Tài liệu miễn phí Đầu tư Chứng khoán
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Entropy and Predictability of Stock Market Returns¤
The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in the literature relates to examining the cointegration between macroeconomic variables and stock market’s sector indices rather than the composite index. Thus in this paper we examine the long-term equilibrium relationships between selected macroeconomic variables and the Singapore stock market index (STI), as well as with various Singapore Exchange Sector indices—the finance index, the property index, and the hotel index. The study concludes that the Singapore’s stock market and the property index form cointegrating relationship with changes in the short...
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Securities and Exchange Commission Division of Enforcement
An efficient capital market is one in which security prices adjust rapidly to the arrival of new information and, therefore, the current prices of securities reflect all information about the security. What this means, in simple terms, is that no investor should be able to employ readily available information in order to predict stock price movements quickly enough so as to make a profit through trading shares. Championed by Fama (1970), the efficient market hypothesis (EMH), in particular semi-strong form efficiency, which states that stock prices must contain all relevant information including publicly available information, has important implications...
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PARTICIPATORY FISHERY STOCK ASSESSMENT
Policy makers, for example, should feel free to conduct national macroeconomic policies without the fear of influencing capital formation and the stock trade process. Moreover, economic theory suggests that stock prices should reflect expectations about future corporate performance, and corporate profits generally reflect the level of economic activities. If stock prices accurately reflect the underlying fundamentals, then the stock prices should be employed as leading indicators of future economic activities, and not the other way around. Therefore, the causal relations and dynamic interactions among macroeconomic variables and stock prices are important in the formulation of the nation’s macroeconomic policy....
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OPTION VOLUME AND STOCK PRICES: EVIDENCE ON WHERE INFORMED TRADERS TRADE
As for the effect of macroeconomic variables such as money supply and interest rate on stock prices, the efficient market hypothesis suggests that competition among the profit-maximizing investors in an efficient market will ensure that all the relevant information currently known about changes in macroeconomic variables are fully reflected in current stock prices, so that investors will not be able to earn abnormal profit through prediction of the future stock market movements (Chong and Koh 2003). Therefore, since investment advisors would not be able to help investors earn above-average returns consistently, except through access to and employing insider information,...
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Equilibrium stock return dynamics under alternative rules of learning about hidden states
More recently, Granger (1986) and Johansen and Juselius (1990) proposed to determine the existence of long-term equilibrium among selected variables through cointegration analysis, paving the way for a (by now) preferred approach to examining the economic variables-stock markets relationship. A set of time-series variables are cointegrated if they are integrated of the same order and a linear combination of them is stationary. Such linear combinations would then point to the existence of a long-term relationship between the variables. An advantage of cointegration analysis is that through building an error-correction model (ECM), the dynamic co-movement among variables and the...
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SECURITIES ACT OF 1933
Employing this methodology, there has been a growing literature showing strong influence of macroeconomic variables and stock markets, mostly for industrialized countries (see, for example, Hondroyiannis and Papapetrou, 2001; Muradoglu et al. 2001; Fifield et al. 2000; Lovatt and Ashok 2000; and Nasseh and Strauss 2000). Additionally, researchers have begun to turn their attention to examining similar relationships in developing countries, particularly those in the growth engines of Asia (for example, Maysami and Sims 2002, Maysami and Koh 2000). The majority, if not all, of such studies have examined the influence of the macroeconomic variables on the...
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Growth Strategies and value creation What Works best for stock exchanges?
Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. Accordingly, Bilson, Brailsford, and Hooper (1999) aimed to address the question of whether macroeconomic variables may proxy for local risk sources. They found moderate evidence to support this hypothesis. Further, they investigated the degree of commonality in exposures across emerging stock market returns using a principal components approach, and found little evidence of commonality when emerging...
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Act on Securities Trading (Securities Trading Act)
Maysami and Sims (2002, 2001a, 2001b) employed the Error-Correction Modelling technique to examine the relationship between macroeconomic variables and stock returns in Hong Kong and Singapore (Maysami and Sim, 2002b), Malaysia and Thailand (Maysami and Sim 2001a), and Japan and Korea (Maysami and Sim 2001b). Through the employment of Hendry’s (1986) approach which allows making inferences to the short-run relationship between macroeconomic variables as well as the long-run adjustment to equilibrium, they analysed the influence of interest rate, inflation, money supply, exchange rate and real activity, along with a dummy variable to capture the impact of the 1997...
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Stock Market Trading Volume
Chong and Koh’s (2003) results were similar: they showed that stock prices, economic activities, real interest rates and real money balances in Malaysia were linked in the long run both in the pre- and post capital control sub periods. Mukherjee and Naka (1995) applied Johansen’s (1998) VECM to analyze the relationship between the Japanese Stock Market and exchange rate, inflation, money supply, real economic activity, long-term government bond rate, and call money rate. They concluded that a cointegrating relation indeed existed and that stock prices contributed to this relation. Maysami and Koh (2000) examined such relationships in Singapore. They...
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CONSUMPTION AND THE STOCK MARKET: INTERPRETING INTERNATIONAL EXPERIENCE
Islam and Watanapalachaikul (2003) showed a strong, significant long-run relationship between stock prices and macroeconomic factors (interest rate, bonds price, foreign exchange rate, price-earning ratio, market capitalization, and consumer price index) during 1992-2001 in Thailand. Hassan (2003) employed Johansen’s (1988, 1991, 1992b) and Johansen and Juselius’ (1990) multivariate cointegration techniques to test for the existence of long-term relationships between share prices in the Persian Gulf region. Using a vector-error-correction model, he also investigated the short-term dynamics of prices by testing for the existence and direction of intertemporal Granger-causality. ...
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FINANCIAL ADVICE AND STOCK MARKET PARTICIPATION
The analysis of weekly price indices in Kuwait, Bahrain, and Oman stock markets showed that: (1) share prices were cointegrated with one cointegrating vector and two common stochastic trends driving the series, which indicates the existence of a stable, long-term equilibrium relationship between them; and (2) prices were not affected by short-term changes but were moving along the trend values of each other. Therefore, information on the price levels would be helpful for predicting their changes. Omran (2003) focused on examining the impact of real interest rates as a key factor in the performance of the Egyptian stock market,...
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ASSESSMENT OF SOIL ORGANIC CARBON STOCKS AND CHANGE AT NATIONAL SCALE
Beyond TMT, we find no systematic increase in the importance of industry effects. Instead, we observe that the ratio of industry to country effects follows a U-shape pattern from the mid-1980s to the late-1990s, a cyclical pattern whereby global industry effects become temporarily more important in relative and absolute terms around periods of stock market distress, such as October 1987 and March 2000. We view this cyclical pattern as further evidence that the recent increase in industry effects is temporary....
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Investor Sentiment and the Cross-Section of Stock Returns
Maghyereh (2002) investigated the long-run relationship between the Jordanian stock prices and selected macroeconomic variables, again by using Johansen’s (1988) cointegration analysis and monthly time series data for the period from January 1987 to December 2000. The study showed that macroeconomic variables were reflected in stock prices in the Jordanian capital market. Gunasekarage, Pisedtasalasai and Power (2004) examined the influence of macroeconomic variables on stock market equity values in Sri Lanka, using the Colombo All Share price index to represent the stock market and (1) the money supply, (2) the treasury bill rate (as a measure of interest rates),...
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Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices
The results of studies by Fama and Schwert (1977), Chen, Roll and Ross (1986), Nelson (1976) and Jaffe and Mandelker (1976) pointed to a negative relation between inflation and stock prices. We hypothesize similarly: an increase in the rate of inflation is likely to lead to economic tightening policies, which in turn increases the nominal risk-free rate and hence raises the discount rate in the valuation model (equation 1). The effect of a higher discount rate would not necessarily be neutralized by an increase in cash flows resulting from inflation, primarily because cash flows do not generally grow at...
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Disagreement and the Stock Market
Over the last twenty years, the field of behavioral finance has grown from a startup operation into a mature enterprise, with well-developed bodies of both theory and empirical evidence. On the empirical side, the benchmark null hypothesis is that one should not be able to forecast a stock’s return with anything other than measures of its riskiness, such as its beta; this hypothesis embodies the familiar idea that any other form of predictability would represent a profitable trading rule and hence a free lunch to investors. Yet in a striking rejection of this null, a large catalog...
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PERMANENT SUBCOMMITTEE ON INVESTIGATIONS OF THE COMMITTEE ON HOMELAND SECURITY AND GOVERNMENTAL AFFAIRS UNITED STATES SENATE ONE HUNDRED TENTH CONGRESS
We show that the main testable implication of the buffer stock model is that the covariance between the wealth gap (the difference between actual and target wealth) and consumption is (strongly) positive. Although we focus on Carroll’s version of the buffer stock model, the test applies equally well to Deaton’s case. In Carroll, buffer stock behavior emerges from the tension between impatience, prudence, and the chance of zero earnings. Impatient individuals would like to anticipate consumption, but the chance of zero future earnings generates a demand for wealth. In Deaton, the tension is between impatience, prudence, and liquidity constraints, but the insights are similar, and buffer stock behavior...
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IQ and Stock Market Participation
Realistic versions of the buffer stock model with finite horizons and declining in- come after retirement limit considerably the age-range of buffer stock behavior. Car- roll (1997) shows that buffer stock behavior emerges until roughly age 50, and that afterwards people start to accumulate wealth steadily to prepare for retirement. Other models of intertemporal choice deliver different predictions about the correlation be- tween income and consumption and the age-wealth profile during the life-cycle. In the standard life-cycle model without uncertainty, the individual wealth-income ratio is not stationary because consumers save each year until retirement. Hubbard, Skinner and Zeldes (1995) use numerical methods to analyze the properties of a...
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The Efficient Market Hypothesis and Its Critics
Motivated by these issues, we study the comovements between the returns on country-industry portfolios and country-style portfolios for 23 countries, 26 industries, and nine styles during 1980–2005. During this period, markets are likely to have become more integrated at the world level through increased capital and trade integration. Also, a number of regional developments have likely integrated stockmarkets at a regional level. These developments include the North American Free Trade Agreement (NAFTA), the emergence of the euro, and increasing economic and financial integration within the European Union. To test whether these developments have led to permanent changes in stock return comovements, we rely on the trend tests of Vogelsang...
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Review and Analysis of OCIE Examinations of Bernard L. Madoff Investment Securities, LLC
The analysis of the factor models is interesting in its own right. Surpris- ingly,much of the literature on international stock return comovement imposes strong restrictions of constant, unit betas with respect to a large number of country and industry factors, as in the Heston and Rouwenhorst (1994) model. We contrast the predictions of these models for stock return comovements with our risk-based models. While f lexibility in the modeling of betas is essential in a framework where the degree of market integration is changing over time, thismay not suffice to capture the underlying structural changes in the various markets. Therefore, in addition to standard models of risk like...
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Getting in shape Leveraging our assets Developing opportunities
Our first new result is that risk-based models fit the stock return comove- ments between our portfoliosmuch better than theHeston–Rouwenhorstmodel does. In particular, the APT and a Fama–French (1998) type model with global and regional factors fit the data particularly well. Second, in examining time trends in country return correlations, we find a significant upward trend for stock return correlations only within Europe. Third, we revisit the country- industry debate by examining the relative evolution of correlations across coun- try portfolio returns versus correlations across industry portfolio returns.While industry correlations seem to have decreased in relative terms over the 1990s, this evolution has been halted and reversed, and there...
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Adding Sustainability Variables to Asian Sectoral Analysis
The results above have several important implications for the international finance and diversification literature. First, while our analysis of interna- tional stock return comovements reveals significant weaknesses of theHeston– Rouwenhorst model, when viewed as a factor model, we also show that the Heston–Rouwenhorst empirical results regarding the primacy of country fac- tors stand the test of time. Second, all of our results confirm that there still ap- pear to be benefits from international diversification: For many country groups we do not find that significant trends in correlations and country factors still dominate industry factors. Yet, we do see the effects of globalization as well. The correlation trends would suggest...
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Perfecting Security Interests in Deposit Accounts, Perfecting Security Interests in Deposit Accounts, Securities Accounts and Other Investment Property
We study weekly portfolio returns from 23 developed markets. We choose to study returns at a weekly frequency to avoid the problems caused by nonsyn- chronous trading around the world at higher frequencies. All returns are U.S. dollar denominated, and we calculate excess returns by subtracting the U.S. weekly T-bill rate, which is obtained from the Center for Research in Security Prices (CRSP) riskfree file. 1 Our selection of developed countries matches the countries currently in the Morgan Stanley Developed Country Index. Data for the United States are from Compustat and CRSP. Data for the other countries are from DataStream. The sample period is 1980:01–2005:12, yielding 1,357 weekly observations....
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STOCK MARKET INTEGRATION IN EUROPE
Our basic assets are value-weighted country-industry and country-style port- folio returns. For the country-industry portfolios, we first need a uniformindus- try classification. DataStream provides FTSE industry identifications for each firm,while theU.S. industry identification in CRSP is fromStandard Industrial Classification (SIC).We group the 30 SIC industries and the 40 level-4 FTSE in- dustry classifications into a smaller number of industries that approaches the number of countries in our sample, resulting in 26 industries. An additional table (available at the Journal of Finance’s website: www.afajof.org.) shows the reconciliation between the SIC and the FTSE systems. To form country- industry portfolios, we group firms within each country into these 26 indus- try groups...
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Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outsOwen A. Lamont and Richard H.
A preliminary investigation of the raw data reveals that in the 1998–2002 period, a few country portfolios (and the world portfolio) exhibit very high volatility. In particular, the TMT industries (information technology, media, and telecommunication) witnessed a tremendous increase in volatility during that period, as Brooks and Del Negro (2004) document. This increase in volatil- ity is also noticeable for the style portfolios, especially for the small firms. In the last few years of the sample, volatility returns to more normal levels, similar to the volatility levels witnessed in the early part of the sample....
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STOCKS, BONDS, MONEY MARKETS AND EXCHANGE RATES MEASURING INTERNATIONAL FINANCIAL TRANSMISSION
We define a factor to be global if it is constructed from the global capital mar- ket, and we define a factor to be regional if it is constructed only from the rele- vant regional market. In this paper, we consider three regions: North America, Europe, and the Far East. Many articles (see for instance, Bekaert and Harvey (1995) and Baele (2005)) have noted that the market integration process may not proceed smoothly. Therefore, maximum f lexibility in the model with regard to the importance of global versus regional factors is necessary. This general model allows time-varying exposures to global and regional factors, potentially capturing full or partial...
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TAKING STOCK: WHERE WE’VE BEEN, WHERE WE ARE, WHERE WE’RE GOING
This paper employs a novel mood variable, international soccer results, to investigate the effect of investor sentiment on asset prices. Using a cross-section of 39 countries, we find that losses in soccer matches have an economically and statistically significant negative effect on the losing country’s stock market. For example, elimination from a major international soccer tournament is associated with a next-day return on the national stock market index that is 38 basis points lower than average. We also document a loss effect after international cricket, rugby, and basket- ball games. On average, the effect is smaller in magnitude for these other sports than for soccer, but is...
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But Is It Myopia? Risk Aversion and the Efficiency of Stock-Based Managerial Incentives
Controlling for the pre-game expected outcome, we are able to reject the hypothesis that the loss effect after soccer games is driven by economic factors such as reduced productivity or lost revenues. We also document that the effect is stronger in small stocks, which other studies find are disproportionately held by local investors and more strongly affected by sentiment. Overall, our interpretation of the evidence is that the loss effect is caused by a change in investor mood.
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Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks
Our study is part of a recent literature that investigates the asset pricing impact of behavioral biases documented in psychology research. This literature, which has expanded significantly over the last decade, is comprehensively reviewed by Hirshleifer (2001) and Shiller (2000). The strand of the literature closest to this paper investigates the effect of investor mood on asset prices. The two principal approaches in this work link returns either to a single event or to a continuous variable that impacts mood. ...
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Debt Investment Securities Held by Banks
Our main contribution is to study a variable, international soccer results, that has particu- larly attractive properties as a measure of mood. While extensive psychological evidence, which we review below, shows that sports in general have a significant effect on mood, TV viewing figures, media coverage, and merchandise sales suggest that soccer in particular is of “national interest” in many of the countries we study. 1 It is hard to imagine other regular events that produce such substantial and correlated mood swings in a large proportion of a country’s pop- ulation. These characteristics provide strong a priori motivation for using game outcomes to capture mood changes among investors....
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OPTIMAL INVESTMENT, GROWTH OPTIONS, AND SECURITY RETURNS
The large loss effect that we report reinforces the findings of Kamstra, Kramer, and Levi (2000), who document a stock market effect of similar magnitude in response to the daylight saving clock change. While Pinegar (2002) argues that the “daylight saving anomaly” is sensitive to outliers, our effect remains economically and statistically significant even after removing outliers in the data and applying a number of robustness checks. Another contribution of this paper is that we are able to go a long way towards addressing the main disadvantage of the event approach. Our sample of soccer matches exceeds 1,100 observations, and exhibits significant cross-sectional variation across nations. In...
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