Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 1990 to Dec. 31 2001. New York market is found to be the strongest among the six in terms of market efficiency. Moreover, the Tokyo and Singapore markets are found to be very similar in fractal dimension and probability distribution, but different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that the Tokyo market is more efficient than the Singapore market. The Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, the Taiwanese and Korean markets are the two most volatile markets among the six. Notably, the Taiwanese market is weaker than the Korean market in dissipating volatility.Volatility, fractal dimension, probability distribution.

Phase Distribution and Phase Correlation of Financial Time Series

Scaling, phase distribution and phase correlation of financial time series are investigated based on the Dow Jones Industry Average (DJIA) and NASDAQ 10-minute intraday data for a period from Aug. 1 1997 to Dec. 31 2003. The returns of the two indices are shown to have nice scaling behaviors and belong to stable distributions according to the criterion of Levy's alpha stable distribution condition. A novel approach catching characteristic features of financial time series based on the concept of instantaneous phase is further proposed to study phase distribution and correlation. The analysis of phase distribution concludes return time series fall into a class which is different from other non-stationary time series. The correlation between returns of the two indices probed by the distribution of phase difference indicates there was a remarkable change of trading activities after the event of 911 attack, and this change persisted in later trading activities.Phase Distribution, High Frequency Data, Scaling Analysis, Levy Distribution, Stock Market, Frequency Variant

Debt maturity and corporate R&D investment – the empirical study of US listed firms

This study investigates the relationships between debt maturity structure and corporation R&D investment. Using a large sample of US listed firms over the period of 1995 to 2015, it was found that the use of bank debt positively influences R&D investment, whereas the use of public debt exerts a negative impact. However, the Sarbanes-Oxley Act (SOX) mitigates the information asymmetry such that the advantages of private information from banks shrunk. As a result, public debtholders benefit more from the SOX and turn out to be positively influenced by the R&D investment after SOX. Moreover, bank debt impact on R&D spending reduces over the post-SOX. The results also find that the SOX influences the debt maturity on corporate R&D investment only for large corporations, the effects remain unchanged for small businesses

Weekday effects on gold: Tokyo, London, and New York markets

Using the probability distribution approach, this study explores the weekday effects among Tokyo, London, and New York gold markets. Friday shows positive and significant higher returns, whereas Tuesday shows negative and significant lower returns than other weekdays. The weekend effects still exist, while Monday effects disappear. On average, London was found to have the highest returns, followed by New York and Tokyo. The peak and width estimations show that Tokyo has the highest volatility, while London and New York have similar volatility distributions, implying a similar preference behavior of investors. It also implies that arbitrage opportunities between London and New York could be trivial. After estimating the distribution from Monday to Friday across the three markets, we found that the distribution of return shows a leftward shifting in London and New York, meaning that the weekend effect is starting earlier from Wednesday and Thursday in London and New York. Some strategy implications are valuable to traders or hedgers Vol. 11, Iss: 2, pp.33-44