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Market Behaviour (market + behaviour)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting87%

Selected Abstracts

Competition Tests with a Non-Structural Model: the Panzar,Rosse Method Applied to Germany's Savings Banks

GERMAN ECONOMIC REVIEW, Issue 1 2009
Horst Gischer
Banking; competition; market behaviour Abstract. In this paper we adopt the Panzar,Rosse approach to assess the competitive conditions in the German banking market for the period from 1993 to 2002. We suggest several improvements to the empirical application of the approach and show that frequently used empirical models that apply price rather than revenue functions lead to biased results. Using disaggregated annual data from more than 400 savings banks (Sparkassen) the empirical findings indicate monopolistic competition, the cases of monopoly and perfect competition are strongly rejected. Furthermore, small banks seem to enjoy even more market power than larger institutions. [source]

The impact of lunchtime closure on market behaviour: evidence from the Sydney Futures Exchange

ACCOUNTING & FINANCE, Issue 1-2 2001
Alex Frino
This paper examines the impact of lunchtime closure on market behaviour. Between May and September, 1994 the Sydney Futures Exchange trialed lunchtime trading. The trial provides a unique natural laboratory experiment for examining the impact of lunchtime closure. The analysis reported in this paper documents abnormally high bid ask spreads, price volatility and trading volume on re-opening of the market following lunchtime closure. These results confirm that closure has an impact on trading activity, and are consistent with the effects of strategic informed trading, a loss in price discovery and/or trading associated with risk transfer. An abnormal increase in trading volume prior to lunchtime closure is also documented, providing unambiguous evidence of trading activity motivated by risk transfer. Overall these results imply that lunchtime closure disrupts trading activity and reduces market quality by imposing additional costs on market participants. [source]

Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2004
Charlie X. Cai
With the benefit of very high frequency (25 million 1 minute observations) and recent data (2001) for the UK, this paper explores a number of intra day patterns of stock market behaviour. More specifically, a distinct reverse J shaped bid-ask spread pattern is noted for SETS securities, a declining bid-ask spread pattern for non-SETS securities, a two hump pattern for trading volume and a U-shaped pattern for returns volatility for all securities. In terms of complementing the existing literature, the paper shows that differences in trading systems may affect the bid-ask spread patterns, while differences in market environments (i.e. US and UK markets) seems to affect the trading volume pattern. The paper suggests avenues for future research, in particular, the need to consider what factors are significant in determining intra day patterns for different trading systems and the need for additional cross-market comparisons to identify how institutional factors affect the behaviour of investors on an intra day basis. [source]

The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2000
John Board
The trade publication rules of the London Stock Exchange were changed on 1 January, 1996, to increase transparency. This paper investigates whether these changes affected market behaviour by examining data on 60 firms from the FTSE 100, FTSE Mid 250 and the FTSE Small Cap indices before and after this rule change. This study finds there has been a major increase in transparency, with no detrimental effects on the quality of the market. In particular, neither the volume nor the traded bid-ask spread has been adversely affected. [source]

Towards statistical multicriteria decision modelling: a first approach

JOURNAL OF MULTI CRITERIA DECISION ANALYSIS, Issue 6 2002
Yves De Smet
Abstract Many real life situations result from decisions taken by a very large number of decision makers. Among them, we may cite road traffic congestion, crowding during shopping, equity market behaviour, distribution of holiday destinations, etc. Furthermore, these decisions often depend on the optimisation of several conflicting criteria. In this paper, we introduce a new multicriteria tool based on Markov chains to model and manage these macroscopic phenomena. Finally, the road traffic congestion problem will be considered to illustrate the applicability of our approach. Copyright © 2003 John Wiley & Sons, Ltd. [source]

Incentives and the Natural Duties of Justice

POLITICS, Issue 1 2000
Colin Farrelly
In this paper I explore a possible response to G.A. Cohen's critique of the Rawlsian defence of inequality-generating incentives. Much of the debate on this topic has neglected the importance Rawls places on the principles that apply to individuals. I explore two possible strategies. First, to argue that self-seeking high-fliers fail to fulfil the natural duty to uphold justice; secondly, to argue that such individuals fail to fulfil the natural duty of mutual respect. These two strategies allow Rawlsians to argue that justice as fairness does require an ethos that is violated by the market behaviour of self-seeking high-fliers. [source]

Homo Reciprocans: Survey Evidence on Behavioural Outcomes,

THE ECONOMIC JOURNAL, Issue 536 2009
Thomas Dohmen
This article complements the experimental literature that has shown the importance of reciprocity for behaviour in stylised labour markets or other decision settings. We use individual measures of reciprocal inclinations in a large, representative survey and relate reciprocity to real world labour market behaviour and life outcomes. We find that reciprocity matters and that the way in which it matters is very much in line with the experimental evidence. In particular, positive reciprocity is associated with receiving higher wages and working harder. Negatively reciprocal inclinations tend to reduce effort. Negative reciprocity increases the likelihood of being unemployed. [source]