Increase In Trading Volume Research Articles

Endogenous market development for government securities in lower-income economies

Many lower-income economies have difficulty developing government securities markets (GSMs). A “Two-Dimensional Policy Framework for GSM Development” offers a solution to improve upon the twenty-year-old World Bank/IMF's conventional policy framework. It differentiates GSMs by their development phases and presents endogenously phase-coherent policy sets. This research found that the endogenous variables explained 40% of trading volume growth in the early phase of India's GSM development and that utilities played a dominant role in increasing trade volumes in the early-phase market. The framework is worth test-applying to GSM development in lower-income economies.

Harmonization of Russian supply chain management standards with EU requirements

AbstractThe present research considered the issues of harmonizing supply chain management (SCM) standards of the Russian Federation with European standards and aimed to confirm the assumption that the increase in international trade volumes directly depends on the availability of appropriate logistics facilities and their management. The performed analysis statistically confirmed the hypothesis that the volume of foreign trade directly depends on the compliance of SCM standards with international requirements. The study provided several recommendations concerning the SCM standards’ harmonization. These include simplifying customs clearance procedures and increasing transparency and efficiency of operations through the use of information technology and shared databases.

How do firms attract the attention of individual investors? Shareholder perks and financial visibility

Shareholder perks are packages of benefits offered to shareholders who own a threshold number of firm shares. We test and confirm the hypothesis that shareholder perks programs in Japan provide mechanisms to increase firm visibility for individual investors through stock-price run-ups and increased trading volume just before the ex-perks date. First, firms having perks programs experience a significant price run-up toward the ex-perks date. Second, the observed price run-ups are significantly higher for stocks having tighter short-selling restrictions. Third, trading volumes and balances of short interests rise significantly just before the ex-perks date. The latter suggests active cross trades, wherein investors hedge price risk. Fourth, the results from the multivariate regression are also consistent with the hypothesis.

Intraday analysis of regulation change in microstructure: evidence from an emerging market

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

Rescheduling Strategy for Berth Planning in Container Terminals: An Empirical Study from Korea

The rapid increase in international trade volume has caused frequent fluctuation of the vessels’ arrival time in container terminals. In order to solve this problem, this study proposes a methodology for rescheduling berth and quay cranes caused by updated information on the arrival time of vessels. A mixed-integer linear programming model was formulated for the berth allocation and crane assignment problem, and we solved the problem using a rolling-horizon approach. Numerical experiments were conducted under three scenarios with empirical data from a container terminal located in Busan, Korea. The experiments revealed that the proposed model reduces penalty costs and overall delayed departure time compared to the results of the terminal planner.

Nexus between green logistic operations and triple bottom line: evidence from infrastructure-led Chinese outward foreign direct investment in Belt and Road host countries.

The Belt and Road initiative (BRI) mainly relies on the traditional and underdeveloped logistical trade routes including the terrestrial and oceanic Silk Road. The poor logistic infrastructure across the BRI region not only restricts trade potential and economic progress but also creates several social and environmental challenges. Therefore, this study investigates the relationship between green logistic operations, economic, environmental, and social indicators of countries along with the BRI. This study provides three key findings using feasible generalized least squares (FGLS) and system generalized method of moments (Sys-GMM) estimation techniques. First, Chinese outward foreign direct investment significantly improves the quality and quantity of green logistic operations in terms of transport infrastructure, customs services, cost, time, tracking, and reliability of international shipments. Second, a higher quality of transport-related infrastructure, customs clearance efficiency, and competency of logistics services significantly mitigate the level of carbon emissions due to the energy conservation in the supply chain process. Moreover, the application of renewable energy resources significantly improves the quality of logistics operations. These results indicate that higher quality of green logistic operations provides efficient infrastructure and greater information sharing among supply chain partners that increase trade volume, growth opportunities, and environmental sustainability. Third, a higher institutional quality helps to mitigate social concerns through improvement in the efficiency of logistic operations. Although BRI regional estimates show significant variations, the overall results imply that BRI participating countries should integrate with ongoing investment projects to promote the quality and quantity of green logistic infrastructure and ensuring environmental stewardship.

Are global gold futures returns volatilities and trading activities threshold cointegrated?

Purpose This study aims to examine whether global gold futures returns volatilities and trading activities are threshold cointegrated. Design/methodology/approach This study considers 11 gold futures markets, including 3 developed futures markets and 8 developing futures markets. This study also analyzes futures trading activities for speculators and hedgers. This study uses a nonlinear threshold vector error correction model (TVECM) and a threshold Lagrange multiplier (LM) test proposed by Hansen and Seo (2002). Findings The findings show that global gold futures return volatilities (FRV) and trading activities are not always threshold cointegrated. Most developed futures markets exhibit threshold cointegrated of gold FRV and trading activities for speculators and hedgers, whereas some developing futures markets exhibit threshold cointegrated. It suggests that speculators and hedgers trading activity conveys valuable information about changes in market volatility dynamics. On the other hand, responses to error-correction effect among gold FRV and trading activities for speculators and hedgers are dramatically different for developed and developing gold futures markets, respectively, particular in the unusual regime. Research limitations/implications Research results show that threshold cointegration between global gold FRV and trading activities matters but not always. Thus, threshold relations have improved the authors’ understanding of global gold futures price discovery process with a threshold. For research limitations, this study uses only near month futures contracts, as it contains more information but not using far month contracts. Practical implications The findings may have important trading implications with additional insights in a(n) (un)usual regime further regulation may be detrimental to the price responsiveness in futures markets if increased price volatility and trading volume are attributed to liquid and efficient markets. Social implications The findings may have important policy implications with additional insights. For example, in a(n) (un)usual regime greater regulatory restrictions may be warranted to decrease market inefficiencies if increased price fluctuations are caused by increased trading volume. Policymakers could enhance futures trading liquidity or restrict speculating positions. Originality/value This study examines whether global gold futures returns volatilities and trading activities are threshold cointegrated by using a nonlinear TVECM. The authors detect that some global gold futures returns volatilities and trading activities are threshold cointegrated but some are not. Hence, the findings determine whether the volatility–volume threshold relation holds across countries and investigate the determinants of cross-country differences in different traders.

Are the shareholding and trading behaviors of diverse investors affected by the relaxation of day trading?

The day trading in Taiwanese stock market expands considerably at the beginning of 2016, which increases the transactions of stocks consequently and sparks our interest in exploring the issue of day trading. In this study, we use the data of Taiwan Stock Exchange listed firms to investigate whether the day trading volume over total trading volume (hereinafter referred to as the day trading ratio) and the turnover ratio enhanced by the increase of day trading volume would affect the shareholding and trading behaviors of diverse institutional and individual investors. Unquestionably, we bring out several impressive findings. First, foreign institutional investors would not prefer holding or trading the stocks with high day trading ratios, whereas individual investors would prefer holding these kinds of stocks. We infer that this finding might result from the fundamental and the speculative concerns of these various investors. Second, domestic institutional investors and security dealers would prefer trading the stocks with high turnover ratios, but foreign institutional investors still lack of interest in trading these stocks, implying that the investment strategies would be dissimilar among various institutional investors. Since foreign institutional investors are regarded as the successful institutional investors in Taiwan, we argue that our revealed results may help market participants trace the behaviors of diverse investors, especially the foreign institutional investors, after day trading relaxation in Taiwan.

Do President Trump's tweets affect financial markets?

Frequent tweets of the former president of the United States, Donald Trump, provide a unique opportunity to study how financial markets respond to his statements. To do this, we utilize a precise timestamp of each tweet together with high-frequency financial data. We start by analyzing the impact of tweets in general, irrespective of their content. We find that tweets by President Trump are followed by increased uncertainty, increased trading and a decline in the US stock market. We utilize two methods in order to study whether the market reaction depends on the content of the tweets. First, classification of Trump's tweets depending on whether they contain a specific word reveals that market response is particularly negative for tweets containing the words “products” and “tariff”. Second, we use Latent Dirichlet Allocation to affiliate tweets with distinct topics. We find that while most topics do not impact financial markets, the US stock market responds to tweets related to the topic of a “trade war” by price decline, increased trading volume and increased uncertainty. The “trade war” tweets affect other financial markets too, as the Chinese stock market responds to these tweets negatively, while the price of gold responds positively. We illustrate the practical importance of our approach by an automated trading system, which achieves positive abnormal returns.

Narrative Investment-Risk Disclosure & REIT Investment

We study narrative investment-risk disclosure, applying computational linguistic analysis to the qualitative discussions of risk throughout 10-K filings. Our sample covers the real estate investment trust (REIT) sector, where firms rely heavily on external capital sources to fund new investment. Using granular investment data from a source that is independent from annual filings, we document a positive relation between changes to investment-risk disclosure and changes to actual investment. Such linkage previously evades the disclosure-informativeness literature, but is feasible in our study based on data advantages to the REIT sector. Changes to risk disclosure do not appear to increase simply the perception of risk among investors. Unlike evidence from the broader market, we find no significant relation to the volatility of stock returns or the volatility of analyst forecast revisions following the filing. Instead, changes to investment-risk disclosure appear informative as they are followed by a pronounced enhancement to market liquidity. The average increase in post-filing trading volume for firms that increase acquisitions is 8%, conditional on a top-tercile increase to investment-risk disclosure; or 0%, when disclosure is non-increasing.

Disagreement after News: Gradual Information Diffusion or Differences of Opinion?

Abstract This paper considers the puzzle of increased trading volume around information releases through the lens of canonical models of disagreement. I use a unique data set of clicks on news by key finance professionals to simultaneously measure gradual information diffusion and differences of opinion. I find that neither channel subsumes the other and that the two are complementary in generating trading volume around news events. Their relative strengths depend on the characteristics of the underlying information: gradual information diffusion matters more for straightforward news, while differences of opinion play a larger role around textually ambiguous news. (JEL G12, G14, G41, D84) Received January 12, 2020; editorial decision: November 24, 2020 by Editor: Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

The impact of Renewable Portfolio Standards on carbon emission trading under the background of China’s electricity marketization reform

Carbon emission trading (CET) is an important mechanism for China to achieve carbon emission reduction targets and sustainable development. The success of its implementation depends on the scientific institutional supply design. At present, China is actively promoting the implementation of electricity marketization reform and Renewable Portfolio Standards (RPS), which would change the institutional environment for manufacturers’ decision-making and trading, thus impacting CET. Accordingly, this paper aims to establish an evaluation model using the system dynamics method to simulate and evaluate the impact of RPS on CET under the background of electricity marketization reform by designing and combining different policy scenarios. The results show that: (1) The impact of electricity marketization reform and RPS on carbon trading is mainly reflected in carbon emission rights’ demand, trading volume, trading price and power generation of manufacturers. (2) Under the situation of marketed electricity price and the absence of RPS, various indicators of the CET market are superior to other policy combinations. (3) Marketed electricity price can effectively stimulate manufacturers’ demand for carbon emission rights, increase trading volume, and have a positive impact on CET. However, the implementation of RPS weakens the demand for emission rights, reduces manufacturers’ power generation and profit, and harms CET.

The Information Role of the Media in Earnings News

AbstractI reexamine whether media articles with substantive editorial content inform the market's reaction to firms' earnings news. Using variation in earnings announcement coverage because of restructuring at The Wall Street Journal (WSJ), my analyses suggest that WSJ earnings articles improve price discovery and increase trading volume at S&P 500 earnings announcements. Additionally, textual analysis suggests media articles that differ more from the firm's earnings release increase trading volume, and that the differences speed up (slow down) price discovery when they corroborate (contradict) the tone of the firm's news. Such high difference articles are slightly longer, are more readable and specific, include more references to the industry and economy, repeat less “stale” news published in previous WSJ articles, and quote more investor and expert sources. Overall, my paper contributes to research on the role of the media in earnings news by providing evidence that journalists' editorial content helps investors understand firms' earnings, instead of simply entertaining or increasing awareness.

Research on dynamic structure of the exchange rate volatility network among the Belt and Road countries based on spillover effect

ABSTRACT The countries taking part in China’s ‘The Belt and Road’ Initiative have achieved greatly increased trade volume and become more firmly interconnected since the initiative was launched in September 2013. This paper researches the exchange rate volatility features among 15 countries along the Belt and Road region with the network analysis based on spillover effect. A directed network is constructed to show not only the impact one currency having on and received from the other currencies, but also the net effect from one currency to another in the network. The importance of any currency in the network and the total interconnectedness of the whole network can also be obtained. Furthermore, a 200-day rolling window analysis is used to show the dynamic evolution trend of the network. The results show that after the launch of the Belt and Road Initiative, both the interconnectedness of the exchange rate volatility network and the importance of CNY increase. In addition, the importance of most currencies in the network has been quite volatile.

Pulling the Plug: Retail Traders and Social Media

This paper examines the relationship between social media and retail trading activity. Using days on which social media platform connectivity is exogenously interrupted, creating a natural experiment, I measure the impact on retail trading behavior in TAQ retail identified trades and a novel dataset of aggregate positions in Robinhood. These ”outage” days are associated with a 2.5% increase in retail trading volume and concentrated mostly in retail traders selling stocks and closing positions. This increase in retail trading volume is consistent with social media serving to distract retail investors, rather than aiding in information acquisition. Institutional investors are unaffected by these days, and stocks with a high concentration of retail traders have improved bid-ask spreads consistent with the increase of retail traders lowering adverse selection risk and improving liquidity.

Determinants of Insider Trading Windows

We use observed insider trading data to estimate the start and end points of quarterly open trading windows, and find that voluntary insider trading restrictions reflect concerns about information asymmetry, the strength of external monitoring, and executives’ liquidity needs. We also identify the existence and determinants of event-specific “ad hoc blackout windows,” where insiders are largely prohibited from trading when firms are engaged in material corporate events. Although these windows are associated with contemporaneously higher information asymmetry, they are followed by increased trading volume and higher stock returns, suggesting investors may not immediately incorporate information conveyed by these unscheduled restrictions.

Сближение Китая и России как результат эндогенных движущих сил

The article deals with general issues of Sino-Russian relations in view of the changing international order. One of those changes is the rise of the national power of Russia and China, with the aim to improve the material well-being of their respective citizens. Both states seek to strengthen their presence in the world and establish a more just and rational political and economic world order. At the same time, Russia and China, being neighbors, need to cooperate and support each other. Despite the fact that they belong to different civilizations, the national mentalities of the peoples of the two countries has lots in common, including a tendency towards collectivism and a similar attitude to power, as well as a long historical tradition of authoritarianism. Bilateral economic relations are characterized by an increase in trade and investment volume, as well as ongoing scientific, technical, monetary and industrial cooperation. Russia and China are not going to take on world financial leadership, but they believe that they have the right to protect their interests in this area.

The calendar effect of price-reduction auction of online agricultural products

In the last several years, the agricultural electronic commerce sales model is becoming increasingly popular and mature in China. Shan Xi GongTianXia E-Commerce Co., Ltd. (hereinafter referred to as 'GongTianXia'), the country's largest company of agricultural products in the field of B2C e-commerce, launched two auction patterns on the platform Wechat known as '7-day auction' and '15-minute auction' at the end of 2014. In order to increase trade volume and profit, GongTianXia attract mass attention of customers to agricultural products with these two sales patterns. Using over 200,000 transaction histories from 2015 including 432 instances of '7-day auction' and 943 instances of '15-minute auction', this paper discusses the influences of different types of commodities under the above two auction patterns of several significant time points, then explains the underlying reason for those influences. With the findings, we can make some improvements for calendar effect theory. Besides that, a theoretical complement will be also made for Dutch auction used in e-commerce market of agricultural products, and also can give advice on optimisation of related companies.

DAMPAK CURRENT RATIO DAN RETURN ON EQUITY TERHADAP TRADING VOLUME ACTIVITY DENGAN PRICE TO BOOK VALUE SEBAGAI VARIABEL MODERATING PADA JAKARTA ISLAMIC INDEX PERIODE 2015 – 2019

Investors always believe that if the company performs well it can increase the volume of stock trading. Therefore, many companies are trying to increase company activity and optimize all company resources in order to increase trading volume activity. This study examines and analyzes the effect of Current Ratio, Return On Equity on Trading Volume Activity with Price To Book Value, which is a moderating variable in the Jakarta Islamic Index for the 2015 - 2019 period on the IDX. To obtain data, the website www.idx.co.id is used as secondary data. The population is 50 issuers and the sample technique uses purposive sampling, thus the sample is 10 issuers. Furthermore, the application used in analyzing quantitative data is SPSS version 21.With the results obtained, Current Ratio and Return On Equity have a significant effect on Trading Volume Activity, but Price to Book Value is not able to be a moderating variable between Current Ratio and Return On Equity to Trading. Activity Volume.

Regional inflation persistence in Turkey

AbstractThe purpose of the current study is to investigate the degree of inflation persistence, its geographical variation, sources of cross‐regional variation, and presence of geographical/sectoral aggregation bias in national monetary policy. Our data set covers 26 NUTS‐2 level Turkish regions and monthly CPI inflation over the period 2003–2019. We first estimate the degree of regional inflation persistence by autoregressive regressions, check its robustness against the presence of structural breaks (by Bai–Perron's algorithm) and nonlinearities (by Markovian Regime Switching regressions). Second, we examine the possibility of geographical and sectoral aggregation bias. Third, we investigate the cross‐regional determinants of inflation persistence by panel data analysis, employing hybrid‐effects spatial panel regressions. We analyze the direct and indirect effects of the determinants and test for regional spillover effects. Three main results are obtained. First, estimated persistence degrees are heterogeneous across regions. The geographical pattern is empirically robust against structural breaks and nonlinearities. We find that inflation persistence is distributed in a spatially correlated manner. Second, when sectoral and regional aggregation bias is tested, only sectoral aggregation indicates a considerable level of bias. Third, we find that the presence of large firms in the region and a higher share of agricultural output in GDP leads to lower persistence, while an increased share of industrial output, and increased trade volume leads to higher inflation persistence. Moreover, we find spatial spillovers of price variability evident in regression analysis. From a policy standpoint, it is required that structural policy programs are targeted to maintain flexibility in the regions where persistence is high (i.e., providing market entry/exit, institutional quality, policy credibility, stimulation of SMEs). Moreover, sectors that have high persistence, such as Hotels and Restaurants (persistence degree 0.55) and Health Services (0.39) should be weighted more in CPI calculations.