Stock exchange

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

Contagion in financial markets after september 11: myth or reality?

Abstract: Major global events can lead to a change in the cross-country correlation of assets. Using stock prices from 25 economies, we test whether the terrorist attack in the United States on September 11, 2001, resulted in a contagion—an increase in correlation across global financial markets. Unlike prior works on contagion, we model the intrinsic heteroskedasticity. Our results indicate that international stock markets, particularly in Europe, responded more closely to U.S. stock market shocks in the three to six months after the crisis than before. Our evidence suggests that the benefits of international diversification in times of crisis are substantially diminished.

Firm‐specific and economy wide determinants of firm profitability: Greek evidence using panel data

Abstract: Purpose – The purpose of this paper is to examine the determinants of profitability for a sample of Greek non‐financial firms listed in the Athens Stock Exchange for the period 1995‐2003. This is a very important period for the Greek economy on the way to European monetary union (EMU).Design/methodology/approach – The methodologies employed include panel data estimation techniques. This research attempts to exploit the determinants of firm profitability of non‐financial Greek firms listed in Athens Exchange utilizing firm‐specific publicly available accounting variables using panel data estimation techniques rather than cross‐sectional analysis.Findings – According to the findings, firm profitability was positively affected by size, sales growth and investment and negatively by leverage and current assets. Additionally, we found that the EMU participation and the adoption of the euro were negatively related to firm profitability.Practical implications – Taking into account the fact that the Greek economy ...

Japan's Corporate Groups: Collusive or Competitive? An Empirical Investigation of Keiretsu Behavior

Abstract: This paper uses data on manufacturing firms listed on the Tokyo Stock Exchange to evaluate whether firms that are part of Japanese financial groups (keiretsu) behave differently from other Japanese firms. The results from this analysis reject the hypothesis that these firms collude in order to raise profits. The data do suggest that keiretsu firms are heavily influenced by their banks to produce at levels beyond those warranted by pure profit maximization. These higher levels of output may also explain why entry into markets with strong keiretsu presence is often described as difficult. Copyright 1995 by Blackwell Publishing Ltd. (This abstract was borrowed from another version of this item.)

Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987

Abstract: This paper shows that i) the Crash was a surprise to corporate insiders; ii) insiders became buyers of stock in record numbers immediately following the Crash; iii) stocks that declined more during the Crash were also purchased more by insiders; and iv) stocks that were purchased more extensively by insiders during October 1987 showed larger positive returns in 1988. The overall evidence suggests that overreaction was an important part of the Crash. THE Dow JONES INDUSTRIAL Average (DJIA) declined by 769 points (30.7%) from October 13 to 19, 1987 (Tuesday to Monday), with a record one-day drop of 508 points (22.6%) on October 19 alone. Similar declines occurred on other equity markets: the American Stock Exchange (ASE), the Over-the-Counter (OTC) market, and international stock markets. Various explanations have been offered to account for the October Crash. One view relies on shifts in fundamental factors: Roll (1989) suggests downward revised expectations for the worldwide economic activity; Fama (1989) advocates sudden upward revision in equilibrium required stock returns as measured by the increase in dividend yields; and Black (1988) argues for sharply declining relative risk aversion, coupled with a sudden realization of lower future expected returns. Another view is that stock prices can take swings from fundamental values because of trading activities of the uninformed (Shiller (1984) and De Long, Shleifer, Summers, and Waldmann (1989, 1990a,b)).1 While this view does not identify what triggered the Crash, it predicts that the activities of noise traders contributed to an overreaction in market prices: an adjustment in stock prices occurred in reaction to a proposed tax legislation in mid-October. This adjustment was turned into a major crash, and stock prices were driven below the fundamentals as a result of positive feedback investment strategies by uninformed traders,

Investor Protection Under Unregulated Financial Reporting

Abstract: We examine whether availability of higher quality financial information lessens investor losses during a period seen as a stock market crash. We focus on October 1929, which partly motivated sweeping financial reporting regulations in the 1930s. Using a sample of 540 common stocks traded on the New York Stock Exchange during October 1929, we find that the quality of firms' financial reporting increases with managers' incentives to supply higher quality financial information demanded by investors. Moreover, firms with higher quality financial reporting before October 1929 experienced smaller stock price declines during the market crash.