scholarly journals Is a larger equity market more information efficient? Evidence from intervalling effect

2016 ◽  
Vol 6 (3) ◽  
pp. 36-44
Author(s):  
KiHoon Hong
Keyword(s):  
Simple Model ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Financial Market ◽  
Equity Market ◽  
General Version ◽  
Market Returns ◽  
Security Return ◽  
The Impact

This paper investigates the impact of equity return autocorrelation on financial market efficiency via intervalling effect. A simple model is proposed to show that the degree of intervalling effect is related to the security return autocorrelation. A more general version of Levy and Levhari hypothesis is proposed to find that the degree of the autocorrelations of the security and the market returns determines the existence and the direction of the intervalling effect and the size of the intervalling effect are dependent on the degree of the security autocorrelations. Empirical evidence of the latter is presented.

An Empirical Research of Impact of the Merger of Pan-European and Oslo Stock Exchanges on the Efficiency of Tobacco Securities Market

2021 ◽  
Vol 7 (4) ◽  
pp. 568-587
Author(s):  
Dongpeng Xu ◽  
Deqin Lin ◽  
Dan Zhang
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Secondary Market ◽  
Securities Market ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Theory ◽  
Efficient Market Theory ◽  
The Impact

Objectives: Europe is one of the important markets for traditional tobacco. We analyzed the impact of exchange consolidation on securities market efficiency, so as to enable tobacco enterprises to improve the financing efficiency of the stock market and carry out transformation and upgrading. Methods: In this work. We’re based on efficient market theory, the merger of Pan-European Stock Exchange and Oslo Stock Exchange, Norway in June 2019 is analyzed through empirical analysis. The logarithmic returns of 25 listed companies in the Oslo Stock Exchange OBX-25 index were analyzed using OLSN Chow and KPSS tests. Results: It is found that of 72% of securities, the explanatory power of market returns for securities returns is increased, which shows significant improvement in market efficiency. The merger of stock exchanges can indeed improve the market efficiency. In addition, through the KPSS test, it is found that the merger of stock exchanges can improve the market efficiency. As time goes by, however, the validity decreases. Conclusion: The improvement of the efficiency of the securities market will be conducive to the financing efficiency of listed tobacco companies in the secondary market, promote the transformation of enterprises, and contribute to the tobacco control and the health of the population in Europe.

The Impact of Market-Nurtured Optimism on Mergers: Empirical Evidence by the Taiwan's Equity Market

2013 ◽  
Vol 16 (03) ◽  
pp. 1350021 ◽  
Author(s):  
Pei-Gi Shu ◽  
Yin-Hua Yeh ◽  
Shean-Bii Chiu ◽  
Li-Hui Wang
Keyword(s):  
Empirical Evidence ◽  
Detrimental Effect ◽  
Good Governance ◽  
Market Value ◽  
Governance Structure ◽  
Equity Market ◽  
Earnings Surprises ◽  
The Impact ◽  
Negative Earnings

We create a novel measure of market-nurtured optimism in that managers become more optimistic if the market had responded more favorably, and to a larger extent to positive earnings surprises, than to negative earnings surprises. These market-nurtured managers are prone to engage in value-destructive mergers. The inclination is further reinforced by abundant internal cash. In contrast, a good governance structure mitigates the odds of engaging in mergers and the detrimental effect associated with mergers. The acquisitions launched by overconfident managers are associated with lower market value.

Overconfidence and Disposition Effect in Indian Equity Market: An Empirical Evidence

2017 ◽  
Vol 19 (5) ◽  
pp. 1303-1321 ◽  
Author(s):  
Jaya M. Prosad ◽  
Sujata Kapoor ◽  
Jhumur Sengupta ◽  
Saurav Roychoudhary
Keyword(s):  
Empirical Evidence ◽  
Equity Market ◽  
Disposition Effect ◽  
Impulse Response Functions ◽  
Individual Investor ◽  
Var Models ◽  
The Individual ◽  
Overconfidence Bias ◽  
The Impact ◽  
Individual Security

The article investigates the presence of the disposition effect and overconfidence in the Indian equity market during 2006–2013 and provides some robust empirical evidence. It applies bivariate and trivariate vector autoregression (VAR) models and associated impulse response functions on the Indian equity market from NIFTY 50 index and individual security returns. The study arrives at three key findings. First, the presence of the biases, overconfidence and the disposition effect is detected in Indian equity market for our sample period. Second, the impact of these two biases can be distinctly segregated for 20 companies among the companies in the index. Lastly, the overconfidence bias is found to be predominant of the two. The study endorses the fact that like other developing markets, the Indian markets are not so efficient with respect to overconfidence and the disposition effect. This article is one of the few to provide empirical evidence for the behavioural issues (i.e., overconfidence and the disposition effect) at a market level that is otherwise studied at the individual investor level.

scholarly journals Impact of Terrorism on Financial Markets: The Case of Turkey

2016 ◽  
Author(s):  
Neşe Algan ◽  
Mehmet Balcılar ◽  
Harun Bal ◽  
Müge Manga
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Terrorist Attacks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Indices ◽  
Daily Data ◽  
The Impact

This study investigates the impact of terrorism on the Turkish financial market using daily data from Jan 4, 1988 to May 24, 2016. In order to measure the impacts of terrorist attacks in Turkey we test for causality from terrorism index to returns and volatilities of 3 aggregate and 16 sector level stock indices using a recently developed nonparametric causality-in-test test of Balcilar et al. (2016). The results obtained indicate that there is no causality from terrorist activities to stock market returns (1st moment). However, we find significant causality at various quantiles from terrorist activates to volatility (2nd moment) of tourism, food and basic materials sectors.

Chaos and nonlinear forecastability in economics and finance

1994 ◽  
Vol 348 (1688) ◽  
pp. 397-404 ◽  
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Empirical Evidence ◽  
Financial Market ◽  
Chaotic Dynamics ◽  
Economic Research ◽  
Nonlinear Modelling ◽  
Market Participants ◽  
The Impact ◽  
Market Perspective

Both academic and applied researchers studying financial markets and other economic series have become interested in the topic of chaotic dynamics. The possibility of chaos in financial markets opens important questions for both economic theorists as well as financial market participants. This paper will clarify the empirical evidence for chaos in financial markets and macroeconomic series emphasizing what exactly is known about these time series in terms of forecastability and chaos. We also compare these two concepts from a financial market perspective contrasting the objectives of the practitioner with those of the economic researchers. Finally, we will speculate on the impact of chaos and nonlinear modelling on future economic research.

Art and Money

2011 ◽  
Vol 101 (3) ◽  
pp. 222-226 ◽  
Author(s):  
William N Goetzmann ◽  
Luc Renneboog ◽  
Christophe Spaenjers
Keyword(s):  
Price Level ◽  
Art Market ◽  
Equity Market ◽  
Market Returns ◽  
Top Incomes ◽  
Market Index ◽  
Long Run ◽  
Cointegration Tests ◽  
The Impact ◽  
Art Prices

This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. We also find evidence that an increase in income inequality may lead to higher prices for art. Finally, the results of Johansen's cointegration tests strongly suggest the existence of a long-run relation between top incomes and art prices.

Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium

2004 ◽  
Vol 39 (4) ◽  
pp. 873-886 ◽  
Author(s):  
Ramdan Dridi ◽  
Laurent Germain
Keyword(s):  
Empirical Evidence ◽  
Financial Market ◽  
Private Information ◽  
Information Structure ◽  
Risky Asset ◽  
Order Flow ◽  
Risk Neutral ◽  
Nonlinear Equilibrium ◽  
The Impact ◽  
Exact Amount

AbstractWe study a financial market where risk-neutral traders are endowed with a signal that perfectly reveals the direction (but not the exact amount) of the liquidation value of a normally distributed risky asset. The impact of order flow on prices is nonlinear with a bullish/bearish information structure, which is broadly consistent with empirical evidence. Also, private information is revealed quicker than in a strategic oligopoly.

The Impact of Governance on the Level of Disclosure and its Role in Attracting and Supporting Foreign Investment: Model of Qatar Stock Exchange

2018 ◽  
Vol 1 (1) ◽  
pp. 37-63
Author(s):  
Friha Linda ◽  
Touamria Rym ◽  
Kherouf Mounir
Keyword(s):  
Market Efficiency ◽  
Financial Market ◽  
Foreign Investment ◽  
Foreign Capital ◽  
Stock Exchange ◽  
Research Paper ◽  
Investment Model ◽  
Foreign Investments ◽  
The Impact

Through this research paper, we have considered the necessity to shed the light on role of the finance market efficiency in attracting foreign investments. That is through providing different concepts related to the investment and its types, as well as the financial market efficiency, the effect of the governance on disclosure, and its role in attracting foreign investment, all that will be represented through the Qatar market. The results found that the governance level plays an important role in attracting foreign capital through activating the level of disclosure, which is the cornerstone of success for the financial market as well as support success of any investor. The results showed that Qatar market in spite of it is being recently established, it achieved interesting results in attracting investments despite the existence of many obstacles, which block its expansion in the way it is required.    

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