Three Essays On Global Stock Markets
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Three Essays On Global Stock Markets
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Author : Mengmeng Dong (Professor of finance)
language : en
Publisher:
Release Date : 2018
Three Essays On Global Stock Markets written by Mengmeng Dong (Professor of finance) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with International finance categories.
My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. In the third chapter “The Impact of Price Limits on Stock Volatility and Price Delay: Evidence from China”, I focus on the Chinese stock market and study how market interventions affect price behaviors. To overcome challenge in identification, I first match firms by characteristics and use difference-in-difference methodology to establish causality. Exploring a Special Treatment policy in China, I show that 5-basis-point tightening in daily price limits (from ±10% to ±5%) significantly reduces annualized volatility by 6.5 basis points (t =5.00) yet increases price delay by 63% from the previous year (t =7.40). Trading activity and liquidity significantly decrease under new limits but return increases by an equal-weighted average of 27% (t = 3.22) in 12 months. Evidence suggests that in the long-run price limits are effective in reducing volatility and improving firm value yet causing delayed price discovery and lower liquidity.
Three Essays On The Chinese And International Stock Markets
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Author : Jasmine Jie Chen
language : en
Publisher:
Release Date : 2005
Three Essays On The Chinese And International Stock Markets written by Jasmine Jie Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business enterprises categories.
Three Essays On International Stock And Bond Markets
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Author : DongJoon Jeong
language : en
Publisher:
Release Date : 1993
Three Essays On International Stock And Bond Markets written by DongJoon Jeong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Three Essays On Financial Markets
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Author : Cagdas Tahaoglu
language : en
Publisher:
Release Date : 2021
Three Essays On Financial Markets written by Cagdas Tahaoglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.
Three Essays On Financial Markets
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Author : Pawan Jain
language : en
Publisher:
Release Date : 2013
Three Essays On Financial Markets written by Pawan Jain and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation is composed of three essays. The first essay investigates the information content of the limit order book (LOB) on the Shanghai Stock Exchange (SHSE), a purely order-driven market, for predicting future stock price volatility. We find that the LOB supply schedule consistently and significantly predicts the future price volatility. But this predictive power of LOB declines during the extreme market wide movements. We also find that buy orders are more informative over future price volatility than sell orders but sell (buy) orders becomes more informative during the extreme market wide down (up) movement days. Finally, we document that predictive power of LOB is short lived and markets are efficient over the longer time horizon. The second essay examines the effect of high frequency trading on market quality, systemic risk and trading strategies. In 2010 the Tokyo Stock Exchange, the largest exchange headquartered outside the US, introduced a new trading platform, Arrowhead, which reduced latency by 99.97% and increased co-located high-frequency trading from zero to 36% of volume. Arrowhead improved market liquidity and reduced volatility, but it also amplified systematic risks factors like quotes to trade ratio, order-flow autocorrelation and cross correlation, and tail risks. Arrowhead also affected trading strategies by increasing trade price predictability and the use of fleeting orders. Cost of immediacy serves as a channel through which reduced latency affects market quality, systematic risks, and trading outcome. The third essay analyzes the links between corporate finance policies and investment clienteles by comparing the cross-sectional variation in the dividend payout policies of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the country level variations: shareholder demand due to demographic variations and consumption needs, agency problems manifested in the extent of minority shareholder protection and business disclosures, and market quality in terms of transparency and liquidity; affect dividend payout policies. We find that firms have generous dividend payout policies when diverse shareholder demands are strong, extents of business disclosures and legal protections are weak, and the market qualities are poor. The empirical evidence supports the presence of strong dividend clienteles in a global setting. .
Three Essays On Empirical Asset Pricing In International Equity Markets
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Author : Birgit Charlotte Müller
language : de
Publisher: Springer Gabler
Release Date : 2021-08-20
Three Essays On Empirical Asset Pricing In International Equity Markets written by Birgit Charlotte Müller and has been published by Springer Gabler this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-20 with Business & Economics categories.
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Three Essays On Information Volatility And Crises In Equity Markets
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Author : Shane K. Clark
language : en
Publisher:
Release Date : 2015
Three Essays On Information Volatility And Crises In Equity Markets written by Shane K. Clark and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Three Essays On International Capital Markets
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Author : Zhou Fan
language : en
Publisher:
Release Date : 2022
Three Essays On International Capital Markets written by Zhou Fan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
In this dissertation, I study several topics in international capital markets. Chapter 1 is a joint project with Matthew Baron and Jamil Rahman. We find evidence that large credit expansions interacted with rapid price run-ups have strong forecasting power for negative future returns. Growth stocks, stocks with high levels of analyst disagreement, and highly leveraged stocks are particularly vulnerable to the bust, with their respective factor portfolios significantly underperforming compared to their unconditional means. We show that by avoiding stocks with extreme exposures to the credit cycle, investors can partially mitigate the risks induced by a credit-fueled bubble. Given the strong predictive power of credit-fueled stock market booms for market crashes and factor portfolio spreads, Chapter 2 asks how institutional investors trade during these events. We find no evidence that institutional investors sell stocks in countries experiencing credit-fueled stock market booms. Domestic institutional investors are aggressive net buyers during booms while foreign investors are more cautious. Institutional investors buy growth stocks up to the boom's peak but do not sell them after the peak. They also increase (decrease) their portfolio allocation towards low leverage (high leverage) stocks both before and after the peak of the credit-fueled stock market boom. This suggests that institutional investors are mindful of the risks credit booms pose, even if they increase their overall allocation towards a country experiencing a credit-fueled stock market boom. In Chapter 3, I show that gravity variables capture country level differences in exposure to global shocks. Currencies of countries which are geographically distant and culturally different have larger differences in exposure to global shocks and as such comove less. The explanatory power of gravity for currency comovement is also present in trade flows and financial linkages. Predicted values of trade flows and foreign debt holdings contain around 80% of the explanatory power of gravity variables for currency comovement.
Three Essays On Financial Instability Of Emerging Stock Markets
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Author : Thi Bich Ngoc Tran
language : en
Publisher:
Release Date : 2014
Three Essays On Financial Instability Of Emerging Stock Markets written by Thi Bich Ngoc Tran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11-01
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-11-01 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.