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Persistent link: https://www.econbiz.de/10005376684
This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for...
Persistent link: https://www.econbiz.de/10005743886
The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative...
Persistent link: https://www.econbiz.de/10005266653
We investigate rights issues and open offers in Hong Kong. We observe that the greater the severity of firms’ management-agency problems, the more unfavourably shareholders tend to react, leading to more negative cumulative abnormal returns or rights forfeiture. Controlling shareholders do not...
Persistent link: https://www.econbiz.de/10010946329
This paper studies covered interest parity arbitrage violations in foreign exchange markets and their relationship with market liquidity using a novel and unique dataset of tick-by-tick firm quotes for all financial instruments involved in the arbitrage strategy. The statistical analysis reveals...
Persistent link: https://www.econbiz.de/10004983591
Persistent link: https://www.econbiz.de/10005107389
This article investigates the effects of privatization on corporate performance in China. We focus on two very different industries: the manufacturing industry--the largest (relatively) competitive industry in China--and the basic material industry--the largest industry protected and closely...
Persistent link: https://www.econbiz.de/10005754098
This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable...
Persistent link: https://www.econbiz.de/10005828450
We study the profitability of Covered Interest Parity (CIP) arbitrage violations and their relationship with market liquidity and credit risk using a novel and unique dataset of tick-by-tick firm quotes for all financial instruments involved in the arbitrage strategy. The empirical analysis...
Persistent link: https://www.econbiz.de/10008522832
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