Journal ArticleDOI
The Impact of Derivative Trading on the Liquidity of Stocks
M S Narasimhan,Shalu Kalra +1 more
- Vol. 39, Iss: 3, pp 51-66
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TLDR
In this article, the authors proposed that liquidity is an important factor for smooth trading for all assets including equities traded in the stock markets and that stock exchanges enable buyers and sellers to come together for transaction and in...Abstract:
Liquidity is an important factor for smooth trading for all assets including equities traded in the stock markets. Stock exchanges enable buyers and sellers to come together for transaction and in ...read more
Citations
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Journal ArticleDOI
Estimating the cost of equity for the regulated energy and infrastructure sectors in India
TL;DR: In this paper , the authors apply three asset pricing models (CAPM, Fama-French three and five-factor models) to estimate the cost of equity for the Indian energy and infrastructure sectors.
Journal ArticleDOI
The Impact of Futures Contracts On Risk and Returns of the VN30 Index in Vietnam
TL;DR: In this article, the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets were analyzed using the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model.
Journal ArticleDOI
Derivatives use and the business lending efficiency of African banks
TL;DR: The authors studied a panel of 147 banks from 14 African countries between 2011 and 2017, using two competing non-parametric and parametric approaches for efficiency analysis and found that despite conflicting bank efficiency interpretations, both investigations corroborate the existence of widespread inefficiency of markets in Africa, which is likely strengthened by harmful fragmentation in the continent's financial/capital markets, market illiquidity, a lack of transparency, and informational inefficiency.
References
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Journal ArticleDOI
Investment analysis and price formation in securities markets
TL;DR: In this article, the authors investigated the relation between the number of analysts following a security and the estimated adverse selection cost of transacting in the security, controlling for the effects of previously identified determinants of liquidity.
Journal ArticleDOI
Transaction costs and the small firm effect
Hans R. Stoll,Robert E. Whaley +1 more
TL;DR: This article found that the total market value of common stock equity varies inversely with risk-adjusted returns, and price per share does also, and that transaction costs at least partially account for the abnormality.
Journal ArticleDOI
The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings
TL;DR: In this article, the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Merton's (1987) investor recognition factor and Amihud and Mendelson's (1986) liquidity factor as explanations of the change in share value.
Journal ArticleDOI
Informational Externalities and Welfare-Reducing Speculation
TL;DR: In some cases, the externality is negative: the entry of new peculators lowers the informativeness of the price to existing trader s as mentioned in this paper, and the net result can be price destabilization and welfare red uction.
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