Information transmission around block trades on the Spanish stock market

Current fmancial research is placing increasing attention on the effects of large transactions, or Block Trades (BT), on the fmancial markets. In order to analyze whether BT transmit information, we assume that information can be better reflected by changes in asset true value, proxied by the midpoint of bid-ask best quotes, instead of transactions prices or returns. Moreover, following market microstructure literature, we also look at changes in relative spread and in their adverse selection component. The Madrid Stock Exchange offers us a particularly appropriate testing ground for examining these issues, since this topic has not been facilitated as in other markets till 1998. We analyze 195 BT, classified according with trading volume, the side of the market initiating the BT (buyer, seller or indeterminate initiated), its type (inside the spread, sweeping or not classified) and if they change or not the asset true value. The main result of the paper is that it seems that there is BT information transmission when we look at adverse selection spread component in the different subsample classification, but there is no significant permanent effect in returns. We also observe changes in liquidity around BTs but the effect is related with temporary spread component

Opening up closings - the Ecuadorian way

In the conversation analytic tradition, this paper examines the procedures Ecuadorian Spanish (ES) speakers employ to close telephone conversations. Conversation analysts (cf. Schegloff, 1979) examined telephone talk in American English and that found that conversations are opened and brought to a close by the joint work of participants. Concerning closings, they observed, for example, that participants employ certain procedures to signal their desire to bring the conversation to an end and others to actually close the interaction. They also suggested that the conversational procedures they describe are of a universal character (cf. Schegloff and Sacks, 1974 [1973]). The examination of telephone closings in the present study reveals that similar procedures are employed in Ecuadorian Spanish. Nevertheless, it also highlights some of the features that appear to be characteristic of Ecuadorian Spanish only, that is, that seem to be culture-bound, and thus contests Schegloff and Sacks's unversality claims. The need for a culturally contexted conversation analysis, along the lines proposed by Moerman (1988) is supported here

Intraday CAC40, DAX and WIG20 returns when the American macro news is announced

We examine the reaction of the returns of CAC40, DAX and WIG20 to the periodically scheduled prominent American macroeconomic data announcements. We investigate returns and volatility dynamics at the time of news arrival as well as interdependence between series within the time of the announcements. The results suggest that the macro announcements from the U.S. market not only explain seasonality observed in these equity markets but also have a significant impact on both returns and volatility. However, the reactions to announcements are different with respect to the type of announcement. Application of dynamic conditional correlation models allows us to decompose the total impact of announcements into the reaction on the domestic market and conditional correlation between the markets.macroeconomic announcements, high-frequency data, volatility

Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions

This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies’ monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US and euro area bond and stock markets are used. A strong upsurge in intraday volatility at the time of the release of the monetary policy decisions by the two central banks is found, which is more pronounced for the US financial markets following Fed monetary policy decisions. Part of the increase in intraday volatility in the two economies surrounding monetary policy decisions can be explained by both news of the level of monetary policy and revisions in the expected future monetary policy path. The observed strong discrepancy between asset price reactions in the US and in the euro area following monetary policy decisions still remains a puzzle, although some tentative explanations are provided in the paper. JEL Classification: E52, E58, G14intraday data, monetary policy

The Discourse of Digital Deceptions and ‘419’ Emails

This study applies a computer-mediated discourse analysis (CMDA) to the study of discourse structures and functions of ‘419’ emails – the Nigerian term for online/financial fraud. The hoax mails are in the form of online lottery winning announcements, and email ‘business proposals’ involving money transfers/claims of dormant bank accounts overseas. Data comprise 68 email samples collected from the researcher’s inboxes and colleagues’ and students’ mail boxes between January 2008 and March 2009 in Ota, Nigeria. The study reveals that the writers of the mails apply discourse/pragmatic strategies such as socio-cultural greeting formulas,self-identification, reassurance/confidence building, narrativity and action prompting strategies to sustain the interest of the receivers. The study also shows that this genre of computer-mediated communication (CMC) has become a regular part of our Internet experience, and is not likely to be extinct in the near future as previous studies of email hoaxes have predicted. It is believed that as the global economy witnesses a recession, chances are that more creative and complex ways of combating the situation will arise. Economic hardship has been blamed for fraud/online scams, inadvertently prompting youths to engage in various anti-social activities. K E Y W O R D S : computer-media communication, deceptions, discourse, email, ‘419’, fraud, hoax

Information Transmission around Block Trades on the Spanish Stock Market.

This study investigates the informational effects of large transactions, or Block Trades (BT), in the Spanish Stock Exchange (SSE). In the open market period, this topic was not facilitated in the SSE as it was in other markets until 1998. The SSE thus provides a special environment for analysing the information transmission of these specific transactions. It is assumed that information can be better reflected by changes in true asset value, proxied by the midpoint of bid-ask best quotes. Therefore, we will look at changing true asset value orders instead of trades. Three different effects are studied around BTs: price, liquidity and information transmission. To capture them, three different endogenous variables are considered: true asset returns, relative spreads and adverse selection spread component. With this approach, no clear effects of BTs are found. The main result of the study is that there seems to be an increase in information asymmetries when one looks at the adverse selection spread component in some of the different subsample classifications (buyer, seller and sweeping BT), but there is no significant permanent effect on returns. This result could be related to insiders trading in the market. In sharp contrast with adverse selection evidence, a temporary decrease in bid/ask spread around BTs is also observed. These changes reflect temporary liquidity effects related to other spread components (order processing costs and inventory costs).

Spartan Daily, May 2, 1966

Volume 53, Issue 111https://scholarworks.sjsu.edu/spartandaily/4845/thumbnail.jp

Design of a group oriented, virtual learning environment

This paper presents the design and implementation of a group oriented, decentralised, virtual learning settings where students meet in groups of 3 –5 people at different locations all over the world and communicate via the internet. After presenting the objective of such a didactical design the paper gives an insight into the technical implementation. It presents the advantages and disadvantages of several internet services in such a virtual setting and a way of combining these internet applications according to their special characteristics. While the role of teachers change to those of coordinators the communication process within and between the groups becomes more important – as discussed in the following chapter. The paper concludes with the presentation of two practical applications as offered by the Institute for Didactics and Economics at the Johann Wolfgang Goethe-University Frankfurt/Main (Germany) and some evaluating remarks