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Trading volume : The behavior in information asymmetriesJohansson, Henrik, Wilandh, Niklas January 2005 (has links)
<p>According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selection. When the asymmetry is resolved there should be a corresponding increase in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks.</p><p>The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed investors behave in information asymmetries on Stockholmsbörsen.</p><p>The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement.</p><p>We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an increase before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.</p>
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Trading Volume : The behavior in information asymmetriesJohansson, Henrik, Wilandh, Niklas January 2005 (has links)
<p>Background: According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selec-tion. When the asymmetry is resolved there should be a corresponding in-crease in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks.</p><p>Purpose: The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed in-vestors behave in information asymmetries on Stockholmsbörsen.</p><p>Method: The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement.</p><p>Conclusion: We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an in-crease before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.</p>
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Essays on investors' trading policy around interim earnings announcements in a thinly traded securities marketVieru, M. (Markku) 13 July 2000 (has links)
Abstract
This study consists introductory survey and three essays where
investors' trading responses to interim earnings announcements
are studied using Finnish data. The essays are individual papers, but
their topics are closely connected since they address the trading
response from different angles. The essays progress from an aggregated
to a more detailed examination. The first essay was conducted on
daily data, whereas the second and third consist of intraday trading
data. In all three essays information asymmetry is assumed to affect
trading behavior around interim earnings announcements.
The first article contains empirical findings regarding the
effect of interim earnings announcements on investors' trading
policy using Finnish data. The aim of the paper is to investigate empirically
the role of pre-disclosure information asymmetry and the information
content in explaining volume responses to interim earnings announcements.
Evidence is provided that the trading volume response is positively
associated with the information content and to some extent with the
level of pre-disclosure information asymmetry. The results are in
line with the theoretical trading volume proposition. However,
the significance levels are lower than in similar US studies and
the association between positive and negative news is slightly asymmetric.
The second article finds evidence from the Helsinki Stock
Exchange that the widely documented U-shape pattern in trading activity
- namely heavy trading in the beginning and at the end of the trading
day and relatively light trading in the middle of the day - is affected
by an anticipated information event (i.e. interim earnings announcement).
Before the announcement day, trading is more concentrated at the
close. This is consistent with investors' heterogeneous
willingness to bear expected overnight risk, which is especially
prevalent before an announcement. Moreover, a slight increase on
the open is evident after the announcement day. Evidence is also
provided that the change in intraday trading behavior is associated
with announcement-related factors, such as the range of analysts' earnings
forecasts, the magnitude of unexpected earnings and firm size. Furthermore,
this association is evident to some extent during the transition
between trading and non-trading regimes.
The third study examines whether the permanent price effects
of individual trades are greater before or after an interim earnings
announcement on the Helsinki Stock Exchange. If the permanent price
effects are greater before the announcement this would suggest that
investors believe that some traders are better informed before the
interim earnings announcement than after. Using permanent price
effects as a measure of price adjustment for private information,
tests were performed to see whether price adjustments are greater
in pre-announcement periods than in post-announcement periods. The
results, based on interim earnings releases for the period 1993
to 1997 by HSE-listed firms, suggest that large trades do indeed
produce greater permanent price effects before an announcement than
after it. This suggests that large trades associated with price
changes (especially uptick trades) before an announcement send a
stronger signal to other investors than similar trades after the
announcement. For small trades the results were insignificant.
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Investor Sentiment, Trading Patterns and Return PredictabilityWatkins, Boyce Dewhite 20 December 2002 (has links)
No description available.
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Three essays on financial economicsAlhaj-Yaseen, Yaseen Salah January 1900 (has links)
Doctor of Philosophy / Department of Economics / Lance J. Bachmeier / Dong Li / For a unique sample of Israeli stocks that went public in the U.S. and then cross-listed in the home market, Tel Aviv Stock Exchange (TASE), this dissertation consists of three essays examining the dynamics of return spillovers and volume-return interactions across markets and the valuation effect around the event of cross-listing and delisting from the home market. In Chapter II, I investigate the role of trading volume in the information flow and return spillovers between the U.S. and Israeli markets. Findings suggest that the dynamics of volume-return interactions across markets can provide us with valuable information regarding future price movements, which can be a useful tool to predict future returns. I also find the home market to dominate the host market in pricing these stocks, which is consistent with the Home Bias hypothesis. In Chapter III, I analyze the impact of the event of cross-listing on stock returns and risk exposure. The behavior of abnormal returns around the cross-listing date implies that cross-listing in TASE is an effective mechanism in reducing market segmentation between the U.S. and the Israeli capital markets. Risk assessment following the cross-listing suggests a decline firms’ overall risk exposure, indicating a higher degree of integration between the two markets due to cross-listing. In Chapter IV, I evaluate changes in the cost-of-capital for Israeli firms after delisting voluntary from TASE, the home market, while maintaining their listing in the U.S., the host market. The results show a significant positive shift in U.S. and negative shift in Israeli market risk exposure after the delisting. These results indicate that firms delisting form their home market (TASE), face greater risk exposure, higher required returns on their stocks and, hence, higher cost-of-capital after delisting.
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Essays on volatility forecastingKambouroudis, Dimos S. January 2012 (has links)
Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and key parameters on improving volatility forecasts have been considered, finance research has still to reach a consensus on this topic. This thesis enters the ongoing debate by carrying out empirical investigations by comparing models from the current pool of models as well as exploring and proposing the use of further key parameters in improving the accuracy of volatility modelling and forecasting. The importance of accurately forecasting volatility is paramount for the functioning of the economy and everyone involved in finance activities. For governments, the banking system, institutional and individual investors, researchers and academics, knowledge, understanding and the ability to forecast and proxy volatility accurately is a determining factor for making sound economic decisions. Four are the main contributions of this thesis. First, the findings of a volatility forecasting model comparison reveal that the GARCH genre of models are superior compared to the more ‘simple' models and models preferred by practitioners. Second, with the use of backward recursion forecasts we identify the appropriate in-sample length for producing accurate volatility forecasts, a parameter considered for the first time in the finance literature. Third, further model comparisons are conducted within a Value-at-Risk setting between the RiskMetrics model preferred by practitioners, and the more complex GARCH type models, arriving to the conclusion that GARCH type models are dominant. Finally, two further parameters, the Volatility Index (VIX) and Trading Volume, are considered and their contribution is assessed in the modelling and forecasting process of a selection of GARCH type models. We discover that although accuracy is improved upon, GARCH type forecasts are still superior.
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International Financial MarketsHua, Wei 18 May 2012 (has links)
This dissertation consists of two essays: one looks at the cross-country variations in volume-price variability relationship and cultural and other country factors, and the other looks at cause and effects of large one-day price changes in commodity futures.
The first essay presented in Chapter 1 investigates the effect of cultural and other country factors on the dynamic relation between market-wide trading activity and price variability in 20 countries. The results show that individualism and masculinity are positively related to volume-variability relation; other country factors including information asymmetry, financial development, short sale and age distribution are also closely related to the volume-variability relation. Specifically, the return-variability relation is stronger in less financially-developed countries with short-sale constraints and high information asymmetry.
The second essay presented in Chapter 2 examines the causes and effects of large price changes in 26 commodity futures. The results indicate that announcements of macroeconomic news, the maturity effect, and the seasonal effect can explain the futures price movements of food (non-grains), grain, and livestock better than those of energy and metal. Without controlling for other factors, I find some support for the overreaction theory, especially following negative large price changes in closing. However, controlling for macro factors or market conditions, there is no support for overreactions.
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Asset pricing models in IndonesiaKartika, Tjandra January 2006 (has links)
The explanatory power of six asset-pricing models are tested and compared in this study. The models include the four known asset pricing models: the CAPM, the Fama and French's (1996) Three-Factor model, the Carhart's (1997)'s Four-Factor model, a model similar to Zepeda's (1999) Five-Factor model. Additionally, it includes two new models - the Five-Factor-Volume (5F-V) model and the Six-Factor model, which are developed in line with Ross's (1976) Arbitrage Pricing Theory.
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Three Essays on the Impact of Electronic Screen Trading in Futures MarketsHill, Amelia Mary January 2001 (has links)
This dissertation consists of 3 essays that examine the impact of electronic screen trading in futures markets. The research provides empirical evidence on increasingly significant issues given the rapid global advances in technology used in securities markets. Each essay addresses the scarcity of conclusive research in order to aid researchers, regulators, exchange policy makers and systems builders as they confront issues related to electronic trading systems.
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Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004Fransson, Abbe January 2005 (has links)
Den här uppsatsen behandlar företag som är listade på Stockholmsbörsen som gjorde omvänd split mellan 1995 och 2004. Företagen är testade för abnormal avkastning kring tillkännagivandet av den omvända spliten, samt förändringar i köp-sälj ratio, handels volym och antalet handelsdagar där ingen handel skedde i aktien. Inga abnormala avkastningar eller signifikanta förändringar i köp-sälj ration eller handelsvolymen kunde hittas. Däremot så visar förändringen i antalet handelsdagar utan handel i aktien en försämring och antalet handelsdagar minskade i de aktier som genomgått en omvänd split. Detta medför att likviditeten minskade för de företag som genomförde en omvänd split. / This paper addresses reverse splits for firms trading on the Stockholm stock exchange between 1995 and 2004. The related sample are tested for abnormal returns surrounding the announcement day of the reverse split, as well as any changes in bid-ask spread, trading volume and the number of non-trading days. No findings of abnormal returns or significant changes in either bid-ask spread or trading volume could be found, while the number of non-trading days for the whole sample increased. This may suggest that the marketability decreased for the reverse splitting firms.
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