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Can a stock market listing help to improve the operational performance of China's banks?
China's banking sector initial public offerings operational performance
2011/9/27
This study attempts to empirically examine the impact of initial public offerings on China's banking sector. The period considered covers the years 1996-2004. The fixed effects and random effects mode...
The Birth of Joint-Stock Banking: England and New England Compared
banking systems England New England extensive branch networks the domestic market
2011/9/24
By the end of the nineteenth century, the banking systems of England and New England were very different. England possessed a small number of large-scale clearing banks that had established extensive ...
The article focuses on the condition of initial public offerings (IPO) of stocks in Fairfield County, Connecticut. The Fairfield County Business Journal reports that about 60 percent of nearly 60 loca...
International Stock Returns and Market Integration: A Regional Perspective
global stock market market integration international variation capital markets
2011/9/12
Studies the evolution of country and industry effects at the level of the global stock market in terms of market integration from a regional perspective. Importance of the country effects in explainin...
The Effects of Credit Ratings on Stock Returns in China
Domestic credit-rating agencies decisions of investors credit ratings rating outlooks
2011/9/2
Domestic credit-rating agencies in China have been criticized for having no effect on the decisions of investors. We examine whether credit ratings and rating outlooks of the listed companies that are...
What Explains the Stock Market's Reaction to Federal Reserve Policy?
monetary policy equity prices stock market economic sources
2011/8/21
This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of ...
Effects of shifts in monetary policy on hospitality stock performance
hospitality stocks monetary policy Hong Kong discount rate
2011/8/21
This study investigates the effects of changes in monetary policy on the stock performance of hospitality firms (airlines, hotels, restaurants and tourism firms) in Hong Kong. Changes in the monetary ...
Can We Learn to Beat the Best Stock
the Best Stock The Portfolio Selection Problem The Anticor Algorithm
2011/7/20
A novel algorithm for actively trading stocks is presented. While traditional expert advice and “universal” algorithms (as well as standard technical trading heuristics) attempt to predict winners or ...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
Non - Randomness Stock Market Price Model (Amended)
Market Price Model Non - Randomness Stock
2011/7/22
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Selling a stock at the ultimate maximum
Geometric Brownian motion optimal prediction optimal stopping ultimate maximum parabolic free-boundary problem smooth fit
2010/11/2
Assuming that the stock price Z = (Zt)0≤t≤T follows a geometric Brownian motion with drift μ 2 R and volatility > 0, and letting Mt = max0≤s≤t Zs for t 2 [0,T].
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its...
Stock loans in incomplete markets
Stock loans indifference pricing illiquid assets incomplete markets
2010/10/22
A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual Americ...
Dynamics of Stock Market Correlations
Correlation Stock Market Holography eigenvalue entropy
2010/12/6
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market
Intraday data heterogeneous autoregressive model
2010/12/6
In this study, we evaluate the quantile forecasts of the daily equity returns on three of the most liquid stocks traded on the Prague Stock Exchange. We follow the recent findings that consider the po...