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Why U.S. Firms Delist from the Tokyo Stock Exchange : An Empirical Analysis

Liu, Shinhua - 2013

We investigate possible reasons for voluntary delistings by U.S. firms from the Tokyo Stock Exchange from 1982 to 2005. We find that the small shareholder base, as measured by low turnover, for U.S. stocks in Japan helps to explain the voluntary foreign delistings. This finding is consistent,...

Persistent link: https://www.econbiz.de/10013076143

Information Asymmetry, Cultural Difference, and Divergence in Investor Reactions : Empirical Evidence from the Chinese and U.S. Stock Markets

Lee, Seungho; Walker, Thomas John; Zhang, Aoran; Zhao, … - 2021

This paper investigates how heterogeneous sentiments and perspectives expressed in public online media about the abolition of the Chinese presidential term limit in 2018 may have caused a divergence in investor behavior between the U.S. and China. We document that sentiments expressed in social...

Persistent link: https://www.econbiz.de/10013314597

Standard Deviation or Variance : The Better Proxy for Large Hedgers and Large Speculators Risk in U.S. Futures Markets

Gurrib, Ikhlaas - 2013

Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about volatility from the previous month to be significant in explaining large hedgers' and speculators' volatility. The greater reliance on the ARCH term for speculators' suggested their...

Persistent link: https://www.econbiz.de/10013073757

Taiwan and U.S. Equity Market Interdependence and Contagion : Evidence from Four-Factor Model

Li, Chun An - 2019

empirical results show that the co-movement effect on Taiwan's industrial portfolios returns are affected by “global,” “regional …,” and “domestic” factors. Additionally, in the subprime mortgage crisis period, the contagion effect of Taiwan's industrial … portfolios returns was affected by the domestic and crisis factor. Based on our empirical study, the transmission of Taiwan …

Persistent link: https://www.econbiz.de/10012898290

COVID-19 and instability of stock market performance : evidence from the U.S.

Hong, Hui; Bian, Zhicun; Lee, Chien-chiang - In: Financial innovation : FIN 7 (2021), pp. 1-18

The effect of COVID‑19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID‑19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st,...

Persistent link: https://www.econbiz.de/10012494993

The 2008 Short Sale Ban : Liquidity, Dispersion of Opinion, and the Cross-Section of Returns of U.S. Financial Stocks

Autore, Don M. - 2012

This study examines the cross-sectional impact of the 2008 short sale ban on the returns of U.S. financial stocks. Motivated by the large cross-sectional variation in the extent to which banned stocks suffer an illiquidity shock, we hypothesize that stocks with larger liquidity declines are...

Persistent link: https://www.econbiz.de/10013116972

Policy Uncertainty and Stock Market Behaviour : Evidence from the United States

Lei, Xun - 2017

This paper studies how the Baker, Bloom and Davis (2013) new measure capturing economic policy uncertainty (EPU) is related to stock market performance in the United States. We use a variety of methods to estimate different specifications. We find that an increase in the EPU index negatively...

Persistent link: https://www.econbiz.de/10012941540

Does the U.S. President Affect the Stock Market?

Montone, Maurizio - 2020

In this paper, I identify a novel channel through which political beliefs affect investor behavior. Instead of considering differences of opinion between Republicans and Democrats, I analyze nonpartisan evaluations of the executive using Gallup's presidential approval ratings. I find that large...

Persistent link: https://www.econbiz.de/10012856469

Limits-to-Arbitrage in US Penny Stocks : An Overlooked Segment of US Equity Markets

Liu, Qianqiu - 2015

This paper investigates a largely overlooked segment of U.S. equity markets, listed penny stocks. We find that: (i) the average percentage of short interest ratio of listed penny stocks is 14% which is not significantly different from that of NYSE- and NASDAQ-listed stocks ranging from 10% to...

Persistent link: https://www.econbiz.de/10013028209

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...

Persistent link: https://www.econbiz.de/10011376746

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