Detail Essays on related securities and derivatives Bibliografi Author: Wang, Zhen ; Wei, Peihwang (Advisor) Topik: ECONOMICS; FINANCE|BUSINESS ADMINISTRATION; BANKING|ECONOMICS; COMMERCE-BUSINESS Bahasa: (EN )    ISBN: 0-591-98013-4     Penerbit: UNIVERSITY OF NEW ORLEANS     Tahun Terbit: 1998     Jenis: Theses - Dissertation Fulltext: 9900962.pdf (0.0B; 1 download) Abstract This dissertation empirically investigates the issues of related securities and derivatives. First, I examine the relation between holding period and bid-ask spread in the stock market in China. The markets for A and B shares in China are segmented. Using the data of 52 firms that have both A and B shares being traded at the stock market for the year 1995, I found that A share (domestic) investors paid 0.4% spreads and held A shares for an average of 2.7 quarters, while investors paid 7.3% spreads and held B shares for more than 50 quarters on average. The results of regressing the average holding period on the bid-ask spread, the market value of common stock and the variance of daily stock returns indicate that the length of investors' holding periods is related to bid-ask spreads. Chow tests reveal that domestic and foreign investors have different attitudes towards transaction costs in determining their investment time horizon. Foreign investors' long term commitment to Chinese markets can be explained, to a great extent, by higher transaction costs in determining their investment time horizon. Foreign investors' long-term commitment to Chinese markets can be explained, to a great extent, by higher transaction costs they are faced with. The second issue explored in this dissertation is the impacts of LEAPS listing on the returns, volatility and trading volume of the underlying equities. An event study is carried out to the data of almost the entire universe of LEAPS (listed before July 31, 1996). The findings confirm the prediction of a diminishing price effect, and attest a favorable volatility effect and a positive trading volume effect. Overall, the evidence presented in this study provides no basis for the concerns expressed by many that option trading has led to undesirable effects in the marketplace. Rather, in virtually every test, it appears that LEAPS trading actually brings statistically significant improvements in the market for the underlying stocks. The main contribution of my study lies in that it updates and extends the previous research paper of LEAPS and reveals some important temporal characteristics of LEAPS. Thirdly, this dissertation addresses the issue whether trading of index futures has increased the volatility of the Taiwan stock market. My study is motivated by Bollerslev et al. (1992) who advocate the need for empirical investigations of stock market volatility in countries other than the U.S. The introduction of an index futures in January 1997, together with the availability of relevant data related to the Taiwan stock market, provides a new case to test the effects of futures trading on spot stock market volatility. Both a conventional comparison of volatility measures before and after futures listing and the structural change test of the shift in the parameters of GARCH models are carried out. No evidence is found for either a change in the mean level of or in the time-varying structure of volatility of the Taiwan stock market following the listing of index futures. Since index arbitrage activities are not expected in Taiwan, the effects on stock market are primarily due to information, not index arbitrage. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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