We explore information spillovers and cross monitoring between the stock and loan markets. To break simultaneity between the stock and loan markets, we use a regulatory experiment, Regulation SHO, that relaxes short selling constraints for a randomly selected sample of Russell3000 stocks, which directly affects information production and monitoring by short sellers in the stock market but is ex...

We examined the effects of trading volume on the persistence of the time-varying conditional volatility of returns and the dynamic relations between trading volume and returns (and volatility) for both domestic and cross-country markets. We considered daily prices and trading volume in four Asian stock exchanges (Korea, Japan, China, and Hong Kong). For the analysis, we used the GARCH model, wh...

When a market for a stock is efficient, the fraud-on-the-market presumption requires courts to initially assume that investors who bought the stock relied on the integrity of the market price. This presumption is critical in establishing the common reliance necessary to certify a class when such investors assert a securities fraud claim under SEC Rule 10b-5. The validity of the fraud-on-the-mar...

Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and the...

Like other nascent and emerging markets, China’s stock markets are highly imperfect, reflecting inadequate disclosure, ineffectual regulatory supervision, opaque corporate governance and legal framework, ownership restrictions, weak shareholder protection, etc. Reflecting the wide-spread perception, Chinese stock markets are often depicted as something like “casinos driven by fast money flows i...

Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-2. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnorm...