Tug of war with noise traders? Evidence from the G7 stock markets

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-03-28 DOI:10.1016/j.qref.2024.03.011

Aghamehman Hajiyev, Karl Ludwig Keiber, Adalbert Luczak

{"title":"Tug of war with noise traders? Evidence from the G7 stock markets","authors":"Aghamehman Hajiyev, Karl Ludwig Keiber, Adalbert Luczak","doi":"10.1016/j.qref.2024.03.011","DOIUrl":null,"url":null,"abstract":"<div><p>This paper studies the tug of war between overnight noise trading and daytime arbitrage in the G7 stock markets. We confirm Akbas, Boehmer, Jiang, and Koch (2022) reporting that this tug of war predicts future returns in the US stock market. We verify this result also in the Canadian stock market. In contrast, for the stock markets of France, Germany, Italy, the UK, and Japan, this tug of war is not predictive for future returns. These country-wise findings are documented in average raw returns and prevail upon risk adjustment along both Carhart (1997) four factors and Fama and French (2018) six factors. A microstructure perspective on the tug of war suggests that the split evidence between the US and Canadian stock markets and the remaining G7 stock markets is due to institutional and regulatory differences which restrict daytime institutional arbitrage in the European stock markets and Japan.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000498/pdfft?md5=bb8d676c2fd1d4876a356928bafef969&pid=1-s2.0-S1062976924000498-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Review of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062976924000498","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

Abstract

This paper studies the tug of war between overnight noise trading and daytime arbitrage in the G7 stock markets. We confirm Akbas, Boehmer, Jiang, and Koch (2022) reporting that this tug of war predicts future returns in the US stock market. We verify this result also in the Canadian stock market. In contrast, for the stock markets of France, Germany, Italy, the UK, and Japan, this tug of war is not predictive for future returns. These country-wise findings are documented in average raw returns and prevail upon risk adjustment along both Carhart (1997) four factors and Fama and French (2018) six factors. A microstructure perspective on the tug of war suggests that the split evidence between the US and Canadian stock markets and the remaining G7 stock markets is due to institutional and regulatory differences which restrict daytime institutional arbitrage in the European stock markets and Japan.

查看原文本刊更多论文

与噪音交易者拔河？来自 G7 股票市场的证据

本文研究了七国集团股市中隔夜噪音交易与日间套利之间的角力。我们证实了 Akbas、Boehmer、Jiang 和 Koch（2022 年）的报告，即这种拉锯战可预测美国股市的未来回报。我们在加拿大股市也验证了这一结果。相反，对于法国、德国、意大利、英国和日本的股票市场来说，这种拉锯战并不能预测未来的收益。这些按国家划分的研究结果记录在平均原始回报率中，并在根据 Carhart（1997 年）的四个因子和 Fama 与 French（2018 年）的六个因子进行风险调整后得到了体现。拔河比赛的微观结构视角表明，美国和加拿大股市与其余七国集团股市之间的分裂证据是由于制度和监管差异造成的，这些差异限制了欧洲股市和日本的日间制度套利。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.