Information–driven trading at the Prague Stock Exchange: Evidence from Intra–Day Data

Many observers argue that informed and insider trading is widespread in the emerging financial markets of transition countries, yet rigorous treatment of this issue has been virtually non–existent. The current paper estimates the extent of informed trading on the Prague Stock Exchange (PSE) using intra–day transaction data. Our estimates confirm that the average share of informed trading is equal to 0.32, which is high relative to developed markets and varies considerably among stocks. Using the Easley et al. (1996) approach on the very best segment of the PSE we obtained a high average probability of informed trading. Since data used in this study cover the period after the major attempts to improve market regulations, our results indicate that the PSE needs further strengthening to recover credibility and to become a real source of corporate financing. JEL classification: G14, G15.     

The Random Walk Hypothesis in the Emerging Indian Stock Market

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.     

Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note

The behaviour of stock prices on the Colombo Stock Exchange (CSE) is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis (EMH). Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of January 1991–November 1996. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behaviour of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behaviour.     

Disclosure of reserve quantum in the extractive industries

We explore why some firms in the extractive industries disclose mineral reserve quantum in their annual reports and others do not. We propose that the firms' reserve disclosure policies are a function of the extent of information asymmetries, as well as information production, litigation and proprietary costs. More specifically, we propose that a firm's decisions to disclose reserves in the annual report are a function of the stage of the firm's operations, use of project financing, and the cost of measuring reserves. Empirical tests are confirmatory.     

Industry specific effects in investment performance and valuation of firms

A necessary criterion for a performance measure in corporate governance is the degree to which it mirrors how well the management succeeds in maximizing firm value. Such a performance measure is marginal q which links changes in firm value to the investments undertaken by the management. Empirical studies of investment and performance based on marginal q have demonstrated the usefulness of this measure. Most research however, has mainly focused on long-term performance. This paper takes a short-term perspective and, based on the marginal q-theory, considers how firms’ market values change in the extreme stock price cycle of a stock market bubble. Using a data set of listed Swedish corporations we find an anomaly in form of a new industry specific effect that, in addition to investment, explains changes in firm value.

战略性新兴产业的产能过剩评价与预警研究——以中国光伏产业为例

本文从发展性、战略性、新兴性和导向性四个维度分析战略性新兴产业的特征,构建战略性新兴产业产能利用状况的评价指标体系,并在评价综合指数的基础上构建产能过剩预警体系。测算中国光伏产业产能利用评价指标权重及综合指数,并利用“前端”指标对其产能过剩预警模型进行实证检验和分析。研究结果显示,光伏产业上游环节新兴性特征对产能利用的影响程度最大,战略性特征影响程度最小;产能过剩预警模型预测准确率为92.9%,预测效果较好。为化解和防止战略性新兴产业的产能过剩,需要鼓励产学研紧密合作,完善新产品市场配套设施,建立信息发布及产能监测预警机制,提高政府补贴使用效率,正确引导社会资金投向。     

基于GEM模型珠海高新技术产业集群竞争力研究

高新技术产业是珠海经济的命脉,如何科学的分析珠海高新技术产业集群竞争力,对于科学制定区域集群发展政策,增强集群的规模效应尤为重要。本文借助GEM模型,对珠海高新技术产业的竞争力进行综合分析,以此探寻高新技术产业发展的对策,具有一定的现实意义。     

我国财政转移支付绩效的实证分析

本文主要通过对1994年以来我国财政转移支付绩效的实证分析,探讨转移支付制度对我国各地区之间财力横向均衡的影响,并提出进一步提高财政转移支付绩效的政策建议。     

粮食安全视域下的湖南粮食专业合作社发展研究

粮食安全的内涵包括总量安全、结构安全、质量安全、价格安全、生态安全和产业安全。借鉴国外粮食合作社保障粮食安全的经验,我国发展粮食专业合作社有利于促进粮食生产的市场化、规模化、集约化和现代化,是解决我国粮食安全问题的根本出路。湖南作为我国粮食主产区,其粮食专业合作社的发展面临着规模小、土地流转不畅、产业链短、农田水利基础设施薄弱及融资难等问题,需要采取相应措施加以解决以发挥粮食专业合作社在确保国家粮食安全中的积极作用。