Author: Youngseog ParkPublisher:
ISBN:
Category :
Languages : en
Pages : 218
Book Description
Three Essays on Trading Volume
Author: Youngseog ParkThree Essays on Trading Volume and Stock Returns
Author: Andy Chun Wai ChuiPublisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 264
Book Description
Three Essays on Price Volatility and Trading Volume in Financial Markets
Author: Percy Siuping PoonPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 272
Book Description
Asset Pricing and Trading Volume
Author: Jean-Paul ThelerThree Essays on Trading Volume
Author: Guohua MaPublisher:
ISBN: 9780549074946
Category :
Languages : en
Pages : 141
Book Description
Keywords. Trading Volume, Heterogeneous Beliefs, Disposition Effect, Informational Trading, Liquidity Trading
Three Essays on Trade Barriers and Trade Volumes
Author: Johannes MoeniusPublisher:
ISBN:
Category : Commercial products
Languages : en
Pages : 310
Book Description
Three Essays on Strategic Trading in Oligopolistic Economies
Author: Alexei BoulatovThree Essays on Trading and Banking
Author: William Paul SpurlinPublisher:
ISBN:
Category :
Languages : en
Pages : 256
Book Description
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.
Nature, the Utility of Religion, and Theism
Author: John Stuart MillPublisher:
ISBN:
Category : God
Languages : en
Pages : 284
Book Description
Essays on Stock Trading Volume, Volatility and Information
Author: Hanfeng WangPublisher: Open Dissertation Press
ISBN: 9781361440254
Category :
Languages : en
Pages :
Book Description
This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay we find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. This pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t