scholarly journals On the impact of leverage constraints on asset prices and trading volume

2003 ◽  
Vol 5 (2) ◽  
pp. 123-151
Author(s):  
José M. Marín ◽  
Jacques Olivier
Keyword(s):  
Asset Prices ◽  
Trading Volume ◽  
The Impact

scholarly journals The Impact of Serious Safety Incidents on Airline Stocks

2021 ◽  
Vol 12 (4) ◽  
pp. 1
Author(s):  
Jeffery A. Born
Keyword(s):  
Trading Volume ◽  
Shareholder Wealth ◽  
Noise Trader ◽  
High Level ◽  
The Impact

The impact of commercial airplane crashes on the shareholder wealth of US-listed airline stocks has been the focus of many prior studies, but none have explored the concomitant impact on trading volume. We expand the scope of prior studies to include near crashes. We examine 262 ‘incidents’ from 1962 to 2018 (220 with return evidence) and document a significant (negative) wealth impact for crashes with fatalities and casualties, and an insignificant impact for incidents with no casualties. We find that log-transformed trading volume spikes upward in the three-day crash-period window and that trading volume remains abnormally high in the three plus weeks that follow the crash when casualties occur. We interpret the high level of post-event trading to be consistent with a noise trader hypothesis: naïve trading hoping to take advantage of airline stock over-reaction – which we do not detect.

scholarly journals Spillover Effect of Global Financial Cycle To Asset Markets in Asean-5 Countries: A Structural VAR Approach

2018 ◽  
Vol 2 (02) ◽  
pp. 1
Author(s):  
Sri Andaiyani ◽  
Telisa Aulia Falianty
Keyword(s):  
Risk Aversion ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Structural Var ◽  
Asset Markets ◽  
Equity Prices ◽  
Financial Cycle ◽  
Property Prices ◽  
The Impact

<p><em>An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact to asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co</em><em>‐</em><em>moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on equity prices and property prices in ASEAN-5, namely Indonesia, Malaysia, Singapore, Thailand and Philippines. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Structural Vector Autoregressive (SVAR) approach. The result of this study showed that global financial cycle has a negative significant impact on the ASEAN-5 asset markets, in spite of the response of shock differs by country and size. This result is consistent with ASEAN-5 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions or contraction in asset markets but also the impact of global financial cycle to asset markets in ASEAN-5 countries. Second, we investigate whether there are heterogeneous responses of ASEAN-5 countries to global financial cycle shocks. Third, we also identify the pattern of cycle in ASEAN-5 countries</em>.</p><p><strong><em>J</em></strong><strong><em>EL Classification: </em></strong>F30, F37, F42</p><strong><em>Keywords: </em></strong><em>ASEAN, Asset Markets, Global Financial Cycle, SVAR</em>

scholarly journals Asset Prices and Trading Volume Under Fixed Transactions Costs

10.3386/w8311 ◽  
2001 ◽  
Author(s):  
Andrew Lo ◽  
Harry Mamaysky ◽  
Jiang Wang
Keyword(s):  
Asset Prices ◽  
Trading Volume ◽  
Transactions Costs

The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities

2009 ◽  
Vol 10 (1) ◽  
pp. 89-105
Author(s):  
Koulakiotis Dasilas ◽  
Tolikas Molyneux
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Trading Volume ◽  
Positive Impact ◽  
Stock Exchanges ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Regulatory Standards ◽  
European Stock Markets ◽  
The Impact

This paper investigates the relationship between volatility transmission and stock market regulatory structures, interest rates and trading volume for European securities which are cross-listed on stock exchanges of higher, lower or similar regulatory standards compared to their home stock markets. The empirical results suggested that the regulatory environment has a significant impact on volatility spillovers and the level of interest rates and trading volume have a positive impact on the magnitude and persistence of these volatility spillovers. These findings have potentially important implications for both regulators and investors who are concerned with the effectiveness of legislation aiming to harmonise the European stock markets and the effects of volatility transmission on investment positions across European stock markets.

Intraday analysis of regulation change in microstructure: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Eyup Kadioglu
Keyword(s):  
Trading Volume ◽  
Emerging Market ◽  
Lunch Break ◽  
Content Type ◽  
Call Auction ◽  
Regulation Change ◽  
Intraday Volatility ◽  
Continuous Trading ◽  
The Impact ◽  
Mixture Of Distribution Hypothesis

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

2021 ◽  
Vol 12 (3) ◽  
pp. 547-562
Author(s):  
William Choo Keng Soon Et.al
Keyword(s):  
Real Estate ◽  
Crude Oil ◽  
Capital Market ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Financial System ◽  
Empirical Finding ◽  
Short Run ◽  
The Impact

The formation of Islamic capital market under the subcomponent of Islamic financial system scratch a milestones development of Islamic finance in Malaysia. The Islamic capital market operates in mirror with convention capital market in expending, deepening and broadening Malaysia financial system. Malaysia is one of the REIT markets that value both the Islamic and conventional practices, such flexibility makes the attract not only to the local investor but also Islamic investors and foreign investor. The major source that generates income for REIT is the rental of the commercial real estate invested and hold as portfolio by the REIT management company. Furthermore, Malaysia REIT is known to be defensive stocks which consist of cyclic income producing assets that has some potential of asset appreciation. On the other hand, it witnessed by the moderation of Malaysia government bond yields created a lower pressure on the REIT stock price and analyst’s report highlighted the uncertainties on global crude oil prices and inflation is main concerned to REIT investors. In addition, the revision of 2019 tax system in Malaysia furnished a long run affected the dividend payout and volatility of REIT stock price. Therefore, this impact on the REIT stock liquidity and trading volume experiencing anil liquid trading. Therefore, the impact of external forces towards the mirror of two type of Malaysia REITs is significant to the investors, policy makers and government to outline the short-run relationship and facilitate future growth. The Vector auto regression model, granger causality and variance decomposition employed in this study to analyze the mirror of two types Malaysia REIT stock return. The empirical finding shows that the variability of dividend yield is vital explanatory variables to explain the both type of REIT stock return in Malaysia followed by interest rate for Islamic REIT stock return. The mirror of conventional REIT further implicated that trading volume and global crude oil price are useful to forecasting the changes in the stock return. Nutshell, this study provides a discussion of Malaysia REIT stock return behavior and it should be given necessary attention by researchers in ensuring the newly develop Islamic REIT are competitive and stability as the conventional REIT.

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