Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets

2004 ◽  
Vol 07 (03) ◽  
pp. 397-422 ◽  
Author(s):  
Donald Lien ◽  
Li Yang
Keyword(s):  
Hong Kong ◽  
United Kingdom ◽  
Stock Returns ◽  
Trading Volume ◽  
Futures Contracts ◽  
Futures Trading ◽  
Stock Trading ◽  
Futures Contract ◽  
Trading Activities ◽  
The Difference

In this study, we investigate the daily relationships between returns on individual stocks and their corresponding futures contracts in Australian, Hong Kong, and United Kingdom markets. We find that, at the beginning of the life of a futures market, autocorrelation of futures returns is similar to that of individual stock returns. As the market becomes mature, the autocorrelation of futures returns behaves differently from the autocorrelation of stock returns. Through the linkage between return autocorrelations and trading volume, we find that a larger trading volume depresses the return autocorrelation and shrinks the differences of return autocorrelation between stock and its futures. In addition, futures trading volume has more significant impact on the patterns of return autocorrelations than the stock trading volume. The effect is non-linear in the sense that it is much more prominent during high futures trading periods. Summary of these findings suggests that the difference of return autocorrelations between an individual stock and its futures contract is due to low trading activities of futures.

scholarly journals The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020

2021 ◽  
Vol 2 (4) ◽  
pp. 1357-1366
Author(s):  
Heny Sidanti ◽  
Annisa Istikhomah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Research Data ◽  
Stock Trading ◽  
Monthly Data ◽  
Bid Ask Spread ◽  
Return Variance ◽  
The Difference

This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and Garment Companies Listed in Indonesia Stock Exchange in 2019-2020. The stock price used is the stock price recorded at the end of each closing period (closing price), stock returns are measured using the difference between returns on the research day and before the study divided by returns on the day before the study, stock trading volume is measured by the number of shares traded at the time of the study. t is divided by the number of shares outstanding at the time of the study, the variance of stock returns is measured using the standard deviation, and the bid-ask spread is measured by the difference between the selling price and the purchase price divided by the difference between the selling price and the purchase price divided by two. The population in this study is 17 textile and garment companies listed on the IDX. Based on the purposive sampling method, a sample of 16 companies was obtained with 309 data. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volumes affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volume affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volumes affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread.

Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume

2021 ◽  
Author(s):  
Dan Li ◽  
Geng Li
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Trading Volume ◽  
Positive Relationship ◽  
Theoretical Models ◽  
Equity Market ◽  
Stock Trading ◽  
Trading Activities ◽  
The Cross

Abstract Theoretical models have long recognized the role of investor disagreements in the marketplace, but little evidence is documented regarding how belief dispersion affects trading activities in the broad equity market. Using over three decades of data from a survey of US households, we introduced a novel measure of household macroeconomic belief dispersion and document its positive relationship with market-wide stock trading volume, even after controlling for an array of professional analysts’ belief dispersion. Results are more pronounced for the belief dispersion among households who are more likely to own stocks. Furthermore, we show that the household belief dispersion is priced in the cross-section of stock returns, whereas that among professional analysts is not.

LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19

2021 ◽  
pp. 2150004
Author(s):  
KHOA DANG DUONG ◽  
QUI NHAT NGUYEN ◽  
TRUONG VINH LE ◽  
DIEP VAN NGUYEN
Keyword(s):  
Transaction Costs ◽  
Stock Returns ◽  
Trading Volume ◽  
Negative Relationship ◽  
Idiosyncratic Volatility ◽  
Individual Investors ◽  
Limits To Arbitrage ◽  
Trading Activities ◽  
Using Data ◽  
The Relationship

This paper examines the impacts of limit-to-arbitrage factors on the returns of the idiosyncratic volatility (IVOL) puzzle in Taiwan before and during the Covid-19 pandemic. Although various studies explore the relationship between stock returns and IVOL, the empirical findings are mixed. We are motivated by unique market microstructures in Taiwan, such as individual investors’ aggressive trading volume and low transaction costs in Taiwan, discouraging arbitrary trading activities. Our empirical results indicate a negative relationship between IVOL and stock returns by using data from the Taiwan stock market. However, the IVOL anomaly does not exist during the Covid-19 pandemic, even in the small stocks sample. Besides, our findings suggest that four proxies of limits-to-arbitrage, such as reversal, transaction costs, turnover and Amihud’s Illiquidity, have statistically significant impacts on the return of IVOL anomaly in Taiwan except for the pandemic period. Finally, our finding suggests that the stock turnover is the only limit-to-arbitrage factor that helps investors earn arbitrary profits during the COVID-19 period.

scholarly journals Does Trading Volume explain the Information Flow of Crude Palm Oil Futures Returns?

2020 ◽  
Vol 12 (2) ◽  
pp. 115-136
Author(s):  
You-How Go ◽  
◽  
Wee-Yeap Lau ◽  
Keyword(s):  
Palm Oil ◽  
Trading Volume ◽  
Futures Market ◽  
Sensitive Information ◽  
Crude Palm Oil ◽  
Futures Trading ◽  
Oil Futures ◽  
Futures Contract ◽  
Information Set

This study examines the role of trading volume in the crude palm oil (CPO)futures market as a proxy for information áow from the perspective of the mixture-of-distributions hypothesis (MDH). Using the data from January 2000 to April 2017, a sym-metric GARCH model has been estimated, in which the residuals follow alternatively thenormal Student-t and generalised error distribution. An alternative augmented model thatconsists of trading volume as an exogenous variable is estimated with the same error dis-tributions. Our results suggest several conclusions: First, the trading volume could not actas a true proxy for information áow. This indicates that volume of futures trading containsrelatively less price-sensitive information. Secondly, the inclusion of trading volume into theconditional variance equation with Student-t distributed errors is important for modellingpurposes when the returns are leptokurtic and positively skewed. Hence, it can be concludedthat the use of return and trading volume will enhance the current information set usedby practitioners and analysts in pricing the CPO futures contract when there exists a highdegree of leptokurtosis in the returns. This is the Örst study that validates the MDH in thecontext of the CPO futures market

scholarly journals Price Fraction Changes Impact on Stock Trading Indicators: An Events Study on Indonesia Stock Exchange

The Winners ◽  
2019 ◽  
Vol 20 (1) ◽  
pp. 1
Author(s):  
Adi Teguh Suprapto ◽  
Mulyono Mulyono ◽  
Danang Prihandoko
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Volume Data ◽  
Stock Trading ◽  
Significant Difference ◽  
Indicator Variables ◽  
Before And After ◽  
Data Volume ◽  
The Difference

This research presented differences of stock price fraction system to stock trading indicator variables such as volume, value, and frequency of stock trading transactions on companies listed in Indonesia Stock Exchange. The purpose of this research was to measure and analyze the difference of stock price fraction system to stock trading indicator variables. Sample determination based on the sampling method was saturated, i.e., the technique of determining the sample by using all members of the population as a sample. The sample in this research used JCI data as it represents the 115 issuers listed on the Indonesia Stock Exchange during the research period. This research used Mann-Whitney U Test to find out whether there were differences between two groups of data that were not related (independent) with the classification; group 1 was the volume data, the value and frequency of stock trading before the new price fraction that was applied 02 May 2016. While the second group data volume, value and frequency of stock trading after applying the new price fraction 02 May 2016. This research finds that the stock trading indicators reflected by the trading volume of stocks, the value of the stock, and the frequency of stock trading has a significant difference before and after the implementation of the new stock price fraction. 

scholarly journals Case studies on the success or failure of futures contracts

2015 ◽  
Vol 4 (3) ◽  
pp. 30-47 ◽  
Author(s):  
Hilary Till
Keyword(s):  
Public Policy ◽  
Case Studies ◽  
Futures Markets ◽  
Futures Contracts ◽  
Trial And Error ◽  
Futures Trading ◽  
Futures Contract ◽  
The U.S

Why do some futures contracts succeed and others fail? Although the U.S. futures markets have evolved in a trial-and-error fashion, research suggests key elements have determined whether particular futures contracts succeeded or failed. This knowledge could be useful for new financial centers as they build successful futures markets. This paper shows that there are three elements that determine whether a futures contract succeeds or not: 1. There must be a commercial need for hedging; 2. A pool of speculators must be attracted to a market; and 3. Public policy should not be too adverse to futures trading

scholarly journals Analisis pengaruh informasi laba terhadap perilaku investor di pasar sekunder

2018 ◽  
Vol 22 (1) ◽  
Author(s):  
Farichah Farichah
Keyword(s):  
Stock Returns ◽  
Initial Public Offering ◽  
Trading Volume ◽  
Stock Exchange ◽  
Investment Decision ◽  
Secondary Market ◽  
Short Term ◽  
Stock Trading ◽  
Earnings Information

After going through initial public offering process, the company must trade its shares in the secondary market. Companies should conduct signaling to users, such as investors and potential investors by providing information that can be utilized as a basis for investment decision making. The information announced (which includes earnings information) is expected to have a quality that allows investors and potential investors to predict company performance in the future. This study was conducting  to investigate investors behaviour by observing trading volume, stock returns and earnings response coeffesient (ERC) in the short and long term. This study uses data and samples from the Indonesia Stock Exchange from 2006 to 2015. Hypothesis testing is done by using multiple linear regression and independent sample t test. The result showed that earnings information give effect to trading volume, stock returns, and ERC  in short term (one year after IPO)  and  long term (for 5 years or more after IPO). The next result in the short term the stock trading volume, stock returns, and ERC is greater when compared with the volume of stock trading, stock returns, and ERC in the long term.

scholarly journals Perdagangan Berjangka Komoditi : Berdzikirlah dengan Physical Delivery

El Dinar ◽  
2018 ◽  
Vol 5 (2) ◽  
pp. 44
Author(s):  
Bambang Tutuko
Keyword(s):  
Risk Sharing ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Futures Trading ◽  
Market Participants ◽  
Ownership Transfer ◽  
Trading Activities ◽  
The Government ◽  
Commodity Trading ◽  
The One

<p>Commodity Futures Trading in Indonesia is administered by the government under the auspices of the Commodity Futures Trading Supervisory Agency (BAPPEBTI) with the aim of establishing the price of primary commodities (price discovery) and as a hedging facility using futures contracts. However, current futures trading is only a means of speculation caused by its specifications and transaction mechanism.<br />The application of the three principles of dhikr: the principle of harmony, the principle of integrity, and the principle of one on the quest for hedging solutions in commodity futures will lead to trade where the parties who transact share the risk (risk sharing). Risk sharing can only occur if there is a common goal between buyers and sellers to manage risk (the principle of the one-an). The similarity of objectives will result in a commitment between buyers and sellers to perform physical handover backed by regulation to create a liquid market (the principle of harmony), so that the wholeness of trade mechanisms involving market participants, markets, and regulators will be maintained. The integrity of the role of the stakeholders of commodity trading is what will lead to the solution of the hedge without having to separate the risk with its trading activities (principle of wholeness).<br />The "dhikr" hedging is a hedge accompanied by the certainty of ownership transfer through physical delivery of physical commodities. Thus, the hedge is not separate from its real trading activity, because the risk is always attached to the profit-making business activity.</p>

scholarly journals Management discussion and analysis, corporate governance perception index and market reaction

2017 ◽  
Vol 14 (4) ◽  
pp. 165-175
Author(s):  
Lindrianasari Lindrianasari ◽  
Sondang Berliana Gultom ◽  
Liza Alvia
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Capital Market ◽  
Trading Volume ◽  
Market Reaction ◽  
Stock Exchange ◽  
Volume Activity ◽  
Stock Trading ◽  
Market Participants ◽  
Investor Reaction

This research generally aims to provide empirical evidence on investor reaction to the disclosure of Management’s Discussion and Analysis of the companies listed on the Indonesia Stock Exchange in the period of 2011-2013. The motivation of this study is that there is no study in Indonesia concerning the presentation of the Management’s Discussion and Analysis that affect investors’ decision to invest in an enterprise, which is illustrated by the market reaction to stock returns and trading volume activity. There are 827 samples in this study in the period of 2011-2013. This study found that Indonesian capital market is responding to the disclosure of Management’s Discussion and Analysis provided by the company. The more complete disclosure of the information in the Management’s Discussion and Analysis, the better the market response. Corporate Governance Perception Index also responded positively and significantly to the stock trading volume. These findings indicate that the disclosure of information contained in Management’s Discussion and Analysis and Corporate Governance Perception Index utilised for market participants in Indonesia in decision-making.

Efek Hari Libur Lebaran Pada Emiten Yang Terdaftar Dalam ISSI Periode 2011-2013

2015 ◽  
Vol 2 (5) ◽  
pp. 372
Author(s):  
Venny Julia Utomo ◽  
Leo Herlambang
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Volume Activity ◽  
Stock Trading ◽  
Market Reactions ◽  
Average Abnormal Return ◽  
Before And After ◽  
Sample Test ◽  
Abnormal Trading Volume ◽  
The Difference

This research aims to analyze the market reactions of Eid Mubarak Holiday which is indicated by the presence of average abnormal return and average abnormal trading volume activity on issuers in ISSI list within 2011-2013 period, and especially for the issuers which engaged in the field of food and drinking product industries, also retail industries as well.The method used in this research is event study which will analyze the alteration of price movements and volume of stock trading before and after Eid Mubarak Holiday. The hypothesis of this research is the presence of trading reaction that indicated by average normal return and the difference of average abnormal trading volume activity before and after Eid Mubarak Holiday. This research testing uses one sample-test to seek if there are any average normal returns around Eid Mubarak Holiday, while paired sample-test is used to test the difference of average normal trading volume activity before and after Eid Mubarak Holiday. The writer did the research within 41 days, divided into two periods. 30 days before Eid Mubarak Holiday and 10 days after Eid Mubarak Holiday. The amount of sample in this research is 31 issuers which have met the sampling criteria using purposive sampling.The result of the first hypothesis indicates that there is insignificant average abnormal return, while the second hypothesis indicates the difference of significant average abnormal trading volume activity.

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