We reassess influences of trading volume on stock and currency return distribution while allowing... more We reassess influences of trading volume on stock and currency return distribution while allowing the possibility of interactions among return higher moments. Given the evidence of the higher moments’ inter-relationship, we extend our analysis by exploring how trading volume affects the dynamic structure of higher moments’ inter-relationship. Our reassessment of volume – volatility interaction supports a complementary property among information theories and further contributes evidence of cross – market relations between volume and volatility. The result for the volume – skewness relationship in conjunction with previous studies leads to a hypothesis that direct impact of volume on the level of negative skewness is less significant for a better diversified portfolio. We further find that the negative interaction between volume and kurtosis can be explained by the differences of opinion hypothesis. Although behavior of the inter-relationship towards significant events and new policie...
ABSTRACT We investigate the effects of S&P's sovereign re-ratings on the higher m... more ABSTRACT We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the period from 1996 - 2013, we find that the higher moments of stock market returns are significantly more responsive to sovereign re-ratings during financial crises but the effects on stock markets are not the same across different financial crises. The effects during crises are however magnified for large downgrades and those that are associated with a loss of investment grade status. We find that there are asymmetric effects during financial crises in that downgrades are consistently more significant than upgrades in increasing realized volatility and realized kurtosis. Both upgrades and downgrades affect realized skewness in times of crises in the expected direction.This article is protected by copyright. All rights reserved
... Sirimon Treepongkarunaa Eliza Wub ,∗ ... they are indirectly linked via portfolio rebalancing... more ... Sirimon Treepongkarunaa Eliza Wub ,∗ ... they are indirectly linked via portfolio rebalancing effects. Sovereign credit ratings provide publicly available information on a national ... test rejects the existence of a unit root in the time series of daily realized measures for ...
ABSTRACT This paper proposes a model for credit default swap (CDS) spreads under heterogeneous ex... more ABSTRACT This paper proposes a model for credit default swap (CDS) spreads under heterogeneous expectations to explain the escalation in sovereign European CDS spreads and the widening variations across European sovereigns following the Global Financial Crisis (GFC). In our model, investors believe that sovereign CDS spreads are determined by country-specific fundamentals and momentum. By estimating the model we find evidence that, whilst some of the recent movements in sovereign CDS spreads can be explained by deteriorating fundamentals for core European Union (EU) countries, momentum has also played a destabilizing role since the GFC in all sovereign credit markets studied.
This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour o... more This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their asset allocation activity across defensive (cash, domestic bonds, overseas bonds) and growth (domestic equities, international equities, property) asset classes, over the
... (1997), Chamberlain et al. (1997) and Martin and Mauer, 2003)) and far less attention has ...... more ... (1997), Chamberlain et al. (1997) and Martin and Mauer, 2003)) and far less attention has ... exposure between financial and non-financial firms (see Allayannis and Weston (2001) and Koutmos and Martin (2003)). Furthermore, the demand for insurance products is also ...
ABSTRACT This paper examines the influence of regional economic development on mutual funds inves... more ABSTRACT This paper examines the influence of regional economic development on mutual funds investment decisions. Using fund holdings from 2003 to 2008, we find that Chinese mutual funds that collectively reside in the developed coastal region have the ability to select 'star' firms from neighboring inland areas and overweight them in their portfolios. However, they present a clear local bias within the coastal region. Such investment behavior is robust to political interventions. In particular, changes in political climate make mutual funds seek fundamentals like growth prospects and diversification benefits. Overall, economic and political factors significantly influence mutual funds investment decisions in emerging China.
ABSTRACT We assess investors' reaction to new information arrivals in financial markets b... more ABSTRACT We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further contribute new evidence of cross market relations between volume and volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more diversified regional portfolios. Furthermore, the negative interaction between volume and kurtosis can be explained by the differences of opinion in financial markets. We observe stronger interdependence among higher moments in reaction to significant events, but the strength is dampened by trading volume. This result is consistent with trading volume being a source of heteroskedasticity in asset returns.
We reassess influences of trading volume on stock and currency return distribution while allowing... more We reassess influences of trading volume on stock and currency return distribution while allowing the possibility of interactions among return higher moments. Given the evidence of the higher moments’ inter-relationship, we extend our analysis by exploring how trading volume affects the dynamic structure of higher moments’ inter-relationship. Our reassessment of volume – volatility interaction supports a complementary property among information theories and further contributes evidence of cross – market relations between volume and volatility. The result for the volume – skewness relationship in conjunction with previous studies leads to a hypothesis that direct impact of volume on the level of negative skewness is less significant for a better diversified portfolio. We further find that the negative interaction between volume and kurtosis can be explained by the differences of opinion hypothesis. Although behavior of the inter-relationship towards significant events and new policie...
ABSTRACT We investigate the effects of S&P's sovereign re-ratings on the higher m... more ABSTRACT We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the period from 1996 - 2013, we find that the higher moments of stock market returns are significantly more responsive to sovereign re-ratings during financial crises but the effects on stock markets are not the same across different financial crises. The effects during crises are however magnified for large downgrades and those that are associated with a loss of investment grade status. We find that there are asymmetric effects during financial crises in that downgrades are consistently more significant than upgrades in increasing realized volatility and realized kurtosis. Both upgrades and downgrades affect realized skewness in times of crises in the expected direction.This article is protected by copyright. All rights reserved
... Sirimon Treepongkarunaa Eliza Wub ,∗ ... they are indirectly linked via portfolio rebalancing... more ... Sirimon Treepongkarunaa Eliza Wub ,∗ ... they are indirectly linked via portfolio rebalancing effects. Sovereign credit ratings provide publicly available information on a national ... test rejects the existence of a unit root in the time series of daily realized measures for ...
ABSTRACT This paper proposes a model for credit default swap (CDS) spreads under heterogeneous ex... more ABSTRACT This paper proposes a model for credit default swap (CDS) spreads under heterogeneous expectations to explain the escalation in sovereign European CDS spreads and the widening variations across European sovereigns following the Global Financial Crisis (GFC). In our model, investors believe that sovereign CDS spreads are determined by country-specific fundamentals and momentum. By estimating the model we find evidence that, whilst some of the recent movements in sovereign CDS spreads can be explained by deteriorating fundamentals for core European Union (EU) countries, momentum has also played a destabilizing role since the GFC in all sovereign credit markets studied.
This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour o... more This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their asset allocation activity across defensive (cash, domestic bonds, overseas bonds) and growth (domestic equities, international equities, property) asset classes, over the
... (1997), Chamberlain et al. (1997) and Martin and Mauer, 2003)) and far less attention has ...... more ... (1997), Chamberlain et al. (1997) and Martin and Mauer, 2003)) and far less attention has ... exposure between financial and non-financial firms (see Allayannis and Weston (2001) and Koutmos and Martin (2003)). Furthermore, the demand for insurance products is also ...
ABSTRACT This paper examines the influence of regional economic development on mutual funds inves... more ABSTRACT This paper examines the influence of regional economic development on mutual funds investment decisions. Using fund holdings from 2003 to 2008, we find that Chinese mutual funds that collectively reside in the developed coastal region have the ability to select 'star' firms from neighboring inland areas and overweight them in their portfolios. However, they present a clear local bias within the coastal region. Such investment behavior is robust to political interventions. In particular, changes in political climate make mutual funds seek fundamentals like growth prospects and diversification benefits. Overall, economic and political factors significantly influence mutual funds investment decisions in emerging China.
ABSTRACT We assess investors' reaction to new information arrivals in financial markets b... more ABSTRACT We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further contribute new evidence of cross market relations between volume and volatility. We also find that the direct impact of volume on the level of negative skewness is less significant for more diversified regional portfolios. Furthermore, the negative interaction between volume and kurtosis can be explained by the differences of opinion in financial markets. We observe stronger interdependence among higher moments in reaction to significant events, but the strength is dampened by trading volume. This result is consistent with trading volume being a source of heteroskedasticity in asset returns.
Uploads