Understanding the Disparity in Trading Volume for U.S. Cross-Listings: The Effects of Recognition and Investment Risk Exposure

2007 ◽  
Author(s):  
George Athanassakos ◽  
Lucy F. Ackert ◽  
Budina Naydenova ◽  
Ivo Tafkov
Keyword(s):  
Trading Volume ◽  
Risk Exposure ◽  
Investment Risk

scholarly journals TESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET

2010 ◽  
Vol 13 (4) ◽  
pp. 5-14
Author(s):  
Hien Thu Nguyen ◽  
Nghi Dinh Le
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Trading Volume ◽  
Garch Model ◽  
Conditional Variance ◽  
Investment Risk ◽  
The Garch Model

An important factor of interest of investors on stock markets is investment risk. Risk can undergo a quantitative process through volatility, be measured by conditional variance of stock returns. GARCH is an effective and popularly used model for volatility effect on stock returns. This study tests the GARCH model and analyzes other aspects of volatility on stock returns on the two stock markets of Vietnam. In addition, the study provides evidence of the existence of GARCH effect on Vietnamese stock markets. Besides, the study also assesses price margin policy, trading volume and leverage effects on volatility of stock returns.

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

A Methodology of integrated assessment of the investment attractiveness of the priority social and economic development areas

2020 ◽  
Vol 18 (4) ◽  
pp. 780-806 ◽  
Author(s):  
V.A. Yakimova ◽  
S.V. Khmura
Keyword(s):  
Integrated Assessment ◽  
Investment Risk ◽  
Methodological Issues ◽  
Investment Environment ◽  
Social And Economic Development ◽  
Analysis And Synthesis ◽  
Current Assessment ◽  
Development Area ◽  
Internal And External Factors ◽  
Advanced Development

Subject. This article deals with the theoretical and methodological issues of assessing the investment attractiveness of the advanced development areas. Objectives. The article aims to clarify the economic essence of the category Investment Attractiveness of Advanced Development Areas and related categories, and improve the methodological support to assess the investment attractiveness taking into account the characteristics of these areas. Methods. For the study, we used the methods of analysis and synthesis, generalization, analogy, classification, grouping, and systematization. Results. The article presents a methodology for assessing the investment attractiveness of the advanced development areas, taking into account indicators classified under three groups, namely investment potential, investment environment, and investment risk. It also offers recommendations to determine the type of investment attractiveness. Conclusions. Investment attractiveness, as a complex characteristic of the advanced development area, gets formed in the context of the influence of internal and external factors that are quantifiable and qualitatively assessed. To meet the needs of investors, a methodology that includes current assessment and forecasts is needed, indicating the areas of possible investment risk.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

Mean Reversion of the Trading Volume

2019 ◽  
Vol 32 (2) ◽  
pp. 149-186
Author(s):  
Mhin Kang ◽  
◽  
Joon Chae
Keyword(s):  
Trading Volume ◽  
Mean Reversion

Trading Volume Liquidity and Investment Styles

2007 ◽  
Author(s):  
Jeff Brown ◽  
Douglas K. Crocker ◽  
Stephen R. Foerster
Keyword(s):  
Trading Volume ◽  
Investment Styles
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