SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES"

Transcription

1 Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani, Dr. Mohammad Imani Barandagh Deparmen of Accouning, Science and research Branch, Islamic Azad Universiy, Ardabil, Iran Assisan Professor a Deparmen of Accouning in Urumiyeh Universiy, Wes Azerbaijan, Urumiyeh, Iran Absrac The main purpose of his sudy is surveying he relaionship beween sock marke maker and liquidiy. The populaion of his sudy are he companies ha acceped a Tehran sock exchange during he resen six years from 7 o. They were includes 5 companies in 37 indusry groups. To observe comparabiliy heir financial period was end of March. We have chosen daa from available company in Tehran Sock Exchange. To collecing daa wih considering companies siuaion, 98 companies were seleced as sample from 9 indusry groups. In order o analyze he daa resuled from colleced quesionnaires deducive and descripive saisical mehods are used. The resuls K-S Tes shows he es disribuion is Normal. So we can use Muli Regression (Chow Tes, Hausman Tes, Panel daa,..) o es he hypohesis of he research. In order o deermine he relaionship beween he variables of he sudyhe SPSS ool has been used. Findings show ha here is a coalificaion relaionship beween Sock marke maker and liquidiy in Tehran Sock Exchange acceped companies. Keywords: Sock marke maker, liquidiy, number of Sock raded, sock buyers coun, number of shares raded INTRODUCTION Empirical sudies linking liquidiy provision o asse prices follow naurally from invenory models. Liquidiy suppliers and marke markers profi from providing immediacy o less paien invesors, bu have limied invenory-carrying and risk-bearing capaciy. Similarly, limis o arbirage argumens rely on cerain marke paricipans accommodaing buying or selling pressure. These liquidiy suppliers/arbirageurs are willing o accommodae rades and, herefore, hold subopimal porfolios only if hey are able o buy (sell) a a discoun (premium) relaive o fuure prices. Thus, large liquidiy-supplier invenories should coincide wih large buying or selling pressure, which causes price movemens ha subsequenly reverse hemselves (Chordia e al, ). Mos foreign exchange rading firms are marke makers and so are many banks. The marke maker sells o and buys from is cliens and is compensaed by means of price differenials for he service of providing liquidiy, reducing ransacion coss and faciliaing rade. A marke maker or liquidiy provider is a company, or an individualha quoes boh a buy and a sell price in a financial insrumen or commodiy held in invenory, hoping o make a profi on he bidoffer spread, or urn (Radcliffe, 997: 34). In oher words; a marke maker is a firm, individual or rading sraegy ha always or ofen quoes boh a buy and a sell price for a financial insrumen or commodiy, hoping o make a 7

2 Inernaional Journal of Accouning Research Vol., No. 7, 4 profi by exploiing he difference beween he wo prices, known as he spread. Inuiively, a marke maker wishes o buy and sell equal volumes of he insrumen (or commodiy), and hus rarely or never accumulae a large ne posiion, and profi from he difference beween he selling and buying prices. Marke-making has been sudied exensively in he heoreical marke microsrucure lieraure (Glosen and Milgrom 985; Grossman and Miller, 988) for example], bu only recenly has he dynamic muli-period problem gained aenion (Darley e al, ; Das, 5). Since we are ineresed in he problem of how a marke-maker learns a value for an asse, we follow he general model of Glosen and Milgrom which absracs away from he problem of quaniies by resricing aenion o siuaions where he marke-maker places bid and ask quoes for one uni of he asse a each ime sep. Das (5) has exended his model o consider he markemaker s learning problem wih compeiive pricing, while Darley e al () have used similar modeling for simulaions of he NASDAQ. The Glosen and Milgrom model has become a sandard model in his area. Liquidiy, which is no easy o quanify, is he prime social concern. In pracice, i is a funcion of he deph of he limi order book. In our models, we measure liquidiy using he bid-ask spread, or alernaively he probabiliy ha a rade will occur. This gives a good indicaion of he level of informaional heerogeneiy in he marke, and of execuion coss. The dynamic behavior of he spread gives insigh ino he price discovery process. The main purpose of his sudy is surveying he relaionship beween sock marke maker and liquidiy. To achieve his purposes we find answer o his quesions:. Is here relaionship beween Sock marke maker and ransacion coun?. Is here relaionship beween Sock marke maker and sock buyers coun? 3. Is here relaionship beween Sock marke maker and number of shares raded? METHOD The populaion of his sudy are he companies ha acceped a Tehran sock exchange during he resen six years from 7 o. They were includes 5 companies in 37 indusry groups. To observe comparabiliy heir financial period was end of March. We have chosen daa from available company in Tehran Sock Exchange. To collecing daa wih considering companies siuaion, 98 companies were seleced as sample from 9 indusry groups. In order o analyze he daa resuled from colleced quesionnaires deducive and descripive saisical mehods are used. The resuls K-S Tes shows he es disribuion is Normal. So we can use Muli Regression (Chow Tes, Hausman Tes, Panel daa,..) o es he hypohesis of he research. In order o deermine he relaionship beween he variables of he sudyhe SPSS ool has been used. General analyical framework model is esimaed as follows. AFE i * Independen Variable H : i Model is no significan H : i Model is significan And he models used in his sudy is formulaed as follows: The firs model corresponds o he firs hypohesis: SLiq i * NTi MMi, BAi 3Ri 4Periodi 5diffi i, 8

3 Inernaional Journal of Accouning Research Vol., No. 7, 4 The second model corresponds o he second hypohesis: * NASi MMi, BAi 3Ri 4Periodi 5diffi i, The hird model corresponds o he hird hypohesis: * NSTi MMi, BAi 3Ri 4Periodi 5diffi i, RESULTS AND CONCLUSION - Descripive Resuls Table shows he Descripive Resuls of variables. Variable No. of Mean SD Observaion Liquidiy due o he number of Sock raded Liquidiy due o sock buyers coun Liquidiy due o he number of shares raded Sock Marke making Difference beween he proposed price and Sock Sysemic risk Sock rade boom period Balanced equilibrium price differences According o able he Liquidiy due o he number of Sock raded wih.4, Liquidiy due o sock buyers coun wih -.85, Liquidiy due o he number of shares raded.88 have mean. The highes mean has shown in liquidiy due o number of Sock raded and lowes mean has shown Liquidiy due o sock buyers coun. - Hypoheses resuls A) Hypohesis resuls The main purpose of firs hypohesis es was; here is a direc relaionship beween sock marke maker and ransacion coun. The saisical way of analysis his hypohesis is wo ways, H is accepance of hypohesis and H is rejecing of hypohesis. We have used he model () o esimae his hypohesis according o he panel daa and if he coefficien was significan a a confidence level of 95% will be approved. * NTi MMi, BAi 3Ri, 4Periodi 5diffi i, () To confirm he suiabiliy of panel daa mehod, we have used Chow Tes and o deermining fixed effecs or random effecs in order o beer esimae, we have used Hausman Tes. The resuls of hese ess are presened in. Table Chow Tes and Hausman Tes resuls Tes N Saisic Saisic df P-Value Chow 588 f Hausman According o Chow es resul P-Value in 95% confidence level is., and H has rejeced, i means ha we can be used panel daa mehod. Also, according o Hausman es resuls P-Value 9

4 Inernaional Journal of Accouning Research Vol., No. 7, 4 was less han.5 and acceped H.Therefore, i is necessary o esimae he model using fixed effecs. According o able 3 Jarque-Bera, Breusch-Pagan, Durbin-Wason and Ramsey es resuls show ha model's lineariy has confirmed and he model is no specified error. Table 3: Tes resuls concerning he saisical assumpions of he model () Ramsey Durbin- Breusch-Pagan Jarque-Bera Wason P Value F D P Value F P Value Table 4: The firs hypohesis resuls of he sudy wih using of fixed-effecs. Dependen variable: Liquidiy due o he number of Sock raded Variable Coefficien T-Tes P-Value Relaion Fixed componen Posiive Sock Marke making Posiive Difference beween he proposed price and Sock Meaningless Sysemic risk Negaive Sock rade boom period Negaive Balanced equilibrium price differences Negaive R =.865 F= p-value=. According o able 4 considering he significan whole modelhe p-value (.) was smaller han.5 and he model is confirmed. Deerminaion of coefficien model also indicae ha 86.5 percen of he liquidiy due o he number of Sock raded variable are debaed by he variables in he model. B) Hypohesis resuls The main purpose of second hypohesis es was; here is a direc relaionship beween Sock marke maker and sock buyers coun. The saisical way of analysis his hypohesis is wo ways, H is accepance of hypohesis and H is rejecing of hypohesis. We have used he model () o esimae his hypohesis according o he panel daa and if he coefficien was significan a a confidence level of 95% will be approved. * NASi MMi BAi 3Ri 4Periodi 5diffi i, () To confirm he suiabiliy of panel daa mehod, we have used Chow Tes and o deermining fixed effecs or random effecs in order o beer esimae, we have used Hausman Tes. The resuls of hese ess are presened in. Table 5 Chow Tes and Hausman Tes resuls Tes Saisic Saisic df P-Value Chow f Hausman According o Chow es resul P-Value in 95% confidence level is.9, and H has rejeced, i means ha we can be used panel daa mehod. Also, according o Hausman es resuls P-Value

5 Inernaional Journal of Accouning Research Vol., No. 7, 4 was less han.5 and acceped H.Therefore, i is necessary o esimae he model using fixed effecs. According o able 6 Jarque-Bera, Breusch-Pagan, Durbin-Wason and Ramsey es resuls show ha model's lineariy has confirmed and he model is no specified error. Table 6: Tes resuls concerning he saisical assumpions of he model () Ramsey Durbin- Breusch-Pagan Jarque-Bera Wason P Value F D P Value F P Value Table 7: The firs hypohesis resuls of he sudy wih using of fixed-effecs. Dependen variable: Liquidiy due o he sock buyers coun Variable Coefficien T-Tes P-Value Relaion Fixed componen Posiive Sock Marke making Posiive Difference beween he proposed price and..3.7 Sock Posiive Sysemic risk Meaningless Sock rade boom period Posiive Balanced equilibrium price differences Meaningless R =.873 F=7.44 P-value=. According o able 7 considering he significan whole modelhe p-value (.) was smaller han.5 and he model is confirmed. Deerminaion of coefficien model also indicae ha 87.3 percen of he liquidiy due o he sock buyers coun variable are debaed by he variables in he model. C) Hypohesis 3 resuls The main purpose of hird hypohesis es was; here is a direc relaionship beween sock marke maker and number of shares raded. The saisical way of analysis his hypohesis is wo ways, H is accepance of hypohesis and H is rejecing of hypohesis. We have used he model (3) o esimae his hypohesis according o he panel daa and if he coefficien was significan a a confidence level of 95% will be approved. The hird model corresponds o he hird hypohesis: * NSTi MMi, BAi 3Ri 4Periodi 5diffi i, (3) To confirm he suiabiliy of panel daa mehod, we have used Chow Tes and o deermining fixed effecs or random effecs in order o beer esimae, we have used Hausman Tes. The resuls of hese ess are presened in. Table 5 Chow Tes and Hausman Tes resuls Tes Saisic Saisic df P-Value Chow f Hausman According o Chow es resul P-Value in 95% confidence level is.4, and H has rejeced, i means ha we can be used panel daa mehod. Also, according o Hausman es resuls p-value

6 Inernaional Journal of Accouning Research Vol., No. 7, 4 was less han.5 and acceped H.Therefore, i is necessary o esimae he model using fixed effecs. According o able 6 Jarque-Bera, Breusch-Pagan, Durbin-Wason and Ramsey es resuls show ha model's lineariy has confirmed and he model is no specified error. Table 6: Tes resuls concerning he saisical assumpions of he model (3) Ramsey Durbin- Breusch-Pagan Jarque-Bera Wason P Value F D P Value F P Value Table 7: The firs hypohesis resuls of he sudy wih using of fixed-effecs. Dependen variable: Liquidiy due o he number of shares raded Variable Coefficien T-Tes P-Value Relaion Fixed componen Negaive Sock Marke making Posiive Difference beween he proposed price and Sock Meaningless Sysemic risk Posiive Sock rade boom period Negaive Balanced equilibrium price differences Negaive R =.788 F=7.73 P-value=. According o able 7 considering he significan whole modelhe p-value (.) was smaller han.5 and he model is confirmed. Deerminaion of coefficien model also indicae ha 78.3 percen of he liquidiy due o he number of shares raded variable are debaed by he variables in he model. Findings show ha here is a coalificaion relaionship beween Sock marke maker and liquidiy in Tehran Sock Exchange acceped companies. Oher resuls are: - There is relaionship beween Sock marke maker and ransacion coun in Tehran Sock Exchange acceped companies. - There is relaionship beween Sock marke maker and sock buyers coun in Tehran Sock Exchange acceped companies. - There is relaionship beween Sock marke maker and number of shares raded in Tehran Sock Exchange acceped companies. Reference. Chakrabory T., Kearns M., (). Marke Making and Mean Reversion, EC, June 5 9,, San Jose, California, USA. Chordia, T., Richard R., and Avanidhar S. (). Order Imbalance, Liquidiy, and Marke Reurns. Journal of Financial economics, 65(): 3 3. Darley, A. Oukin, T. Plae, and F. Gao. ().Sixeenhs or pennies? Observaions from a simulaion of he NASDAQ sock marke. InIEEE/IAFE/INFORMS Conf. on Comp. Inel. For Fin. Engr. 4. Das S., (5). A learning marke-maker in he Glosen-Milgrom model. Quan. Fin., 5(): Glosen.R. and Milgrom Bid P.R.,(985). ask and ransacion prices in a specialis marke wih heeroge-neously informed raders. J. Fin. Econ., 4:7

7 Inernaional Journal of Accouning Research Vol., No. 7, 4 6. Grossman S.J. and Miller M.H, (988). Liquidiy and marke srucure. J. Fin., 43: Radcliffe, Rober C. (997). Invesmen: Conceps, Analysis, Sraegy. Addison-Wesley Educaional Publishers, Inc. p

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

The Influence of Iran's Entrance into the WTO on Major Indexes of Tehran Stock Exchange

The Influence of Iran's Entrance into the WTO on Major Indexes of Tehran Stock Exchange 2013, TexRoad Publicaion ISSN: 2090-4274 Journal of Applied Environmenal and Biological Sciences www.exroad.com The Influence of Iran's Enrance ino he WTO on Major Indexes of Tehran Sock Exchange Darush

More information

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were

More information

THE EFFECT OF CORPORATE GOVERNANCE FACTORS ON CASH FLOW RESULTING FROM OPERATING ACTIVITIES AND FIRM FINANCING

THE EFFECT OF CORPORATE GOVERNANCE FACTORS ON CASH FLOW RESULTING FROM OPERATING ACTIVITIES AND FIRM FINANCING An Open Access, Online Inernaional Journal Available a www.cibech.org/sp.ed/jls/2014/04/jls.hm Research Aricle THE EECT O CORPORATE GOVERNANCE ACTORS ON CASH LOW RESULTING ROM OPERATING ACTIVITIES AND

More information

Ownership structure, liquidity, and trade informativeness

Ownership structure, liquidity, and trade informativeness Journal of Finance and Accounancy ABSTRACT Ownership srucure, liquidiy, and rade informaiveness Dan Zhou California Sae Universiy a Bakersfield In his paper, we examine he relaionship beween ownership

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

Economics 140A Hypothesis Testing in Regression Models

Economics 140A Hypothesis Testing in Regression Models Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

MARKET LIQUIDITY AND DEPTH ON FLOOR-TRADED AND E-MINI INDEX FUTURES: AN ANALYSIS OF THE S&P 500 AND NASDAQ 100

MARKET LIQUIDITY AND DEPTH ON FLOOR-TRADED AND E-MINI INDEX FUTURES: AN ANALYSIS OF THE S&P 500 AND NASDAQ 100 80 Invesmen Managemen and Financial Innovaions, Volume 4, Issue 4, 2007 MARKET LIQUIDITY AND DEPTH ON FLOOR-TRADED AND E-MINI INDEX FUTURES: AN ANALYSIS OF THE S&P 500 AND NASDAQ 100 Yu-shan Wang *, Huimin

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

Research Question Is the average body temperature of healthy adults 98.6 F? Introduction to Hypothesis Testing. Statistical Hypothesis

Research Question Is the average body temperature of healthy adults 98.6 F? Introduction to Hypothesis Testing. Statistical Hypothesis Inroducion o Hypohesis Tesing Research Quesion Is he average body emperaure of healhy aduls 98.6 F? HT - 1 HT - 2 Scienific Mehod 1. Sae research hypoheses or quesions. µ = 98.6? 2. Gaher daa or evidence

More information

Profitability and causality of order imbalance based trading strategy in hedge stocks

Profitability and causality of order imbalance based trading strategy in hedge stocks Invesmen Managemen and Financial Innovaions, Volume 7, Issue 1, 2010 Yong-Chern Su (Taiwan), Han-Ching Huang (Taiwan), Chien-Chang Chiu (Taiwan) Profiabiliy and causaliy of order imbalance based rading

More information

The Effect of Working Capital Management on Reducing the Stock Price Crash Risk(Case Study: Companies Listed in Tehran Stock Exchange)

The Effect of Working Capital Management on Reducing the Stock Price Crash Risk(Case Study: Companies Listed in Tehran Stock Exchange) Inernaional Research Journal of Applied and Basic Sciences 2013 Available online a www.irjabs.com ISSN 2251-838X / Vol, 6 (9): 1222-1228 Science Explorer Publicaions The Effec of Working Capial Managemen

More information

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework Applied Financial Economics Leers, 2008, 4, 419 423 SEC model selecion algorihm for ARCH models: an opions pricing evaluaion framework Savros Degiannakis a, * and Evdokia Xekalaki a,b a Deparmen of Saisics,

More information

Market-makers supply and pricing of financial market liquidity

Market-makers supply and pricing of financial market liquidity Economics Leers 76 (00) 53 58 www.elsevier.com/ locae/ econbase Marke-makers supply and pricing of financial marke liquidiy Pu Shen a,b, *, Ross M. Sarr a Research Deparmen, Federal Reserve Bank of Kansas

More information

Option Put-Call Parity Relations When the Underlying Security Pays Dividends

Option Put-Call Parity Relations When the Underlying Security Pays Dividends Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 225-23 Opion Pu-all Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,

More information

Idealistic characteristics of Islamic Azad University masters - Islamshahr Branch from Students Perspective

Idealistic characteristics of Islamic Azad University masters - Islamshahr Branch from Students Perspective Available online a www.pelagiaresearchlibrary.com European Journal Experimenal Biology, 202, 2 (5):88789 ISSN: 2248 925 CODEN (USA): EJEBAU Idealisic characerisics Islamic Azad Universiy masers Islamshahr

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS

TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS RICHARD J. POVINELLI AND XIN FENG Deparmen of Elecrical and Compuer Engineering Marquee Universiy, P.O.

More information

The Determinants of Trade Credit: Vietnam Experience

The Determinants of Trade Credit: Vietnam Experience Proceedings of he Second Asia-Pacific Conference on Global Business, Economics, Finance and Social Sciences (AP15Vienam Conference) ISBN: 978-1-63415-833-6 Danang, Vienam, 10-12 July 2015 Paper ID: V536

More information

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

Price Discovery in the Absence of Trading: A Look at the Malta Stock Exchange Pre-opening Period

Price Discovery in the Absence of Trading: A Look at the Malta Stock Exchange Pre-opening Period Price Discovery in he Absence of rading: A Look a he Mala Sock Exchange Pre-opening Period Michael Bowe Suar Hyde Ike Johnson Absrac his paper sudies he conribuion of he pre-opening period o he daily price

More information

Cointegration Analysis of Exchange Rate in Foreign Exchange Market

Cointegration Analysis of Exchange Rate in Foreign Exchange Market Coinegraion Analysis of Exchange Rae in Foreign Exchange Marke Wang Jian, Wang Shu-li School of Economics, Wuhan Universiy of Technology, P.R.China, 430074 Absrac: This paper educed ha he series of exchange

More information

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen A Noe on he Impac of Opions on Sock Reurn Volailiy Nicolas P.B. Bollen ABSTRACT This paper measures he impac of opion inroducions on he reurn variance of underlying socks. Pas research generally finds

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Sock Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

Applied Econometrics and International Development

Applied Econometrics and International Development Applied Economerics and Inernaional Developmen Vol.6-3(006) STANDARD & POOR S DEPOSITARY RECEIPTS AND THE MARKET QUALITY OF S&P 500 INDEX FUTURES CHU, Quenin C. * KAYALI, Musafa Mesu Absrac This sudy examines

More information

Procedia - Social and Behavioral Sciences 220 ( 2016 ) 134 141

Procedia - Social and Behavioral Sciences 220 ( 2016 ) 134 141 Available online a www.sciencedirec.com ScienceDirec Procedia - Social and Behavioral Sciences 220 ( 2016 ) 134 141 19h Inernaional Conference Enerprise and Compeiive Environmen 2016, ECE 2016, 10 11 March

More information

NONLINEAR MARKET DYNAMICS BETWEEN STOCK RETURNS AND TRADING VOLUME: EMPIRICAL EVIDENCES FROM ASIAN STOCK MARKETS

NONLINEAR MARKET DYNAMICS BETWEEN STOCK RETURNS AND TRADING VOLUME: EMPIRICAL EVIDENCES FROM ASIAN STOCK MARKETS ANALELE ŞTIINłIFICE ALE UNIVERSITĂłII ALEXANDRU IOAN CUZA DIN IAŞI Tomul LVI ŞiinŃe Economice 009 NONLINEAR MARKET DYNAMICS BETWEEN STOCK RETURNS AND TRADING VOLUME: EMPIRICAL EVIDENCES FROM ASIAN STOCK

More information

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 117 THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

Can Individual Investors Use Technical Trading Rules to Beat the Asian Markets?

Can Individual Investors Use Technical Trading Rules to Beat the Asian Markets? Can Individual Invesors Use Technical Trading Rules o Bea he Asian Markes? INTRODUCTION In radiional ess of he weak-form of he Efficien Markes Hypohesis, price reurn differences are found o be insufficien

More information

Asymmetric Information, Perceived Risk and Trading Patterns: The Options Market

Asymmetric Information, Perceived Risk and Trading Patterns: The Options Market Asymmeric Informaion, Perceived Risk and Trading Paerns: The Opions Marke Guy Kaplanski * Haim Levy** March 01 * Bar-Ilan Universiy, Israel, Tel: 97 50 696, Fax: 97 153 50 696, email: guykap@biu.ac.il.

More information

Investor sentiment of lottery stock evidence from the Taiwan stock market

Investor sentiment of lottery stock evidence from the Taiwan stock market Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

Social Media Content on Financial Markets

Social Media Content on Financial Markets Inernaional Journal of New Technology and Research (IJNTR) ISSN:2454-4116, Volume-2, Issue-3, March 2016 Pages 134-137 Social Media Conen on Financial Markes Juheng Zhang Absrac Socks are weeed by invesors

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

The Influence of Positive Feedback Trading on Return Autocorrelation: Evidence for the German Stock Market

The Influence of Positive Feedback Trading on Return Autocorrelation: Evidence for the German Stock Market The Influence of Posiive Feedback Trading on Reurn Auocorrelaion: Evidence for he German Sock Marke Absrac: In his paper we provide empirical findings on he significance of posiive feedback rading for

More information

The Interest Rate Risk of Mortgage Loan Portfolio of Banks

The Interest Rate Risk of Mortgage Loan Portfolio of Banks The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

Commission Costs, Illiquidity and Stock Returns

Commission Costs, Illiquidity and Stock Returns Commission Coss, Illiquidiy and Sock Reurns Jinliang Li* College of Business Adminisraion, Norheasern Universiy 413 Hayden Hall, Boson, MA 02115 Telephone: 617.373.4707 Email: jin.li@neu.edu Rober Mooradian

More information

Impact of scripless trading on business practices of Sub-brokers.

Impact of scripless trading on business practices of Sub-brokers. Impac of scripless rading on business pracices of Sub-brokers. For furher deails, please conac: Mr. T. Koshy Vice Presiden Naional Securiies Deposiory Ld. Tradeworld, 5 h Floor, Kamala Mills Compound,

More information

Markit Excess Return Credit Indices Guide for price based indices

Markit Excess Return Credit Indices Guide for price based indices Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semi-annual

More information

International Business & Economics Research Journal March 2007 Volume 6, Number 3

International Business & Economics Research Journal March 2007 Volume 6, Number 3 Weak Form Efficiency In Indian Sock Markes Rakesh Gupa, (E-mail: r.gupa@cqu.edu.au), Cenral Queensland Universiy, Ausralia Parikshi K. Basu, (E-mail: pbasu@csu.edu.au), Charles Sur Universiy, Ausralia

More information

A Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM)

A Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM) A Brief Inroducion o he Consumpion Based Asse Pricing Model (CCAPM We have seen ha CAPM idenifies he risk of any securiy as he covariance beween he securiy's rae of reurn and he rae of reurn on he marke

More information

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan

More information

No. 2011/03 Is BEST Really Better? Internalization of Orders in an Open Limit Order Book. Joachim Grammig and Erik Theissen

No. 2011/03 Is BEST Really Better? Internalization of Orders in an Open Limit Order Book. Joachim Grammig and Erik Theissen No. 2011/03 Is BEST Really Beer? Inernalizaion of Orders in an Open Limi Order Book Joachim Grammig and Erik Theissen Cener for Financial Sudies Goehe-Universiä Frankfur House of Finance Grüneburgplaz

More information

Vida Mojtahedzadeh*, Seyed Hossein Alavi Tabari and Maryam Asgharzadeh Badr. Abstract

Vida Mojtahedzadeh*, Seyed Hossein Alavi Tabari and Maryam Asgharzadeh Badr. Abstract A Comparison beween Accouning, Business Adminisraion and Theoreical Economics Sudens on he Impac of Their Majors on Personal Saisfacion in Acquiring General Skills Vida Mojahedzadeh*, Seyed Hossein Alavi

More information

The role of risk measures choice in ranking real estate funds: evidence from the Italian market

The role of risk measures choice in ranking real estate funds: evidence from the Italian market XIX Inernaional Tor Vergaa Conference on Money, Banking and Finance The role of risk measures choice in ranking real esae funds: evidence from he Ialian marke Claudio Giannoi, Universiy LUM Jean Monne

More information

The Liquidity and Volatility Impacts of Day Trading by Individuals in. the Taiwan Index Futures Market

The Liquidity and Volatility Impacts of Day Trading by Individuals in. the Taiwan Index Futures Market The Liquidiy and Volailiy Impacs of Day Trading by Individuals in he Taiwan Index Fuures Marke Robin K. Chou Professor, Deparmen of Finance, Naional Chengchi Universiy George H. K. Wang Research Professor

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

Description of the CBOE S&P 500 BuyWrite Index (BXM SM )

Description of the CBOE S&P 500 BuyWrite Index (BXM SM ) Descripion of he CBOE S&P 500 BuyWrie Index (BXM SM ) Inroducion. The CBOE S&P 500 BuyWrie Index (BXM) is a benchmark index designed o rack he performance of a hypoheical buy-wrie sraegy on he S&P 500

More information

Understanding the Profitability of Pairs Trading

Understanding the Profitability of Pairs Trading Undersanding he Profiabiliy of Pairs Trading Sandro C. Andrade UC Berkeley Vadim di Piero Norhwesern Mark S. Seasholes UC Berkeley This Version February 15, 2005 Absrac This paper links uninformed demand

More information

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange Resiliency, he Negleced Dimension of Marke Liquidiy: Empirical Evidence from he New York Sock Exchange Jiwei Dong 1 Lancaser Universiy, U.K. Alexander Kempf Universiä zu Köln, Germany Pradeep K. Yadav

More information

PRICE VOLATILITY ON THE USD/JPY MARKET AS A MEASURE OF INVESTORS ATTITUDE TOWARDS RISK

PRICE VOLATILITY ON THE USD/JPY MARKET AS A MEASURE OF INVESTORS ATTITUDE TOWARDS RISK QUANTITATIVE METHODS IN ECONOMICS Vol. XI, No. 1, 010, pp. 37-44 PRICE VOLATILITY ON THE USD/JPY MARKET AS A MEASURE OF INVESTORS ATTITUDE TOWARDS RISK Kaarzyna Banasiak Deparmen of Economics of Agriculure

More information

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable

More information

ANOMALIES IN INDIAN STOCK MARKET AN EMPIRICAL EVIDENCE FROM SEASONALITY EFFECT ON BSEIT INDEX

ANOMALIES IN INDIAN STOCK MARKET AN EMPIRICAL EVIDENCE FROM SEASONALITY EFFECT ON BSEIT INDEX -Journal of Ars, Science & Commerce ANOMALIES IN INDIAN STOCK MARKET AN EMPIRICAL EVIDENCE FROM SEASONALITY EFFECT ON BSEIT INDEX Dr. Pedapalli Neeraja, M.Com., M.Phil. Ph.D. Assisan Professor Business

More information

Research on Inventory Sharing and Pricing Strategy of Multichannel Retailer with Channel Preference in Internet Environment

Research on Inventory Sharing and Pricing Strategy of Multichannel Retailer with Channel Preference in Internet Environment Vol. 7, No. 6 (04), pp. 365-374 hp://dx.doi.org/0.457/ijhi.04.7.6.3 Research on Invenory Sharing and Pricing Sraegy of Mulichannel Reailer wih Channel Preference in Inerne Environmen Hanzong Li College

More information

Price Controls and Banking in Emissions Trading: An Experimental Evaluation

Price Controls and Banking in Emissions Trading: An Experimental Evaluation This version: March 2014 Price Conrols and Banking in Emissions Trading: An Experimenal Evaluaion John K. Sranlund Deparmen of Resource Economics Universiy of Massachuses-Amhers James J. Murphy Deparmen

More information

Journal Of Business & Economics Research Volume 1, Number 11

Journal Of Business & Economics Research Volume 1, Number 11 Profis From Buying Losers And Selling Winners In The London Sock Exchange Anonios Anoniou (E-mail: anonios.anoniou@durham.ac.ak), Universiy of Durham, UK Emilios C. Galariois (E-mail: emilios.galariois@dirham.ac.uk),

More information

How Widespread Was Late Trading in Mutual Funds? (Session: Exposing Cheating and Corruption, Steven Levitt Presiding)

How Widespread Was Late Trading in Mutual Funds? (Session: Exposing Cheating and Corruption, Steven Levitt Presiding) How Widespread Was Lae Trading in Muual Funds? (Session: Exposing Cheaing and Corrupion, Seven Levi Presiding) Eric Zizewiz Sanford Graduae School of Business 518 Memorial Way Sanford, CA 94305 Tel: 650-724-1860

More information

ARCH 2013.1 Proceedings

ARCH 2013.1 Proceedings Aricle from: ARCH 213.1 Proceedings Augus 1-4, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference

More information

Influence of the Dow returns on the intraday Spanish stock market behavior

Influence of the Dow returns on the intraday Spanish stock market behavior Influence of he Dow reurns on he inraday Spanish sock marke behavior José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós Deparmen of Financial Economics, Universiy of Exremadura

More information

Market Maker Inventories and Stock Prices

Market Maker Inventories and Stock Prices Marke Maker Invenories and Sock Prices Terrence Hendersho U.C. Berkeley Mark S. Seasholes U.C. Berkeley This Version March 3, 2006 Absrac This paper examines daily invenory/asse price dynamics using 11

More information

The impact of short selling on the volatility and liquidity of stock markets: evidence from Hong Kong market

The impact of short selling on the volatility and liquidity of stock markets: evidence from Hong Kong market The impac of shor selling on he volailiy and liquidiy of sock markes: evidence from Hong Kong marke Miaoxin Chen 1 Zhenlong Zheng 2 1 Deparmen of Finance, Xiamen Universiy, China. cuecmx@163.com 2 Deparmen

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Soc Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

An empirical analysis about forecasting Tmall air-conditioning sales using time series model Yan Xia

An empirical analysis about forecasting Tmall air-conditioning sales using time series model Yan Xia An empirical analysis abou forecasing Tmall air-condiioning sales using ime series model Yan Xia Deparmen of Mahemaics, Ocean Universiy of China, China Absrac Time series model is a hospo in he research

More information

Identify and ranking the factors that influence establishment of total quality management system in Payame Noor University of Lordegan

Identify and ranking the factors that influence establishment of total quality management system in Payame Noor University of Lordegan Idenify and ranking he facors ha influence esablishmen of oal qualiy sysem in Payame Noor Universiy of Lordegan Farhad Farhadi MA Suden, Deparmen of Managemen, Najafabad Branch, Islamic Azad Universiy,

More information

Abstract. Review of Literatures. Free Cash Flows (FCF)

Abstract. Review of Literatures. Free Cash Flows (FCF) 123 A COMPARATIVE STUDY BETWEEN FREE CASH FLOWS AND EARNINGS MANAGEMENT Dr. Amalendu Bhundia Reader in Commerce; Fakir Chad College Under Universiy of Calcua, Diamond Harbour, Souh 24-Parganas, Pin. 743331,

More information

Measuring the Liquidity of ETFs: An Application to the European Market

Measuring the Liquidity of ETFs: An Application to the European Market Measuring he Liquidiy of ETFs: An Applicaion o he European Marke Thierry Roncalli Quaniaive Research Lyxor Asse Managemen, Paris hierry.roncalli@lyxor.com Ban Zheng Quaniaive Research Lyxor Asse Managemen,

More information

The impact of the trading systems development on bid-ask spreads

The impact of the trading systems development on bid-ask spreads Chun-An Li (Taiwan), Hung-Cheng Lai (Taiwan)* The impac of he rading sysems developmen on bid-ask spreads Absrac Following he closure, on 30 June 2005, of he open oucry sysem on he Singapore Exchange (SGX),

More information

Option Trading Costs Are Lower Than You Think

Option Trading Costs Are Lower Than You Think Opion Trading Coss Are Lower Than You Think Dmiriy Muravyev Boson College Neil D. Pearson Universiy of Illinois a Urbana-Champaign March 15, 2015 Absrac Convenionally measured bid-ask spreads of liquid

More information

The Relation Between T-score, Z-score, Bone Mineral Density and Body Mass Index

The Relation Between T-score, Z-score, Bone Mineral Density and Body Mass Index The Relaion Beween T-score, Z-score, Bone Mineral Densiy and Body Mass Index RABA'A KAREEM FARES AL-MAITAH AL-Balqa Applied Universiy (JORDAN) Tel: 00962-796676697 *E-mail:hamzaalawi@ymail.com Absrac:

More information

ABSTRACT KEYWORDS. Term structure, duration, uncertain cash flow, variable rates of return JEL codes: C33, E43 1. INTRODUCTION

ABSTRACT KEYWORDS. Term structure, duration, uncertain cash flow, variable rates of return JEL codes: C33, E43 1. INTRODUCTION THE VALUATION AND HEDGING OF VARIABLE RATE SAVINGS ACCOUNTS BY FRANK DE JONG 1 AND JACCO WIELHOUWER ABSTRACT Variable rae savings accouns have wo main feaures. The ineres rae paid on he accoun is variable

More information

Lecture 18. Serial correlation: testing and estimation. Testing for serial correlation

Lecture 18. Serial correlation: testing and estimation. Testing for serial correlation Lecure 8. Serial correlaion: esing and esimaion Tesing for serial correlaion In lecure 6 we used graphical mehods o look for serial/auocorrelaion in he random error erm u. Because we canno observe he u

More information

Psychological Barriers and Prices Behaviors. of Taiwan Futures Market

Psychological Barriers and Prices Behaviors. of Taiwan Futures Market Psychological Barriers and Prices Behaviors of Taiwan Fuures Marke Ming-Hsien Chen Deparmen of Finance, Naional Kaohsiung Firs Universiy of Science and Technology, Taiwan Vivian W. Tai Deparmen of Banking

More information

Random Walk of Security Prices: Empirical Evidence from KSE, LSE, and ISE

Random Walk of Security Prices: Empirical Evidence from KSE, LSE, and ISE andom Walk of Securiy Prices: Empirical Evidence from KSE, LSE, and ISE Yasir Kamal and Dr. Kashif-Ur-ehman * SZABIST Islamabad, Pakisan Absrac: Previously securiy marke research had been focused mainly

More information

An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange

An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange An Empirical Comparison of Asse Pricing Models for he Tokyo Sock Exchange Absrac In his sudy we compare he performance of he hree kinds of asse pricing models proposed by Fama and French (1993), Carhar

More information

Individual Health Insurance April 30, 2008 Pages 167-170

Individual Health Insurance April 30, 2008 Pages 167-170 Individual Healh Insurance April 30, 2008 Pages 167-170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve

More information

Are European Corporate Bond and Default Swap Markets Segmented?

Are European Corporate Bond and Default Swap Markets Segmented? Are European Corporae Bond and Defaul Swap Markes Segmened? Didier COSSIN IMD Inernaional Hongze LU IMD Inernaional HEC Universiy of Lausanne Research Paper N 33 March 005 FAME - Inernaional Cen er for

More information

Online Open Access publishing platform for Management Research. Copyright 2010 All rights reserved Integrated Publishing association

Online Open Access publishing platform for Management Research. Copyright 2010 All rights reserved Integrated Publishing association ASIAN JOURNAL OF MANAGEMENT RESEARCH Online Open Access publishing plaform for Managemen Research Copyrigh 2010 All righs reserved Inegraed Publishing associaion Case Sudy ISSN 2229 3795 Global Financial

More information

NATIONAL BANK OF POLAND WORKING PAPER No. 120

NATIONAL BANK OF POLAND WORKING PAPER No. 120 NATIONAL BANK OF POLAND WORKING PAPER No. 120 Large capial inflows and sock reurns in a hin marke Janusz Brzeszczyński, Marin T. Bohl, Dobromił Serwa Warsaw 2012 Acknowledgemens: We would like o hank Ludwig

More information

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines*

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines* The Relaionship beween Sock Reurn Volailiy and Trading Volume: The case of The Philippines* Manabu Asai Faculy of Economics Soka Universiy Angelo Unie Economics Deparmen De La Salle Universiy Manila May

More information

The Impact of Promotional Mix Elements on Consumers Purchasing Decisions

The Impact of Promotional Mix Elements on Consumers Purchasing Decisions Inernaional usiness and Managemen Vol. 8, No. 2, 2014, pp. 143-151 DOI:10.3968/4800 ISSN 1923-841X [Prin] ISSN 1923-8428 [Online] www.cscanada.ne www.cscanada.org The Impac of Promoional Mix Elemens on

More information

NATIONAL BANK OF POLAND WORKING PAPER No. 119

NATIONAL BANK OF POLAND WORKING PAPER No. 119 NATIONAL BANK OF POLAND WORKING PAPER No. 9 Liquidiy needs, privae informaion, feedback rading: verifying moives o rade Barosz Gębka, Dobromił Serwa Warsaw 0 Verifying moives o rade Barosz Gębka Newcasle

More information

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and

More information

Revisions to Nonfarm Payroll Employment: 1964 to 2011

Revisions to Nonfarm Payroll Employment: 1964 to 2011 Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm

More information

THE INTERPLAY BETWEEN DIRECTOR COMPENSATION AND CEO COMPENSATION

THE INTERPLAY BETWEEN DIRECTOR COMPENSATION AND CEO COMPENSATION The Inernaional Journal of Business and Finance Research VOLUME 8 NUMBER 2 2014 THE INTERPLAY BETWEEN DIRECTOR COMPENSATION AND CEO COMPENSATION Dan Lin, Takming Universiy of Science and Technology Lu

More information

DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? RACT. Abstract

DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? RACT. Abstract DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? Ali Coskun Bogazici Universiy Umi G. Gurun Universiy of Texas a Dallas RACT Ocober 2011 Absrac We show ha acively managed U.S. hedge funds, on average,

More information

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter?

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter? Proceedings of he Firs European Academic Research Conference on Global Business, Economics, Finance and Social Sciences (EAR5Ialy Conference) ISBN: 978--6345-028-6 Milan-Ialy, June 30-July -2, 205, Paper

More information