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1.
Market Liquidity and Trading Activity 总被引:26,自引:1,他引:25
Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day-of-the-week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long- and short-term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements. 相似文献
2.
Risk aversion, liquidity, and endogenous short horizons 总被引:1,自引:0,他引:1
We analyze a competitive model in which different informationsignals get reflected in value at different points in time.If investors are sufficiently risk averse, we obtain an equilibriumin which all investors focus exclusively on the short term.In addition, we show that increasing the variance of informationlesstrading increases market depth but causes a greater proportionof investors to focus on the short-term signal, which decreasesthe informativeness of prices about the long run. Finally, wealso explore parameter spaces under which long-term informedagents wish to voluntarily disclose their information. 相似文献
3.
Can a stock exchange improve corporate governance and transparency by designating companies that exhibit superior corporate governance? In 2000, the Borsa Italiana created a mid-cap segment with strong listing standards, which is composed of firms (called STARS) that follow stricter standards of transparency, disclosure, monitoring and liquidity. We find that STAR firms exhibit governance characteristics not observed in non-STAR firms, such as a higher incidence of audit and executive committees and higher debt ratios. They experienced a modestly favorable share price response upon the implementation of the STAR initiative. Moreover, they experienced significantly higher buy and hold returns and transparency after the initiative. Several governance characteristics are cross-sectionally associated with performance following the STAR initiative. Overall, the results suggest that firms may be willing to improve governance when they are endorsed by a credible agency for doing so, and such improvements may lead to better performance. The STAR initiative may serve as a model that can be adapted by other stock exchanges to promote transparency and governance. 相似文献
4.
Avanidhar Subrahmanyam 《Real Estate Economics》2007,35(3):383-408
This article represents the first exploration of liquidity and order flow spillovers across New York Stock Exchange stocks and real estate investment trusts (REITs). Impulse response functions and Granger causality tests indicate the existence of persistent liquidity spillovers running from REITs to non-REITs. Specifically, REIT liquidity indicators are forecastable from non-REIT ones, at both daily and monthly horizons. I also provide evidence of a liquidity premium inherent in REIT returns. While REIT prices appear to be set efficiently in that neither REIT nor non-REIT order flows forecast REIT returns, I find that order flows and returns in the stock market negatively forecast REIT order flows. This result is consistent with the notion that real estate markets are viewed as substitute investments for the stock market, which causes down-moves in the stock market to increase money flows to the REIT market. 相似文献
5.
Avanidhar Subrahmanyam 《European Financial Management》2010,16(1):27-42
I review the recent literature on cross-sectional predictors of stock returns. Predictive variables used emanate from informal arguments, alternative tests of risk-return models, behavioural biases, and frictions. More than fifty variables have been used to predict returns. The overall picture, however, remains murky, because more needs to be done to consider the correlational structure amongst the variables, use a comprehensive set of controls, and discern whether the results survive simple variations in methodology . 相似文献
6.
7.
We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated and the average returns from a portfolio strategy based on prominent anomalies have approximately halved after decimalization. We provide evidence that hedge fund assets under management, short interest and aggregate share turnover have led to the decline in anomaly-based trading strategy profits in recent years. Overall, our work indicates that policies to stimulate liquidity and ameliorate trading costs improve capital market efficiency. 相似文献
8.
A number of futures markets use price limits which, in effect, preclude trade from occurring at prices outside certain exogenous bounds. Noting that such markets are characterized by heterogeneously informed traders, whereas previous work on price limits assumes symmetrically informed traders, we examine the effects of price limits in a setting where market participants are asymmetrically informed. We find that imposing price limits generally lowers the quality of information acquired in equilibrium, but lowers bid–ask spreads as well. Thus, depending on the relative weights placed by society on liquidity versus price efficiency, there may exist a set of price limits that are most efficient in achieving a trade-off between liquidity and informational efficiency. We perform empirical tests of some implications of the model using cross-sectional data on price limits. We find that price limits are strongly negatively related to both price volatility and trading volume. Though other explanations for our empirical findings cannot be ruled out, these results are not inconsistent with the model's implication that price limits should be tighter for contracts which offer greater profit potential for informed traders. 相似文献
9.
A theory of trading in stock index futures 总被引:22,自引:0,他引:22
It is demonstrated that markets in stock index futures or, moregenerally, in baskets of securities, provide a preferred tradingmedium for uniformed liquidity traders who wish to trade portfolios,because adverse selection costs are typically lower in thesemarkets than in markets for individual securities. Thus, anexplanation is provided for the immense liquidity and popularityof markets in stock index futures. Implications are also developedfor the effect of the introduction of a basket on market liquidityand the informativeness and variability of component securityprices, and for the price relationship between the basket andits underlying portfolio. 相似文献
10.
In this paper, we analyse cross‐sectional heterogeneity in the time‐series variation of liquidity in equity markets. Our analysis uses a broad time‐series and cross‐section of liquidity data. We find that average daily changes in liquidity exhibit significant heterogeneity in the cross‐section; the liquidity of small firms varies more on a daily basis than that of large firms. A steady increase in aggregate market liquidity over the past decade is more strongly manifest in large firms than in small firms. Absolute stock returns are an important determinant of liquidity. We investigate cross‐sectional differences in the resilience of a firm's liquidity to information shocks. We use the sensitivity of stock liquidity to absolute stock returns as an inverse measure of this resilience, and find that the measure exhibits considerable cross‐sectional variation. Firm size, return volatility, institutional holdings, and volume are all significant cross‐sectional determinants of this measure.
(J.E.L.: D82, G10, G14). 相似文献
(J.E.L.: D82, G10, G14). 相似文献