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Stock exchange

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


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Journal ArticleDOI
TL;DR: In this article, the efficiency of the market for stock index futures and the profitability of index arbitrage for The Chicago Board of Trade's Major Market Index contracts were investigated and the results indicated that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time.
Abstract: This paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for The Chicago Board of Trade's Major Market Index contracts. The spot value of the index is computed with transactions prices for the component shares of the index obtained from the Fitch database. The tests account for transaction costs, execution lags, and the uptick rule for short sales of stocks. Results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time. INDEX ARBITRAGE IS A strategy whereby institutions, brokerage houses, or other large investors seek to profit from the spread between prices in the spot and futures markets for stock indices. For example, an investor might purchase predetermined baskets of stocks on the floor of the New York Stock Exchange and simultaneously sell a related index futures contract on the floor of the Chicago Board of Trade, hoping to profit from the price differences on the two exchanges. Computer programs constantly monitor stock and futures prices and automatically execute buy and sell orders when it appears that a profit is possible. Stock index futures can be priced by a simple arbitrage argument. If the dividends paid by the underlying basket of shares and interest rates are nonstochastic, markets are perfect, and there are no taxes, the pricing equation is:

153 citations

Journal ArticleDOI
TL;DR: In this article, the authors applied sector stock prices and oil prices in 1991:01-2009:05 from the G7 countries and found oil price shocks do not significantly impact the composite index in each country, however, stock price changes in Germany, the UK and the US were found to lead oil price changes.

153 citations

Posted Content
TL;DR: In this article, the authors examined whether firms' choices regarding alternative foreign stock exchange listings are influenced by financial disclosure levels and found that firms' decision to list their shares on foreign stock exchanges is influenced by disclosure requirements.
Abstract: Firms are increasingly listing their shares on foreign stock exchanges. However, not all exchanges have had equal appeal. Anecdotal evidence suggests that when firms are making foreign listing decisions, they are influenced by financial disclosure requirements. As a result, regulatory authorities around the globe are weighing increasing demands for foreign capital and investment opportunities against the desire to protect domestic investors from possibly misleading foreign financial disclosures. The competitiveness of domestic stock exchanges often hangs in the balance. This study examines a key question in this debate: whether firms' choices regarding alternative foreign stock exchange listings are influenced by financial disclosure levels. Examined are the listings of 302 internationally traded firms with at least one foreign listing, on one of nine major exchanges, as of year-end 1987. Also examined are changes in listings between 1981 and 1987, an important design feature since these changes are more likely to have been influenced by differences across countries in financial disclosure levels during this period. Financial disclosure levels are obtained from a survey of 142 experts actively involved in the foreign listing process. Test results based on the cross-section of listings at year-end 1987 are consistent with the hypothesis that exchange choices are influenced by financial disclosure levels. However, they do not lend support to a second hypothesis suggesting that this effect should operate only for firms whose domestic disclosure levels are lower than those of a given foreign exchange. Tests based on changes in listings between 1981 and 1987 support both hypotheses. Overall, the results lend credence to concerns expressed by regulatory authorities and exchange officials that stringent disclosure levels could reduce access to foreign capital and foreign investment opportunities.

153 citations

Posted Content
Claudio Michelacci1, Javier Suarez1
TL;DR: In this article, the authors claim that the stock market encourages business creation, innovation, and growth by allowing the recycling of "informed capital" towards new start-ups, when informed capital is in limited supply.
Abstract: We claim that the stock market encourages business creation, innovation, and growth by allowing the recycling of ‘informed capital’. Due to incentive and information problems, start-ups face larger costs of going public than mature firms. Sustaining a tight relationship with a monitor (bank, venture capitalist) allows them to postpone their going public decision until profitability prospects are clearer or incentive problems are less severe. However, the earlier young firms go public, the quicker monitors’ informed capital is redirected towards new start-ups. Hence, when informed capital is in limited supply, factors that accelerate firms’ access to the stock market encourage business creation. Technological spill-overs associated with business creation and thick market externalities in the young firms segment of the stock market provide prima facie cases for encouraging young firms to go public.

153 citations

Journal ArticleDOI
TL;DR: In this paper, the authors study the herding effect in the capital markets and test for the presence of herding as described in Christie and Huang [1995], Chang, Cheng, and Khorana [2000], and Hwang and Salmon [2001].
Abstract: This article studies the herding effect in the capital markets. Using data from the Italian Stock Exchange, the authors test for the presence of herding as described in Christie and Huang [1995], Chang, Cheng, and Khorana [2000], and Hwang and Salmon [2001]. The tests support Christie and Huang's conclusions that herding is present in extreme market conditions.

152 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20232,414
20225,944
20211,840
20202,645
20192,535
20182,413