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Trading Day (trading + day)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Day-of-the-Week Effect in High Moments

FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 3 2005
by Dan Galai
C14; C31; G14 Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign. [source]

An Intraday Examination of the Components of the Bid,Ask Spread

FINANCIAL REVIEW, Issue 4 2002
Thomas H. McInish
Using transactions data for a sample of NYSE stocks, we decompose the bid,ask spread (BAS) into order,processing (OP) and asymmetric information (AI) components using the techniques of George, Kaul, and Nimalendran (1991) and Madhavan, Richardson, and Roomans (1997). McInish and Wood (1992) demonstrate that the intraday behavior of BASs can be explained by variables measuring activity, competition, risk, and information. We investigate whether these variables explain the behavior of the OP and AI components of the spread over the trading day. We conclude that, on balance, the variables that determine the aggregate BAS also determine its intraday components. [source]

The Development of Secondary Market Liquidity for NYSE-Listed IPOs

THE JOURNAL OF FINANCE, Issue 5 2004
SHANE A. CORWIN
ABSTRACT For NYSE-listed IPOs, limit order submissions and depth relative to volume are unusually low on the first trading day. Initial buy-side liquidity is higher for IPOs with high-quality underwriters, large syndicates, low insider sales, and high premarket demand, while sell-side liquidity is higher for IPOs that represent a large fraction of outstanding shares and have low premarket demand. Our results suggest that uncertainty and offer design affect initial liquidity, though order flow stabilizes quickly. We also find that submission strategies are influenced by expected underwriter stabilization and preopening order flow contains information about both initial prices and subsequent returns. [source]

INFORMATION AND NOISE IN FINANCIAL MARKETS: EVIDENCE FROM THE E-MINI INDEX FUTURES

THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2008
Alexander Kurov
Abstract I examine the informational contributions and effects on transitory volatility of trades initiated by different types of traders in three actively traded index futures markets. The results show that trades initiated by exchange member firms account for more than 60% of price discovery during the trading day. These institutional trades appear to be more informative than trades of individual exchange members or off-exchange traders. I also find that off-exchange traders introduce more noise into the prices than do exchange members. My findings provide new evidence on the role of different types of traders in the price formation process. [source]

Bid-ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts

THE JOURNAL OF FUTURES MARKETS, Issue 5 2003
David K. Ding
We investigate intraday bid-ask spreads (BAS), volatility, and trading activity of thinly traded equity index futures contracts on the Singapore Exchange. Contrary to previous findings, we find a rather flat BAS pattern during the trading day. However, consistent with past findings, an increase in risk widens the spread and a higher trading activity reduces it. When trading occurs in a day, spreads are reduced. No significant difference in volatility between days with and without trades was detected. When trades occur, quote revisions increase, and it is positively related to the number of trades. An increase in the number of quote revisions increases the likelihood of a transaction, and when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that contracts that are thinly traded may possess liquidity attributes as long as their price quotes remain current. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:455,486, 2003 [source]

Expiration day effects: The case of Hong Kong

THE JOURNAL OF FUTURES MARKETS, Issue 1 2003
Ying-Foon Chow
Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market, but there is no evidence of abnormal trading volume on the expiration day, or price reversal after expiration. Thus, the existence of expiration day effects cannot be confirmed in the Hong Kong market. [JEL classification: G13; G14; G15]. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:67,86, 2003 [source]

Intradaily Patterns in the Korean Index Futures Market

ASIAN ECONOMIC JOURNAL, Issue 2 2002
Laurence Copeland
This paper extends the research on intraday patterns in stock and futures exchanges into the Korean market. Similar patterns to those found previously in the heavily investigated Western markets are observed, despite the differing microstructures, institutional framework and time zones between East and West. In addition, we investigate the effect of the Asian financial crisis on intraday variables. In the Korean market, both volume and volatility were found to be consistently higher at the start of the trading day during the crisis, presumably due to a rapid reaction to overnight news. [source]

On the Performance of Airlines and Airplane Manufacturers Following Aviation Disasters

CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES, Issue 1 2005
Thomas John Walker
Our study examines the impact of aviation disasters on the short- and long-term performance of airlines and airplane manufacturers. We employ a sample of 138 aviation disasters involving airplanes operated by publicly traded U.S. carriers between July 1962 and December 2003. We use event study methodology to measure the abnormal performance of airlines and airplane manufacturers to these disasters. In addition, we employ a series of univariate tests and regression analysis to determine the factors that drive the abnormal returns for the firms in our sample. We observe that airlines experience an average stock price drop of 2.8% within one trading day after the corresponding news announcement, while airplane manufacturers experience a stock price drop of only 0.8% during that time period. The magnitude of the initial price decline appears to be driven by various characteristics of both the firm and the accident itself. We observe that airlines' abnormal performance is negatively related to firm size and the number of fatalities resulting from the accident. In addition, we observe that disasters that occurred in the U.S. and disasters caused by criminal activity (in particular the 9/11 terrorist attacks) cause significantly larger stock price drops in the days following the event. Similar dependencies can be observed for airplane manufacturers. Résumé La présente étude examine l'incidence des catastrophes aériennes sur la performance à court et à long terme des compagnies aériennes et des constructeurs d'avions. Elle se sert d'un échantillon de 138 catastrophes aériennes survenues entre juillet 1962 et décembre 2003, impliquant des appareils exploités par des transporteurs aériens des États-Unis, cotés en bourse. La méthodologie de l'étude de cas est utilisée pour mesurer la performance anormale des lignes aériennes et des constructeurs d'avions, à la suite de catastrophes aériennes. L'étude essaie de déterminer les facteurs qui régissent la performance anormale des entreprises à partir d'une série de tests à une variable et de l'analyse de régression. Elle montre que le cours des actions des lignes aériennes fléchit en moyenne de 2,8% en une journée de bourse après l'annonce d'une catastrophe, tandis que le cours des actions des constructeurs d'avions n'enregistre qu'une baisse de 0,8% durant la même période. L'ampleur du déclin initial des cours semble être déterminée par diverses caractéristiques de l'entreprise ainsi que par l'accident même. La performance anormale des lignes aériennes est en relation négative avec la taille de l'entreprise et le nombre de décès résultant de l'accident. En outre, les catastrophes survenues aux États-Unis (ou dans son espace aérien) et les catastrophes résultant d'actes criminels (en particulier les attaques terroristes du 11 septembre) ont provoqué des chutes des cours beaucoup plus marquées dans les jours suivant l'événement. Les interdépendances relevées touchent également les constructeurs d'avions. [source]

Investor Attention and Time-varying Comovements

EUROPEAN FINANCIAL MANAGEMENT, Issue 3 2007
Lin Peng
G14 Abstract This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock's idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised volatility to capture the asset price comovement with the market. We find that market volatility and the comovement of individual stocks with the market increase contemporaneously with the arrival of market-wide macroeconomic shocks, but decrease significantly in the following five trading days. This pattern supports the hypothesis that investors shift their (limited) attention to processing market-level information following an increase in market-wide uncertainty and then subsequently divert their attention back to asset-specific information. [source]

Day-of-the-Week Effect in High Moments

The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes,

INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2006
Philip Brown
ABSTRACT We examine detailed daily Australian Stock Exchange share registry data for investors in IPO and index stocks between 1995 and 2000 and find that the ,disposition effect,' investors' reluctance to crystallize losses and relative eagerness to realize gains, is pervasive across investor classes. However, traders instigating larger investments tend to be affected less by the disposition bias. Our novel findings include that (a) the disposition effect ameliorates over time, being undetectable from around 200 trading days after purchase, (b) the ,house money' effect tempers the disposition effect, (c) shareholder loyalty schemes also partially offset investors' relative preference for selling winning stocks, and (d) the reversal of the disposition effect in June (the last month of the Australian tax year) does not occur among investors unable to take advantage of tax shields. In line with earlier research, our results support a tax-related explanation for the June effect rather than window dressing or momentum explanations. Finally, we confirm Odean's finding that the disposition effect is not driven by diversification motives, or by higher transaction costs associated with lower-priced stocks. [source]

Capital Gains Taxes and Equity Trading: Empirical Evidence

JOURNAL OF ACCOUNTING RESEARCH, Issue 4 2003
Jennifer L. Blouin
Individual investors have an incentive to defer selling appreciated stock until it qualifies for tax-favored, long-term capital gains treatment. Shackelford and Verrecchia [2002] show that these incentives can affect equity trading around public disclosures. This article provides some empirical support for their theory with evidence of price increases and equity constrictions around announcements of quarterly earnings and additions to the S&P 500 index. We find share returns rise and trading volume falls with the incremental taxes saved by deferring the sale of appreciated property. The price increases, however, are temporary, reversing in subsequent trading days. The results are consistent with buyers believing the compensation to sell before long-term qualification (through higher prices) is less costly than holding an inappropriately weighted portfolio. This finding,that personal capital gains taxes affect equity trading,adds to a growing literature that challenges longstanding assumptions that firm value is independent of shareholders and their taxes. [source]

Optimal Stealth Trading of the Insider and Expected Profit of the Mimicking Trader,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2009
Jaehyun Lee
Abstract In this paper we perform theoretical and empirical analyses on the insiders' optimal "stealth" strategy and expected profits from mimicking trading when the insiders' trading information is publicly available. When insiders select a mixed strategy of AR (1) process as the information exposure strategy in a multi-period model, we find the optimal AR (1) coefficient that maximizes the insiders' profit is negative. Also, (1) the greater the transaction volume of mimicking traders in the market and the longer the information exposure period, the closer the optimum AR (1) coefficient becomes to ,1; (2) The larger the mimicking transaction volume, the smaller the insider's profit gets; and (3) When the volume of mimicking transaction is large and the private information is not much valuable, the likelihood of loss is high. We also validate certain theoretical results of our model using publicized ownership change data of major shareholders. As a result, we find the strategic evidences in the sample of insider transactions closing within 15 trading days. Also, although mimicking traders' losses have not been reported, they can suffer losses when the private information is not much valuable and the insiders take a significant strategic action. [source]