Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.

Voluntary disclosure of financial segment data: new zealand evidence

Abstract: This paper reports on the voluntary financial disclosure of segment data by New Zealand companies and relates the extent of quantified segment disclosure to firm-specific characteristics. The extent of voluntary segment disclosure varies across a sample of 29 firms listed on the New Zealand Stock Exchange. The extent of quantified segment disclosure is significantly related to firm size, financial leverage, but not to assets in place, earnings volatility or a the importance of foreign funding to the firm.

The Intertemporal Relation Between the U.S. and Japanese Stock Markets

Abstract: This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efflcient market hypothesis; however, in trading simulations, the excess profits in Japan vanish when transactions costs and transfer taxes are included. THE TWO LARGEST STOCK markets in the world in terms of capitalization, volume, and shares listed are the Tokyo Stock Exchange (TSE) and the New York Stock Exchange (NYSE). Because Tokyo is 14 hours ahead of New York, there is an eight and one-half hour difference between the close of the TSE and open of the NYSE. Since there is no overlap between the two markets, traders or technical analysts may look to the TSE as a predictor of market movement on the NYSE and/or examine changes on the NYSE as indicators of TSE performance. As shown in Figure 1, the TSE opens at 7:00 p.m. Eastern Standard Time (EST) and closes at 1:00 a.m. EST.1 The NYSE opens at 11:30 p.m. Japanese time (9:30 a.m. EST) and closes at 5:00 a.m. Japanese time (4:00 p.m. EST). Thus, there is no common time interval in which both markets are open. High correlations between the respective open to close returns are a violation of the efficient market hypothesis because public information about the performance in one market could be used to profitably trade in another market. If the markets are efficient, information about the open to close performance in one market (for example, the U.S. return in period t - 1) will be fully reflected in the open price of the other market (Japan in period t, for example). Since new information flows randomly into the market, subsequent price changes should be random and the open to close returns in Japan will be uncorrelated with the U.S. returns. Thus, the U.S. performance should affect the open price in Japan, and the correlation between the open to close returns of the two markets will be zero. Early research on the synchronization among stock prices across countries (Grubel (1968), Levy and Sarnat (1970), Agmon (1972), Ripley (1973), Lessard

Debt-Equity Hybrid Securities

Abstract: Trust preferred stock, first issued in 1993, was engineered to be treated as preferred stock for financial statement purposes and as debt for tax purposes (i.e., payments on trust preferred stock are deductible by the issuer). Our analyses exploit the features of trust preferred stock to shed light on three issues: 1) the extent to which firms incur costs to manage the balance sheet classification of a security; ii) the magnitude of tax benefits, if any, associated with leverage increasing capital structure decisions, and iii) the extent to which investor-level taxation inmposes implicit taxes on securities.

The changing efficiency of african stock markets

Abstract: This paper classifies formal African stock markets into four categories and discuses the principal characteristics of the seven markets covered in this study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya. Using a GARCH approach with time-varying parameters, a test of evolving efficiency (TEE) is implemented for periods starting in the early 1990s and ending in June 2001. This test detects changes in weak form efficiency through time. The TEE finds that the Johannesburg stock market is weak form efficient throughout the period, and three stock markets become weak form efficient towards the end of the period: Egypt and Morocco from 1999 and Nigeria from early 2001. These contrast with the Kenya and Zimbabwe stock markets which show no tendency towards weak form efficiency and the Mauritius market which displays a slow tendency to eliminate inefficiency. The paper relates weak form efficiency to stock market turnover, capitalisation and institutional characteristics of markets. JEL Classification: G14, G15, O16 Keywords: African Stock Markets, efficiency, GARCH WITH THE POSSIBLE EXCEPTION of the JSE Securities Exchange (JSE), there have been relatively few studies of the weak form efficiency of African stock markets. While the evidence for the JSE is mixed, the few studies that have been carried out for other markets find, not surprisingly, that most are inefficient (in a financial sense, meaning that stock prices do not reflect all available information, and that stocks are not therefore being appropriately priced at their equilibrium values). A variety of empirical tests can be used to assess market efficiency. Thompson and Ward (1995) reviewed a wide range of literature covering empirical tests of the efficiency of the JSE and noted that, with different methodologies for testing efficiency giving different results, no clear conclusion is possible. Jefferis and Okeahalam (1999a) applied unit root tests to stock price indices to assess the efficiency of the stock markets in South Africa, Botswana and Zimbabwe over the period 1989-96, and find that the South African and Zimbabwean markets were efficient during this period, although Botswana was not, at least during the early part of the period. However the unit root test of market efficiency is not a powerful one, and subsequent analysis using different tests provided contrasting results. Jefferis and Okeahalam (1999b) used an event study of the same three markets to test the response of individual stock prices to information announcements, by evaluating the speed and efficiency with which information is incorporated into market prices. They found that the Botswana and Zimbabwe markets are inefficient, while the JSE is weak form efficient. This corresponds with the findings of Smith et al (2002), who tested whether eight African stock markets follow a random walk using multiple variance ratio tests. Of the eight markets (South Africa, Egypt, Kenya, Morocco, Nigeria, Zimbabwe, Botswana and