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Author : Chiwon Yom
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (485 download)
Download or read book Essays on the Financial Market Efficiency of Emerging Markets written by Chiwon Yom and published by . This book was released on 2001 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Feng Zhan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays On International Market Efficiency and Manipulation written by Feng Zhan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Han Yan
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.:/5 (937 download)
Download or read book Essays on Cross-list Price Disparity and Market Efficiency in Emerging Market written by Han Yan and published by . This book was released on 2015 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two essays on emerging market. The first paper takes Chinese firms cross-listed in China mainland and Hong Kong as A-share and H-share between 1999 and 2013 as sample to look at the price disparity change and determination. This paper firstly finds that relative supply of stocks can explain up to 53% of the price disparity between A-share and H-share. The large supply of stocks in China mainland market can lead to narrow price disparity (low A-H price premium), and this factor can absorb the effects from other factors in previous literature, such as liquidity, speculation and political risks. This paper further tests several natural experiments of related policy changes that took place in China mainland in the sample period, namely IPO halts and stock reform, and confirms that real or expected stock supply change can significantly affect A-H price disparity. The second paper uses the intraday data based efficiency measures such as Hasbrouck Price Error (1993), and CRS (2005) related measures to investigate the Chinese stock markets between 1999 and 2013, to examine price efficiency in China. The first finding is that it takes between 70 minutes and 200 minutes for Chinese listed stocks converge to price efficiency, and Hasbrouck Price Error measure (1993) shows that around 40% price change is not accounted to random walk, which indicates about 4 times poorer efficiency than that in US. There is not significant improvement in market efficiency during the sample period. This paper finds out that the firms with low state-owned share percentage and low concentrated shares have better price efficiency, which indicates low information asymmetry from firm share structure helps improve stock price efficiency. This paper further tests several related institutional changes, and finds that share ownership reform and allowance of margin trading make price efficiency better while opening market to foreign investors by QFII policy does not. The findings in both papers in this dissertation offer important implications on asset pricing, corporate governance and policy making in emerging markets, especially those not fully open to worldwide and with high information asymmetry.
Author : Cornelis A. Los
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Measuring the Degree of Financial Market Efficiency written by Cornelis A. Los and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This essay discusses first two competing hypotheses of market efficiency: the classical Efficient Market Hypothesis (EMH) of Samuelson and Fama, and the Fractal Market Hypothesis (FMH) of Mandelbrot and Peters and their weaknesses. The EMH depends on the empirically uncorroborated i.i.d. (= independence amp; stationarity) assumption of market innovations. The time - invariant FMH risk depends on the lengths of time horizons, as measured by the Hurst exponent. By way of empirical examples in the cash, bond and options an futures markets, it is demonstrated that scientifically a much broader concept of financial market risk is needed. This new risk concept should allow for the measurement of the degree of market efficiency, which is time and horizon dependent. The proposed definition of financial market risk is a time - frequency distribution function P, where the shape of the function is determined not only by the second-order moments sigma(omega), differentiated by the investment asset return categorizations omega, but also of the length investment horizons, or maturities of the investment securities tau, and of the time period t. In other words, the new concept of financial risk P(omega,tau,t) should be able to account for both LT and ST nonlinear time dependence and for strict non-stationarity to be empirically compatible and thus scientifically acceptable. Such a time - frequency distribution P(omega,tau,t) can be measured and identified by modern forms of time - frequency signal processing analysis, like windowed Fourier and wavelet multiresolution analysis.
Author : George M. Frankfurter
Publisher : World Scientific
ISBN 13 : 9812770003
Total Pages : 238 pages
Book Rating : 4.8/5 (127 download)
Download or read book Theory and Reality in Financial Economics written by George M. Frankfurter and published by World Scientific. This book was released on 2007 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current literature on financial economics is dominated by neoclassical dogma and, supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to deal with real financial phenomena suggests that this might be too simplistic of an approach. This book consists of a collection of essays dealing with financial markets'' imperfections, and the inability of neoclassical economics to deal with such imperfections. Its central argument is that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face. It also shows the direct relationship between economics and politics OCo something that is usually denied in academic models, given that science is supposed to be value-neutral. In this thought-provoking and avant-garde book, the author not only exposes what has gone wrong, but also suggests reforms to both the academic and the political-economic systems that might help make markets fair rather than efficient. Drawing on interdisciplinary fields, this book will appeal to readers who are interested in finance, economics, business, the political economy and philosophy. Sample Chapter(s). Foreword (37 KB). Chapter 1: Method and Methodology (146 KB). Contents: Method and Methodology; What is All Efficiency?; Still Autistic Finance; The Young Finance Faculty''s Guide to Publishing; Prolific Authors in Finance; For-Profit Education: An Idea That Should be Put to Rest?; Weep Not for Microsoft: Monopoly''s Fatal Exception; The Socio-Economics of Scandals; Desperately Seeking Toto; And Now for Something Entirely Different; After the Ball; Capitalism or Industrial Fiefdom; The Theory of Fair Markets (TFM): Toward a New Finance Paradigm. Readership: Graduate students of finance; students of economics, economic methodology and philosophy of science."
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author : Cagdas Tahaoglu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Three Essays on Financial Markets written by Cagdas Tahaoglu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.
Author : Mr.Robert Alan Feldman
Publisher : International Monetary Fund
ISBN 13 : 1451971214
Total Pages : 34 pages
Book Rating : 4.4/5 (519 download)
Download or read book Emerging Equity Markets written by Mr.Robert Alan Feldman and published by International Monetary Fund. This book was released on 1994-03-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the mid-1980s, there has been a very substantial increase in stock market activity in many developing countries. This paper first examines the main characteristics of the emerging stock markets, and illustrates the evolution of equity prices in these markets over the last decade. It then discusses the reasons for the markets’ growth and assesses the extent to which domestic policies, as well as external factors, have played a role. This is followed by a discussion of the likely benefits of these markets; the effects which any abrupt correction in stock prices could have for the economy; and the ways in which these markets can be made more efficient.
Author : Jerome Booth
Publisher : John Wiley & Sons
ISBN 13 : 111887966X
Total Pages : 280 pages
Book Rating : 4.1/5 (188 download)
Download or read book Emerging Markets in an Upside Down World written by Jerome Booth and published by John Wiley & Sons. This book was released on 2014-06-03 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world is upside down. The emerging market countries are more important than many investors realise. They have been catching up with the West over the past few decades. Greater market freedom has spread since the end of the Cold War, and with it institutional changes which have further assisted emerging economies in becoming more productive, flexible, and resilient. The Western financial crisis from 2008 has quickened the pace of the relative rise of emerging markets - their relative economic power, and with it political power, but also their financial power as savers, investors and creditors. Emerging Markets in an Upside Down World - Challenging Perceptions in Asset Allocation and Investment argues that finance theory has misunderstood risk and that this has led to poor investment decisions; and that emerging markets constitute a good example of why traditional finance theory is faulty. The book accurately describes the complex and changing global environment currently facing the investor and asset allocator. It raises many questions often bypassed because of the use of simplifying assumptions and models. The narrative builds towards a checklist of issues and questions for the asset allocator and investor and then to a discussion of a variety of regulatory and policy issues. Aimed at institutional and retail investors as well as economics, finance, business and international relations students, Emerging Markets in an Upside Down World covers many complex ideas, but is written to be accessible to the non-expert.
Author : Kobil Ruziev
Publisher : Routledge
ISBN 13 : 9780367669072
Total Pages : 272 pages
Book Rating : 4.6/5 (69 download)
Download or read book Development and Financial Reform in Emerging Economies written by Kobil Ruziev and published by Routledge. This book was released on 2020-09-30 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern development strategy relies heavily on uncompromising orthodox economic theory and a dogmatic faith in market efficiency. In contrast, the essays in this volume aim to emphasize the importance of historic experiences to evolve a more realistic and dynamic view of how such development could be formalized.
Author : Qi Li
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Emerging Capital Markets written by Qi Li and published by . This book was released on 2004 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Johannes Walder
Publisher : GRIN Verlag
ISBN 13 : 3656404852
Total Pages : 18 pages
Book Rating : 4.6/5 (564 download)
Download or read book Validity of the efficient market hypothesis in times of speculative investment bubbles & Strategy of a successful IPO written by Johannes Walder and published by GRIN Verlag. This book was released on 2013-04-10 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2012 in the subject Business economics - Investment and Finance, grade: 89%, University of Greenwich (Business), course: Finance, language: English, abstract: It can be assumed that the internet was one of the most influential inventions of the 20th century. The internet opened up completely new ways of communicating and executing businesses. It enabled shopping portals like Amazon or eBay to emerge and revolutionise the shopping experience of millions of customers worldwide. The new economy was a Symbol for seemingly endless possibilities and a market with no limits. However, all those new ways of doing business could not prevent one of the biggest stock market crashes in modern history caused by the dot.com bubble. This essay examines if the dot.com bubble stands in contradiction to the efficient market hypothesis (EMH) and their underlying assumptions. It will be argued that in the short term the efficient market can be bypassed but it will regulate itself again in the long run. The second part describes the strategy of a successful initial public offering (IPO) and analyses if the EMH has an impact on this endeavour. This paper will claim that the EMH influences the pricing of stocks and that a long term strategy is a key for a successful IPO.
Author : Augusto de la Torre
Publisher : World Bank Publications
ISBN 13 : 0821365444
Total Pages : 232 pages
Book Rating : 4.8/5 (213 download)
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Author : Jiang Zhang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Three Essays on Fairness, Liquidity, and Efficiency in Modern Financial Markets written by Jiang Zhang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..
Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 069119680X
Total Pages : 503 pages
Book Rating : 4.6/5 (911 download)
Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.
Author : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 225 pages
Book Rating : 4.1/5 (916 download)
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Author : Thomas Delcey
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (127 download)
Download or read book A Tale Between Finance and Economics written by Thomas Delcey and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis provides a historical and methodological analysis of the efficient market hypothesis, which represents one of the theoretical pillars of financial economics, but also one of the most controversial notions in the field. This research aims to shed light on the debates about this central and ambiguous concept, whose history is characterized by the diversity of its formulations and interpretations. In this thesis, I study these formulations and the contexts in which they emerged. I analyze the evolution of this hypothesis, from its origins in the 1920s to the recent transformations of the early 1980s. I interpret the efficient market hypothesis as a bridge between financial economics and economics, that is, as a concept at the heart of the identity of financial economics, but also as the main object through which this sub-discipline dialogues with the rest of the discipline. This intellectual history is structured around four articles, which discuss in detail these interactions. In the first episode, I examine the pioneering analyses of financial markets pursued by agricultural economists during the inter-war period and their influence on modern financial economics. In the second episode, I focus on the modern development of this hypothesis during the emergence of financial economics in the 1960s and on the close relationship between economists and early financial economists. The third episode explores the growing role of macroeconomists in the 1970s and early 1980s, which ultimately led to the questioning and reformulation of the hypothesis. Finally, the fourth chapter offers a methodological analysis that investigates the link between market efficiency and Hayek's information theory. In this fourth episode, I analyze the conceptual similarities and differences between these two theories of price formation.
