| 1. |
- Ding, Mingfa, et al.
(author)
-
Foreign Institutional Investment, Ownership, and Liquidity : Real and Informational Frictions
- 2017
-
In: Financial Review. - : Wiley. - 0732-8516. ; 52:1, s. 101-144
-
Journal article (peer-reviewed)abstract
- The literature widely documents the negative liquidity impact of foreign participation in firms that permit high foreign institutional ownership. This paper employs a unique setting for the limited participation of qualified foreign institutional investors (QFIIs) in China's A-share market and examines how this impacts on stock liquidity in emerging markets. Contrary to the findings in the literature, foreign investor participation helps enhance the liquidity of affected stocks by promoting trade activities and price discovery. The improvement in liquidity does not occur through the information friction channel, but rather the real friction channel. Our results are robust to endogeneity issue and the possible influence of the global financial crisis, industry effects and the stock exchange. Further, the liquidity improving effects of QFII are even stronger when the analysis is performed on a subsample of QFII firms.
|
|
| 2. |
- Ding, Mingfa, et al.
(author)
-
Large-caps liquidity provision, market liquidity and high-frequency market makers’ trading behaviour
- 2022
-
In: European Journal of Finance. - : Informa UK Limited. - 1351-847X .- 1466-4364. ; 28:16, s. 1621-1641
-
Journal article (peer-reviewed)abstract
- This paper exploits the introduction of the liquidity provision scheme (LPS) in NASDAQ Stockholm (NOMX) to assess how the implementation of LPS affects market liquidity and the trading behaviors of high-frequency market makers. Unlike the traditional designated market makers (DMM) that target the liquidity supply of small and less traded stocks, LPS is implemented for large-caps and liquid stocks. LPS requires participants to submit buy and sell orders at the European best bid and offer quotes with a size larger than 50,000 Swedish Krona on each trade side. LPS delivers liquidity improvements by reducing order processing costs in the large-cap and cross-listed stocks in the NOMX and Chi-X markets, with no evidence of market liquidity migration from Chi-X to NOMX. As market makers registered with LPS are likely high-frequency traders, LPS stabilizes market liquidity as market makers’ decisions to supply or demand liquidity become less sensitive to market conditions like the spread and order imbalance.
|
|
| 3. |
- Hasselgren, Anton, et al.
(author)
-
Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?
- 2024
-
In: International Journal of Forecasting. - 0169-2070 .- 1872-8200.
-
Journal article (peer-reviewed)abstract
- This paper explores whether the dispersion in forecasted crude oil prices from the European Central Bank Survey of Professional Forecasters can provide insights for predicting crude oil return volatility. It is well-documented that higher disagreement among forecasters of asset price implies greater uncertainty and higher return volatility. Using several Generalized Autoregressive Conditional Heteroskedasticity with Mixed Data Sampling (GARCH-MIDAS) models, we find, based on the in-sample estimation results, the oil market experiences greater volatility when the forecasters’ disagreements increase. The model that integrates both historical realized variance and forward-looking forecaster disagreement into the conditional variance, along with the model focusing solely on pure forward-looking forecaster disagreement, exhibits a much superior fit to the data compared to the model relying solely on realized variance and the models considering forward-looking forecasted mean return. The out-of-sample forecasting results unequivocally illustrate that incorporating forecaster disagreement offers valuable insights, markedly enhancing the predictive accuracy of crude oil return volatility within the GARCH-MIDAS model. Moreover, we illustrate the economic benefit of considering forecasters’ disagreement when forecasting volatility, demonstrating its significance for VaR risk management.
|
|
| 4. |
- HOU, Ai Jun, et al.
(author)
-
Modelling and Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach
- 2011
-
In: Journal of Empirical Finance. - : Elsevier BV. - 0927-5398 .- 1879-1727. ; 18:4, s. 692-710
-
Journal article (peer-reviewed)abstract
- This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, levels e¤ect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspeci.ed. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semipara-metric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast improvement has implications for pricing interest rate derivatives.
|
|
| 5. |
- Hou, Ai Jun, et al.
(author)
-
Spillover effects of monetary policy and information shocks
- 2024
-
In: Finance Research Letters. - 1544-6123 .- 1544-6131. ; 62
-
Journal article (peer-reviewed)abstract
- Central bank announcements convey monetary policy actions and the bank’s assessment of the economic outlook. By analyzing the monetary and information shocks from the Federal Reserve (Fed) and the European Central Bank (ECB), we find that the information shocks from the ECB and Fed, in addition to the monetary policy shocks from both central banks, contribute to the comovement of interest rates in many countries. Our findings underscore the role played by business cycle comovements, foreign exchange dynamics, and financial openness as transmission channels for monetary policy shocks and information shocks.
|
|
| 6. |
- Suardi, Sandy, et al.
(author)
-
COVID-19 Pandemic and Liquidity Commonality
- 2022
-
In: Journal of international financial markets, institutions, and money. - : Elsevier BV. - 1042-4431 .- 1873-0612. ; 78
-
Journal article (peer-reviewed)abstract
- This paper shows how the US, UK, Germany and China are financially connected through their stock market liquidity in the COVID-19 pandemic. Using high frequency data on transaction costs, we identify a decrease in stock market liquidity and an increase in liquidity commonality amongst these countries after the World Health Organisation (WHO) declared the global pandemic. Furthermore, there is increased transmission of liquidity shocks from the country with higher COVID new cases and COVID-related death cases, indicating that markets are more connected with increased outbreak severity. Our results suggest that COVID-19 intensifies liquidity risk and worsens the vulnerability of individual stock market's liquidity to aggregate liquidity shocks in financial markets.
|
|
