Friend or Foe? Foreign investors and the liquidity of six Asian markets

Studying Foreign flows and the liquidity of six Asian markets we provide evidence of two empirical regularities: On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis. This finding is shown consistent with two hypotheses: that foreign investors demand liquidity more aggressively than locals, and, to a lesser extent, that foreigners incorporate market-wide information. On the other hand, the overall share of foreign ownership in the market is positively related to improved liquidity, as shown in a sample of emerging markets, after controlling for a set of confounding factors. Overall, the results portray foreign investors as aggressive liquidity demanding, and nevertheless having a positive effect on the liquidity in short horizon

The properties of ten O-type stars in the low-metallicity galaxies IC 1613, WLM and NGC 3109

Massive stars likely played an important role in the reionization of the Universe, and the formation of the first black holes. Massive stars in low-metallicity environments in the local Universe are reminiscent of their high redshift counterparts. In a previous paper, we reported on indications that the stellar winds of low-metallicity O stars may be stronger than predicted, which would challenge the current paradigm of massive star evolution. In this paper, we aim to extend our initial sample of six O stars in low-metallicity environments by four. We aim to derive their stellar and wind parameters, and compare these to radiation-driven wind theory and stellar evolution models. We have obtained intermediate-resolution VLT/X-Shooter spectra of our sample of stars. We derive the stellar parameters by fitting synthetic fastwind line profiles to the VLT/X-Shooter spectra using a genetic fitting algoritm. We compare our parameters to evolutionary tracks and obtain evolutionary masses and ages. We also investigate the effective temperature versus spectral type calibration for SMC and lower metallicities. Finally, we reassess the wind momentum versus luminosity diagram. The derived parameters of our target stars indicate stellar masses that reach values of up to 50 $M_{\odot}$. The wind strengths of our stars are, on average, stronger than predicted from radiation-driven wind theory and reminiscent of stars with an LMC metallicity. We discuss indications that the iron content of the host galaxies is higher than originally thought and is instead SMC-like. We find that the discrepancy with theory is lessened, but remains significant for this higher metallicity. This may imply that our current understanding of the wind properties of massive stars, both in the local universe as well as at cosmic distances, remains incomplete.Comment: Accepted for publication in Astronomy and Astrophysics. 10 pages, 8 figure

Factorizations of tropical and sign polynomials

In this text, we study factorizations of polynomials over the tropical hyperfield and the sign hyperfield, which we call `tropical polynomials' and `sign polynomials', respectively. We classify all irreducible polynomials in either case. We show that tropical polynomials factor uniquely into irreducible factors, but that unique factorization fails for sign polyomials. We describe division algorithms for tropical and sign polynomials by linear terms that correspond to roots of the polynomials

Liquidity spillover effects of equity offerings over dual-class shares

We study the spillover effect from equity offerings over dual-class shares. Whereas, evidence has been found that a seasoned equity offering improves stock liquidity, the effect over the liquidity of different type shares of the same firm has not been explored. We use equity offerings of five Latin American countries: Brazil, Chile, Colombia, Mexico and Peru, during 1995 to 2012, because dual-class shares are widely used in the regions. In spite of the expected information asymmetry reduction, using panel data models we found a stock liquidity reduction of dual-class shares upon the offering; consistent with trading migration effects, according with the theory of inventory costs

Anuncios macroeconómicos y mercados Accionarios: El caso Latinoamericano

Reflejan los mercados accionarios los fundamentales macroeconómicos de un país?. La hipótesis de eficiencia semifuerte (Fama 1970) implica que los mercados accionarios deben reaccionar inmediatamente, y sin sobre ni subreacción predecible, a las sorpresas en los anuncios macroeconómicos relevantes. Ponemos a prueba esta implicación en los seis principales mercados accionarios de Latinoamérica: Argentina, Brasil, Chile, Colombia, México y Perú ante los anuncios de inflación, tasa de interés del banco central, PIB, balanza comercial y desempleo. Se discute el efecto esperado de una sorpresa en el anuncio de cada variable económica. Siguiendo a Flannery y Protopapadakis (2002), se estima el efecto sobre la media y la volatilidad de dichos anuncios mediante modelos de serie de tiempo univariados de volatilidad heterocesdástica controlando por los efectos de los rendimientos de índices internacionales y de la tasa de cambio. Entre los principales hallazgos se encuentra que los efectos de los anuncios solo son significativos y con el signo esperado para la inflación en México, para la tasa de interés en Chile y Colombia, y para el desempleo en estos tres mercados. Se encuentra además que, en determinados casos, los mercados no incorporan toda la información en el día del anuncio, y en otros, que reaccionan ante el anuncio en sí mismo controlando por la sorpresa, contrario a lo postulado por la hipótesis de eficiencia de mercado. Se concluye que los mercados accionarios latinoamericanos, solo reaccionan parcialmente a la información macro, y no con total eficiencia.Do stock markets reflect changes on the macroeconomic fundamentals? . The semi-strong form of the Efficient market hypothesis (HEM - Fama 1970) asserts that stock prices should react immediately to the surprise content on announcements of macroeconomic variables, without predictable over or under reaction. We test this in the six main Latin-American equity markets: Argentina, Brazil, Chile, Colombia, México and Perú, for the announcements of Consumer Price Inflation, Central Bank interest rate, GDP growth, Trade Balance and Unemployment rate. Following Flannery and Protopapadakis (2002), we estimate the effect of the surprises of such announcements, using time series models of conditional volatility, controlling of the exchange rate and international stock markets. We found that the effects on the market returns are significant and with the expected sign only for the CPI in Mexico, for the interest rate in Chile and Colombia, and for Unemployment on those three markets. Moreover, in some cases the stock markets incorporate the announcement with a lag, whereas in others, they react to the announcement rather than to the surprise, in conflict with the HEM. We conclude that the Latin-American stock markets react only partially to the macroeconomic announcements and not fully incorporating the new information in an efficient manner