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on Financial Markets |
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Issue of 2007‒04‒14
three papers chosen by |
| By: | Parker, John |
| Abstract: | This paper analyzes the impact of economic news, that is, the difference between economic announcements and what was anticipated, on financial markets. The three contributions of this paper are, first, the market expectation is derived from economic derivative prices that allow a full distribution for the market expectation to be derived. Economic derivatives data better predict financial market movements and also allow for testing whether there is information in the high moments of the distribution. Second, high frequency financial data allows us to test for the optimal window and discover how long it takes financial markets to digest and react to news. Finally, by using a U.S. and a European economic announcement and a wide range of financial markets, this paper compares announcements to show which are important for which markets. I find that high frequency financial data leads to a much bigger and more significant news announcement effect over previous studies that used end-of day data. Further, financial markets react very quickly to news. Unlike other studies that have assumed a 25-30 minute window, I have demonstrated that the announcement window is often as little as just one minute. Using the richness of the economic derivatives-based expectations data I determine when higher moments of the expectations distribution are useful in determining the announcement effect. I also show in which markets, and for which announcements, good news and bad news have asymmetric effects; and, in which markets are most responsive to which announcements. Finally, I have highlighted some of the interesting results that traders or risk managers might want to delve into in more detail. |
| Keywords: | Economic Derivatives; Economic Announcements; News; Financial Markets; Market Expectations; Real-Time Financial Data. |
| JEL: | G14 |
| Date: | 2007–04–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:2675&r=fmk |
| By: | BEN SLIMANE, FATEN |
| Abstract: | This paper analyzes the recent development of the European stock exchanges by stressing the disparities which exist between them. Within the framework of a progressive financial integration, several of these institutions, in particular of Eastern Europe and Central Europe are likely to be badly affected and their survival could even be threatened. Vis-a-vis these threats, several strategies are offered to these places. We will show that the solution which appears most effective would be to opt in the more or less long term, to consolidation strategies with, in particular, European stock exchanges. |
| Keywords: | Stock market Integration Consolidation |
| JEL: | G15 L10 G34 |
| Date: | 2007–03–02 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:2607&r=fmk |
| By: | Fazal Husain (Pakistan Institute of Development Economics, Islamabad); Abdul Qayyum (Pakistan Institute of Development Economics, Islamabad) |
| Abstract: | This study attempts to conduct an investigation of the characteristics of the South Asian stock markets including the effects of the opening of these markets. These markets were liberalised in early 1990s as a part of the economic reforms started in the South Asian region about two decades ago. The analysis is conducted for four countries in the South Asia, Bangladesh, India, Pakistan, and Sri Lanka, covering the period from 1980 to 2003. The analysis is done with the help of tables, regression analysis, Event Window analysis, and Error Correction Functions. The analysis indicates significant development in stock markets indicators such as market capitalisation and trading value in the region following liberalisation measures. However, the development in stock markets in South Asia does not seem to influence the real sector and the stock markets are still playing a minor role in their respective economies. The integration analysis suggests that the markets in South Asia are integrated with major markets, that is, of USA, UK, and Japan. There is clear evidence that the markets in India and Pakistan are affected by the major as well as the regional markets in the long run. In the short run, however, the markets appear to be independent of one another |
| Keywords: | Stock Markets, South Asia, Liberalisation, Pakistan, India, Sri Lanka, Bangladesh, Market Integration |
| JEL: | G1 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:pid:wpaper:2006:6&r=fmk |