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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
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Arbitrage Opportunities for Cross-Listed Stocks : Evidence from Russia
Gorbatikov, E. - 2016
We study alternative arbitrage strategies for stocks of Russian companies and the corresponding depository receipts … issued in European exchanges. We describe schemes of arbitrage strategies with and without conversion, estimate all related … transaction costs and compare the net returns. We find significantly profitable arbitrage opportunities. The long-short strategies …
Persistent link: https://www.econbiz.de/10012983816
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Negative conversion premium
Huang, Zhijian; Xu, Li - In: The Journal of finance and data science : JFDS 7 (2021), pp. 1-21
We document frequent occurrences of negative conversion premium (NCP) events in the Chinese convertible bond market, when the bond is convertible and the underlying stock can be freely sold. This implies that when an NCP event occurs, existing stock holders can earn a riskless profit through a...
Persistent link: https://www.econbiz.de/10013162647
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The Profitability of Lead-Lag Arbitrage at High-Frequency
Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022
from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …
Persistent link: https://www.econbiz.de/10014239339
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International High-Frequency Arbitrage for Cross-Listed Stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
We explore latency arbitrage activities with a new arbitrage strategy that we test with high-frequency data during the … first six months of 2019. We study the profitability of mean-reverting arbitrage activities of 74 cross-listed stocks … involving three exchanges in Canada and the United States. Our arbitrage strategy is a hybrid between triangular arbitrage and …
Persistent link: https://www.econbiz.de/10013218630
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Feverish stock price reactions to COVID-19
Ramelli, Stefano; Wagner, Alexander F. - 2020
Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...
Persistent link: https://www.econbiz.de/10012181338
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Market efficiency and international linkage of stock prices : an analysis with high-frequency data
Tsutsui, Yoshirō (contributor);  … - 2004 - [Elektronische Ressource]
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10002428035
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Economic Integration in Asia : Quo Vadis Malaysia?
Lean, Hooi Hooi; Ghosh, B.N - 2009
Neo-liberal globalization has accelerated the space of economic integration in Asia, particularly between the rising superpowers like China and India and other Asian nations. In this connection, the paper examines the degree of economic integration between Malaysia and the rapidly developing...
Persistent link: https://www.econbiz.de/10014210242
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Foreign Investors, Private Information, and Price Discovery
Cai, Jun - 2020
We examine the relation between intra-day price discovery and proxies for financial openness and investor accessibility using a sample of intra-day price and quote data of 1,504 stocks from 23 emerging markets. We measure price discovery by weighted price contribution across segments of the...
Persistent link: https://www.econbiz.de/10012857522
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Frontiers of Macrofinancial Linkages
Claessens, Stijn - 2018
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...
Persistent link: https://www.econbiz.de/10012929483