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Three Essays On Trading And Banking
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Book Synopsis Three Essays on Trading and Banking by : William Paul Spurlin
Download or read book Three Essays on Trading and Banking written by William Paul Spurlin and published by . This book was released on 2011 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays. The first essay, Short Sales in the NYSE Batch Open and NASDAQ Opening Cross, examines opening-trade short volume's relation to short volume for the rest of the trading day and to overnight, previous-day, and same-day price changes. We find that short volume in the batch open and opening cross increases with short volume for the rest of the day, with previous-day, open-to-close price changes, and with overnight price changes for S & P 500 stocks. Batch-open short volume increases with overnight price changes, and it increases (does not decrease) for firms making positive (negative) overnight earnings announcements. Opening-cross short volume increases with close-to-close, previous-day price changes and is negatively related to same-day price changes. Our second essay, Short Sales around Open-Market Repurchase Announcements, studies short selling of a firm's stock during the five days after it announces an open-market repurchase. We conclude that a firm may be able to mislead normally-informed investors about its quality by announcing an open-market repurchase. Next, we conclude that open-market repurchase size does not possess positive signaling attributes. Lastly, we conclude that short sellers do not predict the repurchasing behavior of firms announcing an open-market repurchase. The third essay, Profit Efficiency and Big Bank Presence in Rural Markets, studies the effect of big-bank presence on the profitability of rural one-market banks. We find that a small rural bank shows decreased profit efficiency and increased return on assets due to higher loan income when it competes with at least one big bank. If multiple big banks are competing with a small rural bank, the small bank shows a smaller decrease in profit efficiency and a smaller increase in return on assets due to a smaller increase in loan income than if it competes with one big bank. From these results, we conclude that big banks choose to remain in rural markets where they possess some degree of market power, enabling them to earn higher returns while operating less efficiently, but market power is restricted when more than one big bank is present in a rural market.
Book Synopsis Three Essays on Financial Markets by : Pawan Jain
Download or read book Three Essays on Financial Markets written by Pawan Jain and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is composed of three essays. The first essay investigates the information content of the limit order book (LOB) on the Shanghai Stock Exchange (SHSE), a purely order-driven market, for predicting future stock price volatility. We find that the LOB supply schedule consistently and significantly predicts the future price volatility. But this predictive power of LOB declines during the extreme market wide movements. We also find that buy orders are more informative over future price volatility than sell orders but sell (buy) orders becomes more informative during the extreme market wide down (up) movement days. Finally, we document that predictive power of LOB is short lived and markets are efficient over the longer time horizon. The second essay examines the effect of high frequency trading on market quality, systemic risk and trading strategies. In 2010 the Tokyo Stock Exchange, the largest exchange headquartered outside the US, introduced a new trading platform, Arrowhead, which reduced latency by 99.97% and increased co-located high-frequency trading from zero to 36% of volume. Arrowhead improved market liquidity and reduced volatility, but it also amplified systematic risks factors like quotes to trade ratio, order-flow autocorrelation and cross correlation, and tail risks. Arrowhead also affected trading strategies by increasing trade price predictability and the use of fleeting orders. Cost of immediacy serves as a channel through which reduced latency affects market quality, systematic risks, and trading outcome. The third essay analyzes the links between corporate finance policies and investment clienteles by comparing the cross-sectional variation in the dividend payout policies of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the country level variations: shareholder demand due to demographic variations and consumption needs, agency problems manifested in the extent of minority shareholder protection and business disclosures, and market quality in terms of transparency and liquidity; affect dividend payout policies. We find that firms have generous dividend payout policies when diverse shareholder demands are strong, extents of business disclosures and legal protections are weak, and the market qualities are poor. The empirical evidence supports the presence of strong dividend clienteles in a global setting. .
Book Synopsis Three Essays in International Finance by : Byong-Ju Lee
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Book Synopsis Three Essays on Banking and International Trade by : Abed Al Hameed Marie
Download or read book Three Essays on Banking and International Trade written by Abed Al Hameed Marie and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation includes three papers on Banking and international trade. The first paper presents an empirical analysis of the importance of crowding out effects on banks. More importantly, it provides novel insights into the mechanism by which these effects work. A key finding is that different bank deposits are asymmetrically affected by increases in the supply of government debt due to the different premiums associated with different deposits. Consequently, changes in government debt can have strong asymmetric effects on the funding and lending of different banks, depending on bank liabilities. The second paper investigates the impact of the liquidity shock on the exporting behavior of firms. Using the natural experiment brought by the reform to the Colombian short-term financing legislation in 2011, I study how liquidity constraints have impacted Colombian exporters. Our sample includes over 3600 firms that exported before and after the reform took place. Using a difference-in-differences methodology, we establish that the liquidity shock has resulted, on average, in a 10% decline in exports following the reform. The results are robust to both monetary and weight measures of export. Our findings strengthen the argument that access to liquidity financing is extremely important for facilitating trade. In the third paper, I examine the effect of transfer pricing reform in Colombia, which was adopted in 2014 based on OECD guidelines, on the profitability and investments of exporting firms relative to non-exporting firms in the oil and mining industry. We found that firms who are active exporters experienced an increase in profitability of 1.9% on average relative to non-exporting firms after the start of the reform. Also, we checked how this reform affected the investment expenditures of exporting firms relative to nonexporting firms and it was positive and significant.
Book Synopsis Three Essays on Financial Markets by : Jullavut Kittiakarasakun
Download or read book Three Essays on Financial Markets written by Jullavut Kittiakarasakun and published by . This book was released on 2011 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Informed Trading by : Frank Sensenbrenner
Download or read book Three Essays on Informed Trading written by Frank Sensenbrenner and published by . This book was released on 2013 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays examining the behavior of informed traders in financial markets and how they affect asset pricing. It examines informed traders' role in shaping securities prices in three ways. It examines whether on a macro and micro basis insider traders move prices to a different degree than non-insiders. In addition, it uses econometric methods to determine what exchange generates permanent price trends in UK shares. Lastly, it looks at another side effect of fragmentation - how a 'best execution' mandate and related market structure changes affect transactions costs in liquid UK, French, and German shares.These studies expand on current literature in various ways - extant insider trading literature has either primarily focused on daily price movement and volume or had consisted of case studies, the conclusions of which may be idiosyncratic and therefore unrepresentative of typical insider behavior. The new phenomenon of multilateral trading facilities (also known as electronic communications networks) and the proliferation of algorithmic or computer-mediated trading had not been examined in price discovery papers, due to their relative novelty. In addition, despite a bevy of literature offering informed insight into the impact of the European Union's Markets in Financial Instruments Directive (MiFID), there has been a dearth of empirical studies assessing its impact on European securities markets. Chapters 2 and 3 examine MiFID and computerized trading from two different perspectives: that of which trades lead to permanent prices, and that of transactions costs.The conclusions drawn in this dissertation will be of interest to regulators, market operators, and traders, as they offer insight into the impact of market structure and how it impacts informed traders who participate in them.
Book Synopsis Three Essays on Central Banking by : Matthew Thomas Jones
Download or read book Three Essays on Central Banking written by Matthew Thomas Jones and published by . This book was released on 1997 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Current International Financial Markets by : Seungho Lee
Download or read book Three Essays on Current International Financial Markets written by Seungho Lee and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that address recent developments in international financial markets that have been of concern for scholars, policymakers, and practitioners. The first essay examines how cultural factors can influence individual investors' trading behavior in response to risk in nine Eurozone countries. The markets studied were particularly affected by the global financial crisis, the subsequent European banking crisis, and the European sovereign debt crisis. Using mutual fund flows as proxy of investors' trading behavior, our evidence indicates that a country culture variable significantly affects investors' trading responsiveness to risk. Specifically, the impact of risk on fund flows is significantly positive and is larger in scale in countries with individualist cultures. The second essay attempts to investigate the effects of negative interest rate policies (NIRP) on foreign exchange and equity markets of eight European countries and Japan. To see the impacts of these policies, event studies and regime-switching vector autoregressive regression analyses are conducted for the nine countries that implement NIRP. The results provide valid evidence that the announcement of NIRP has a transitory effect on currency depreciation; long term effects are less evident. On the day of NIRP implementation, both currency and equity market returns reacted in response to the event efficiently and negatively, especially in Switzerland's case. These outcomes suggest that simulative monetary policy by lowering interest rates below zero might have counter-effects from those observed when interest rates are lowered, but to rates that remain positive. Additionally, findings from the long term analyses explain that interest rate term structure and cointegration level of local and the U.S. equity index may be related to effectiveness of NIRP in currency and equity markets, respectively. The last essay examines the determinants of the price of the leading cryptocurrency, Bitcoin. The analyses identify a number of factors that significantly affect the returns to investments in Bitcoin including: trading volume, high-low price spread, and extreme price change in the previous period. The latter result supports the assertion that recent severe price fluctuations in Bitcoin markets are primarily due to speculative investment activities. Furthermore, evidences suggested in this study explain possibility of market compromise and inefficiency of the cryptocurrency market, implying pivotal risks for Bitcoin market participants.
Book Synopsis Three Essays on Evolution and Financial Markets by : Emanuela Sciubba
Download or read book Three Essays on Evolution and Financial Markets written by Emanuela Sciubba and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Financial Markets and Intermediations by : Liang Song
Download or read book Three Essays in Financial Markets and Intermediations written by Liang Song and published by . This book was released on 2009 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intervention, Interest Rates, and Charts by : Mr.Mark P. Taylor
Download or read book Intervention, Interest Rates, and Charts written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-11-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Book Synopsis Three Essays on Financial Markets by :
Download or read book Three Essays on Financial Markets written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Trading Behavior by : Adam Daniel Clark-Joseph
Download or read book Three Essays on Trading Behavior written by Adam Daniel Clark-Joseph and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior.
Book Synopsis Three Essays on International Goods and Financial Markets by : Tuvana Demirden
Download or read book Three Essays on International Goods and Financial Markets written by Tuvana Demirden and published by . This book was released on 1995 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Francisco Gómez Camacho Publisher :Ediciones Universidad de Salamanca ISBN 13 :8490129002 Total Pages :76 pages Book Rating :4.4/5 (91 download)
Book Synopsis Three Essays on the Times and Work of Tomás de Mercado by : Francisco Gómez Camacho
Download or read book Three Essays on the Times and Work of Tomás de Mercado written by Francisco Gómez Camacho and published by Ediciones Universidad de Salamanca. This book was released on 2017-11-01 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this edition is to provide an English translation of three essays about Tomás de Mercado’s book, Deals and Contracts of Merchants and Traders. This translation has been made from the 1569 edition of the book published in Salamanca. The book was later the object of new editions and it was expanded by two more chapters, with an Italian translation appearing in 1571. However, an English edition had never been made before. The 1569 edition is composed of four Books: the first dedicated to merchants and their contracts, the second to currency and loans, the third to usury and the fourth to the question of the obligation of restitution when a reprehensible action is committed.
Book Synopsis Three Essays on Trade and Development by : Tereso S. Tullao
Download or read book Three Essays on Trade and Development written by Tereso S. Tullao and published by . This book was released on 1987 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in International Finance by : Byong-Ju Lee
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
