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Author: Peng Chen
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Languages : en
Pages : 0
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Author: Peng Chen
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Languages : en
Pages : 0
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Author: Steffen Reichold
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ISBN:
Category :
Languages : en
Pages : 246
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Author: Hyung-suk Choi
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Category :
Languages : en
Pages : 0
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Author: Jiang Zhang
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Category :
Languages : en
Pages : 0
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This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..
Author: Ehab Yamani
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Category : Efficient market theory
Languages : en
Pages :
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This dissertation consists of three distinct essays. The first essay investigates the risk interpretation of the investment premium by empirically examining the fundamental view versus the sentimental view. Overall, the results show that financial factors are the dominant driver of investment returns and they control the negative relation between investment and stock return. In the second essay, I examine the impact of financial contagion resulting from four global financial crises based on analyses of the global value premium. Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects. Overall findings support the risk story of the global value premium. The third essay examines the joint dynamics of volume and volatility in the junk bond market during the 2007-2008 financial crisis. Using trading volume information as a proxy for changes in the information set available to investors when financial crises occur, I investigate the impact of the subprime crisis on the informational efficiency of the junk bond market. The overall results show that the crisis does not have an impact on the market efficiency of the junk bond market.
Author: Jose Gonzalo Rangel
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Category :
Languages : en
Pages : 0
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Author: Thi Bich Ngoc Tran
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Category :
Languages : en
Pages : 316
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This dissertation aims to study some potentially major risks in emerging stock markets after their liberalization. These risks include periodically collapsing speculative bubbles on stock prices, contagion defined as a significant increase in correlations between markets and the market destabilizing behavior of hedge funds. Appropriate empirical methodology is used, such as the robust non-cointegration test developed by Taylor and Peel (1998), the dynamic conditional correlation models (DCC-GARCH(1,1)), the Vector Autoregressive (VAR) models with consecutive rolling windows, Granger non-causality tests, the impulse response functions to a shock, and the forecast error variance decomposition. This dissertation focuses in particular on markets in Asian and Latin American regions during the 1990s and 2000s. The results are the followings. Firstly, there exist speculative bubbles in most of studied markets and the equity market openness seems to be an important factor which is significantly positive related to the formation of speculative bubbles in both Asian and Latin American regions. Secondly, the evidence of contagion effects is detected during the 1994 Mexican crisis, the 1997 Asian crisis, and the 2007 US subprime crisis. The US subprime crisis is found to be the most contagious while the Mexican crisis is the least contagious and has only regional effects. Lastly, hedge funds are found to exert an impact on stock markets due to their significant contribution to the variance of stock markets' returns.
Author: Yaseen Salah Alhaj-Yaseen
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Category :
Languages : en
Pages :
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For a unique sample of Israeli stocks that went public in the U.S. and then cross-listed in the home market, Tel Aviv Stock Exchange (TASE), this dissertation consists of three essays examining the dynamics of return spillovers and volume-return interactions across markets and the valuation effect around the event of cross-listing and delisting from the home market. In Chapter II, I investigate the role of trading volume in the information flow and return spillovers between the U.S. and Israeli markets. Findings suggest that the dynamics of volume-return interactions across markets can provide us with valuable information regarding future price movements, which can be a useful tool to predict future returns. I also find the home market to dominate the host market in pricing these stocks, which is consistent with the Home Bias hypothesis. In Chapter III, I analyze the impact of the event of cross-listing on stock returns and risk exposure. The behavior of abnormal returns around the cross-listing date implies that cross-listing in TASE is an effective mechanism in reducing market segmentation between the U.S. and the Israeli capital markets. Risk assessment following the cross-listing suggests a decline firms' overall risk exposure, indicating a higher degree of integration between the two markets due to cross-listing. In Chapter IV, I evaluate changes in the cost-of-capital for Israeli firms after delisting voluntary from TASE, the home market, while maintaining their listing in the U.S., the host market. The results show a significant positive shift in U.S. and negative shift in Israeli market risk exposure after the delisting. These results indicate that firms delisting form their home market (TASE), face greater risk exposure, higher required returns on their stocks and, hence, higher cost-of-capital after delisting.
Author:
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ISBN:
Category :
Languages : en
Pages : 129
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Author: Shu Yan
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ISBN:
Category : Stock exchanges
Languages : en
Pages : 310
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