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on Financial Markets |
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Issue of 2013‒11‒02
six papers chosen by |
| By: | Lawrence J. White |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:ste:nystbu:13-10&r=fmk |
| By: | Rafal Rak; Stanislaw Drozdz; Jaroslaw Kwapien; Pawel Oswiecimka |
| Abstract: | This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently long period of time, we study the return and volume distributions and identify their consistency with the power-law functions. We find that, for majority of stocks, the scaling exponents of both distri- butions are systematically related by about a factor of 2 with the ones for the returns being larger. Second, we study the empirical price impact of trades of a given volume and find that this impact can be well described by a square-root dependence: r(V) V^(1/2). We conclude that the prop- erties of data from the Polish market resemble those reported in literature concerning certain mature markets. |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1310.7018&r=fmk |
| By: | Corrado Di Guilmi (Economics Discipline Group, UTS Business School, University of Technology, Sydney); Xue-Zhong He (Finance Discipline Group, UTS Business School, University of Technology, Sydney); Kai Li (Finance Discipline Group, UTS Business School, University of Technology, Sydney) |
| Abstract: | We introduce a heterogeneous agent asset pricing model in continuoustime to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On the one hand, the fluctuations of market price and return and the level of the significant autocorrelations (ACs) of the absolute and squared returns increase with herding and trend chasing based on long time horizon. On the other hand, the switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the level of the significant ACs, but the effect becomes opposite when the switching increases further. We also show that market noise plays more important role than fundamental noise on the power-law behavior. |
| Keywords: | Heterogeneous beliefs; herding; switching; stability; volatility; stochastic delay differential equations |
| JEL: | C62 D53 D84 G12 |
| Date: | 2013–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:uts:rpaper:337&r=fmk |
| By: | Clemens Sialm; Zheng Sun; Lu Zheng |
| Abstract: | This paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweight their investments in hedge funds located in the same geographical areas and that funds of funds with a stronger local bias exhibit superior performance. However, this local bias of funds of funds adversely impacts the hedge funds by creating excess comovement and local contagion. Overall, our results suggest that while local funds of funds benefit from local performance advantages, their local bias creates market segmentation that could destabilize financial markets. |
| JEL: | G02 G11 G23 |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:19570&r=fmk |
| By: | Edwin M. Truman (Peterson Institute for International Economics) |
| Abstract: | The European and Asian financial crises are the two most recent major regional crises. This paper compares their origins and evolution. The origins of the two sets of crises were different in some respects, but broadly similar. The two sets of crises also shared similarities in their evolution, but here the differences were more significant. The European crisis countries received more external financial support, despite the fact that they involved more solvency issues while the Asian crises involved more liquidity issues. On balance, the reform programs in the European crises were less demanding and rigorous than in the Asian crises. Partly as a consequence, the negative impacts on the global economy have been larger. Author Edwin M. Truman draws three lessons from this analysis: First, history will repeat itself; there will be other external financial crises. Second, other countries have a stake in appropriate crisis management. Third, the International Monetary Fund (IMF) and other countries were mistaken in treating the European crises as individual country crises rather than as a crisis for the euro area as a whole that demanded policy conditionality on all members of the euro area. |
| Keywords: | financial crises, Asian financial crises, European financial crises, International Monetary Fund, European Central Bank, crisis management, policy coordination, macroeconomic policies, banking policies |
| JEL: | F3 F20 F31 F32 F3 F34 F36 F42 |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:iie:wpaper:wp13-9&r=fmk |
| By: | Chang, C.L.; Hsu, H.K.; McAleer, M.J. |
| Abstract: | This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the volatility in the stock indexes for large and small firms in Taiwan. Daily data from 30 November 2001 to 27 February 2013 are used, which covers the period of Cross-Straits tension between China and Taiwan. The full sample period is divided into two subsamples, namely prior to and after the policy reform that encouraged Chinese tourists to Taiwan. The empirical findings confirm that there have been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period. Furthermore, the risk premium reveals insignificant estimates in both time periods, while asymmetric effects are found to exist only for large firms after the policy reform. The empirical findings should be useful for financial managers and policy analysts as it provides insight into the magnitude of the volatility size effects for firm performance, how it can vary with firm size, the impacts arising from the industry policy reform, and how firm size is related to financial risk management strategy. |
| Keywords: | stock returns;firm size;asymmetry;conditional volatility models;tourism;volatility size effects;tourism policy reforms |
| Date: | 2013–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:eureir:1765041465&r=fmk |