Market Liquidity and Stock Size Premia in African Emerging Financial Markets: The Implications for Foreign Investment

Assuming that regulatory obstacles such as capital controls, breach of contract, and other market imperfections are still predominant even in today’s increasingly integrated financial markets, this study demonstrates application of the analytic hierarchy process (AHP) to effectively assess country-specific risks to cross-border investments. The AHP is an expert-driven system that has been applied to numerous fields but has yet to be applied to the assessment and management of country-risk exposure. This study shows that it is also capable of selecting an optimal host country (OHC) for a foreign investment, herein a national market where country-specific risks are least likely to adversely affect its return.

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Forecasting Quoted Depth With the Limit Order Book

Frontiers in Artificial Intelligence ◽

10.3389/frai.2021.667780 ◽

2021 ◽

Vol 4 ◽

Author(s):

Daniel Libman ◽

Simi Haber ◽

Mary Schaps

Keyword(s):

Financial Markets ◽

Stock Prices ◽

Limit Order Book ◽

Vital Role ◽

Market Liquidity ◽

Order Book ◽

Electronic Trading ◽

Trading Systems ◽

Additional Information ◽

Feed Forward Neural Networks

Liquidity plays a vital role in the financial markets, affecting a myriad of factors including stock prices, returns, and risk. In the stock market, liquidity is usually measured through the order book, which captures the orders placed by traders to buy and sell stocks at different price points. The introduction of electronic trading systems in recent years made the deeper layers of the order book more accessible to traders and thus of greater interest to researchers. This paper examines the efficacy of leveraging the deeper layers of the order book when forecasting quoted depth—a measure of liquidity—on a per-minute basis. Using Deep Feed Forward Neural Networks, we show that the deeper layers do provide additional information compared to the upper layers alone.

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AUSTRALIAN RESOURCE DEVELOPMENT - CAN FINANCIAL REQUIREMENTS BE SATISFIED?

The APPEA Journal ◽

10.1071/aj81011 ◽

1982 ◽

Vol 22 (1) ◽

pp. 159

Author(s):

D. R. P. Grehan

Keyword(s):

Financial Markets ◽

Foreign Investment ◽

Resource Development ◽

Foreign Ownership ◽

Open Market ◽

Project Development ◽

Foreign Partner ◽

Self Sufficiency ◽

Tangible Support ◽

To Receive

While it is of the utmost importance to maintain Australia's existing level of self-sufficiency in the production of oil and its related products, this industry receives very little tangible support for its endeavours in this regard. When the participants in the industry require finance, particularly for project development, they find that they have to compete on the open market for the necessary funds. In the coming decade there will be very heavy demands placed on the financial markets in this country, particularly from the minerals area where huge amounts of capital will be required. Additionally, we can expect certain sectors of the community to receive favoured treatment at the expense of the more efficient sectors.During the mineral boom of the early 70s the percentage of foreign ownership of Australian resources increased. During the 80s it appears that the reverse may be the case, as greater Australian participation in the development of this country's resources may be required. Accordingly it may be more difficult to have the Foreign Investment Review Board approve an application from a possible foreign partner who is willing to inject capital into a project.These possible restrictions on fund raisings may result in delays for many projects and could well cause the cancellation of others which are now marginally feasible.

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DO CIRCUIT BREAKERS IMPEDE TRADING BEHAVIOR? A STUDY IN CHINESE FINANCIAL MARKET

The Singapore Economic Review ◽

10.1142/s0217590819500565 ◽

2019 ◽

Vol 64 (05) ◽

pp. 1-18

Author(s):

KUN LI

Keyword(s):

Financial Markets ◽

Financial Market ◽

Circuit Breaker ◽

Market Liquidity ◽

Trading Behavior ◽

Circuit Breakers ◽

Short Life ◽

Large Market ◽

Magnet Effect ◽

Negative Impacts

As the most influential regulation in 2016, China launched circuit breakers in the financial markets. However, the circuit breaker mechanism was implemented for only four days and then suspended. Many criticisms then stated that circuit breakers impeded trading behavior in Chinese financial markets. This study explores this short-life circuit breaker mechanism in China, and examines whether circuit breakers impede trading behavior in Chinese financial markets as many criticisms stated. We use an intraday dataset and investigate the circuit breakers. Contrary to those criticisms, we find that circuit breakers are not easily reachable and have no “magnet effect” between two thresholds of breakers. We also find that without protection of circuit breakers, potential large market fluctuations will have negative impacts on individual stocks’ liquidity and value. As the major contribution, our study indicates that Chinese financial markets still need a circuit breaker mechanism to protect investors’ benefits and maintain the market liquidity and stability.

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The Influence of Internal Contradictions in the Us Economy on Global Financialization and the Expansion of Fictitious Capital

Finance Theory and Practice ◽

10.26794/2587-5671-2021-25-2-6-34 ◽

2021 ◽

Vol 25 (2) ◽

pp. 6-34

Author(s):

D. A. Dinets ◽

R. A. Kamaev

Keyword(s):

Financial Markets ◽

Global Economy ◽

Capital Investment ◽

Balance Sheet ◽

The United States ◽

Market Liquidity ◽

Financial Flows ◽

Us Economy ◽

Fictitious Capital ◽

The Us

The financialization genesis of the global economy centered in the United States is on the bifurcation point now— a fictive capital’ expansion is damaging with the social capital regeneration mechanism disaster. The method of identifying and estimating the fictive capital’ extension is absent for now. The fictive capital exists as a metaphor on the science papers but not as an institutional basis of the capital flows directions. The paper aims to update the configuration of the global financial system, its dependence on the performance of US corporations and banks; to identify the sources of vulnerability of world finance and global liquidity from the fictitious capital of American financial markets. The methodology is theoretical pattern’ of financial capital movements and its real statistical market indicators comparison. The empirical base is statistical data about the financial flows and financial results especially about the US as a global financial center. Based on the results the authors have revealed an origin of fictive capital on the US bank sector by the justification for the conclusion of liquidity above the profitable as the purpose of financial operations. This conclusion is confirmed with the scale of off-balance sheet transactions of banks. Besides the regression between the prices of derivative’ basis assets and stock indexes has been shown. Also, the market capitalization of American companies is not sensitive to change in market liquidity indicators. The authors concluded that global financialization is supported by significant internal contradictions in the US economy. The source of contradictions is the financial mechanism for withdrawing liquidity from the sphere of production and circulation into the sphere of financial markets. Capital investment using instruments of the US financial market entails the threat of losing their liquidity. Forecasting the dynamics of the global economy without taking into account the role of fictitious capital, which is emerging in the American financial markets, leads to global vulnerability and may cause the next financial crisis.

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The Behavior of Fixed-income Funds during COVID-19 Market Turmoil

Analytical Notes ◽

10.5089/9781513563695.064 ◽

2020 ◽

Vol 20 (02) ◽

Author(s):

Frank Hespeler ◽

Felix Suntheim

Keyword(s):

Financial Markets ◽

Financial Stability ◽

Market Liquidity ◽

Portfolio Performance ◽

Fixed Income ◽

Asset Sales ◽

Treasury Securities ◽

Short Period ◽

Valuation Uncertainty ◽

Asset Managers

This note analyzes the stress experienced (and caused) by open-end mutual funds during the March COVID-19 stress episode, with a focus on global fixed-income funds. In light of increased valuation uncertainty, funds experienced a short period of intense withdrawals while the market liquidity of their holdings deteriorated substantially. To cover redemptions, afflicted funds predominantly shed liquid assets first—for example, cash, cash equivalents, and US Treasury securities. But forced asset sales amplified price pressures in markets and contributed to liquidity falling across fixed-income markets. This drop in market liquidity, as well as the general stress in financial markets, may have led to fund investors becoming even more sensitive to challenging portfolio performance and encouraged further withdrawals. Only after central banks intervened, directly and indirectly supporting asset managers, did liquidity and redemption stress subside. Overall, the March episode validated the financial-stability concerns about liquidity vulnerabilities in the fund industry and calls for further action to address them.

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German Corporate Convergence to a Market Based System

International Community Law Review ◽

10.1163/187197407x210283 ◽

2007 ◽

Vol 9 (2) ◽

pp. 209-232 ◽

Cited By ~ 2

Author(s):

Matthew Berger

Keyword(s):

Corporate Governance ◽

Financial Markets ◽

Foreign Investment ◽

Direct Investment ◽

Investment Decisions ◽

International Investment ◽

Governance System ◽

Legal Reforms ◽

Corporate Governance System ◽

International Investors

AbstractGermany has implemented several legal reforms in an attempt to attract international investment. Commentators proclaimed that a transition from a bank-based system of corporate governance to a market-based system was required in order for Germany to attract international investors. Debates still transpire regarding the success of the legal reforms implemented in an effort to make this change. This analysis explains Germany's previous corporate governance system and the new laws implemented to transform it to a market-based system. Empirical data is recited concerning the changes in foreign direct investment, German household investment decisions, and the German financial markets. The paper concludes that an analysis of this data reveals an increase of foreign investment in Germany and a substantial movement towards a market-based system throughout the duration of the legal reform.

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