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Identifying The Pattern Of International Stock Return Co-Movements, Abbas Valadkhani, Surachai Chancharat, Charles Harvie
Identifying The Pattern Of International Stock Return Co-Movements, Abbas Valadkhani, Surachai Chancharat, Charles Harvie
Faculty of Commerce - Papers (Archive)
This paper investigates the relationships between stock market returns of 13 countries based upon monthly data spanning December 1987 to April 2007. SpecifIcally, the principal component (PC) and maximum likelihood (ML) methods are used to examine any discernable patterns of stock market co-movements. Factor analysis provides evidence that stock returns in a number of Asian countries are highly correlated and, based on the resulting robust frictor loadings, they fbrm the first well-defined common factor. We also find consistent results (bused on both the PC and ML methods,) suggesting that the stock returns of all global developed economy stock markets are …
Call Auction Transparency And Market Liquidity, Evidence From The Shanghai Stock Exchange, Gary G. Tian, Dionigi Gerace, Alex Frino
Call Auction Transparency And Market Liquidity, Evidence From The Shanghai Stock Exchange, Gary G. Tian, Dionigi Gerace, Alex Frino
Faculty of Commerce - Papers (Archive)
This paper examines the impact of pre-trade information transparency in pre-open call auction on market liquidity on the Shanghai Stock Exchange (SHSE). We examine the natural experiment affected by the Shanghai Stock Exchange in July 2006 when it changed its pre-open auction algorithm from an entirely black box into a limited transparent system with a closed order book. We find that the increase in pre-trade information transparency coincides with a statistically significant reduction in spread at the best quotes. The reduction in spread persists even after controlling for known determinants of depth. Furthermore, there is also evidence of a statistically …
Empirical Analysis Of The Uae Stock Market Volatility, Sami Khedhiri, Naeem Muhammad
Empirical Analysis Of The Uae Stock Market Volatility, Sami Khedhiri, Naeem Muhammad
Faculty of Commerce - Papers (Archive)
Financial market volatility of developed economies have been studied extensively since the 1987 stock market crash as well as the volatility of the East Asian stock markets after the East Asian financial crisis. However the volatility characteristics of the financial markets in the Middle East are far from being thoroughly analysed despite their tremendous growth in recent years. The purpose of this paper is twofold. First, we investigate the volatility characteristics of the UAE stock markets measured by fat tail, volatility clustering, and leverage effects, in order to explore a parsimonious model for the UAE stock market and predict its …