scholarly journals The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization

2005 ◽  
Vol 08 (02) ◽  
pp. 201-216 ◽  
Author(s):  
Robin K. Chou ◽  
Wan-Chen Lee ◽  
Sheng-Syan Chen
Keyword(s):  
New York ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
Short Term ◽  
Tick Size ◽  
York Stock Exchange ◽  
Before And After ◽  
Abnormal Trading Volume

This paper examines the stock price behavior around the ex-split dates both before and after the decimalization on the New York Stock Exchange (NYSE). We find that the abnormal ex-split day returns decrease and the abnormal trading volume increases in the 1/16th and decimal pricing eras, relative to the 1/8th pricing era. These findings are consistent with the microstructure-based explanations for the ex-day price movements. Our study also supports the hypothesis that short-term traders perform arbitrage activities during the ex-split dates when transaction costs become lower after the tick size is reduced.

Transitory Price Changes in the Chinese Stock Markets

2007 ◽  
Vol 10 (04) ◽  
pp. 519-540 ◽  
Author(s):  
Zhaohui Zhang ◽  
Howard Nemiroff ◽  
Jiamin Wang ◽  
Khondkar Karim
Keyword(s):  
New York ◽  
Stock Markets ◽  
Trading Volume ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
Price Limits ◽  
Price Reversal ◽  
York Stock Exchange ◽  
Chinese Stock Markets ◽  
Opening And Closing

This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative, while the correlation of the daytime return with the following overnight return is strongly positive. The results show strong price continuation around the close and strong price reversal at the open, and the findings are not sensitive to trading volume. The findings are less likely to be caused by price limits. Our results are inconsistent with previous findings from the Tokyo Stock Exchange, yet similar to those from the New York Stock Exchange, albeit under a different market structure.

scholarly journals Time for Business: Business Ethics, Sustainability, and Giorgio Agamben’s ‘Messianic Time’

2016 ◽  
Vol 2 (3) ◽  
pp. 39-51
Author(s):  
Jeremy Kidwell
Keyword(s):  
New York ◽  
Stock Price ◽  
Stock Exchange ◽  
Recent Attempt ◽  
New York Stock Exchange ◽  
York Stock Exchange ◽  
Modern Business ◽  
Future Consequences ◽  
Economic Future ◽  
Hourly Basis

Contemporary business continues to intensify its radical relation to time. The New York Stock Exchange recently announced that in pursuing (as traders call it) the ‘race to zero’ they will begin using laser technology originally developed for military communications to send information about trades nearly at the speed of light. This is just one example of short-term temporal rhythms embedded in the practices of contemporary firms which watch their stock price on an hourly basis, report their earnings quarterly, and dissolve future consequences and costs through discounting procedures. There is reason to believe that these radical conceptions of time and its passing impair the ability of businesses to function in a morally coherent manner. In the spirit of other recent critiques of modern temporality such as David Couzen Hoys The Time of Our Lives, in this paper, I present a critique of the temporality of modern business. In response, I assess the recent attempt to provide an alternative account of temporality using theological concepts by Giorgio Agamben. I argue that Agamben’s more integrative account of messianic time provides a richer ambitemporal account which might provide a viable temporality for a new sustainable economic future.

Decimalization of Stock Exchanges

2011 ◽  
pp. 165-180
Author(s):  
Bin Chang
Keyword(s):  
New York ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
New York Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange ◽  
Bid Ask Spread ◽  
Limit Orders ◽  
York Stock Exchange ◽  
The Impact

Technological innovation is propelling the move in financial markets away from fractional trading and towards decimal trading, as in the example of The New York Stock Exchange (NYSE) tick size changed from $1/16 to $0.01 on January 29, 2001. This chapter examines the impact of that trend as it relates to market quality and trading behaviour, and draws on comparisons between NYSE and NASDAQ, as well as evidence from other markets and market-traded securities, in demonstrating how decimalization leads to a decrease in the bid-ask spread and depth and an improvement in the probability of information-based trading, while having seemingly no effect on the frequency of limit orders. Our examination also demonstrates how the 1996 decimalization of the Toronto Stock Exchange (TSX, formerly TSE) has had little impact on its giant competitor, NYSE.

International Stock Price Co-movement

2013 ◽  
Vol 12 (3) ◽  
pp. 157-191 ◽  
Author(s):  
Kenjiro Hirayama ◽  
Yoshiro Tsutsui
Keyword(s):  
New York ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
Common Shocks ◽  
Standard Time ◽  
Minute Period ◽  
York Stock Exchange ◽  
International Investors

Two possible causes of international stock price co-movement are examined: the existence of global common shocks and portfolio adjustments by international investors. Empirical analyses indicate that the former explains a significant part of the co-movement and the latter is unlikely to play an important role. We extend the analysis to intra-day high-frequency data. For example, when the Tokyo Stock Exchange begins its daily trading at 9:00 A.M. Japan Standard Time (JST), stock prices in Tokyo exhibit responses to preceding changes in New York. An analysis with minute-byminute data indicates that Tokyo's response to New York dissipates within about six minutes after opening. On the other hand, when the New York Stock Exchange (NYSE) opens at 9:30 A.M. Eastern Standard Time (EST), its response to Tokyo dissipates within 14 minutes. Thus, the movement of stock prices is transmitted rapidly across countries. Finally real-time simultaneous interactions between Shanghai (Shenzhen) and Tokyo are analyzed for a 30-minute period in the morning and a 60-minute period in the afternoon. Investors in Tokyo are watching stock prices in Shanghai, but not vice versa. Tight regulations on Chinese investors to prevent them from holding foreign stocks may be the reason why they do not pay any attention to stock price movements in Tokyo.

scholarly journals Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets

2011 ◽  
Vol 5 (6) ◽  
Author(s):  
Deniz Ozenbas ◽  
Zaman Zamanian
Keyword(s):  
New York ◽  
Stock Markets ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
York Stock Exchange ◽  
Before And After ◽  
Trading Period ◽  
Day Of The Week ◽  
European Stock Markets

The pattern of intra-day stock price volatility is established in the academic literature as having a U-shape, with heightened volatility at the open and at the close compared to the other periods of the trading day. We establish in this study that there are variations in this pattern across different days of the week. More precisely, we see that the intra-day U-shaped pattern is more accentuated when we take into consideration the day of the week. Using intra-day data from the New York Stock Exchange, London Stock Exchange, Deutsche Boerse and Euronext Paris stock markets we show that Monday openings are consistently more volatile than opening periods of other days, and similarly Friday closings are consistently more volatile than closing periods of other days. These findings indicate the increased difficulty of price discovery just before and after the weekend non-trading period. Variance-ratio statistics are employed to test for the significance of our findings.

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