Country and Industry-Level Performance of NASDAQ-Listed European and Asia Pacific ADRs

This study examines the 3-year performance of NASDAQ-Listed Asia Pacific and European ADRs versus the NASDAQ Index and their respective regional indexes from 1990-2010. Country specific performance results show ADRs from China, Japan and Ireland performed best versus the US and regional benchmarks. Industry-level results show the best industry performers were in the Technology Hardware & Services industry and in Energy companies

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been fluctuating severely, and it has been observed that the IT.CAC is considerably affected by the NASDAQ- 100. In the first part of this article, we study the volatilities of those two IT indexes, using univariate conditional variance and changes in regime models. We show that the volatilities of the two indexes have considerably increased exhibiting a certain level of correlation. We find signs of a co-movement effect between the volatilities of the NASDAQ-100 and the IT.CAC. The hypothesis of a co-movement effect is discussed in the second part of this article, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100, with no intermediate simultaneous high-low volatility states.Conditional Variance,Regime Changes,New Technologies,Contagion, Volatility.

Do short-sellers arbrtrage accrual-based return anomalies?

We find a positive association between short-selling and accruals, and between short-selling and NOA, during 1988-2003. The accrual and NOA return anomalies are asymmetric. The absolute value of mean abnormal returns is larger for high-accrual firms than low-accrual firms on NASDAQ, but not on NYSE, and the abnormal return asymmetry is stronger among firms with low institutional holdings. For NOA, there is only limited evidence that the abnormal return asymmetry is stronger on NASDAQ than on NYSE. These findings indicate that there is short arbitrage of the accrual and NOA anomalies, but that short sale constraints limit the effectiveness of short arbitrage (especially among NASDAQ firms).Accruals; NOA; anomalies; arbitrage; short sales; market efficiency

The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash

The Nasdaq Composite fell another $\approx 10$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10'th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking: the belief in what was coined a ``New Economy'' both in 1929 and presently made share-prices of companies with three digits price-earning ratios soar. Furthermore, we show that the largest draw downs of the Nasdaq are outliers with a confidence level better than 99% and that these two speculative bubbles, as well as others, both nicely fit into the quantitative framework proposed by the authors in a series of recent papers.Comment: 15 pages including 7 figures. Accepted in Eur. Phys. J. The revised version contains significant parametric and non-parametric statistical tests which establishes the outlier nature of the largest market events and provides an objective definition of a cras

Multiple changes in persistence vs. explosive behaviour: the Dotcom bubble

Based on a method developed by Leybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the NASDAQ stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century and its start and end dates. Furthermore, we compare the results with a test for detecting and date-stamping explosive unit-root behaviour developed by Phillips, Wu and Yu's (2011) also applied to the NASDAQ price and dividend indices. We find that Leybourne, Kim and Taylor's test is capable of detecting the Dotcom bubble as much as Phillips, Wu and Yu's test is, but there are significant differences between the bubble start and end dates suggested by both methods and between these and the dates reported by the financial media. We also find an unexpected negative bubble extending from the beginning of the 1970s to the beginning of the 1990s where the NASDAQ stock prices were below their fundamental values as indicated by their dividend yields, which has not been reported in the literature so far

Recurrence analysis of the NASDAQ crash of April 2000

Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial indices (in analogy with phase transition) before a bubble bursts, whence allowing to estimate the bubble initial time. The analysis is made on NASDAQ daily closing price between Jan. 1998 and Nov. 2003. The NASDAQ bubble initial time has been estimated to be on Oct. 19, 1999.Comment: 5 pages, 3 figures, 1 table, 12 references, to be published in "Fruits of Econophysics", H. Takayasu, Ed. Springer 200

Trade Volume and Exchange Listing in the Market for ETFs

The flow of assets into exchange traded funds (ETFs) has led to a competition among trading venues. This study analyzes the determinants of share volume and the benefits to listing ETFs. While NASDAQ captures more market share in Nasdaq-listed ETFs, the majority of share volume on the NASDAQ book is from ETFs listed on other exchanges. There is also evidence of off-exchange trading in the ETF market, as a large portion of consolidated volume is reported through the Nasdaq-FINRA Trade Reporting Facility (TRF). Together, the NASDAQ exchange and Nasdaq-TRF account for more than half of the volume in Nasdaq-listed ETFs

Was There a Nasdaq Bubble in the Late 1990s?

Not necessarily. The fundamental value of a firm increases with uncertainty about average future profitability, and this uncertainty was unusually high in the late 1990s. We calibrate a stock valuation model that includes this uncertainty, and show that the uncertainty needed to match the observed Nasdaq valuations at their peak is high but plausible. The high uncertainty might also explain the unusually high return volatility of Nasdaq stocks in the late 1990s. Uncertainty has the biggest effect on stock prices when the equity premium is low.