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Author: Malay K. Dey
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
I study how growth affects liquidity of global stock exchanges and how liquidity determines cross sectional returns on those stock exchange index portfolios. I measure portfolio liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock exchanges. In a multiple regression model for turnover ratio, I find age, size, type of exchange, competition for order flow, and growth rate to be significant determinants of portfolio liquidity; however, exchange and time specific effects are more appropriate for modeling portfolio liquidity. The time effects yield to three distinct regimes, while the exchange specific effects are surrogates for the legal systems, English common law and Civil laws of the countries. I estimate the parameters of a multiple regression model in a two stage GLS framework in which index return is a function of turnover. The GLS method is preferable since a turnover ratio may have has a non-stationary, random component. The significant determinants of index return are turnover and volatility, although some of the volatility effect may be a spillover from a January effect. Investors expect higher return from high turnover markets. However, the positive turnover expected return relation is true only in emerging markets; in developed markets expected return is a function of volatility. This result confirms existing empirical evidence that high turnover stock portfolios generate superior returns and further the sources and pricing of risk in emerging and developed markets are different.
Author: Malay K. Dey
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
I study how growth affects liquidity of global stock exchanges and how liquidity determines cross sectional returns on those stock exchange index portfolios. I measure portfolio liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock exchanges. In a multiple regression model for turnover ratio, I find age, size, type of exchange, competition for order flow, and growth rate to be significant determinants of portfolio liquidity; however, exchange and time specific effects are more appropriate for modeling portfolio liquidity. The time effects yield to three distinct regimes, while the exchange specific effects are surrogates for the legal systems, English common law and Civil laws of the countries. I estimate the parameters of a multiple regression model in a two stage GLS framework in which index return is a function of turnover. The GLS method is preferable since a turnover ratio may have has a non-stationary, random component. The significant determinants of index return are turnover and volatility, although some of the volatility effect may be a spillover from a January effect. Investors expect higher return from high turnover markets. However, the positive turnover expected return relation is true only in emerging markets; in developed markets expected return is a function of volatility. This result confirms existing empirical evidence that high turnover stock portfolios generate superior returns and further the sources and pricing of risk in emerging and developed markets are different.
Author: Malay K. Dey
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
I study the liquidity of global stock exchanges and how it determines cross sectional returns on stock portfolios of the exchanges. I measure liquidity by turnover ratio computed as value of shares traded over the market capitalization. I obtain data from FIBV, an association of global stock exchanges and conduct a univariate analysis of turnover ratio. I find evidence that liquidity is trend weakly stationary for most stock exchanges, however, exchange and time specific factors are more appropriate for modeling liquidity. In a multivariate regression model, I find age, size, type of exchange, competition for order flow, and growth rate to be significant determinants of liquidity. The exchange specific factors are surrogates for the legal systems, English common law, and Civil laws of the countries. I estimate the parameters of a multiple regression model in a two stage GLS framework in which index return is a function of turnover. The significant determinants of index return are size, turnover, and volatility, although some of the volatility effect may be a spillover from a January effect. Investors expect higher return from high turnover markets. The turnover return relation is found to be true only in emerging markets and not in developed markets. This result confirms existing empirical evidence that high turnover stock portfolios generate superior returns.
Author: Wolfgang Drobetz
Publisher: Springer Science & Business Media
ISBN: 3663085295
Category : Business & Economics
Languages : en
Pages : 346
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Book Description
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: K. Geert Rouwenhorst
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
The paper shows that the factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been found in developed equity markets. In a sample of more than 1700 firms from 20 countries, I find that emerging market stocks exhibit momentum, small stocks outperform large stocks, and value stocks outperform growth stocks. There is no evidence that high beta stocks outperform low beta stocks. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world. Finally, the paper documents a strong cross-sectional correlation between the return factors and share turnover. Yet, it is unlikely that liquidity can explain the emerging market return premiums.
Author: Yishay Yafeh
Publisher: International Monetary Fund
ISBN: 1455218952
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.
Author: Gagari Chakrabarti
Publisher: Springer Science & Business Media
ISBN: 813220462X
Category : Business & Economics
Languages : en
Pages : 69
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Book Description
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
Author: Marcin Kalinowski
Publisher: Routledge
ISBN: 100045732X
Category : Business & Economics
Languages : en
Pages : 144
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Book Description
In the current era of globalised financial markets, the stock market cannot be assessed solely by comparing quantitative features such as the number of listed companies or capitalisation on the stock exchange. This is of secondary importance from an investor's point of view. What is important, however, is how a given stock market behaves towards the environment – whether it is ‘hyperactive’ or ‘excessively lethargic’ in response to information. This book provides an innovative tool for assessing global stock markets. It describes the complex concept of ‘stock market development’ in light of classical and behavioural finance theories and considers both quantitative (the number of listed companies, turnover, etc.) and behavioural aspects (price volatility, the behaviour of fundamental indicators of listed companies). Based on an innovative method for assessing development, the author analyses 130 stock markets, indicating those that are more developed in terms of quantity and behaviour. Ultimately, this enables the assessment of which markets are more or less developed and why. This knowledge, used properly, offers an advantage over other financial market participants, and allows for the comprehensive assessment of individual stock markets, which can support the process of making good investment decisions. The book is an invaluable resource for research fellows and students in economics, particularly the field of finance. It is also addressed to business and stock market practitioners, such as financial market analysts, brokers and investment advisers.
Author: François-Serge Lhabitant
Publisher: John Wiley & Sons
ISBN: 0470181699
Category : Business & Economics
Languages : en
Pages : 502
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Book Description
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Author: Edgardo Bucciarelli
Publisher: Springer Nature
ISBN: 3030382273
Category : Technology & Engineering
Languages : en
Pages : 334
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Book Description
This book is based on the International Conference on Decision Economics (DECON 2019). Highlighting the fact that important decision-making takes place in a range of critical subject areas and research fields, including economics, finance, information systems, psychology, small and international business, management, operations, and production, the book focuses on analytics as an emerging synthesis of sophisticated methodology and large data systems used to guide economic decision-making in an increasingly complex business environment. DECON 2019 was organised by the University of Chieti-Pescara (Italy), the National Chengchi University of Taipei (Taiwan), and the University of Salamanca (Spain), and was held at the Escuela politécnica Superior de Ávila, Spain, from 26th to 28th June, 2019. Sponsored by IEEE Systems Man and Cybernetics Society, Spain Section Chapter, and IEEE Spain Section (Technical Co-Sponsor), IBM, Indra, Viewnext, Global Exchange, AEPIA-and-APPIA, with the funding supporting of the Junta de Castilla y León, Spain (ID: SA267P18-Project co-financed with FEDER funds)
