The Effects of Option Expiration on NSE volume and prices

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our knowledge, this is a first such study done on the Indian market.option expiration, indian market, nse, abnormal trading volume, abnormal price movement, individual stock reversal, stock pinning, stock price clustering

The Effect of Interest-Rate Movements on Real Estate Investment Trusts

The rising interest-rate environment in early 1994 in the United States raised questions by investors as to how REITs will react to interest-rate movements. This study analyzes the movement of REIT price changes during past interest-rate cycles. The results indicate that REIT price movements have a low correlation with changes in interest rates and a lower correlation with interest rates than with movements in the stock market as a whole. The findings lead to a call for research into other areas in order to ascertain the determinants of REIT price movement.

Liberalization and globalization:Trojan horse for the cotton traders' domination in francophone Africa

The Francophone African Countries (FACs) exclusively fight for the abolition of subsidies applied by a few big cotton producing countries. Although legitimate, it is doubtful that the outcome could be so much satisfactory because subsidizing countries have room in re-arranging measures of their support policies. The FACs are missing the effect of market structure on price formation. Market power of trading Multinational Companies (MNCs) is getting stronger and stronger. It concerns cotton too and there are signs that an international price index serves as an expression of this power. The FACs were protected from MNCs in the cotton trade. Within less than one decade, and thanks to the implementation of the liberalization process, these companies have become totally dominant. Liberalization then served as Trojan Horse for the MNCs penetration.Negative price impact resulted. Unilateral and unfair change of cotton transaction rules took place. Historical private regulation systems are being pushed down to the sole benefit of traders and at the expense of cotton producers.It is worth noting the paradox of exacerbated concentration of the commodity trade at the international level while developing countries were forced to go into a fragmentation movement by abolishing marketing boards or public monopoly companies which provided some price protection to farmers. This fragmentation movement made easier the domination of trading MNCs in developing countries through power in price formation and adjustment of transaction rules

Modeling On-Line Art Auction Dynamics Using Functional Data Analysis

In this paper, we examine the price dynamics of on-line art auctions of modern Indian art using functional data analysis. The purpose here is not just to understand what determines the final prices of art objects, but also the price movement during the entire auction. We identify several factors, such as artist characteristics (established or emerging artist; prior sales history), art characteristics (size; painting medium--canvas or paper), competition characteristics (current number of bidders; current number of bids) and auction design characteristics (opening bid; position of the lot in the auction), that explain the dynamics of price movement in an on-line art auction. We find that the effects on price vary over the duration of the auction, with some of these effects being stronger at the beginning of the auction (such as the opening bid and historical prices realized). In some cases, the rate of change in prices (velocity) increases at the end of the auction (for canvas paintings and paintings by established artists). Our analysis suggests that the opening bid is positively related to on-line auction price levels of art at the beginning of the auction, but its effect declines toward the end of the auction. The order in which the lots appear in an art auction is negatively related to the current price level, with this relationship decreasing toward the end of the auction. This implies that lots that appear earlier have higher current prices during the early part of the auction, but that effect diminishes by the end of the auction. Established artists show a positive relationship with the price level at the beginning of the auction. Reputation or popularity of the artists and their investment potential as assessed by previous history of sales are positively related to the price levels at the beginning of the auction. The medium (canvas or paper) of the painting does not show any relationship with art auction price levels, but the size of the painting is negatively related to the current price during the early part of the auction. Important implications for auction design are drawn from the analysis.Comment: Published at http://dx.doi.org/10.1214/088342306000000196 in the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org

Correlation, price discovery and co-movement of ABS and equity

Asset-backed securitization (ABS) has become a viable and increasingly attractive risk management and refinancing method either as a standalone form of structured finance or as securitized debt in Collateralized Debt Obligations (CDO). However, the absence of industry standardization has prevented rising investment demand from translating into market liquidity comparable to traditional fixed income instruments, in all but a few selected market segments. Particularly low financial transparency and complex security designs inhibits profound analysis of secondary market pricing and how it relates to established forms of external finance. This paper represents the first attempt to measure the intertemporal, bivariate causal relationship between matched price series of equity and ABS issued by the same entity. In a two-dimensional linear system of simultaneous equations we investigate the short-term dynamics and long-term consistency of daily secondary market data from the U.K. Sterling ABS/MBS market and exchange traded shares between 1998 and 2004 with and without the presence of cointegration. Our causality framework delivers compelling empirical support for a strong co-movement between matched price series of ABS-equity pairs, where ABS markets seem to contribute more to price discovery over the long run. Controlling for cointegration, risk-free interest and average market risk of corporate debt hardly alters our results. However, once we qualify the magnitude and direction of price discovery on various security characteristics, such as the ABS asset class, we find that ABS-equity pairs with large-scale CMBS/RMBS and credit card/student loan ABS reveal stronger lead-lag relationships and joint price dynamics than whole business ABS. JEL Classifications: G10, G12, G2

A Rational Explanation for Boom-and-Bust Price Patterns in Real Estate Markets

This paper develops a stylized model to provide a rational explanation for the boom-and-bust price movement pattern that we frequently observe in the real world. Our stylized model indicates that there are three conditions to form a boom-and-bust price pattern in a community: a move-in of high income residents, wide income gap between new and existing residents, and supply process that leads to an inventory buildup. It seems that, based on these three conditions, China is more likely to experience a boom-and-bust price movement pattern than a developed country with a more mature and less vibrant economy.Real Estate Cycles; Boom-and-Bust; Supply Decision; Moving Costs