scholarly journals Measuring Information Asymmetry in Large Active Firms on the Tehran Stock Exchange

2016 ◽  
Vol 63 (3) ◽  
pp. 333-346
Author(s):  
Mostafa Shamsoddini ◽  
Mohammad N. Shahiki Tash ◽  
Farhad Khodadad-Kashi
Keyword(s):  
Firm Performance ◽  
Financial Markets ◽  
Information Asymmetry ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Financial Information ◽  
Investment Strategies ◽  
Information Measuring ◽  
Informational Environment

In financial markets, transparency of financial information is one of the most effective variables of investment strategies. Information asymmetry can seriously affect firm performance on the stock exchange and firms with a poor informational environment can lose the interest of investors. Reducing information asymmetry can have an important effect on firm performance on the stock exchange. Firms may lack a clear informational environment in the market because of the emerging conditions governing the Tehran Stock Exchange. Because larger and more active firms on the Tehran Stock Exchange provide more information, measuring the informational environment of these firms provides an overview of information asymmetry. The present study calculated the information asymmetry in these firms using the PIN and FE indices. The inconsistent results provided by these indices prompted the authors to offer a new index that is a composite of the PIN and FE that can better explain information asymmetry in developing market such as Asian stock markets. The results show that the new composite index, by using the mechanisms of the PIN and FE indices, provides a better outcome. The new composite index shows that the Tosee Melli Inv (TMEL1), Mobarakeh Steel (FOLD1), Iran Mobil Tele (HMRZ1), Saipa (SIPA1) and I.N.C. Ind. (MSMI1) firms have a better informational environment on the Tehran Stock Exchange.

scholarly journals Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX

2020 ◽  
Vol 12 (20) ◽  
pp. 8581
Author(s):  
Wenjing Xie ◽  
João Paulo Vieito ◽  
Ephraim Clark ◽  
Wing-Keung Wong
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
International Treaties ◽  
National Policies ◽  
The Sustainable Development ◽  
Long Run ◽  
Stock Market Investors

This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable development of financial markets. Our study is very important because some players in the stock markets have not yet realized that stock exchanges, during the last decades, have moved from government-owned or mutually-owned organizations to private companies, and, with several mergers having occurred, the market is tending gradually to behave like a monopoly. From our analysis, we conclude that increased volatility and reduced diversification opportunities are the results of an increase in the long-run comovement between each pair of indices in Nordic and Baltic stock markets (Denmark, Sweden, Finland, Estonia, Latvia, and Lithuania) and NASDAQ after the merger. We also find that the merger tends to improve the error-correction mechanism for NASDAQ so that it Granger-causes OMX, but OMX loses predictive power on NASDAQ after the merger. We conclude that the merger of NASDAQ and OMX reduces the diversification possibilities for stock market investors and our findings provide evidence to support the argument that it is important to implement national policies and international treaties for the sustainable development of financial markets.

Inter-relationship between performance of Bursa Malaysia and foreign stock markets

2006 ◽  
Vol 3 (1) ◽  
pp. 113
Author(s):  
T. Chantrathevi P. Thuraisingam ◽  
You Hoo Tew ◽  
Dalila Daud
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Asian Financial Crisis ◽  
Moderate Correlation ◽  
Crisis Period ◽  
Dow Jones Industrial Average ◽  
Daily Returns ◽  
Over Time

This paper explores the general perception that the Malaysian stock market is influenced by leading overseas stock markets. Employing correlation analysis comparison was made between the performance ofBiirsa Malaysia's Composite Index and six stock market indices namely Straits Times Index, Hang Seng Index, Nikkei 225 Stock Average, Australia All Ordinaries Index, Dow Jones Industrial Average Index and Financial Times 100 Index. This study also seeks to determine ifthere is any significant stability ofcorrelations over time. These indices were studied over a period offifteen years from I January 1990 to 31 December 2004, beginning with the cessation oftrading ofMalaysian shares on the Singapore stock exchange, which is synonymous with the pre-Asian financial crisis period, the crisis period and a post crisis period of almost five years. The study found that the, daily returns of the Composite Index over the period is positively co-related with the foreign indices indicating that the markets were moving in the same direction, in other words there is interdependency between the stock markets. However, the low to moderate correlation refutes the belief that the Malaysian stock market is influenced by the performance ofthe major stock markets. The study also found that generally the correlations are unstable over lime.    

scholarly journals The Efficiency of Active Asset Allocation Funds in the Period of Instability at Financial Markets

2012 ◽  
Vol 12 (2) ◽  
pp. 147-159
Author(s):  
Wojciech Krawiec
Keyword(s):  
Financial Markets ◽  
Asset Allocation ◽  
Stock Exchange ◽  
Investment Strategies ◽  
Investment Portfolio ◽  
Investment Funds ◽  
Financial Reports ◽  
Return Rates ◽  
Adequate Information ◽  
Online Investing

Abstract The objective of the hereby paper is the assessment of domestic active asset allocation funds efficiency in the period of 2007-2012, including the comparison of earned return rates against the return rates obtained by other mixed funds, as well as WIG and WIG20 stock exchange indices. Additionally, the purpose of the paper is to analyse the investment policy applied by the above listed funds, carried out based on records included in adequate information prospectuses, and also having considered the investment portfolio compositions presented in annual and 6-month financial reports covering these funds. The assessment of applied investment strategies efficiency is performed based on 12-, 24-, 36-, 48- and 60- month return rates set at the end of 6-month reporting periods. The analysis covered only domestic open-end active asset allocation investment funds included in this group following the definition accepted by Analizy Online investing assets in financial instruments issued by entities, officially seated in Poland or outside Poland and valuating participation units in PLN, which have been operating for at least 24 months from the day of 30th June 2012.

STATISTICAL ANALYSIS BY STATISTICAL PHYSICS MODEL FOR THE STOCK MARKETS

2009 ◽  
Vol 20 (10) ◽  
pp. 1547-1562 ◽  
Author(s):  
TIANSONG WANG ◽  
JUN WANG ◽  
BINGLI FAN
Keyword(s):  
Stock Markets ◽  
Stock Price ◽  
Statistical Physics ◽  
Stock Exchange ◽  
Contact Process ◽  
Composite Index ◽  
Statistical Properties ◽  
Kolmogorov Smirnov ◽  
Physics Model ◽  
Power Law Distributions

A new stochastic stock price model of stock markets based on the contact process of the statistical physics systems is presented in this paper, where the contact model is a continuous time Markov process, one interpretation of this model is as a model for the spread of an infection. Through this model, the statistical properties of Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) are studied. In the present paper, the data of SSE Composite Index and the data of SZSE Component Index are analyzed, and the corresponding simulation is made by the computer computation. Further, we investigate the statistical properties, fat-tail phenomena, the power-law distributions, and the long memory of returns for these indices. The techniques of skewness–kurtosis test, Kolmogorov–Smirnov test, and R/S analysis are applied to study the fluctuation characters of the stock price returns.

Banning Cassandra from the Market? An Empirical Analysis of Short-Selling Bans during the Covid-19 Crisis

2020 ◽  
Vol 17 (3-4) ◽  
pp. 386-418 ◽  
Author(s):  
Gianfranco Siciliano ◽  
Marco Ventoruzzo
Keyword(s):  
Financial Markets ◽  
Information Asymmetry ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Equity Market ◽  
Short Selling ◽  
Market Quality ◽  
Policy Goals ◽  
The World ◽  
European Stock Markets

During the recent COVID-19 pandemic crisis, stock markets around the world have witnessed an abrupt decline in security prices and an unprecedented increase in security volatility. In response to a week of financial turmoil on the main European stock markets, some market regulators in Europe, including France, Austria, Italy, Spain, Greece, and Belgium, passed temporary short-selling bans in an attempt to stop downward speculative pressures on the equity market and stabilize and maintain investors’ confidence. This paper examines the effects of these short-selling bans on market quality during the recent pandemic caused by the spread of COVID-19. Our results suggest that during the crisis, banned stocks had higher information asymmetry, lower liquidity, and lower abnormal returns compared with non-banned stocks. These findings confirm prior theoretical arguments and empirical evidence in other settings that short-selling bans are not effective in stabilizing financial markets during periods of heightened uncertainty. In contrast, they appear to undermine the policy goals market regulators intended to promote.

scholarly journals Stagpression: The Economic and Financial Impact of the COVID-19 Pandemic

2021 ◽  
Vol 15 (1) ◽  
pp. 19-33
Author(s):  
Mario Arturo Ruiz Estrada ◽  
Evangelos Koutronas ◽  
Minsoo Lee
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
Geometric Approach ◽  
Analytical Framework ◽  
Epidemic Disease ◽  
Infectious Disease Outbreak ◽  
Contagious Diseases ◽  
Disease Occurrence ◽  
The Impact

This paper formulates an analytical framework to understand the spatiotemporal patterns of epidemic disease occurrence, its relevance, and implications to financial markets activity. The paper suggests a paradigm shift: a new multi-dimensional geometric approach to capture all symmetrical and asymmetrical strategic graphical movement. Furthermore, it introduces the concept of stagpression, a new economic phenomenon to explain the uncharted territory the world economies and financial markets are getting into. The Massive Pandemic Contagious Diseases Damage on Stock Markets Simulator (φ-Simulator) to evaluate the determinants of capital markets behavior in the presence of an infectious disease outbreak. The model investigates the impact of Covid-19 on the performance of ten stock markets, including S&P 500, TWSE, Shanghai Stock Exchange, Nikkei 225, DAX, Hang Seng, U.K.-FTSE, KRX, SGX, and Malaysia-FTSE.

scholarly journals Demutualization in Developing and Developed Country Stock Exchanges

2015 ◽  
Vol 3 (2) ◽  
pp. 35-58
Author(s):  
Muhammad Hammad ◽  
Adil Awan ◽  
Amir Rafiq
Keyword(s):  
Hong Kong ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Exchanges ◽  
Return Volatility ◽  
Developed Country ◽  
Lm Test ◽  
The Uk ◽  
The Impact

This study considers seven different stock exchanges in order to measure the impact of demutualization announcements on stock market return volatility. This is measured based on the daily index prices of all seven indices: the Toronto Stock Exchange (TSX) in Canada, the FTSE 100 in the UK, the Straits Times Index (STI) in Singapore, the Nikkei 225 in Japan, the Kuala Lumpur Composite Index (KLCI) in Malaysia, the SENSEX in India, and the Hang Seng Index (HSI) in Hong Kong, China. A dummy variable is used to differentiate between pre- and post-event data. We use the augmented Dickey–Fuller test, the ARCH LM test and GARCH (1, 1) methodology to measure return volatility due to demutualization announcements. The results show that the decision to demutualize did not affect the UK, Singapore, and Indian stock markets, where volatility is explained by other factors. It did, however, affect the Canadian, Japanese, Hong Kong, and Malaysian stock markets. Moreover, the Canadian and Malaysian market swere negatively affected, while the Hong Kong and Japanese markets reacted positively to the demutualization announcements.

scholarly journals Identifying Systemic Risks and Policy-Induced Shocks in Stock Markets by Relative Entropy

Proceedings ◽  
2019 ◽  
Vol 46 (1) ◽  
pp. 24
Author(s):  
Feiyan Liu ◽  
Jianbo Gao ◽  
Yunfei Hou
Keyword(s):  
Financial Crisis ◽  
Relative Entropy ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Indices ◽  
Systemic Risks ◽  
Dow Jones Industrial Average ◽  
New Policies

Systemic risks have to be vigilantly guided against at all times in order to prevent their contagion across stock markets. New policies also may not work as desired and even induce shocks to market, especially those emerging ones. Therefore, timely detection of systemic risks and policy-induced shocks is crucial to safeguard the health of stock markets. In this paper, we show that the relative entropy or Kullback–Liebler divergence can be used to identify systemic risks and policy-induced shocks in stock markets. Concretely, we analyzed the minutely data of two stock indices, the Dow Jones Industrial Average (DJIA) and the Shanghai Stock Exchange (SSE) Composite Index, and examined the temporal variation of relative entropy for them. We show that clustered peaks in relative entropy curves can accurately identify the timing of the 2007–2008 global financial crisis and its precursors, and the 2015 stock crashes in China. Moreover, a sharpest needle-like peak in relative entropy curves, especially for the SSE market, always served as a precursor of an unusual market, a strong bull market or a bubble, thus possessing a certain ability of forewarning.

The Material Politics of Finance: The Ticker Tape and the London Stock Exchange, 1860s–1890s

2021 ◽  
pp. 1-31
Author(s):  
JOHN HANDEL
Keyword(s):  
Nineteenth Century ◽  
Financial Markets ◽  
Stock Exchange ◽  
Financial Information ◽  
London Stock Exchange ◽  
Electrical Circuits ◽  
The Real ◽  
Material Politics ◽  
Tape System ◽  
The Way

When the ticker tape was first invented in the 1860s, it promised a revolution in financial markets. Pricing information was now no longer solely the domain of the trading floor but was relayed continuously and simultaneously to ticker tapes long distances away from the stock exchange. Both nineteenth-century financiers, and the modern scholars who study them, have been enamored with the ticker tape and how it changed the way financial markets were perceived and experienced. However, a focus on how nineteenth-century financiers read and responded to the ticker tape has missed the real reordering of power that the ticker helped usher in. This article argues that between the 1860s and 1890s the London Stock Exchange and the Exchange Telegraph Company powerfully centralized their control over the distribution and transmission of financial information through the mundane infrastructures that underpinned the ticker tape system. Seeming technicalities, like the placement of batteries, the construction of electrical circuits, and the laying of wires and cables, were leveraged by these institutions to create a ticker tape system that distributed financial information unequally to financiers and investors throughout Britain. By the end of the nineteenth century, social and political questions about who should have access to financial information and markets, and on what terms, became helplessly intertwined with the mundane technicalities of the material infrastructures of modern finance.

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