Author: Louis Gagnon
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Using intraday prices for the Samp;P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the equilibrium models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O?Hara (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return quot;spilloversquot; are sensitive to interactions with trading volume in both markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linearities which are not predicted by theory.
Author: Louis Gagnon
Publisher: London : Richard Ivey School of Business, University of Western Ontario
ISBN: 9780771419874
Category : Information technology
Languages : en
Pages : 33
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Author: Louis Gagnon
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
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Book Description
We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.
Author: Mr.Marco Del Negro
Publisher: International Monetary Fund
ISBN: 1451847645
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
Author: Martin Feldstein
Publisher: University of Chicago Press
ISBN: 0226241807
Category : Business & Economics
Languages : en
Pages : 500
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Book Description
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Author: Leon Zolotoy
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the role of volume and volatility in the individual stock market dynamics using a sample of ten major developed stock markets. Next, we extend our analysis to a multiple market framework, based on a large sample of cross-listed firms. Our analysis is based on both semi-nonparametric (Flexible Fourier Form) and parametric techniques. Our major findings are as follows. First, we find no evidence of the trading volume affecting the serial correlation of stock market returns, as predicted by Campbell et.al (1993) and Wang (1994). Second, the stock market volatility has a negative and statistically significant impact on the serial correlation of the stock market returns, consistent with the positive feedback trading model of Sentana and Wadhwani (1992). Third, the lagged trading volume is positively related to the stock market volatility, supporting the information flow theory. Fourth, we find the trading volume to have both an economically and statistically significant impact on the price discovery process and the co-movement between the international stock markets. Overall, these findings suggest the importance of the trading volume as an information variable.
Author: Seung Won Woo
Publisher:
ISBN:
Category :
Languages : en
Pages : 164
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Book Description
My dissertation studies the influence of global institutional investors on liquidity distribution and excess comovement in returns for cross-listed stocks around the world. Furthermore, my dissertation investigates the impact of investor protection change on the liquidity distribution of cross-listed stocks. Chapter 1 studies how global institutional investors' selection of trading venues influences the liquidity distribution of cross-listed stocks on 19 target ("host") markets around the world. I document strong empirical evidence indicating that institutional investors gravitate towards markets that are more geographically, culturally, and economically proximate. However, institutional investor's familiarity preference abates in the selection of trading venues when the target exchange does not furnish detailed rules on trading practices. Chapter 2, co-authored with G. Andrew Karolyi, studies the impact of abrupt change in the U.S. investor protection laws on the location of stock trading for firms with U.S. cross-listings. The U.S. Supreme Court's ruling in the case of Morrison vs. National Australia Bank in June 2010 communicates that civil liability for securities fraud applies only to securities listed on U.S. markets and to security transactions taken place in the U.S. We investigate whether and how the trading volume distribution of U.S. cross-listed stocks changed around the U.S. Supreme Court's ruling on the Morrison case. Our results indicate that for U.S. cross-listed foreign firms, the U.S. market share of trading volume has increased after the Morrison decision. Chapter 3, co-authored with G. Andrew Karolyi, examines the influence of global institutional investors on excess comovement in stock returns using cross-listed stocks around the world. We find that the return differentials between the cross-listed and its ordinary home market share, though small, exhibit excess comovements relative to market index returns, the home and the target market returns. Furthermore, we examine whether institutional investors exert significant influence on excess comovement in the returns of long-short positions that consist of a crosslisted and its counterpart home market shares with respective market index returns. We find that institutional investors domiciled in home country intensify the excess comovement in long-short position returns with the home market returns.
Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author: Leonardo Auernheimer
Publisher: University of Chicago Press
ISBN: 0226032159
Category : Business & Economics
Languages : en
Pages : 342
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Book Description
As the globalization of financial markets continues, we urgently need to understand the crises that have plagued these markets and the policies best suited to preventing such crises in the future. In this book, a prominent group of economists and policymakers blend conceptual analysis and policy discussion in seven well-integrated papers, analyzing the nature of capital flows, alternative exchange-rate regimes, and the roles of international financial institutions. After a guided tour by the editor and a historical exploration, some of the world's leading theorists and policy analysts examine the benefits and pitfalls of capital movements and controls. In the second portion, papers examine the recent experiences of Argentina and Mexico, with Charles Calomiris—whose proposals for a new world financial architecture have elicited wide attention—contributing a response. The volume concludes with a roundtable discussion of the report of the International Financial Institutions Advisory Commission, in which the chair of the commission, Allan H. Meltzer, both comments on the report and responds to questions about it. The material presented here will become a standard reference for analysts, policymakers, and the interested general public. Contributors: Leonardo Auernheimer, Matthew Bishop, Michael D. Bordo, Charles Calomiris, Guillermo A. Calvo, Augustin Carstens, Michael P. Dooley, Pablo E. Guidotti, T. Britton Harris, John P. Lipsky, Guillermo Ortiz Martinez, Allan H. Meltzer, Andrew Powell, Rene Stulz, Carl E. Walsh
Author: Asl? Demirgüç-Kunt
Publisher: World Bank Publications
ISBN:
Category : Bancos
Languages : en
Pages : 73
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Book Description
