Stock exchange

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

Stock Market Crashes, Precursors and Replicas

Abstract: We present an analysis of the time behavior of the S&P500 (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they ail suggest a picture of a kind of dynamical critical point, with characteristic log- periodic signatures, similar to what has been found recently for earthquakes. These observations are confirmed on other smaller crashes, and strengthen the view of the stockmarket as an example of a self-organizing cooperative system.

Shareholding structure and corporate performance of partially privatized firms: Evidence from listed Chinese companies

Abstract: Equity ownership in a listed Chinese firm can have as many as five different classes: state-owned shares, legal-person (LP) shares, tradable A-shares, employee shares, and shares only available to foreign investors, a phenomenon that is unique to the Chinese equity market. In this paper, we investigate whether and how the corporate performance of listed Chinese firms is affected by their shareholding structure. The sample consists of all firms listed in the Shanghai Stock Exchange (SHSE) from 1991 to 1996. It is found that firm performance is positively related to the proportion of LP shares but negatively related to the proportion of shares owned by the state. Additional analyses indicate that firm performance increases with the degree of relative dominance of LP shares over state shares. Moreover, for the subsample of firms that do not have both state and LP shares, the return on equity (ROE) of firms with LP shares but no state shares is higher than that of firms with state shares but no LP shares by 3.84%, and this difference is statistically significant. On the other hand, there is little evidence in support of a positive correlation between corporate performance and the proportion of tradable shares owned by either domestic or foreign investors. These findings suggest that the ownership structure composition and relative dominance by various classes of shareholders can affect the performance of state-owned enterprise (SOE)-transformed and listed firms.

Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange

Abstract: This paper investigates the market reaction to short sales on an intraday basis in a market setting where short sales are transparent immediately following execution. We find a mean reassessment of stock value following short sales of up to -0.20 percent with adverse information impounded within fifteen minutes or twenty trades. Short sales executed near the end of the financial year and those related to arbitrage and hedging activities are associated with a smaller price reaction; trades near information events precipitate larger price reactions. The evidence is generally weaker for short sales executed using limit orders relative to market orders. THIS ARTICLE ANALYZES THE INTRADAY price behavior surrounding short sales executed using market and limit orders within a transparent setting. A number of recent studies have focused on daily or monthly stock price behavior surrounding short selling activity in U.S. markets (e.g., Senchack and Starks (1993), Figlewski and Webb (1993), Conrad (1994), Hanley, and Seyhun (1994), Asquith and Meulbroek (1996), and Dechow et al. (1997)). This research has been motivated by the continued interest of market regulators i:n short selling activity and the controversy surrounding the desirability, restrictions, and disclosure requirements related to short selling (see Janvey (1992) and Ramsay (1993)). In particular, several studies such as that by Figlewski and Webb (1993) have examined the relationship between short positions and subsequent abnormal returns without finding a strong relationship. Asquith and Meulbroek (1996), in contrast, focus on firms with large short positions and find a strong and consistent relationship. Dechow et al. (1997) find a correlation between short selling strategies and strategies based on fundamental analysis. These results are consistent with short sellers being able to identify

Private information, trading volume, and stock-return variances

Abstract: New evidence is provided on the determinants of stock-return variances. First, when the Tokyo Stock Exchange is open on Saturday, the weekend variance increases; weekly variance is unaffected, however, despite an increase in weekly volume. Second, the listing of U.S. stocks in Tokyo substantially increases the number of trading hours, but Tokyo volume is negligible for these U.S. stocks and their 24-hour variance is unaffected. The overall results are consistent with the predictions of private-information-based rational trading models, but inconsistent with both the irrational trading noise and public-information hypotheses.