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Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market 纽约证券交易所混合市场推出前后的算法交易和市场效率
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-09 DOI: 10.1016/j.finmar.2024.100909
Darya Yuferova
{"title":"Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market","authors":"Darya Yuferova","doi":"10.1016/j.finmar.2024.100909","DOIUrl":"10.1016/j.finmar.2024.100909","url":null,"abstract":"<div><p>I study the effect of algorithmic trading on market efficiency, taking into account past market and limit order flows alike. I find that an exogenous increase in algorithmic trading around the introduction of the NYSE Hybrid Market leads to a significant decrease in the predictive power of surprises in market order imbalance and limit order book imbalances, especially at the outer levels of the limit order book. However, the predictive power of past returns remains largely unchanged. This suggests that algorithmic trading improves market efficiency by facilitating the incorporation of information embedded in both market and limit order flows.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100909"},"PeriodicalIF":2.8,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418124000272/pdfft?md5=9a23e0c2025935fdfe0b5d03b5223c13&pid=1-s2.0-S1386418124000272-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140757229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fundamental characteristics, machine learning, and stock price crash risk 基本特征、机器学习和股价暴跌风险
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-04-05 DOI: 10.1016/j.finmar.2024.100908
Fuwei Jiang , Tian Ma , Feifei Zhu
{"title":"Fundamental characteristics, machine learning, and stock price crash risk","authors":"Fuwei Jiang ,&nbsp;Tian Ma ,&nbsp;Feifei Zhu","doi":"10.1016/j.finmar.2024.100908","DOIUrl":"10.1016/j.finmar.2024.100908","url":null,"abstract":"<div><p>We investigate the application of machine learning algorithms for predicting stock price crash risks by employing a set of firm-specific characteristics of the Chinese stock market. The results suggest that machine learning techniques are superior in capturing the nuances of stock price crash risk, particularly through profitability and value versus growth features. These techniques perform well within state-owned enterprises and during periods of low economic policy uncertainty, and predictive insights primarily originate from intra-industry dynamics. In addition, we offer corporate finance- and financial market-based interpretations of machine learning's predictability, as well as a comprehensive understanding of its key determinants.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100908"},"PeriodicalIF":2.8,"publicationDate":"2024-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140765385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leveraged trading and stock returns: Evidence from international stock markets 杠杆交易与股票回报：国际股票市场的证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-28 DOI: 10.1016/j.finmar.2024.100907
Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang
{"title":"Leveraged trading and stock returns: Evidence from international stock markets","authors":"Zhuo Chen ,&nbsp;Pengfei Li ,&nbsp;Zhengwei Wang ,&nbsp;Bohui Zhang","doi":"10.1016/j.finmar.2024.100907","DOIUrl":"10.1016/j.finmar.2024.100907","url":null,"abstract":"<div><p>Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100907"},"PeriodicalIF":2.8,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140408037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The price effect of temporary short-selling bans: Theory and evidence 临时卖空禁令的价格效应：理论与证据
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-11 DOI: 10.1016/j.finmar.2024.100890
Haoshu Tian , Xuemin (Sterling) Yan , Lingling Zheng
{"title":"The price effect of temporary short-selling bans: Theory and evidence","authors":"Haoshu Tian ,&nbsp;Xuemin (Sterling) Yan ,&nbsp;Lingling Zheng","doi":"10.1016/j.finmar.2024.100890","DOIUrl":"10.1016/j.finmar.2024.100890","url":null,"abstract":"<div><p>We develop a model of temporary short-selling bans by extending the infinite-horizon model of Scheinkman and Xiong (2003). Our model predicts that a temporary short-selling ban leads to a speculative bubble that is the highest at the beginning of the ban and gradually converges to zero. Examining the 2008 short-selling ban in the U.S., we find evidence consistent with the model’s predictions. The innovation of our empirical design is to use the financial segments of non-banned stocks as a control group for the banned financial stocks. Our results are robust across different test specifications and different samples of stocks.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"69 ","pages":"Article 100890"},"PeriodicalIF":2.8,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154082","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are fund managers rewarded for taking cyclical risks? 基金经理是否因承担周期性风险而获得回报？
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100893
Ellen Ryan
{"title":"Are fund managers rewarded for taking cyclical risks?","authors":"Ellen Ryan","doi":"10.1016/j.finmar.2024.100893","DOIUrl":"10.1016/j.finmar.2024.100893","url":null,"abstract":"<div><p>The investment fund sector has expanded dramatically since 2008, increasing the capacity for its risk-taking to generate negative spillovers. This paper provides empirical evidence for the existence of wide-spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronized, cyclical risk-taking which could have systemic risk implications. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows. The fact that market discipline may not be sufficient to ensure prudent behavior among managers creates a clear case for macroprudential regulatory intervention.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100893"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Institutional herding and investor sentiment 机构羊群效应和投资者情绪
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100891
Xu Guo , Chen Gu , Chengping Zhang , Shenru Li
{"title":"Institutional herding and investor sentiment","authors":"Xu Guo ,&nbsp;Chen Gu ,&nbsp;Chengping Zhang ,&nbsp;Shenru Li","doi":"10.1016/j.finmar.2024.100891","DOIUrl":"10.1016/j.finmar.2024.100891","url":null,"abstract":"<div><p>We investigate the role of investor sentiment in institutional herding behavior and its impact on stock prices. We find that institutional investors exhibit more herding behavior during periods of high sentiment, which has a significant impact on stock prices. Our results show that herding has a stabilizing effect on the stock market when investor sentiment is low, while it causes price distortions when sentiment is high. We also show that the impact of sentiment on price is particularly pronounced for small, non-profitable, low tangibility, high-growth firms.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100891"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139644814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate bond price reversals 公司债券价格反转
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2023.100880
Alexey Ivashchenko
{"title":"Corporate bond price reversals","authors":"Alexey Ivashchenko","doi":"10.1016/j.finmar.2023.100880","DOIUrl":"10.1016/j.finmar.2023.100880","url":null,"abstract":"<div><p>I demonstrate empirically that corporate bond dealers mitigate adverse selection risk by passing potentially informed transactions to institutional investors. I contrast price reversals following days with abnormal trading volume across bonds with different information asymmetry. In informed trading, the part of reversal specific to high-volume days should increase with information asymmetry. In uninformed trading, there is no such effect. Following high-volume days when investors provide liquidity, the reversals are consistent with the former case. When dealers provide liquidity, I observe the latter. The results suggest that the informational content of bond prices is higher when dealers do not take inventory.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100880"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000782/pdfft?md5=3e6769c773d7495aa5d9cf05ba2d0583&pid=1-s2.0-S1386418123000782-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139022340","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Price formation in field prediction markets: The wisdom in the crowd 现场预测市场的价格形成：群众的智慧
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2023.100881
Frederik Bossaerts , Nitin Yadav , Peter Bossaerts , Chad Nash , Torquil Todd , Torsten Rudolf , Rowena Hutchins , Anne-Louise Ponsonby , Karl Mattingly
{"title":"Price formation in field prediction markets: The wisdom in the crowd","authors":"Frederik Bossaerts ,&nbsp;Nitin Yadav ,&nbsp;Peter Bossaerts ,&nbsp;Chad Nash ,&nbsp;Torquil Todd ,&nbsp;Torsten Rudolf ,&nbsp;Rowena Hutchins ,&nbsp;Anne-Louise Ponsonby ,&nbsp;Karl Mattingly","doi":"10.1016/j.finmar.2023.100881","DOIUrl":"10.1016/j.finmar.2023.100881","url":null,"abstract":"<div><p>Prediction markets are a successful information aggregation structure, however the exact mechanism by which private information is incorporated into the price remains poorly understood. We introduce a novel method based on the “Kyle model” to identify traders who contribute valuable information to the market price. Applied to a large field prediction market dataset, we identify traders whose trades have positive informational price impact. In contrast to others, these traders realize profit (on average) in excess of a theoretical expected informed lower bound. Results are replicated on other field prediction market datasets, providing strong evidence in favor of the Kyle model.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100881"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1386418123000794/pdfft?md5=5915090d40ac9ded74a0ba5ecbc8ce27&pid=1-s2.0-S1386418123000794-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374318","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intraday variation in cross-sectional stock comovement and impact of index-based strategies 横截面股票动向的日内变化及指数型策略的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100894
Yiwen Shen , Meiqi Shi
{"title":"Intraday variation in cross-sectional stock comovement and impact of index-based strategies","authors":"Yiwen Shen ,&nbsp;Meiqi Shi","doi":"10.1016/j.finmar.2024.100894","DOIUrl":"10.1016/j.finmar.2024.100894","url":null,"abstract":"<div><p>We investigate how comovement of S&amp;P 500 stocks changes during a day using a large high-frequency dataset and estimators that are robust under microstructure noise and asynchronicity. We find that, in 2011 to 2021, the stock correlation increases substantially throughout the trading session, while the cross-sectional beta dispersion decreases concurrently. Thus, S&amp;P 500 stocks exhibit stronger comovement near the market close. The time-varying comovement can be explained by the intraday variation in the composition of index-based and firm-based order flows. A cross-section market impact model with time-varying demand from single-stock and index investors generates the intraday patterns we observe.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100894"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The impact of margin requirements on voluntary clearing decisions 保证金要求对自愿清算决定的影响
IF 2.8 2区 经济学
Journal of Financial Markets Pub Date : 2024-03-01 DOI: 10.1016/j.finmar.2024.100892
Esen Onur, David Reiffen, Rajiv Sharma
{"title":"The impact of margin requirements on voluntary clearing decisions","authors":"Esen Onur,&nbsp;David Reiffen,&nbsp;Rajiv Sharma","doi":"10.1016/j.finmar.2024.100892","DOIUrl":"10.1016/j.finmar.2024.100892","url":null,"abstract":"<div><p>This paper examines the incentives to voluntarily centrally-clear swaps. It exploits changes resulting from a regulation mandating collateral on uncleared swaps to analyze determinants of traders’ clearing decisions. The rule promoted voluntary clearing by decreasing the relative cost of clearing swaps. Using unique regulatory data, the paper finds that clearing more than quadrupled for exchange rate derivatives that were implicated by this regulation, while clearing for similar but exempt derivatives increased by about one-third. These changes were driven by traders who were already clearinghouse members, suggesting that clearing members have substantially lower marginal clearing costs.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"68 ","pages":"Article 100892"},"PeriodicalIF":2.8,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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