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Stock Market Crash (stock + market_crash)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting83%

Selected Abstracts

Option Expensing and Managerial Equity Incentives

FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 3 2009
Yi Feng
We examine the impact of mandatory option expensing on managerial equity incentives. Though effective only after June 15, 2005, there is evidence that U.S. firms begin preparing for option expensing as early as 2002 by making changes to their equity incentive plans. We find that (1) CEO option incentives exhibit a sharp reversal during the period 1993-2005, with the median CEO option incentives increasing 25% a year before 2002 but declining 17% a year after 2001; (2) the reduction in option incentives after 2001 is larger for firms that use excessive levels of equity incentives prior to 2002; (3) firms make similar reductions to options granted to CEOs, other top executives and lower-level employees; (4) CEO stock incentives increase throughout the entire 13-year period, rising at an even greater rate after 2001; and (5) the increase in stock incentives after 2001 is far from offsetting the corresponding decrease in option incentives. These findings are robust to controls for firm and CEO characteristics and for concurrent regulatory, business and market events such as the Sarbanes-Oxley Act of 2002, the option backdating scandal, and the 2000 stock market crash. We also provide a theoretical explanation for the documented changes in option incentives. [source]

FROM EXCLUSIONARY COVENANT TO ETHNIC HYPERDIVERSITY IN JACKSON HEIGHTS, QUEENS,

GEOGRAPHICAL REVIEW, Issue 4 2004
INES M. MIYARES
ABSTRACT. When Edward MacDougall of the Queensboro Realty Company originally envisioned and developed Jackson Heights in Queens, New York in the early twentieth century, he intended it to be an exclusive suburban community for white, nonimmigrant Protestants within a close commute of Midtown Manhattan. He could not have anticipated the 1929 stock market crash, the subsequent real estate market collapse, or the change in immigration policies and patterns after the 19505. This case study examines how housing and public transportation infrastructure intended to prevent ethnic diversity laid the foundation for one of the most diverse middle-class immigrant neighborhoods in the United States. [source]

The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash

THE JOURNAL OF FUTURES MARKETS, Issue 6 2007
Joseph K. W. Fung
This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator candidates. These include volume and open interest of index options and futures, as well as the arbitrage basis of index futures. Using monthly, nonoverlapping data, the study reveals that implied volatility is superior to those variables in forecasting future realized volatility. The study also demonstrates that a simple signal extraction model could have produced useful warning signals prior to periods of extreme volatility. These results indicate that the options market is highly efficient informationally. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:555,574, 2007 [source]

Cross-market correlations and transmission of information

THE JOURNAL OF FUTURES MARKETS, Issue 11 2002
Salim M. Darbar
We investigate characteristics of cross-market correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information in a market affects subsequent cross-market conditional correlations in the sample period following the stock market crash of 1987, but there is little evidence of such a relationship in the precrash period. In the postcrash period, we also find evidence that the prime rate of interest affects daily correlations between futures returns. Furthermore, we find that conditional correlations between currency futures and other markets decline steeply a few months before the crash and revert to normal dynamics after the crash. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1059,1082, 2002 [source]

Contagion or Real Linkages?

CHINA AND WORLD ECONOMY, Issue 4 2007
Some Evidence from China's Emerging Parallel Markets
F3; G15; P33 Abstract This paper empirically tests the existence of contagion using data on China's five parallel markets with different entry barriers for foreign capital. Taking the 1997 stock market crash as our experiment and using data on A, B and H shares, red chips and American depository receipts, the present paper tests whether these China-backed market returns respond differently to foreign shocks during the pre-1997 and post-1997 crash period. Evidence suggests that the contagion effects are stronger in markets with fewer entry barriers. An important implication of our findings is that countries vulnerable to contagion could be justified to impose some limits on capital flows. [source]