Stock Market Volatility around National Elections

This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the countryspecific component of index return variance can easily double during the week around an Election Day, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a coalition with a majority of seats in parliament significantly contribute to the magnitude of the election shock. Our findings have important implications for the optimal strategies of risk-averse stock market investors and participants of the option markets. --Political risk,National elections,Stock market volatility

Piety and Profits: Stock Market Anomaly during the Muslim Holy Month

Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are almost nine times higher and less volatile than during the rest of the year. No discernible difference in trading volume is recorded. We find these results consistent with a notion that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims world-wide, leading to optimistic beliefs that extend to investment decisions.Ramadan Effect; Behavioral Finance; Market Efficiency; Religion

Political Orientation of Government and Stock Market Returns

Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries' leadership are likely to be futile. --Stock market returns,Politics,Presidential puzzle

The relationship between insider trading and volume-induced return autocorrelation

As was establihed in Llorenteetal (2001) the dynamic relationship between return and volume is a function of information asymmetry. This study extends their analysis by linking the volume induced return auto correlarion coefficients with the level of disclosed insider trading. Using New Zealand data, we document a strong link between the sustainability of tradegenerated price changes and the extent of insidertrading. This relationship is robust to alternative econometric specifications and remains significant even after controlling for conventional measure of information asymmetry such as bid-ask spreads size ananalyst following. This suggests that volume induced autocorrelation may be a suitable criterion on which to rank firms on the level of private information trading. --Insidertrading,return autocorrelation

The Impact of the Securities Market Amendment Act 2002 on Insider Trading in New Zealand

Insider trading has a number of harmful effects that can result in financial market distortions reducing its efficient functioning. Much of this harm comes from the large profits insiders expropriate from small investors and the resulting loss of confidence in the market by the investing community. This causes investors to reduce investment and participation in the market and imposes higher risk premiums and transaction costs on share prices to compensate for the added risk of trading against an insider. Studies have however shown that the regulatory regime of a country can impact on the degree of harm suffered by a market from the presence of insiders.However perceptions and commentaries on the laws governing insider trading in New Zealand over the past decade and a half have been generally dismissive. These views in no small part have been driven by the lack of successful enforcement since their introduction in 1988 despite a number of high profile situations that have reinforced the belief that insider trading is rife in the market. Etebari Tourani-Rad and Gilbert (2004) also showed that under the previous regime insider's trades earned profits that were significantly higher than both those of ordinary investors as well as insiders from more effectively regulated markets. To rectify this problem the Securities Market Amendment Act 2002 was enacted targeting the major weaknesses of the previous law. The new law now requires all corporate insiders executives directors and substantial shareholders to disclose details of their transactions within 5 working days and allows the Securities Commissions to prosecute an insider. These changes should reduce the amount of insider trading and therefore improve confidence in the New Zealand Stock Exchange. This paper examines the effect that these changes have had on the structure of the New Zealand market to see if the changes have been effective

Do Stock Market Fluctuations Affect Suicide Rates?

In this study, we extend the standard economic model of suicide by considering a new influential factor driving the voluntary death rate. Using an international sample, we estimate the model and document a robust and significant inverse relationship between stock market returns and the percentage increase in suicide rates. Trends in male and female suicide are affected by market fluctuations, both contemporaneously and at a lag. This predictive quality of stock returns offers the potential to implement pro-active suicide prevention strategies for those who could be affected by the vagaries of the market and general economic downturns

Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly

This paper uses the tools of computational linguistics to analyze the qualitative part of the annual reports of UK listed companies. More specifically, the frequency of words associated with praise, concreteness and activity is measured and used to forecast future stock returns. We find that our language indicators predict subsequent price increases, even after controlling for a wide range of factors. Elevated values of the linguistic variables, however, are not symptomatic of exacerbated risk. Consequently, investors are advised to peruse the annual report narrative, as it contains valuable information that may still not have been discounted in the prices

Modelling customers' intentions to use contactless cards

Since their introduction in the USA in 2002, contactless card payment systems have been widely regarded as the pinnacle of current retail banking technology. However, the potential demand and usage of this innovation has hitherto received little attention from the academic community. Ours is one of the first papers that explore the factors that are likely to govern acceptance and intentions to take-up the technology. The analysis utilises the methodological framework of the technology acceptance model (Davis, 1989; Davis et al., 1989) and develops a range of empirical representations. Our results lend support to the TAM conceptualisation and also indicate that some demographic characteristics imprint upon the intentions of potential users

The Impact of the Securities Market Amendment Act 2002 on Insider Trading in New Zealand

Insider trading has a number of harmful effects that can result in financial market distortions reducing its efficient functioning. Much of this harm comes from the large profits insiders expropriate from small investors and the resulting loss of confidence in the market by the investing community. This causes investors to reduce investment and participation in the market and imposes higher risk premiums and transaction costs on share prices to compensate for the added risk of trading against an insider. Studies have however shown that the regulatory regime of a country can impact on the degree of harm suffered by a market from the presence of insiders.However perceptions and commentaries on the laws governing insider trading in New Zealand over the past decade and a half have been generally dismissive. These views in no small part have been driven by the lack of successful enforcement since their introduction in 1988 despite a number of high profile situations that have reinforced the belief that insider trading is rife in the market. Etebari Tourani-Rad and Gilbert (2004) also showed that under the previous regime insider's trades earned profits that were significantly higher than both those of ordinary investors as well as insiders from more effectively regulated markets. To rectify this problem the Securities Market Amendment Act 2002 was enacted targeting the major weaknesses of the previous law. The new law now requires all corporate insiders executives directors and substantial shareholders to disclose details of their transactions within 5 working days and allows the Securities Commissions to prosecute an insider. These changes should reduce the amount of insider trading and therefore improve confidence in the New Zealand Stock Exchange. This paper examines the effect that these changes have had on the structure of the New Zealand market to see if the changes have been effective