Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. D...Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.展开更多
This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payo...This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.展开更多
Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetar...Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.展开更多
Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking f...Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking for the direction of the market in a given timeframe. High-frequency traders will consider the potential profile-out position in millisecond level. Long-term holder will look into month time scale. For most of average traders, the ideal timeframe will be on daily base. In this paper, for a non-news trading day, the author will introduce statistics method to predict the stock prices and bid-ask spread for day trading.展开更多
基金Acknowledgements： This research is supported in part by National Nature Science Foundation of China （No. 70672029 and 70532001）, project of key base for studies of social science of Ministry of Education of China （No. 05JJD630023）, Social Science Foundation of Tianjin （No. TJ05-GL004）, base for innovation of Philosophy and Social Science 985 Project-＂Management and institution innovation of Corporate in China＂ item.
文摘Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.
文摘This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.
文摘Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.
文摘Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking for the direction of the market in a given timeframe. High-frequency traders will consider the potential profile-out position in millisecond level. Long-term holder will look into month time scale. For most of average traders, the ideal timeframe will be on daily base. In this paper, for a non-news trading day, the author will introduce statistics method to predict the stock prices and bid-ask spread for day trading.
