Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Using daily returns data from Pakistan, a front line state in the war against terror, we investigate whether important time series characteristics, for example first-order time dependence in the mean and conditional variance, the conditional variance risk premium, and the asymmetric response of the conditional variance to innovations, have changed during the post-9/11 period in comparison to these characteristics during the pre-9/11 period. Our results show that the volatility behavior changed significantly after the terrorist attacks of 9/11. We show that this sudden shift in the volatility behavior cannot be explained by the implementation of regulatory reforms. We divide pre-9/11 period into the pre- and the post-reform periods and show that the volatility behavior during both of these periods was qualitatively the same.
{"title":"The Effect of 9/11 on the Stock Market Volatility Dynamics: Empirical Evidence from a Front Line State","authors":"Sheraz Ahmed, Omar Farooq","doi":"10.2139/ssrn.1140771","DOIUrl":"https://doi.org/10.2139/ssrn.1140771","url":null,"abstract":"Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Using daily returns data from Pakistan, a front line state in the war against terror, we investigate whether important time series characteristics, for example first-order time dependence in the mean and conditional variance, the conditional variance risk premium, and the asymmetric response of the conditional variance to innovations, have changed during the post-9/11 period in comparison to these characteristics during the pre-9/11 period. Our results show that the volatility behavior changed significantly after the terrorist attacks of 9/11. We show that this sudden shift in the volatility behavior cannot be explained by the implementation of regulatory reforms. We divide pre-9/11 period into the pre- and the post-reform periods and show that the volatility behavior during both of these periods was qualitatively the same.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128691530","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2008-05-01DOI: 10.1111/J.1756-2171.2009.00084.X
Mariano Tappata
Prices rise like rockets but fall like feathers. This stylized fact of many markets is confirmed by many empirical studies. In this article, I develop a model with competitive firms and rational partially informed consumers where the asymmetric response to costs by firms emerges naturally. In contrast to public opinion and past work, collusion is not necessary to explain such a result.
{"title":"Rockets and Feathers: Understanding Asymmetric Pricing","authors":"Mariano Tappata","doi":"10.1111/J.1756-2171.2009.00084.X","DOIUrl":"https://doi.org/10.1111/J.1756-2171.2009.00084.X","url":null,"abstract":"Prices rise like rockets but fall like feathers. This stylized fact of many markets is confirmed by many empirical studies. In this article, I develop a model with competitive firms and rational partially informed consumers where the asymmetric response to costs by firms emerges naturally. In contrast to public opinion and past work, collusion is not necessary to explain such a result.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121889122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A significant challenge to empirically testing theories of discrimination has been the difficulty of identifying taste-based discrimination and of distinguishing it clearly from statistical discrimination. This paper addresses this problem through a two-part empirical test of taste-based discrimination. First, it constructs measures of revealed preferences, which establish that World War I created a strong and persistent shock to ethnic preferences that effectively switched the status of German Americans to an ethnic minority. Second, the paper uses this shock to ethnic preferences to identify the effects of taste-based discrimination at the example of traders at the New York Stock Exchange (NYSE). A new data set of more than 4,000 applications for seats on the NYSE reveals that the War more than doubled the probability that German applicants would be rejected (relative to Anglo-Saxons). The mechanism of taste-based discrimination is surprising: Prices are unaffected by ethnic preferences, and discrimination operates instead entirely through admissions.
{"title":"An Empirical Test of Taste-Based Discrimination Changes in Ethnic Preferences and Their Effect on Admissions to the NYSE During World War I","authors":"Petra Moser","doi":"10.3386/W14003","DOIUrl":"https://doi.org/10.3386/W14003","url":null,"abstract":"A significant challenge to empirically testing theories of discrimination has been the difficulty of identifying taste-based discrimination and of distinguishing it clearly from statistical discrimination. This paper addresses this problem through a two-part empirical test of taste-based discrimination. First, it constructs measures of revealed preferences, which establish that World War I created a strong and persistent shock to ethnic preferences that effectively switched the status of German Americans to an ethnic minority. Second, the paper uses this shock to ethnic preferences to identify the effects of taste-based discrimination at the example of traders at the New York Stock Exchange (NYSE). A new data set of more than 4,000 applications for seats on the NYSE reveals that the War more than doubled the probability that German applicants would be rejected (relative to Anglo-Saxons). The mechanism of taste-based discrimination is surprising: Prices are unaffected by ethnic preferences, and discrimination operates instead entirely through admissions.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115092904","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research.
{"title":"The Microstructure of the U.S. Treasury Market","authors":"Bruce Mizrach, Christopher J. Neely","doi":"10.2139/ssrn.1070226","DOIUrl":"https://doi.org/10.2139/ssrn.1070226","url":null,"abstract":"This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127674445","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
J. Harris, Venkatesh Panchapagesan, Ingrid M. Werner
We examine 1,098 Nasdaq firms delisted in 1999-2002 that subsequently traded in the OTC Bulletin Board and/or the Pink Sheets. Market quality deteriorates significantly after delisting: share volume declines by two-thirds; quoted spreads almost triple from 12.1 to 33.9 percent; and effective spreads triple from 3.3 to 9.9 percent. Volatility triples from 4.4 to 14.3 percent, but quickly reverts to slightly elevated levels. Deterioration is significantly larger for more severe violations (e.g. bankruptcy) than for lesser infractions (e.g. minimum bid price). We find the OTC Bulletin Board provides a "soft landing" for delisted firms relative to the Pink Sheets. Although the delisting process takes at least 90 days, the drop in market quality is concentrated on the delisting date, highlighting the benefits of Nasdaq listing and the economic rationale for tiered listing fees. We argue that the increased costs resulting from enforcing Nasdaq's minor (non-core) listing criteria outweigh the benefits.
{"title":"Off But Not Gone: A Study of Nasdaq Delistings","authors":"J. Harris, Venkatesh Panchapagesan, Ingrid M. Werner","doi":"10.2139/SSRN.628203","DOIUrl":"https://doi.org/10.2139/SSRN.628203","url":null,"abstract":"We examine 1,098 Nasdaq firms delisted in 1999-2002 that subsequently traded in the OTC Bulletin Board and/or the Pink Sheets. Market quality deteriorates significantly after delisting: share volume declines by two-thirds; quoted spreads almost triple from 12.1 to 33.9 percent; and effective spreads triple from 3.3 to 9.9 percent. Volatility triples from 4.4 to 14.3 percent, but quickly reverts to slightly elevated levels. Deterioration is significantly larger for more severe violations (e.g. bankruptcy) than for lesser infractions (e.g. minimum bid price). We find the OTC Bulletin Board provides a \"soft landing\" for delisted firms relative to the Pink Sheets. Although the delisting process takes at least 90 days, the drop in market quality is concentrated on the delisting date, highlighting the benefits of Nasdaq listing and the economic rationale for tiered listing fees. We argue that the increased costs resulting from enforcing Nasdaq's minor (non-core) listing criteria outweigh the benefits.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128919001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper is concerned with investigating the order placement behavior of different types of traders on the ASX. We find strong evidence of informed traders use of limit orders, as well as insights into the evolution of liquidity over a trading day. The greatest increase of informed traders use of limit orders is during the last two hours of trading before closing. We also find evidence that the information value processed by informed traders make them more successful in their use of limit orders. This impact is considered substantial as in our sample the volume of limit orders from informed traders under-weighs that of the other traders by a large amount. The order strategy of liquidity traders displays a relatively flat U shaped pattern with more limit orders being used at the opening. It is also found that the pattern of the informed traders order placement shows an increase in the use of market orders. This is a result of the unique trading mechanism which entails a closing call auction as applied on the ASX. Traders that have information about the true value of stocks act on it through the use of market orders before the continuous trading platform closes.
{"title":"Limit Order Trading and Information Asymmetry: Empirical Evidence About the Evolution of Liquidity on an Order Driven Market","authors":"D. Allen, Joey (Wenling) Yang","doi":"10.2139/SSRN.1163290","DOIUrl":"https://doi.org/10.2139/SSRN.1163290","url":null,"abstract":"This paper is concerned with investigating the order placement behavior of different types of traders on the ASX. We find strong evidence of informed traders use of limit orders, as well as insights into the evolution of liquidity over a trading day. The greatest increase of informed traders use of limit orders is during the last two hours of trading before closing. We also find evidence that the information value processed by informed traders make them more successful in their use of limit orders. This impact is considered substantial as in our sample the volume of limit orders from informed traders under-weighs that of the other traders by a large amount. The order strategy of liquidity traders displays a relatively flat U shaped pattern with more limit orders being used at the opening. It is also found that the pattern of the informed traders order placement shows an increase in the use of market orders. This is a result of the unique trading mechanism which entails a closing call auction as applied on the ASX. Traders that have information about the true value of stocks act on it through the use of market orders before the continuous trading platform closes.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124523758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2008-03-01DOI: 10.1111/J.1813-6982.2009.01213.X
S. A. Abbas, Yuri V. Sobolev
The observed increase in the level and volatility of Tanzania's Treasury yields in recent years against an otherwise benign macroeconomic backdrop presented a puzzle for policymakers, while raising concerns about the fiscal burden of rising debt interest payments and diversion of bank credit away from the private sector. Using evidence from bid-level data, and supported by a simple theorising of bidder incentives under unorthodox issuance practices, this paper traces the recent volatility in yields to the emergence of a sharp segmentation of the T-bill market between sophisticated financial market players (foreign-controlled banks) and a less-experienced group of investors (domestic pension funds and small banks). An important policy recommendation that emerges is that public debt managers should avoid micro-managing Treasury bill auctions by issuing amounts in excess of those offered or by dipping into oversubscribed segments of the yield curve, as such practices seriously disadvantage the less-sophisticated (but more competitive) investors vis-a-vis the more sophisticated players. Copyright (c) 2009 The Authors. Journal compilation (c) 2009 Economic Society of South Africa.
{"title":"High and Volatile Treasury Yields in Tanzania: The Role of Strategic Bidding and Auction Microstructure","authors":"S. A. Abbas, Yuri V. Sobolev","doi":"10.1111/J.1813-6982.2009.01213.X","DOIUrl":"https://doi.org/10.1111/J.1813-6982.2009.01213.X","url":null,"abstract":"The observed increase in the level and volatility of Tanzania's Treasury yields in recent years against an otherwise benign macroeconomic backdrop presented a puzzle for policymakers, while raising concerns about the fiscal burden of rising debt interest payments and diversion of bank credit away from the private sector. Using evidence from bid-level data, and supported by a simple theorising of bidder incentives under unorthodox issuance practices, this paper traces the recent volatility in yields to the emergence of a sharp segmentation of the T-bill market between sophisticated financial market players (foreign-controlled banks) and a less-experienced group of investors (domestic pension funds and small banks). An important policy recommendation that emerges is that public debt managers should avoid micro-managing Treasury bill auctions by issuing amounts in excess of those offered or by dipping into oversubscribed segments of the yield curve, as such practices seriously disadvantage the less-sophisticated (but more competitive) investors vis-a-vis the more sophisticated players. Copyright (c) 2009 The Authors. Journal compilation (c) 2009 Economic Society of South Africa.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130113864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
P. Brockman, Dennis Y. Chung, Xuemin (Sterling) Yan
We examine the impact of block ownership on the firm’s trading activity and secondary-market liquidity. Our empirical results show that block ownership takes potential trading activity off the table relative to a diffuse ownership structure and impairs the firm’s market liquidity. These adverse liquidity effects disappear, however, once we control for trading activity. Our findings suggest that block ownership is detrimental to the firm’s market liquidity because of its adverse impact on trading activity—a real friction effect. After controlling for this real friction effect, we find little evidence that block ownership has a negative impact on informational friction. Our results suggest that the relative lack of trading, and not the threat of informed trading, explains the inverse relation between block ownership and market liquidity.
{"title":"Block Ownership, Trading Activity, and Market Liquidity","authors":"P. Brockman, Dennis Y. Chung, Xuemin (Sterling) Yan","doi":"10.2139/ssrn.1117285","DOIUrl":"https://doi.org/10.2139/ssrn.1117285","url":null,"abstract":"We examine the impact of block ownership on the firm’s trading activity and secondary-market liquidity. Our empirical results show that block ownership takes potential trading activity off the table relative to a diffuse ownership structure and impairs the firm’s market liquidity. These adverse liquidity effects disappear, however, once we control for trading activity. Our findings suggest that block ownership is detrimental to the firm’s market liquidity because of its adverse impact on trading activity—a real friction effect. After controlling for this real friction effect, we find little evidence that block ownership has a negative impact on informational friction. Our results suggest that the relative lack of trading, and not the threat of informed trading, explains the inverse relation between block ownership and market liquidity.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"6 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114046235","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We use the recent collapse of the ARS market to study the fragility of financial innovations and systemic risks. We find strong evidence of investor runs and coordination failure among major broker-dealers in providing liquidity support. The two forces amplified each other dynamically, resulting in the market's collapse. The likelihood of auction failure and ARS reset rates depend significantly upon both the level of maximum auction rates and the rule used to calculate them. As predicted by auction theories, there is also strong evidence of underpricing after dealers withdrew their liquidity support. Finally, we find that liquidity in the non-auction secondary market may encourage aggressive bidding in the auctions, which leads to higher interest rates. All of these revealed flaws in the design of ARS.
{"title":"Liquidity Crisis, Runs, and Security Design - Lessons from the Collapse of the Auction Rate Securities Market","authors":"Song Han, Dan Li","doi":"10.2139/ssrn.1327429","DOIUrl":"https://doi.org/10.2139/ssrn.1327429","url":null,"abstract":"We use the recent collapse of the ARS market to study the fragility of financial innovations and systemic risks. We find strong evidence of investor runs and coordination failure among major broker-dealers in providing liquidity support. The two forces amplified each other dynamically, resulting in the market's collapse. The likelihood of auction failure and ARS reset rates depend significantly upon both the level of maximum auction rates and the rule used to calculate them. As predicted by auction theories, there is also strong evidence of underpricing after dealers withdrew their liquidity support. Finally, we find that liquidity in the non-auction secondary market may encourage aggressive bidding in the auctions, which leads to higher interest rates. All of these revealed flaws in the design of ARS.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123103984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Utama and Cready [Utama, S., Cready, W.M., 1997. Institutional ownership, differential predisclosure precision and trading volume at announcement dates. Journal of Accounting and Economics 24, 129-150] use total institutional ownership to proxy for the proportion of better-informed traders, an important determinant of trading around earnings announcements. We argue that institutions holding small stakes cannot justify the fixed cost of developing private predisclosure information. Also, institutions with large stakes generally do not trade around earnings announcements since they are dedicated investors or face regulations that make informed trading difficult. However, institutions holding medium stakes have incentives to develop private predisclosure information and trade on it; we show that their ownership is a finer proxy for the proportion of better-informed traders at earnings announcements.
Utama和Cready [Utama, S.， Cready, w.m.， 1997]。机构持股、差异预披露精度和公告日交易量。《会计与经济杂志》(Journal of Accounting and Economics)， 24, 129-150]使用机构总持股来代表消息更灵通的交易者的比例，这是围绕收益公告进行交易的重要决定因素。我们认为，持有少量股权的机构不能证明开发私人预披露信息的固定成本是合理的。此外，持有大量股权的机构通常不会在财报发布前后进行交易，因为它们是专门的投资者，或者面临监管规定，使得知情交易变得困难。然而，持有中等股权的机构有动机开发私人预披露信息并利用这些信息进行交易;我们的研究表明，他们的持股比例可以更好地反映在财报发布会上消息灵通的交易员所占的比例。
{"title":"Institutional Stakeholdings and Better-Informed Traders at Earnings Announcements","authors":"Ashiq Ali, Sandy Klasa, Oliver Zhen Li","doi":"10.2139/ssrn.554263","DOIUrl":"https://doi.org/10.2139/ssrn.554263","url":null,"abstract":"Utama and Cready [Utama, S., Cready, W.M., 1997. Institutional ownership, differential predisclosure precision and trading volume at announcement dates. Journal of Accounting and Economics 24, 129-150] use total institutional ownership to proxy for the proportion of better-informed traders, an important determinant of trading around earnings announcements. We argue that institutions holding small stakes cannot justify the fixed cost of developing private predisclosure information. Also, institutions with large stakes generally do not trade around earnings announcements since they are dedicated investors or face regulations that make informed trading difficult. However, institutions holding medium stakes have incentives to develop private predisclosure information and trade on it; we show that their ownership is a finer proxy for the proportion of better-informed traders at earnings announcements.","PeriodicalId":447775,"journal":{"name":"Capital Markets: Market Microstructure","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125800001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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