The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange

This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange (TWSE). This change presents an opportunity to analyze how the extended opening session of futures market affects stock price behavior. Compared with the pre-extension period, the empirical results show that stock returns are less volatile and return autocorrelations are less positively correlated around the stock market opening. Moreover, overreaction for opening prices of the stock market is mitigated in the post-extension period. Finally, unexpected futures returns during the extended opening session can predict overnight stock returns. Overall, the empirical results are consistent with Foster and Viswanathan (1990) in that informed traders will trade aggressively at the market opening.

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The information content of the thinner order book following tick size reduction

Managerial Finance ◽

10.1108/mf-11-2012-0238 ◽

2014 ◽

Vol 40 (3) ◽

pp. 218-233

Author(s):

Cheng-Yi Chien ◽

Tzu-Hsiang Liao ◽

Hsiu-Chuan Lee

Keyword(s):

Information Content ◽

Stock Exchange ◽

Limit Order Book ◽

Order Book ◽

Tick Size ◽

Limit Order ◽

Content Type ◽

Taiwan Stock Exchange ◽

Using Data ◽

The Impact

Purpose – This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach – To estimate the information content of the order book, the modified information share proposed by Hasbrouck and extended by Lien and Shrestha is used in this paper. Findings – The empirical results show that the limit order book is informative. Furthermore, the results indicate that a reduction in tick size will decrease the information content of the order book and the decrease in the information content of the order book is positively related to the thinner order book. Originality/value – This paper suggests that, in order to enhance the information content of the order book, the TWSE should disclose the full limit order book.

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Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

Vision The Journal of Business Perspective ◽

10.1177/09722629211022523 ◽

2021 ◽

pp. 097226292110225

Author(s):

Rakesh Kumar Verma ◽

Rohit Bansal

Keyword(s):

Stock Returns ◽

Financial Institutions ◽

Stock Price ◽

Stock Exchange ◽

Abnormal Returns ◽

Developed Countries ◽

Low Carbon ◽

Bond Issue ◽

The Government ◽

The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

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The importance of information upon applying IFRS in financial entities that trade at the Colombian stock market

Revista CIFE Lecturas de Economía Social ◽

10.15332/22484914/5200 ◽

2019 ◽

Vol 21 (34) ◽

pp. 137-152

Author(s):

Miguel Angel Laverde Sarmiento ◽

Jorge Fernando Garcia Carrillo ◽

Juan Carlos Lezama Palomino ◽

Alejandra Patiño Jacinto

Keyword(s):

Financial Reporting ◽

Stock Price ◽

Stock Exchange ◽

Regulatory Framework ◽

General Level ◽

Market Exchange ◽

Generally Accepted Accounting Principles ◽

Financial Reporting Standards ◽

Before And After ◽

The Impact

The aim of this research is to determine whether the implementation of the International Financial Reporting Standards (IFRS) in the companies of the financial sector listed on the Colombian Stock Exchange has greater relevance compared to the previous accounting regulatory framework known as Generally Accepted Accounting Principles (GAAP) in Colombia, for the years 2009 to 2016. Taking into account the concept of valorative relevance that indicates that the accounting information is relevant if it affects the stock price reflected in the capital market exchange. To determine this relationship, an adaptation of the model proposed by Ohlson (1995) is used, because it is the most frequently used to measure relevance. The modifications made to the model were to include accounting variables of financial instruments of assets and liabilities to better measure the impact of the IFRS. On a general level, the conclusion is reached that the valorative relevance of financial companies listed on the stock exchange between 2009 and 2016, does not change due to the application of the IFRS. The results are because the regulation that financial companies that are listed on the stock exchange of Colombia are subject to has contributed to the relevance being maintained before and after the application of the new regulatory framework. however, when carrying out the study of the information taking into account only the variables and taking into account the regulations under the IFRS, they present a greater degree of significance.

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Margin requirements and Stock Market Volatility in Bangladesh

SDMIMD Journal of Management ◽

10.18311/sdmimd/2012/2741 ◽

2012 ◽

Vol 3 (2) ◽

pp. 29

Author(s):

A. F. M. Mainul Ahsan ◽

Mohammad Osman Gani ◽

Md. Bokhtiar Hasan

Keyword(s):

Stock Returns ◽

Stock Price ◽

Stock Exchange ◽

Price Volatility ◽

Market Volatility ◽

Stock Market Volatility ◽

Margin Requirements ◽

Margin Requirement ◽

Daily Stock Returns ◽

The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

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Causal Relation Between Stock Market Performance and Firm Investment in China: Mediating Role of Information Asymmetry

SAGE Open ◽

10.1177/2158244019885146 ◽

2019 ◽

Vol 9 (4) ◽

pp. 215824401988514

Author(s):

Ghulam Hussain Khan Zaigham ◽

Xiangning Wang ◽

Haji Suleman Ali

Keyword(s):

Information Asymmetry ◽

Stock Prices ◽

Stock Price ◽

Stock Exchange ◽

Causal Relation ◽

Negative Relationship ◽

Manufacturing Firms ◽

Price Performance ◽

Stock Market Performance ◽

The Impact

The main objectives of this study are to examine the impact of stock price performance on firm’s investment and to investigate the counter impact of changes in investment expenditures on stock price performance. The random effects model was applied on the panel data of Chinese manufacturing firms listed at the Shanghai Stock Exchange and the Shenzhen Stock Exchange during the period 2002 to 2016. The sample contains 398 firms with 5,970 observations. Although there is a statistically significant and negative relationship between stock price and investment expenditures, the impact of stock price on investment expenditures is far greater than that of investment expenditures on stock price. Information asymmetry positively mediates both investment sensitivity to stock prices and stock prices sensitivity to investment. This study is a valuable contribution toward the analysis of investment decision making by manufacturing firms in China. It also provides guidelines for investors to assess the informational status of the capital market before making investment decisions and to comprehensively understand the different decisions made by firms with regard to the issue of new stocks and the indirect information attached with such issues.

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Analysis of Institutional Factors Affecting Share Prices: The Case of National Stock Exchange

Global Business Review ◽

10.1177/0972150917713865 ◽

2018 ◽

Vol 19 (3) ◽

pp. 707-721 ◽

Cited By ~ 2

Author(s):

Neeraj Nautiyal ◽

P. C. Kavidayal

Keyword(s):

Stock Prices ◽

Stock Price ◽

Transition Period ◽

Stock Exchange ◽

Market Price ◽

Negative Relationship ◽

Value Added ◽

Price Variation ◽

Wide Range ◽

The Impact

This study offers empirical findings on the impact of institutional variables on firm’s stock market price performance. In order to identify the influence of companies financial on NIFTY 50 Index, our sample consists of balanced panel of 30 actively traded companies (that becomes the study’s index representative) over a massive transition period, 1995–2014. Attempts have been made with a wide range of econometric models and estimators, from the relatively straightforward to (static) more complex (dynamic panel analyses) to deal with the relevant econometric issues. Results indicate that increasing debt in capital structure does not establish any significant relation with the stock prices. Earnings per share (EPS) shows a poor explanation of price variation. Economic value added (EVA) indicates a positive relation with current as well as previous year’s stock price performances. However, dividend payout (DIVP) and dividend per share (DPS) achieve negative relationship at moderately significant level. The present study confirms that performance of companies fundamental ratios will be essential and immensely helpful to investors and analysts in assessing the better stocks that belong to different industry groups.

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