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Equity Market Structure Regulation : Time to Start Over
Mahoney, Paul G. - 2020
's Regulation NMS. The theory behind Regulation NMS is that a system of dispersed markets operating pursuant to SEC … that Regulation NMS has failed in that quest. It has produced fragmented markets and created questionable incentives for … customers' interests, and forces the SEC to act as a price regulator.The paper contends that the SEC should replace Regulation …
Persistent link: https://www.econbiz.de/10012831794
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Reverse mergers, shell value, and regulation risk in Chinese equity markets
Lee, Charles M. C.; Qu, Yuanyu; Shen, Tao - 2017
Using a comprehensive sample of reverse merger (RM) transactions, we examine the effects of China's IPO regulations on the prices and returns of its publicly listed stocks. During 2007-2015, unlisted Chinese firms paid an average of 3 to 4 Billion RMB for each listed shell, an amount exceeding...
Persistent link: https://www.econbiz.de/10011873081
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Early Evidence on Us Stock Market Efficiency : ‘Market vs. State’ Debate and Deregulation Implications
Prentis, Eric L. - 2022
Evidence shows that the economic assumption of efficient “free markets”—which underpins the “market versus state” debate—is questionable. Market efficiency is a significant foundation theory for neoliberal economists. Prove it wrong, and the neoliberals’ philosophy of market based...
Persistent link: https://www.econbiz.de/10013296166
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Intraday Analysis of Regulation Change in Microstructure : Evidence From an Emerging Market
Kadioglu, Eyup - 2022
positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and … indicator of informed trading, and regulatory authorities can use volume to oversight volatility. This very rare regulation …
Persistent link: https://www.econbiz.de/10013307168
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Towards a well-functioning stock market in context : critically appreciating issues in interpreting efficient markets research and its regulatory implications
Haslam, Jim; Ji, Jiao; Sun, Hanwen - In: Journal of capital markets studies 2 (2018) 1, pp. 21-36
and regulation with a focus upon the stock market in context. Reflecting upon academic research in the area of efficient …
Persistent link: https://www.econbiz.de/10012063534
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How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010291779
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Long-run and cyclical dynamics in the US stock market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004
This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...
Persistent link: https://www.econbiz.de/10010293737
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...
Persistent link: https://www.econbiz.de/10010295136
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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...
Persistent link: https://www.econbiz.de/10010296287