High Trading Volume Research Articles

The contagious effect of economic policy uncertainty in the post-crisis period

PurposeThis study aims to analyze the contagious effects of economic policy uncertainties in the USA on the economies of its important trading partners, such as Japan, Canada, Mexico and the Eurozone.Design/methodology/approachIn the study using the uncertainty index created by Baker et al. (2016), the interaction between variables was analyzed with structural VAR (SVAR) models.FindingsAccording to the results obtained from the analysis, economic policy uncertainties in the USA had significant effects on the economies of its high-volume trading partners. The internal debt crisis experienced in the Eurozone after the 2008 crisis caused the European Central Bank to respond to the economic policy uncertainties in the USA with contractionary monetary policies, unlike other countries. In addition to these results, Mexico, which has a more fragile economic structure than other countries in the analysis, was more impacted by increasing uncertainties, as expected.Originality/valueThe present study aimed to bring a new perspective to the literature by evaluating the contagiousness of local uncertainty in the globalizing world and the monetary policies implemented as a precaution against this situation on an empirical plane.

Affiliation or non-affiliation: the impact of family-owned business groups on the Bogotá stock market, 1950-1980

This paper examines the impact of group affiliation on the development of Bogota’s stock market between 1950 and 1980. While the literature on business groups has discussed how they respond to market failures, little attention has been paid to the specific ways in which group affiliation affects stock market development in emerging economies. This study aims to fill this gap by analyzing panel data from Bogota’s stock market and implementing a series of correlated random effects panel regressions. The findings of this study demonstrate that group affiliation had a significant impact on the weighted market capitalization of stocks issued by listed companies. Specifically, high trading volumes were concentrated on a small subset of firms, suggesting that group-affiliated companies were able to capture the stock market as a means of financing their investments and increasing their product and geographic diversification. While the literature on business groups suggests that they typically arise in the absence of a developed capital market, our study reveals a different dynamic in the case of Colombia, where these groups advocated for the creation of the stock exchange. Hence, our findings challenge the misconception of inefficient and illiquid financial markets in emerging economies and shed new light on the role of business groups in driving financial market development.

Guitarfishes are plucked: Undermanaged in global fisheries despite declining populations and high volume of unreported international trade

Some sharks and rays are subject to fisheries catch and international trade regulations. However, the Guitarfishes (family Rhinobatidae) are a highly threatened group with minimal regulations. The true volume of Guitarfishes in international trade is underestimated and masked by substantial underreporting of catch and the use of broad commodity codes for traded products. Here, we begin to document the extent of trade by collating international trade information for Guitarfishes that have not readily been documented in trade, possibly due to poor resolution of molecular genetic markers. We also assess the shortfall in fisheries management (M-Risk) for all species of Guitarfish based on 99 assessments across 28 countries. Globally, Guitarfishes are inadequately managed, with an average M-Risk of 45% of an ideal score, resulting in 76% of species being threatened globally. The high and unregulated catch and trade volume, paired with the management shortfalls, require global integrated improvement in fisheries management, supported by regulating international trade to sustainable levels.

Financial Indicators and Stock Market Performance in Nigeria

This study examined financial indicators and stock market performance in Nigeria. The low performance of the stock market has been attributed to so many factors, ranging from financial, macroeconomic to political and institutional. Hence, the study examined the relationship between financial indicators and stock market performance, using the econometric analytical technique. Annual time series data sourced from the Central Bank of Nigeria and Nigerian Stock Exchange were employed. Stock market performance was measured by all-share index while financial indicators were represented by stock market profitability, liquidity and efficiency. The bound testing and Autoregressive Distributed Lag model estimation techniques were employed for the analysis. It was revealed that a long run relationship exists among the variables in the estimated model. A positive relationship exists between market profitability, liquidity, efficiency and stock market performance in Nigeria with coefficients of 58.98, 879.58 and5152.51, respectively. The implication of the findings is that market profitability, market liquidity and market efficiency have positive impact on stock market performance in Nigeria. Hence, the study recommends that; there is need for implementing policy such as good corporate governance that will maximize profit for investors in the market, make it attractive and hence deepen the Nigerian stock exchange market; the provision of windows for firms to raise cash through issuance of new shares, debentures, loans and deposits, when needed and enhance the ability of the firms to convert assets to cash to pay its current liabilities and its debt capacity;while a high trading volume should be maintained to enhance efficiency of the Nigerian capital market.

Profitability and herding of trade-based pump-and-dump manipulation

ABSTRACT We use the Korea Stock Exchange’s complete intraday order and trade data in a dataset that identifies individual accounts to examine whether trade-based pump-and-dump manipulators can trade profitably and whether other investors herd after the manipulation. The results show that other investors place more buy orders on stocks with higher manipulative buying volume and that more new investors buy such stocks. We also find that the trade-based pump-and-dump manipulation is profitable on average, both gross and net of transaction costs. Manipulators who have higher trading volume, more experience with manipulation, and less frequent transactions are likely to achieve larger profits. We also find that this type of manipulation is far more pervasive in the emerging market.

The Trend of International Trade during the Context of the COVID-19 Epidemic: The Case of China-US Trade

With the spread of the COVID-19 epidemic throughout the world, international trade in various areas has been affected to different degrees. This paper explores the development trend of international trade during the COVID-19 epidemic via analyzing prominent issues relating to three major aspects, namely, service industry, aquaculture industry, and manufacturing industry. The research results show that the upward development of trade between China and the United States requires specific solutions in terms of strengthening mutually beneficial cooperation between the service industries, expanding import and exporting markets and channels for aquaculture trade, and enhancing the strength of manufacturing industries. As the world's superpower country, China and the United States occupy a considerably high volume of trade and have a pivotal influence on the development of international trade. Hopefully, in the future, China and the U.S. could collaborate to overcome the pandemic and strive to restore bilateral trade as early as possible.

A Model for Calculating the Effectiveness of Writing and Hedging SBI Derivatives

Options in the stock market are a form of risk management that can help protect investors from various potential liabilities. Increased demand for derivatives is reflected in higher trading volumes every day. Over time, it has been easier for regular investors to get their hands on derivatives. The major Indian exchanges trade a wide range of financial goods, including stock derivatives. This article explains how to trade F&O on the National Stock Exchange (NSE) in India. To write options, the NSE typically employs call-and-put options. It may be able to design ways to achieve this goal by studying the State Bank of India (SBI) options chain for the first quarter of fiscal years 22 and 23. Based on the current stock price, the suggested computational approach writes call (CE) and put (PE) options for the upcoming month's settlement date. CE and PE were written at prices twenty rupees higher and lower than the stock options strike price, respectively. Furthermore, the pricing for both products has been reduced to zero rupees. According to our research, selling options to firms with minimal volatility is a good idea.

거래량이 복권특성 종목의 기대수익률에 미치는 영향

Purpose - The purpose of this study is to examine whether trading volume amplifies the extent to which lottery-type stocks are overpriced, and whether economic sentiment index explains time-variation in the magnitude of the volume amplification effect.
 Design/methodology/approach - We examine monthly returns on 5x5 monthly bivariate portfolios formed by lottery characteristics (measured by maximum daily return) and trading volume. In addition, we perform time-series regression tests to examine how the volume amplification effect changes in high and low economic sentiment periods, after controlling for Fama-French three factors.
 Findings - Our bivariate portfolio analysis shows that the overpricing of lottery-type stocks are mostly pronounced among high trading volume stocks. In contrast, for low trading volume stocks, overpricing of lottery-type stocks appears to vanish. Furthermore, the amplification effect of trading volume on overpricing of lottery-type stock is concentrated in high economic sentiment periods.
 Research implications or Originality - This study is the first attempt to examine whether trading volume drives lottery-type stocks’ overpricing in the Korean stock market. Furthermore, our analysis unveils the time-varying nature of volume amplification effect. The results suggest that trading volume might play a important hidden role in asset pricing, opening a new line of researches in the future.

Earnings seasonality, management earnings forecasts and stock returns

We examine whether management earnings forecasts (MEFs) help reduce the stock return seasonality associated with earnings seasonality around earnings announcements (EAs) in Chinese A-share markets. We find that firms in historically low earnings seasons outperform firms in high earnings seasons by 2.1% around MEFs. Firms in low earnings seasons also have higher trading volume and return volatility than their counterparts around EAs and MEFs. MEFs significantly reduce the ability of historical seasonal earnings rankings to negatively predict announcement returns, volume and volatility around EAs. The reduction effects are stronger when MEFs are voluntary or made closer to EAs. The evidence suggests that MEFs facilitate the correction of investors’ tendency to extrapolate earnings seasonality and its resulted stock mispricing.

Financing of CPEC Projects: Implications for Pakistan

The China-Pakistan Economic Corridor (CPEC) is the biggest economic cooperation initiative undertaken in the history of Pakistan. The strong fraternal bonds between Pakistan and China have, since 2015, galvanized into a shared economic future. The corridor will link China’s western region of Xinjiang to Pakistan through the Karakoram crossings, traversing Gilgit Baltistan (GB), through Khyber Pakhtunkhwa, Punjab, Sindh and all the way to Gwadar in Balochistan at Pakistan’s south western coastline. The projects envisaged under CPEC are estimated to be worth US$ 62 billion including energy projects, railway lines, road networks, with the Gwadar port as the culmination point. Several other projects, such as Special Economic Zones (SEZs), knowledge exchanges and optic fibre network, are also part of CPEC. Financing all the CPEC projects, planned between 2015-2030, will be a huge undertaking for Pakistan’s economy, which continues to suffer from chronic structural issues, a burgeoning external debt, low revenue, negative balance of trade and negative current account deficit. While CPEC has been termed as a “game changer” for Pakistan’s economic future, it has faced criticism on account of its financial sustainability and lack of transparency, with fears that it may lead Pakistan into a Chinese “debt trap”. This research paper examines whether the issues related to financing of CPEC could outweigh the socio-economic benefits to Pakistan’s economy. A deeper examination of this topic reveals that Pakistan’s financial obligations arising out of the China-Pakistan Economic Corridor (CPEC) include direct loan repayments of US$ 5.8 billion. This is in addition to the sovereign guarantees, subsidies and other concessions etc. that have been offered by the Government of Pakistan to Chinese firms investing in CPEC. Economic growth projections reveal that successful execution of CPEC projects will generate sufficient fiscal space for the Government to pay off these liabilities by 2035. This will be made possible due to higher growth rates, creation of employment and higher trade volume (both bilaterally with China as well as through enhanced regional trade). While there may be no “debt trap” for Pakistan from CPEC, however, policy makers in Islamabad must remain mindful that it is essentially a commercial undertaking. Pakistan, therefore, needs concrete policy measures to ensure best use of this opportunity to build its infrastructure and human capital. This paper offers several policy recommendations to the Government of Pakistan, including regular followup of progress at leadership level, pursuing regional integration to expand CPEC to Afghanistan and Central Asia, macroeconomic reforms to stabilize the economy, use of innovative methods to manage CPEC debt and liabilites, counter the negative narrative against CPEC, capacity building and technology transfer, capitalize on industrial development through SEZs, early implementation of ML-1 and inclusion of Diamer Bhasha dam in CPEC.
 

Animosity, Amnesia, or Admiration? Mass Opinion Around the World Toward the Former Colonizer

AbstractNearly all contemporary countries were colonized at some point in their history by a foreign power, but do citizens resent their former metropoles for past colonial abuses? We exploit survey questions in which respondents were asked for their opinion of a named foreign country. Our analyses of responses from over ninety countries yield the surprising finding that today's citizens are more favourable toward their country's former colonizer – by 40 per cent of a standard deviation – than they are toward other countries. Contemporary monadic traits that make former metropoles liked around the world – especially their tendency to be democracies – as well as their relatively high volumes of trade with former colonies explain their popularity among citizens of their former colonies. We also illustrate and describe these patterns in two least-likely cases, Mexico and Zimbabwe. Our findings have important implications for understanding international soft power, an asset about which today's states care deeply.

The strategic importance of south china sea to international geopolitics

The South China Sea, at first glance, seems like any other part of an ocean enclosed by a cluster of Islands and straits and covering a certain area. However, the geostrategic and economic importance associated with the ocean is tremendous and manifold. From busiest maritime trade ways to sea beds full of unlimited resources, this piece of Pacific Ocean is the power beaming with unlimited potential of geostrategic and economic supremacy for anyone having the power to dominate it. It is upon such background that this paper carefully evaluates the strategic importance of the South China Sea. The paper look at the brief history of the South Sea, Natural Resources endowed in the Sea, Territorial Claims among the countries, and the political, economic and military/Defence strategic importance of the Sea. The paper concluded that, the present of natural Resources and the high volume of trade in goods and services transported across the Sea make it an important and most busiest water way in the world, therefore, conflict over it among Asian countries and the world super powers is inevitable. This is because, whoever control the sea, will automatically have a significant influence and control over the world politically, economically andmilitarily.

A Survey on Stock Market Manipulation Detectors Using Artificial Intelligence

A well-managed financial market of stocks, commodities, derivatives, and bonds is crucial to a country’s economic growth. It provides confidence to investors, which encourages the inflow of cash to ensure good market liquidity. However, there will always be a group of traders that aims to manipulate market pricing to negatively influence stock values in their favor. These illegal trading activities are surely prohibited according to the rules and regulations of every country’s stock market. It is the role of regulators to detect and prevent any manipulation cases in order to provide a trading platform that is fair and efficient. However, the complexity of manipulation cases has increased significantly, coupled with high trading volumes, which makes the manual observations of such cases by human operators no longer feasible. As a result, many intelligent systems have been developed by researchers all over the world to automatically detect various types of manipulation cases. Therefore, this review paper aims to comprehensively discuss the state-of-the-art methods that have been developed to detect and recognize stock market manipulation cases. It also provides a concise definition of manipulation taxonomy, including manipulation types and categories, as well as some of the output of early experimental research. In summary, this paper provides a thorough review of the automated methods for detecting stock market manipulation cases.

Beliefs Aggregation and Return Predictability

ABSTRACTWe study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long‐term fundamental value, traders also trade on perceived short‐term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short‐term speculation dampens price fluctuations and generates time‐series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading volume.

Wheat trade tends to happen between countries with contrasting extreme weather stress and synchronous yield variation

Extreme weather poses a major challenge to global food security by causing sharp drops in crop yield and supply. International crop trade can potentially alleviate such challenge by reallocating crop commodities. However, the influence of extreme weather stress and synchronous crop yield anomalies on trade linkages among countries remains unexplored. Here we use the international wheat trade network, develop two network-based covariates (i.e., difference in extreme weather stress and short-term synchrony of yield fluctuations between countries), and test specialized statistical and machine-learning methods. We find that countries with larger differences in extreme weather stress and synchronous yield variations tend to be trade partners and with higher trade volumes, even after controlling for factors conventionally implemented in international trade models (e.g., production level and trade agreement). These findings highlight the need to improve the current international trade network by considering the patterns of extreme weather stress and yield synchrony among countries.

Multidimensional attention to Fintech, trading behavior and stock returns

The rapid development of Fintech may significantly change investor behavior and investment decision-making processes. We introduce a multidimensional attention framework, which includes investor attention, academic attention and capital markets attention to Fintech, and accordingly constructs an index of Multidimensional Attention to Fintech (MAF) using a text-analysis approach. MAF is then used to measure the dynamic impacts of Fintech on investor behavior and stock market returns in China. Existing literature suggests that trading behaviors such as the number of newly opened accounts and trading volume have significantly positive impacts on stock market returns. However, these findings are not supported after adding our MAF index. Our results suggest that an increasing number of newly opened accounts and higher trading volume may not be attributable mainly to active market and trading behavior but are consequences of the development of Fintech itself.

Audit rotation, information asymmetry and the role of political connections: international evidence

PurposeAudit rotation (AR) is a key policy initiative implemented in global jurisdictions to deal with concerns about audit quality. Auditing financial reports involves communicating attested value-relevant company information to investors, and hence audit quality plays a role in the quality of financial reporting information. This paper aims to investigate whether AR affects the degree of information asymmetry (IS) between investors. It further aims to examine whether voluntary AR results in less asymmetric information compared to mandatory AR. Additionally, it examines whether political connections moderate the association between AR and IS.Design/methodology/approachThe authors use data from publicly traded banks across the Gulf Cooperation Council (GCC) for the period 2010–2018. The authors include several variables to control for corporate governance and other firm-specific characteristics by using country-year fixed-effects regression model.FindingsThe authors find higher IS for banks that periodically rotate auditor, while banks voluntarily choose to rotate auditors obtain high-quality audits, which results in higher trading volume and lower stock return volatility, hence lower IS. The results suggest that when banks voluntarily choose to rotate auditors, investors perceive these banks as more committed to obtaining high-quality audits relative to mandatory AR. Providing higher quality audits enhances the credibility of reported information and thus reduce the level of IS. Moreover, IS following AR is higher for politically connected banks than for similar but politically unconnected banks. Finally, investors perceive voluntary AR as a disciplining tool, which mitigates IS. This mitigating role is not affected by bank political connectedness.Research limitations/implicationsThis study has limitations as the definition of AR could be interpreted as binary or too narrow, and hence it may not be appropriate to generalize findings to different contexts. Nonetheless, this study casts light on a new perspective to reconcile the existing mixed evidence on the influence of AR on IS and the moderating role of political connections. A further limitation is that because of data unavailability, the authors were unable to use other proxies (e.g. bid-ask spreads and analyst forecast dispersion) of IS.Practical implicationsThe present findings provide insight to regulators, policymakers and standard setters on the potential adverse effect of political connections on the role of AR in mitigating IS. The results underscore the importance of voluntary AR, and suggest that regulators, policymakers and standard setters encourage firms to rotate their auditors periodically.Originality/valueThis study provides evidence in a setting that is unique at the economic, social and regulatory levels. Prior literature is lacking and has been centered on developed countries or focusing on single-country specifications. The data set of this study is unique and allows us to examine the interplay between political influence that arises through ownership and management roles of influential members of state.

Portföy Optimizasyonuna Yönelik Ampirik Bir Karşılaştırma: Oyun Teorisi ve Modern Portföy Teorisi

Portföy optimizasyonu gerçekleştirebilmek için menkul kıymetlerin ne zaman ve ne oranda portföye dâhil edilmesi gerektiğinin belirlenmesine ihtiyaç duyulmaktadır. Bu doğrultuda kullanılan modellerden oyun teorisi, minimaks ilkesi ile en düşük risk seviyesinde gerçekleşebilecek en yüksek getirili portföyü oluşturmayı amaçlamaktadır. Modern portföy teorisi ise, verilen risk düzeyinde en yüksek getiriyi sunan ya da verilen getiri düzeyinde riski en düşük portföylere ulaşmayı hedeflemektedir. Çalışmada, Borsa İstanbul'da 2013-2021 yılları arasında kesintisiz her ay işlem gören, işlem hacmi en yüksek 200 hisse senedi kullanılarak, oyun teorisi minimaks ilkesi kapsamında 12 ayrı doğrusal programlama modeli ve modern portföy teorisi kapsamında 12 ayrı kuadratik programlama modeli çözülerek her ay için optimum portföylerin oluşturulması amaçlanmıştır. Her iki teori kapsamında ulaşılan portföylerin performansları, gerek kendi aralarında gerekse alternatif yatırım araçlarının getirisi ile karşılaştırılmıştır. Elde edilen bulgular, geçmişe dönük analizde modern portföy teorisinin; geleceğe dönük uygulamada oyun teorisinin oluşturduğu portföylerin daha başarılı sonuçlar verdiğini ortaya koymaktadır.

Analysts’ reliance on industry-level versus firm-specific information: Implications for information production

Motivated by models of rational inattention, we study the information choices of sell-side analysts who face attention constraints in acquiring and processing costly information. We empirically examine analysts’ relative reliance on industry-level (i.e. macro) and firm-specific (i.e. micro) information in generating firms’ earnings forecasts. We find that analysts’ reliance on industry-level relative to firm-specific information decreases with available resources and their incentives to allocate effort towards firm-specific research. Specifically, analysts’ relative reliance on industry-level information increases with the number of firms and industries covered, while it decreases with brokerage size and experience. Analysts’ relative reliance on industry-level information decreases when they face more competition and cover firms with more career-related potential rewards for firm-specific research, such as large firms, and firms with high trading volume and institutional ownership. Moreover, analysts who rely relatively more on industry-level information issue less accurate but more frequent forecasts. Together, the evidence is consistent with analysts’ reliance on industry-level versus firm-specific information indicating a strategic allocation of effort among different aspects of information production, i.e. quality and quantity of earnings forecasts.

Investment Decision Using Capital Asset Pricing Model

In January 2020, Mr. Durai being an amateur investor wanted to diversify his portfolio by adding some fast-moving consumer goods (FMCG) stocks. He has chosen three FMCG stocks, namely Hindustan Unilever, Godrej Consumer Products and Dabur India, based on high trading volume. The capital asset pricing model (CAPM) is one of the widely followed techniques to measure risk and return of equity investment. The risk and return are the key factors that help investors to take an informed decision. To assess the risk and return profile of stocks, Mr. Durai considered monthly stock prices from 2015 to 2019. Beta is a measure of risk that shows the volatility of the stock return with respect to that of market. The beta of a 5-year stock price is more robust than beta of 1 year or 2 years due to heavy market fluctuations. The CAPM also helps investors to identify whether the stock is underpriced or overpriced. Therefore, the investors can avoid the overpriced stocks.