The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or oth... more The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or other reproductions of copyrighted materials. Under certain conditions specified in the law, libraries and archives are authorized to furnish a photocopy or reproduction. One of these specified conditions is that the photocopy or reproduction is not to be "used for any purpose other than in private study, scholarship, or research." If a user makes a request for, or later uses, a photocopy or reproduction for purposes in excess of "fair use," that user may be liable for copyright infringement. This institution reserves the right to refuse to accept a copying order, if, in its judgment, fulfillment of the order would involve violation of copyright law.
This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of tradin... more This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of trading activities of different market makers for a sample of FTSE-100 component stocks. Specifically, the relations studied between market shares of individual market makers and their price-and quantity-setting behavior, preferenced trading activities, and trading profitability infer the competitiveness of the London market. The results show that market makers can obtain relatively large shares of public order flows through posting competitive prices with significant quote depths. Because preferenced trading is limited to small-sized trades, market share leaders do not rely on it in securing public order flow on the London market. In addition, the trading profitability of LSE market makers is not driven by market share; rather those market makers assuming trading risks are rewarded with higher spread margins. The overall findings from the study indicate that the LSE is a competitive dealership market.
This paper reports the results of surveys of chief executive officers of firms listed on the Jaka... more This paper reports the results of surveys of chief executive officers of firms listed on the Jakarta Stock Exchange and the Philippine Stock Exchange regarding dividends and capital structure. The survey responses on dividend policy indicate that Indonesian and Philippine executives believe that dividend policy affects share prices. Further, they believe that firms should have target payout ratios and strive for uninterrupted dividend payments. Indonesian and Philippine executives seem to be aware of signalling and clientele effects. The survey responses on capital structure policy indicate a preference for following a financing hierarchy rather than adhering to a target capital structure. Both Indonesian and Philippine executives ranked internal equity as their first choice for long-term financing. However, whereas Indonesian executives expressed an aversion to debt, ranking new common stock higher than debt, Philippine executives ranked bank loans ahead of common stock. Bot...
We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk ex... more We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama-French (1993) factors, is profitable in Japan for short-term holding periods ranging from three to 12 months. Residual momentum profits over long-term holding periods ranging from two to five years do not reverse, unlike traditional price momentum strategies observed in the U.S. market. The findings in both short-and long-term holding periods are attributed to investor underreaction. A comprehensive index of limited attention supports investor underreaction as an underlying cause of momentum in Japan.
This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of tradin... more This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of trading activities of different market makers for a sample of FTSE-100 component stocks. Specifically, the relations studied between market shares of individual market makers and their price-and quantity-setting behavior, preferenced trading activities, and trading profitability infer the competitiveness of the London market. The results show that market makers can obtain relatively large shares of public order flows through posting competitive prices with significant quote depths. Because preferenced trading is limited to small-sized trades, market share leaders do not rely on it in securing public order flow on the London market. In addition, the trading profitability of LSE market makers is not driven by market share; rather those market makers assuming trading risks are rewarded with higher spread margins. The overall findings from the study indicate that the LSE is a competitive dealership market.
ABSTRACTWe have two primary objectives in this study. First, we examine the frequency of attainin... more ABSTRACTWe have two primary objectives in this study. First, we examine the frequency of attaining simultaneous equilibrium on spot and forward foreign exchange markets and on domestic and foreign securities markets. Second, we measure the profitability of covered interest arbitrage and one‐way arbitrage. Our empirical analysis has been conducted using real‐time quotations. The empirical results indicate that: (a) the markets are efficient in the sense that profit opportunities from traditional covered interest arbitrage are rarely available; and (b) the frequency of attaining simultaneous market equilibrium is surprisingly low, thus opening the door for one‐way arbitrage.
The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or oth... more The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or other reproductions of copyrighted materials. Under certain conditions specified in the law, libraries and archives are authorized to furnish a photocopy or reproduction. One of these specified conditions is that the photocopy or reproduction is not to be "used for any purpose other than in private study, scholarship, or research." If a user makes a request for, or later uses, a photocopy or reproduction for purposes in excess of "fair use," that user may be liable for copyright infringement. This institution reserves the right to refuse to accept a copying order, if, in its judgment, fulfillment of the order would involve violation of copyright law.
This study is motivated by two major considerations. First, the Fletcher and Taylor (1996) approa... more This study is motivated by two major considerations. First, the Fletcher and Taylor (1996) approach has yet to be applied to short-date markets to assess the diminishing role of transaction costs in explaining the deviations of observed forward foreign exchange prices from interest parity forward prices. Second, the role of transaction costs in one-way arbitrage-based interest parity has not been examined. Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity in short-date capital markets, we document three major findings: (i) a narrower neutral band around interest parity line, as implied by one-way arbitrage, does not diminish the role of transaction costs; (ii) the variances of the estimated deviations are a decreasing function of the time spent outside the transactions cost band; and (iii) the magnitude of arbitrage profits tends to be small and economically insignificant though profitable opportunities are not rare in the short-date markets studied.
The first-order serial dependence between overnight returns and following daytime returns and bet... more The first-order serial dependence between overnight returns and following daytime returns and between overnight returns and preceding daytime returns is evaluated to gain insight into the intraday volatility behavior of Indonesian stocks. The pattern of price reversals and price continuations observed for Indonesian stocks is different from the U.S. and Japanese markets, reflecting differences in market microstructure of the three markets. Price reversals are dominant over price continuations at the market open as well as market close for Indonesian stocks. These results are different from the U.S. experience since high-volume U.S. stocks tend to show price continuity at the market close, an attribute that is associated with the stabilization activities by market-makers. These results are also different from the Japanese experience which also shows strong price continuations at the market close.
The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or oth... more The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or other reproductions of copyrighted materials. Under certain conditions specified in the law, libraries and archives are authorized to furnish a photocopy or reproduction. One of these specified conditions is that the photocopy or reproduction is not to be "used for any purpose other than in private study, scholarship, or research." If a user makes a request for, or later uses, a photocopy or reproduction for purposes in excess of "fair use," that user may be liable for copyright infringement. This institution reserves the right to refuse to accept a copying order, if, in its judgment, fulfillment of the order would involve violation of copyright law.
The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or oth... more The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or other reproductions of copyrighted materials. Under certain conditions specified in the law, libraries and archives are authorized to furnish a photocopy or reproduction. One of these specified conditions is that the photocopy or reproduction is not to be "used for any purpose other than in private study, scholarship, or research." If a user makes a request for, or later uses, a photocopy or reproduction for purposes in excess of "fair use," that user may be liable for copyright infringement. This institution reserves the right to refuse to accept a copying order, if, in its judgment, fulfillment of the order would involve violation of copyright law.
This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of tradin... more This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of trading activities of different market makers for a sample of FTSE-100 component stocks. Specifically, the relations studied between market shares of individual market makers and their price-and quantity-setting behavior, preferenced trading activities, and trading profitability infer the competitiveness of the London market. The results show that market makers can obtain relatively large shares of public order flows through posting competitive prices with significant quote depths. Because preferenced trading is limited to small-sized trades, market share leaders do not rely on it in securing public order flow on the London market. In addition, the trading profitability of LSE market makers is not driven by market share; rather those market makers assuming trading risks are rewarded with higher spread margins. The overall findings from the study indicate that the LSE is a competitive dealership market.
This paper reports the results of surveys of chief executive officers of firms listed on the Jaka... more This paper reports the results of surveys of chief executive officers of firms listed on the Jakarta Stock Exchange and the Philippine Stock Exchange regarding dividends and capital structure. The survey responses on dividend policy indicate that Indonesian and Philippine executives believe that dividend policy affects share prices. Further, they believe that firms should have target payout ratios and strive for uninterrupted dividend payments. Indonesian and Philippine executives seem to be aware of signalling and clientele effects. The survey responses on capital structure policy indicate a preference for following a financing hierarchy rather than adhering to a target capital structure. Both Indonesian and Philippine executives ranked internal equity as their first choice for long-term financing. However, whereas Indonesian executives expressed an aversion to debt, ranking new common stock higher than debt, Philippine executives ranked bank loans ahead of common stock. Bot...
We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk ex... more We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama-French (1993) factors, is profitable in Japan for short-term holding periods ranging from three to 12 months. Residual momentum profits over long-term holding periods ranging from two to five years do not reverse, unlike traditional price momentum strategies observed in the U.S. market. The findings in both short-and long-term holding periods are attributed to investor underreaction. A comprehensive index of limited attention supports investor underreaction as an underlying cause of momentum in Japan.
This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of tradin... more This study examines the competitiveness of the London Stock Exchange (LSE) on the basis of trading activities of different market makers for a sample of FTSE-100 component stocks. Specifically, the relations studied between market shares of individual market makers and their price-and quantity-setting behavior, preferenced trading activities, and trading profitability infer the competitiveness of the London market. The results show that market makers can obtain relatively large shares of public order flows through posting competitive prices with significant quote depths. Because preferenced trading is limited to small-sized trades, market share leaders do not rely on it in securing public order flow on the London market. In addition, the trading profitability of LSE market makers is not driven by market share; rather those market makers assuming trading risks are rewarded with higher spread margins. The overall findings from the study indicate that the LSE is a competitive dealership market.
ABSTRACTWe have two primary objectives in this study. First, we examine the frequency of attainin... more ABSTRACTWe have two primary objectives in this study. First, we examine the frequency of attaining simultaneous equilibrium on spot and forward foreign exchange markets and on domestic and foreign securities markets. Second, we measure the profitability of covered interest arbitrage and one‐way arbitrage. Our empirical analysis has been conducted using real‐time quotations. The empirical results indicate that: (a) the markets are efficient in the sense that profit opportunities from traditional covered interest arbitrage are rarely available; and (b) the frequency of attaining simultaneous market equilibrium is surprisingly low, thus opening the door for one‐way arbitrage.
The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or oth... more The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or other reproductions of copyrighted materials. Under certain conditions specified in the law, libraries and archives are authorized to furnish a photocopy or reproduction. One of these specified conditions is that the photocopy or reproduction is not to be "used for any purpose other than in private study, scholarship, or research." If a user makes a request for, or later uses, a photocopy or reproduction for purposes in excess of "fair use," that user may be liable for copyright infringement. This institution reserves the right to refuse to accept a copying order, if, in its judgment, fulfillment of the order would involve violation of copyright law.
This study is motivated by two major considerations. First, the Fletcher and Taylor (1996) approa... more This study is motivated by two major considerations. First, the Fletcher and Taylor (1996) approach has yet to be applied to short-date markets to assess the diminishing role of transaction costs in explaining the deviations of observed forward foreign exchange prices from interest parity forward prices. Second, the role of transaction costs in one-way arbitrage-based interest parity has not been examined. Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity in short-date capital markets, we document three major findings: (i) a narrower neutral band around interest parity line, as implied by one-way arbitrage, does not diminish the role of transaction costs; (ii) the variances of the estimated deviations are a decreasing function of the time spent outside the transactions cost band; and (iii) the magnitude of arbitrage profits tends to be small and economically insignificant though profitable opportunities are not rare in the short-date markets studied.
The first-order serial dependence between overnight returns and following daytime returns and bet... more The first-order serial dependence between overnight returns and following daytime returns and between overnight returns and preceding daytime returns is evaluated to gain insight into the intraday volatility behavior of Indonesian stocks. The pattern of price reversals and price continuations observed for Indonesian stocks is different from the U.S. and Japanese markets, reflecting differences in market microstructure of the three markets. Price reversals are dominant over price continuations at the market open as well as market close for Indonesian stocks. These results are different from the U.S. experience since high-volume U.S. stocks tend to show price continuity at the market close, an attribute that is associated with the stabilization activities by market-makers. These results are also different from the Japanese experience which also shows strong price continuations at the market close.
The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or oth... more The copyright law of the United Sates (Title 17, U.S.C.) governs the making of photocopies or other reproductions of copyrighted materials. Under certain conditions specified in the law, libraries and archives are authorized to furnish a photocopy or reproduction. One of these specified conditions is that the photocopy or reproduction is not to be "used for any purpose other than in private study, scholarship, or research." If a user makes a request for, or later uses, a photocopy or reproduction for purposes in excess of "fair use," that user may be liable for copyright infringement. This institution reserves the right to refuse to accept a copying order, if, in its judgment, fulfillment of the order would involve violation of copyright law.
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Papers by Rosita Chang