Download or read book More on the Effect of Trading by Institutions on Stock Price Volatility written by Frank K. Reilly and published by . This book was released on 1977 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Effects of Institutional Trading in Foreign Stocks written by Chiraphol N. Chiyachantana and published by . This book was released on 2013 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of institutional trades on volatility in international stocks across 43 countries. There is a temporary volatility spike during the trade execution period, merely reflecting the price impact costs faced by the institutions. Cross sectional regressions suggest that trade imbalances, enforcement of insider trading laws, stock prices, and an emerging market classification are positively associated with temporary volatility increases whereas the presence of market makers and better shareholders' rights dampen such increases. In the long term, institutional trades do not destabilize markets as the levels of volatility after their trades are almost identical to their pre-decision levels.

Download or read book Institutional Versus Retail Traders written by Marvin Wee and published by . This book was released on 2005 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of the thesis is to examine the trading behaviour and characteristics of retail and institutional traders on the Australian Stock Exchange. There are three aspects of these traders that are of particular interest to this study: (1) the information content of their trades, (2) their order placement strategies, and (3) the impact of their trading on share price volatility. Trades made on the basis of private information such as those by institutional traders are found to be associated with larger permanent price changes while trades by uninformed traders such as retail traders are found to be associated with smaller changes. In addition, institutional trades are found to have smaller total price effect compared to retail trades suggesting retail traders incur higher market impact costs. In order to profit from potentially short-lived information advantage, informed traders are expected to place more aggressive orders. The analysis of the order price aggressiveness showed institutions are more aggressive than other traders. In addition, retail traders are found to be less aware of the state of the market when placing aggressive orders. The analysis of the limit order book found significant differences between the contributions of institutional and retail traders to the depth of the limit-order book, with retail standing limit orders further from the market. This is consistent with the conjecture that uninformed traders such as retail traders have greater expected adverse selection costs. The effect of trading by retail and institutional traders on price volatility are also investigated. There is some evidence that retail traders are more active and institutional traders are proportionally less active after periods of high volatility. Also, the effect of the order activity from different trader types on volatility differs depending on the measure of order activity used.

Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.

Download or read book The Effect of Institutional Investing on Stock Price Volatility written by Chase W. Ashley and published by . This book was released on 1979 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

Download or read book Slow Moving Capital written by Mark Mitchell and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.

Download or read book Who is a Winner in Volatile Markets Evidence from Chinese Funds written by Yi Yao and published by . This book was released on 2015 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proliferation of institutions has drawn an attention in the financial economists' interest on the effect of institutional trading on market volatility for a few decades. Existing research on institutional investors, however, has not considered separating a bull market from a bear market, an important macroeconomic factor, in studying the role of institutional trading in market volatility. In addition, few studies have focused on emerging markets in developing countries. Particularly, who can identify the change in macroeconomic fundamentals, make more rational decisions, and eventually dominate the Chinese emerging stock market, institutions or individuals? Addressing this gap, this study examines the impact of institutional trading on the Chinese emerging volatile markets, from bearish markets (2001-2003) to bullish markets (2004-2006), effectively integrating the institutional (de)stabilizing effect into a more completely developed perceptive. In particular, we investigate the relationship between the level of institutional ownership and a firm's abnormal returns on large market movement days. We find that institutions are able to make quicker and more rational adjustments in their trading strategies as compared to the delayed market reactions due to a change in macroeconomic trend and a supervising regulatory policy issued at the beginning of 2004. Institutions use different trading strategies from bearish markets (2001-2003) to bullish markets (2004-2006), on large market movement days, such as selling against a rising market in bearish markets while continually pushing the entire stock index up in bullish markets. Moreover, institutions successfully predict the tendency of future stock market although the Chinese stock market is more volatile than others. Meanwhile, we find that institutions buy (sell) less than individuals on large price swing days, consistent with the notion that institutions are more rational than individuals in emerging markets. Further, systematic risk in the Chinese stock market is twenty-four times than that in US, reflecting a significant difference between an emerging market and a developed market. Overall, these results indicate that institutions become a winner in the Chinese stock market.

Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Download or read book Does Insider Trading Raise Market Volatility written by Mr.Julan Du and published by International Monetary Fund. This book was released on 2003-03-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.

Download or read book The Philadelphia Stock Exchange and the City It Made written by Domenic Vitiello and published by University of Pennsylvania Press. This book was released on 2010-04-14 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Philadelphia Stock Exchange and the City It Made recounts the history of America's first stock exchange and the ways it shaped the growth and decline of the city around it. Founded in 1790, the Philadelphia Stock Exchange, its member firms, and the companies they financed had profound impacts on the city's place in the world economy. At its start, the exchange and its members helped spur the development of the early United States, its financial sector, and its westward expansion. During the nineteenth century, they invested in making Philadelphia the center of industrial America, raising capital for the railroads and coal mines that connected cities to one another and built a fossil fuel-based economy. After financing the Civil War, they underwrote the growth of the modern metropolis, its transportation infrastructure, utility systems, and real estate development. At the turn of the twentieth century, stagnation of the exchange contributed to Philadelphia's loss of power in the national and world economy. This original interpretation of the roots of deindustrialization holds important lessons for other cities that have declined. The exchange's revival following World War II is a remarkable story, but it also illustrates the limits of economic development in postindustrial cities. Unlike earlier eras, the exchange's fortunes diverged from those of the city around it. Ultimately, it became part of a larger, global institution when it merged with NASDAQ in 2008. Far more than a history of a single institution, The Philadelphia Stock Exchange and the City It Made traces the evolving relationship between the exchange and the city. For people concerned with cities and their development, this study offers a long-term history of the public-private partnerships and private sector-led urban development popular today. More generally, it traces the networks of firms and institutions revealed by the securities market and its participants. Herein lies a critical and understudied part of the history of metropolitan economic development.

Download or read book Essays in Positive Economics written by Milton Friedman and published by University of Chicago Press. This book was released on 1953 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned primarily with certain methodological problems that arise in constructing the "distinct positive science" that John Neville Keynes called for, in particular, the problem how to decide whether a suggested hypothesis or theory should be tentatively accepted as part of the "body of systematized knowledge concerning what is."

Download or read book The October 1987 Market Break written by United States. Securities and Exchange Commission. Division of Market Regulation and published by . This book was released on 1988 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Handbook of World Stock Derivative Commodity Exchanges written by and published by . This book was released on 2005 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Institutional Investor Study Report of the Securities and Exchange Commission written by United States. Congress House. Committee on Interstate and Foreign Commerce and published by . This book was released on 1971 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.