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Pressure Hypothesis (pressure + hypothesis)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONS

THE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006
Kam C. Chan
Abstract We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis. [source]

Do Tax-Deferred Exchanges Impact Purchase Price?

REAL ESTATE ECONOMICS, Issue 4 2001
Evidence from the Phoenix Apartment Market
Many authors have commented on the compliance risk associated with tax-deferred exchanges. However, no published studies explicitly address whether the risks associated with the exchange process impact the price at which exchanged assets trade. Using a unique data set that documents transactions for nondirect exchanges, this study examines the price impact of tax-deferred exchanges on apartment transactions in the Phoenix, Arizona, market. Consistent with the price pressure hypothesis originally developed by Scholes (1972) and Kraus and Stoll (1972) and the tax capitalization hypothesis proposed by Oates (1969), the data show that exchange participants pay an economically significant premium to acquire replacement assets. A conventional hedonic price index is generated to investigate the rational bounds of the exchange premium. [source]

TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONS

THE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006
Kam C. Chan
Abstract We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis. [source]

Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options

THE JOURNAL OF FUTURES MARKETS, Issue 12 2004
Kam C. Chan
We use the net buying pressure hypothesis of N. P. B. Bollen and R. Whaley (2004) to examine the implied volatilities, options premiums, and options trading profits at various time-intervals across five different moneyness categories of Hong Kong Hang Seng Index (HSI) options. The results show that the hypothesis can well describe the newly developed Hong Kong index options markets. The abnormal trading profits by selling out-of-the-money puts with delta hedge are statistically and economically significant across all options maturities. The findings are robust with or without outlier adjustment. Moreover, we provide two insights about the hypothesis. First, net buying pressure is attributed to hedging activities. Second, the net buying pressure on calls is much weaker than that on put options. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1165,1194, 2004 [source]

A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX-DATES,

AUSTRALIAN ECONOMIC PAPERS, Issue 3 2005
BALASINGHAM BALACHANDRAN
We examine the price and volatility reaction around stock dividend ex-dates for an Australian sample, over the period January 1992 to December 2000. We find that price reaction around stock dividend ex-dates provides positive abnormal returns both prior, and subsequent, to the abolishment of par value of shares in July 1998. When we partitioned the sample into financial, industrial non-financial and mining firms, the price reaction is found to be positive and significant only for industrial non-financial companies. Volatility of daily returns for periods subsequent to ex-dates is significantly greater than corresponding periods prior to announcement dates, while cumulative raw returns subsequent to ex-dates are significantly lower than periods prior to announcement dates for industrial non-financial companies. The magnitude of the price reaction is statistically significantly related to an increase in the volatility of daily returns and to a reduction in cumulative raw returns subsequent to the ex-dates, for industrial non-financial companies. These findings support buying pressure hypothesis suggested by Dhatt et al. (1994, 1996). [source]