Download or read book Essays on trade and equity written by Hugo Rojas-Romagosa and published by Rozenberg Publishers. This book was released on 2005 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Economics of Equity Trading written by João Francisco Baptista Colaço Sobral do Rosário and published by . This book was released on 2010 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter reviews the existing literature on the Economics of the Stock Exchanges. The review describes the services provided by the Stcok Exchanges and the different components of a trade. The main focus is on the forces of aglommeration and fragmentation that characterize the process of trading and listing. If finalizes with a historical descrition of the evolution of the Stock Exchanges, in their form of organization and trends for the number of exchanges in operation.

Download or read book Essays on Stock Trading Volume Volatility and Information written by Hanfeng Wang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay we find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. This pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t

Download or read book The Gains from Trade and the Gains from Aid written by Murray C. Kemp and published by Routledge. This book was released on 2002-09-11 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the normative side of trade theory and is divided into five parts: * trade under perfect competition; * restricted trade under perfect competition; * trade under imperfect competition and other distortions; * Compensation: lumpsum, non-lumpsum or neither? * International trade

Download or read book Essays on Capital Structure and Trade Financing written by Klaus Hammes and published by Department of Economics School of Economics and Commercial Law Go. This book was released on 2003 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Trade Growth and Capital Mobility Across Countries written by Tzvetana Rakovski and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trade and Industry written by Ashok S. Guha and published by . This book was released on 2001 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Selected papers of a seminar held in 1998 under the NIPFP-Ford Foundation Fellowship Programme; some papers with reference to India.

Download or read book Essays on Financial Market and Trade Globalization written by Yahui Wang and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Equity Prices and Market Structures written by Juan Wu and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay, we provide new evidence on the relationship between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers. We can further differentiate regular institutional trades from institutional program trades. Our results indicate that order imbalances from different trader types play distinctly different roles in price formation. Institutions and individuals are contrarians with respect to previous-day returns but differ in the effect their order imbalances have on contemporaneous returns. Institutional imbalances are positively related to contemporaneous returns, and cross-sectional evidence suggests this relationship is likely to be the result of firm-specific information institutions have. Individuals, specialists, and other market makers appear to provide liquidity to these actively trading institutions. Our results also suggest a special role for institutional program trades. Institutions choose program trades when they have no firm-specific information and can afford to trade passively. As a result, program trades provide liquidity to the market. Finally, both institutional non-program and individual imbalances have predictive power for next-day returns. In the second essay, based on daily shorting flow data for a large sample of NYSE-listed stocks, we show that short sellers enhance the relative efficiency of transaction prices. We also provide new evidence on the recent suspension of the Uptick Rule for Regulation SHO Pilot stocks. Relative to matched control stocks, pilot stocks experience some improvement in price efficiency associated with increased shorting activity after the tick test was suspended. The third essay studies demutualization of stock exchanges. Using panel data on 132 major stock exchanges in 114 countries from 1990 to 2003, we examine the effect of demutualization on an exchange's performance in its primary product markets: trading and listings. We document some evidence that demutualization is associated with improved competitiveness in attracting trading volume. Results on listings following demutualization are weak.

Download or read book Essays on Trade Fiscal Policy and Gender Equality written by Alica Ida Bonk and published by . This book was released on 2020 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 introduces a new data set containing daily trade policy statements issued by government agencies between 2007 and 2019. Entries are classified along several dimensions: the direction of the policy change, the stage of the reform, and the initiating country. I argue that combining this narrative information with stock market data allows to identify unanticipated trade policy shocks. Stock returns generated around statement releases vary by firms' trade exposure and provide timely signals on the sign and size of trade policy changes. Furthermore, US exporters' stocks only respond to official statements but not to trade-related tweets by Donald Trump, demonstrating the ability to filter out particularly noisy signals. Chapter 2 builds on Chapter 1 and analyzes the short- and medium-term effects of trade policy on the US economy. Estimating impulse response functions by local projections, we uncover interesting asymmetries and non-linearities depending on the sign and size of trade policy shocks. Moreover, firm investment, unemployment and consumption react more strongly to shocks caused by trade partners rather than by the US. In addition, we show that implementations elicit more significant responses than announcements. Uncertain about whether policymakers will follow through with announced policy changes, firms and households take a \wait and see" approach. Chapter 3 turns to a different topic. Men typically bear the brunt of recessions due to stronger cyclicality of their employment and wages relative to women's. We study whether fiscal policy may offset or worsen these asymmetries across genders. Using US micro-level data, we find that men are hurt or benefit less than women from increases in major government spending components. This result is largely driven by negative spillovers for men working in the private sector. Our analysis highlights that fiscal expansions cannot reconcile both policy goals: offsetting inequitable business cycle effects and closing gender gaps.

Download or read book Essays on International Trade and Stock Market Performance in China written by Rungnapa Opartpunyasarn and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Trade Capital Flows and Financial Frictions written by Maria Margarita Lopez Forero and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two particular concerns in international economics motivate this research: I. How are real and financial activities related to each other in a globalized economy? II. What role do financial frictions play in this relationship ? Three essays look at these questions from different perspectives. The first chapter, in collaboration with Jean-Charles Bricongne and SebastianFranco-Bedoya, revises the old question on the relation between FDI and exports on French firms, where theory seems to be at odds with empirical findings. Most FDI and most trade take place between rich markets, where the horizontal investment type is expected to happen. In this sense, empirical studies have almost invariably found a complementarity relation while standard Horizontal FDI models predict substitutability between FDI and exports given the proximity-concentration trade-off. [...]The second chapter empirically examines how external financial needs measured at the sector level- and financial development at the country level interact to shape the aggregate marginal product of capital of a country (MPK) and its foreign direct investment inflows (FDI). First, using new available data we construct annual aggregate MPK for 50 developing and developed countries during 1995-2008; we use industry-level data to construct an annual country-level measure of external financial dependence and assess its effects on MPK conditional on the level of financial development. Our findings imply that financial development seems to be a necessary condition -and certainly not a sufficient one- in order for production in financially dependent sectors to positively affect aggregate MPK in developing countries. Second, using bilateral FDI inflows in developing countries between 2001 and 2010, we analyze how external financial dependence and financial development determine FDI in flows in developing countries. [...]The third chapter, joint research with Jean-Charles Bricongne and Fabrizio Coricelli, studies the transmission of global shocks during the Great Recession and its impact on French employment. Particularly, we explore the role of trade credit in the propagation of cross-border shocks. Using a sub-sample of importing enterprises that were active over 2004-2009,our findings imply that strong pre-crisis sourcing ties with countries that were more resilient to the global crisis, translated into better performance in terms of employment growth over 2008-2009. This effect dramatically varies with trade credit intensity. Strongly relying on trade credit made firms more vulnerable to unanticipated shocks, for which the adverse impact of the crisis was exacerbated. This effect intensified among firms with important sourcing ties with severely shocked countries. While the negative effect of the crisis was mitigated when sourcing relations with countries subject to milder shocks were stronger. Supporting, therefore, the hypothesis that trade credit was an alternative source of financing for enterprises during the crisis, where implicitly borrowing from suppliers helped importers overcoming financial constraints. Our contribution to the literature adds to the debate on the role of trade finance in explaining the real economic downturn across borders.

Download or read book Essays in International Trade and Public Economics written by Margarita M. Kalamova and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 2012 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays of this book are contributions to the empirical Literature in International Trade and Public Economics. They deal with the relationship between the structure and quality of the public sector and the process of economic integration. Two of the essays add to the empirical determinants of trade and foreign direct investment (FDI) and to the numerous applications of the theory of government decentralization. Decentralization tends to discourage inward FDI and domestic trade and to increase imports and exports. A third essay focuses on the effect of governments' intangible assets - such as consumer perceptions about countries and products from these countries - on FDI. A country's nation brand is shown to have a significant and large positive effect on investment flows.

Download or read book Essays on International Comovements of Financial Markets written by Yusuke Tateno and published by . This book was released on 2011 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: International portfolio diversification is beneficial only if asset returns are not significantly correlated across countries. Therefore, it is essential for investors who want to make an appropriate portfolio selection to understand the nature of asset return correlations. This thesis consists of three essays on international comovements of financial markets. The first essay analyzes the effects of heterogeneous beliefs and learning on international comovements of equity returns and portfolio rebalancing mechanism. This essay develops a continuous-time general equilibrium model in a two-asset and two-good economy with two representative agents, who differ in perceived rates of output growth and accuracy of beliefs. The equilibrium correlations of equity returns across counties and optimal portfolios are expressed in terms of the differences in beliefs. The main findings are: (1) the differences in perceived rates of output growth generate equity home or foreign bias, resulting in lower crosscountry equity return correlations; and (2) the volatilities of optimal portfolios and capital flows increase with the differences in perceived output growth and with the differences in accuracy of beliefs. The second essay studies the effects of trade costs in goods market on international comovements of equity markets and those on equity home bias. This essay develops a continuous-time general equilibrium model in a two-country, two-asset, and two-good setting where international trade of goods is costly. I solve for the optimal portfolios and the equilibrium correlations of cross-country equity returns and analyze how they change depending on the size of trade costs, the coeiffcient of risk aversion, and the elasticity of substitution between domestic and foreign goods. It is found that the cross-country equity return correlations decrease with the size of trade costs. This result is robust to different sizes of trade costs and asymmetry related to potential growth and consumer preferences. It is also found that the size of the trade costs and other parameter values determine whether trade costs would generate equity home bias or foreign bias. The third essay is devoted to an empirical analysis of the effects of financial integration on international comovements of financial markets. The essay provides a characterization of synchronization among 24 countries over the period 1980-2003. A country-pair panel instrumental variables framework is employed to explain time-varying bilateral correlations among national stock returns, by utilizing the dataset on trade costs in Fitzgerald (2008). It is found that finnancial integration driven by reduction of trade costs leads to a higher degree of synchromization across stock markets.

Download or read book Essays on the Interaction of Option and Equity Markets written by Alexander Feser and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: How do option and equity markets interact with each other? This is the central question that is answered from three different angles in this dissertation. The first Chapter discusses how option-implied information is incorporated into equity markets. Based on a novel rescaled option-implied Value-at-Risk (rVaR) measure, it is shown that option-implied information is priced differently depending on whether it is based on options with strikes close to the current price of the underlying or far-out-of-the-money options. The findings provide novel insights in the joint interaction between option and equity markets and help to explain contradictory results in previous studies. The second chapter provides an in-depth analysis of how to estimate risk-neutral moments robustly. A simulation and an empirical study show that estimating risk-neutral moments presents a trade-off between (1) the bias of estimates caused by a limited strike price domain and (2) the variance of estimates induced by micro-structural noise. The best trade-off is offered by option-implied quantile moments estimated from a volatility surface interpolated with a local-linear kernel regression and extrapolated linearly. The third chapter expands volatility targeting to option strategies. The chapter shows that option trading strategies can be managed by increasing exposure if volatility is low and reducing exposure if volatility is high to achieve a constant risk exposure over time. These volatility controlled option strategies generate economically and statistically significant alphas over their unmanaged counterparts, have reduced maximum drawdowns, lower downside risk, and more normal return distributions.

Download or read book Three Essays on the Trading Behavior of Market Participants written by Orkunt Mesut Dalgic and published by . This book was released on 2003 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Trade and Institutions written by Rubén Segura-Cayuela and published by . This book was released on 2006 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: (cont.) This implies that, with trade opening, predictions about factor content of trade can be reversed if the elites' factor endowments differ from that of the economy. A capitalist elite will distort capital-intensive sectors less than others, which may more than compensate for the scarcity of that factor, and make the country a net exporter of capital-intensive goods. Also, when opening to international capital markets, the direction of capital flows can be reverted. The elites will distort capital-intensive sectors less, which may more than compensate for the abundance of capital, and drive its return above that on the rest world. The third essay provides econometric evidence that the model in the first essay is consistent with the data. Using a panel of 92 countries and 17 years, I show that non-democratic regimes that trade more experience more expropriation, while this is not the case for democratic regimes. The results are robust to different econometric specifications and different sets of controls.