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Full-Text Articles in Econometrics
Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu
Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu
Research Collection Lee Kong Chian School Of Business
We provide firm-level evidence on how politicians’ ideologies affect economic outcomes and financial development by exploring a unique setting of ideological discontinuity in China from Maoism to Dengism around 1978. We find the ideological exposure during a politician’s early adulthood has an enduring effect on contemporary firm and city policies. Firms governed by “Mao’s mayors” have more stakeholder spending, lower pay inequality, and less internationalization than those governed by Deng’s. Further evidence suggests politicians’ ideology may affect economic activities through channels other than economic policy. Selection bias, endogenous matching and mayor age effect are unlikely to drive our results.
Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Research Collection Lee Kong Chian School Of Business
We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and size on price dynamics, volatility and the permanent and transitory price impacts of trade. We also apply the ACMD model to analyze trade-direction data and estimate the probability of informed trading (PIN). We find that trade frequency has a critical role in price …