nep-fmk New Economics Papers
on Financial Markets
Issue of 2016‒06‒14
four papers chosen by

  1. The impact of the financial crisis on the long-range memory of European corporate bond and stock markets By Lisana B. Martinez; M. Belen Guercio; Aurelio F. Bariviera; Antonio Terce\~no
  2. Cutthroats or comrades: Information sharing among competing fund managers By Ganglmair, Bernhard; Holcomb, Alex; Myung, Noah
  3. On the integration of China's main stock exchange with the international financial market By Zhenxi Chen; Jan F. Kiviet; Weihong Huang
  4. Media coverage and stock returns on the London Stock Exchange, 1825-70 By Turner, John D.; Ye, Qing; Walker, Clive B.

  1. By: Lisana B. Martinez; M. Belen Guercio; Aurelio F. Bariviera; Antonio Terce\~no
    Abstract: This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that Hurst exponents behave differently in the stock and bond markets, being smoother in the stock indices than in the bond indices. We verify that the level of informational efficiency is time-varying. Moreover we find an asymmetric impact of the 2008 financial crisis in the fixed income and the stock markets, affecting the former but not the latter. Similar results are obtained using the R/S method.
    Date: 2016–05
  2. By: Ganglmair, Bernhard; Holcomb, Alex; Myung, Noah
    Abstract: Recent evidence of correlated trading among networked fund managers provides an indication that professional investors exchange investment ideas. To examine the motivations underlying this type of collaboration, we design a laboratory experiment in which competing fund managers share ideas until either chance or one of the fund managers (by choice to obtain a competitive advantage) terminates the exchange. We find that managers are more willing, and likely, to share when their rival's ability and intention to share in return are high. For a manager's decision to share, subjective expectations about rivals' intentions matter more than common expectations about their ability.
    Keywords: conversation, correlated trading, experimental finance, fund managers, hedge funds, information sharing, word-of-mouth communication
    JEL: C72 C91 D8 G02 G14 G23
    Date: 2016–05–06
  3. By: Zhenxi Chen (Faculty of Economics, Business and Social Sciences, Christian-Albrechts University, Olshausenstrasse 40, 24118 Kiel, Germany); Jan F. Kiviet (Amsterdam School of Economics, University of Amsterdam, PO Box 15867, 1001 NJ Amsterdam, The Netherlands); Weihong Huang (Division of Economics, Nanyang Technological University, 14 Nanyang Drive, Singapore 637332.)
    Abstract: Extending published bivariate analyses on the revenues at the stock markets of New York and Shanghai by a tri-variate analysis, which also includes the Hong Kong stock market, we demonstrate that bivariate inferences on co-movement are highly fragile. In fact, rather common opinions like "China's stock market has become more and more integrated to the world market in the past twenty years" can easily be refuted. We do so also by demonstrating that the statistical findings from various earlier analyses are internally inconsistent. A rather straight-forward analysis based on standard and partial correlations over a running window, which does not pretend to unveil causality, indicates that although the Hong Kong market shows substantial though varying co-movement with both the New York and the Shanghai markets, an apparent systematically intensifying direct link between New York and Shanghai has not emerged yet.
    Keywords: China, Co-movement, Globalization, Specification analysis, Stock markets.
    JEL: C22 C32 C52 G14
    Date: 2015–10
  4. By: Turner, John D.; Ye, Qing; Walker, Clive B.
    Abstract: News media plays an important role in modern financial markets. In this paper, we analyse the role played by the news media in an historical financial market. Using The Times's coverage of companies listed on the London stock market between 1825 and 1870, we examine the determinants of media coverage in this era and whether there was a media discount. Our main finding is that a media discount only manifests itself after the mid-1840s and that the introduction of arm's-length ownership along with markedly increased market participation was the main reason for the emergence of this discount.
    Keywords: media,financial press,historical stock markets,advertising
    JEL: G12 N23
    Date: 2016

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