权转让信息的研究发现:限售股股东向流通股股东支付对价是有理论和实证依据的,股权分置改革有利于国有资产保值增值.公司净资产、控制权收益以及公司流通股比例与限售股定价正相关.流动性约束与限售股定价负相关.受让方为非国有性质时,限售股转让相对价较低.股权转让方式、公司盈利能力等财务指标对限售股定价有一定影响.