How Prevalent and Profitable are Latency Arbitrage Opportunities on U.S. Stock Exchanges?

Purpose – The purpose of this paper is to examine the stock return impact of “lucky” numbered days in markets dominated by Chinese participants. The existence of such patterns might present arbitrage opportunities for investors who do not share a belief in the Chinese system of “lucky” numbers. Design/methodology/approach – In univariate and multivariate analyses, the author examines the statistical significance of return differences between “lucky” numbered days and other days. The author examines samples which only consider single digit days and months, and the author also considers samples based on the last digit of the day or month. Based on the findings in these tests, the author designs and tests a trading strategy on the Shenzhen Exchange that produces significant risk-adjusted returns in excess of the buy-and-hold return on the Shenzhen Composite Index. Findings – The author shows that “lucky” numbered dates impact stock returns in Chinese markets and demonstrate a “lucky” number date trading strategy for the Shenzhen market that produces risk-adjusted returns in excess of the market return. Originality/value – Prior research on home address numbers and stock trading codes shows that, in markets dominated by Chinese participants, assets with identifiers containing numbers defined by Feng Shui as “lucky” sell at a premium and assets with identifiers containing “unlucky” numbers sell at a discount. In such markets, prices are more likely to end in a “lucky” number than an “unlucky” number. Chinese firms also tend to price their shares at IPO using “lucky” numbers and avoiding “unlucky” numbers. The author extends this literature to examine whether dates containing “lucky” and “unlucky” numbers experience stock returns significantly different than other days on Chinese stock exchanges.

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The Impact of Exchange Rate on Indian Stock Exchanges like BSE & NSE

International Journal of Scientific Research ◽

10.15373/22778179/oct2013/160 ◽

2012 ◽

Vol 2 (10) ◽

pp. 1-2

Author(s):

Divyang Patel ◽

◽

Nikita Kagalwala

Keyword(s):

Exchange Rate ◽

Stock Exchanges ◽

The Impact

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Operational Aspects of National Securities Depository Limited (NSDL) in Depository System

International Journal of Emerging Research in Management and Technology ◽

10.23956/ijermt.v6i8.147 ◽

2018 ◽

Vol 6 (8) ◽

pp. 249

Author(s):

Rajnikant Kumar

Keyword(s):

Capital Markets ◽

Service Providers ◽

State Of The Art ◽

Stock Exchanges ◽

Saving Account ◽

Business Partners ◽

Paper Work ◽

Set Up ◽

Buy Back ◽

Operational Aspects

NSDL was registered by the SEBI on June 7, 1996 as India’s first depository to facilitate trading and settlement of securities in the dematerialized form. NSDL has been set up to cater to the demanding needs of the Indian capital markets. NSDL commenced operations on November 08, 1996. NSDL has been promoted by a number of companies, the prominent of them being IDBI, UTI, NSE, SBI, HDFC Bank Ltd., etc. The initial paid up capital of NSDL was Rs. 105 crore which was reduced to Rs. 80 crore. During 2000-2001 through buy-back programme by buying back 2.5 crore shares @ 12 Rs./share. It was done to bring the size of its capital in better alignment with its financial operations and to provide same return to shareholders by gainfully deploying the excess cash available with NSDL. NSDL carries out its activities through service providers such as depository participants (DPs), issuing companies and their registrars and share transfer agents and clearing corporations/ clearing houses of stock exchanges. These entities are NSDL's business partners and are integrated in to the NSDL depository system to provide various services to investors and clearing members. The investor can get depository services through NSDL's depository participants. An investor needs to open a depository account with a depository participant to avail of depository facilities. Depository system essentially aims at eliminating the voluminous and cumbersome paper work involved in the scrip-based system and offers scope for ‘paperless’ trading through state-of-the-art technology. A depository can be compared to a bank. A depository holds securities of investors in the form of electronic accounts, in the same way as bank holds money in a saving account. Besides, holding securities, a depository also provides services related to transactions in securities.

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