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on Financial Markets |
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Issue of 2017‒03‒12
six papers chosen by |
| By: | Shahid Raza (Pakistan Institute of Development Economics, Islamabad); M. Ali Kemal (Pakistan Institute of Development Economics, Islamabad) |
| Abstract: | There are various factors that affect movements of the stock market. Month to month variations in stock market can be studied using several fundamentals such as interest rate, prices, exchange rate etc. However, daily movements can only be determined by different signals or news/events. This study analyzes the effect of daily movements in KSE-100 Index due to different policies announced as well as incidents/events happened in the country. Therefore daily data is collected on the movements in stock market and reason for major change in that day from the Sunday edition of the Daily Newspaper “The News”, It is concluded that global news and political new can effect stock market index ferociously. Investment in Blue chips is a safe haven for the investors. It is not the determinant of KSE index, instead it is the outcome of the movements in KSE index. Moreover, panic attack is always higher than the herd behaviour as far as day to day transactions are concerned. Investors react quickly to negative news than to positive news, which makes them risk averter. ARCH/GARCH model explain KSE movements better than simple OLS method. |
| Keywords: | Stock Market, Finance, News Model, Pakistan Stock Exchange |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:pid:wpaper:2017:146&r=fmk |
| By: | Colliard, Jean-Edouard; Hoffmann, Peter |
| Abstract: | We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality. Consistent with theories of asset pricing under transaction costs, we document a shift in security holdings from short-term to long-term investors. Finally, our findings show that moderate aggregate effects on market quality can mask large adjustments made by individual agents. JEL Classification: G10, G14, G18, H32 |
| Keywords: | financial transaction tax, high-frequency trading, institutional trading, liquidity |
| Date: | 2017–02 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20172030&r=fmk |
| By: | Boriss Siliverstovs (KOF Swiss Economic Institute, ETH Zurich, Switzerland) |
| Abstract: | In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions there is only a limited evidence supporting the importance of lagged U.S. returns in predictability of stock returns in 10 industrialised countries. |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:kof:wpskof:16-408&r=fmk |
| By: | Pástor, Luboš; Veronesi, Pietro |
| Abstract: | We develop a model of political cycles driven by time-varying risk aversion. Heterogeneous agents make two choices: whether to work in the public or private sector and which of two political parties to vote for. The model implies that when risk aversion is high, agents are more likely to elect the party promising more fiscal redistribution. The model predicts higher average stock market returns under Democratic than Republican presidencies, explaining the well-known ``presidential puzzle." Under sufficient complementarity between the public and private sectors, the model also predicts faster economic growth under Democratic presidencies, which is observed in the data. |
| Keywords: | political cycles; presidential puzzle; risk aversion |
| JEL: | D72 G12 G18 P16 |
| Date: | 2017–02 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:11864&r=fmk |
| By: | Wagner, Alexander F; Zeckhauser, Richard; Ziegler, Alexandre |
| Abstract: | The election of Donald J. Trump as the 45th President of the United States of America on 11/8/2016 came as a surprise. Markets responded swiftly and decisively. This note investigates both the initial stock market reaction to the election, and the longer-term reaction through the end of 2016. We find that the individual stock price reactions to the election – that is, the market’s vote – reflect investor expectations on economic growth, taxes, and trade policy. Heavy industry and banking were relative winners, whereas healthcare, medical equipment, pharmaceuticals, textiles, and apparel were among the relative losers. High-beta stocks and companies with a hitherto high tax burden benefited from the election. Although internationally-oriented companies may profit under some plans of the new administration, several other arguments suggest a more favorable climate for domestically-oriented companies. Investors have found the domestic-favoring arguments to be stronger. While investors incorporated the expected consequences of the election for US growth and tax policy into prices relatively quickly, it took them more time to digest the consequences of shifts in trade policy on firms’ prospects. |
| Keywords: | corporate interest payments; corporate taxes; election surprise; event study; post-news drift; Stock returns; trade policy |
| JEL: | G12 G14 H25 O24 |
| Date: | 2017–02 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:11837&r=fmk |
| By: | Ho, Sin-Yu |
| Abstract: | This study examines the macroeconomic determinants of stock market development in Malaysia during the period 1981-2015. Specifically, it examines the impact of banking sector development, economic performance, inflation rate, foreign direct investment and trade openness on the development of Malaysian stock market. Currently, while theoretical and empirical literature presents diverse views on the relationship between each macroeconomic determinant and stock market development, no studies have been conducted with particular reference to the Malaysian stock market. Given the significant role the Malaysian stock market plays among the ASEAN 5, there is a need for more understanding of the impacts of macroeconomic factors on its development. This paper contributes to the existing literature by investigating the macroeconomic determinants of stock market development in Malaysia using the ARDL bounds testing procedure. The results find that economic performance and trade openness have positive long-run impacts, whereas banking sector development has a negative long-run impact on stock market development. In the short run, the results find that the previous period of banking sector development, and the current and previous periods of trade openness have positive impacts on stock market development, whereas inflation rate exerts a negative impact. These findings carry important policy implications. |
| Keywords: | Macroeconomic determinants; Stock market development; Malaysia; ARDL bounds testing |
| JEL: | C22 E44 G23 |
| Date: | 2017–02–27 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:77232&r=fmk |