Momentum Trading in New York Stock Exchange (NYSE) Energy Stocks

This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.

Trading Activity in Options and Stock Around Price-Sensitive News Announcements

This study investigates the trading activity in options and stock markets around informed events with extreme daily stock price movements. We find that informed agents are more likely to trade options prior to negative news and stocks ahead of positive news. We also show that optioned stocks overreact to the arrival of negative news, but react efficiently to positive news. However, the overreaction patterns are unique to the subsample of stocks with the lowest pre-event abnormal option/stock volume ratio (O/S). This finding suggests that the incremental benefit of option listing is related to the level of option trading activity, over and beyond the presence of an options market on the firm's stock. Finally, we find that the pre-event abnormal O/S is a better predictor of stock price patterns following a negative shock than is the pre-event O/S, implying that the former may contain more information about the future value of stocks than the latter.

Much Ado About Nothing: The Limitation of Liability and the Market for 19th century Irish Bank Stock

Abstract Limited liability is widely believed to be a prerequisite for the emergence of an active and liquid securities market because the transactions costs associated with trading ownership of unlimited liability firms are viewed as prohibitive. In this article, we examine the trading of shares in an Irish bank, which limited its liability in 1883. Using this bank’s archives, we assemble a time series of trading data, which we test for structural breaks. Our results suggest that the move to limited liability had a negligible impact upon the trading of this bank’s shares.

The Trading of Unlimited Liability Bank Shares in Nineteenth Century Ireland: The Bagehot Hypothesis

In the mid-1820s, banks became the first businesses in Great Britain and Ireland to be allowed to form freely on an unlimited liability joint-stock basis. Walter Bagehot warned that their shares would ultimately be owned by widows, orphans, and other impecunious individuals. Another hypothesis is that the governing bodies of these banks, constrained by special legal restrictions on share trading, acted effectively to prevent such shares being transferred to the less wealthy. We test both conjectures using the archives of an Irish joint-stock bank. The results do not support Bagehot's hypothesis.

Technology and the architecture of markets: re-configuring the Canadian equity market

This paper examines the relation between technical possibilities, liberal logics, and the concrete reconfiguration of markets. It focuses on the enrolling of innovations in communication and information technologies into the markets traditionally dominated by stock exchanges. With the development of capacities to trade on-screen, the power of incumbent market makers has been challenged as a less stable array of competing quasi-public and private marketplaces emerges. Developing a case study of the Toronto Stock Exchange, I argue that narrative emphasis on the performative power of sociotechnical innovations, the deterritorialisation of financial relations, and the erosion of state capacities needs qualification. A case is made for the importance of developing an understanding of: the spaces of encounter between emerging social technologies and property rights, rules of exchange, and structures of governance; and the interplay of orderings of different institutional composition and spatial reach in the reconfiguration of market architectures. Only then can a better grasp be gained of the evolving dynamics between making markets, the regulatory powers of the state, and their delimitations.

UK Power Sector Challenge to National Allocation Plan Under the EU Emissions Trading Scheme Refused by the European Court of Justice

In Case T-130/06 Drax Power and others v European Commission, the Court of First Instance held that an application by Drax Power and others for annulment of Commission Decision (C(2006)426 final of 22 February 2006 concerning a proposed amendment to the National Allocation Plan notified by the UK in accordance with the EU Emissions Trading Directive was inadmissable. The Court ruled that the applicants could not be considered to be 'directly concerned' by the contested decision within the meaning of the fourth paragraph of Article 230 of the European Treaty, on legal standing: 'Any natural or legal person may, under the same conditions, institute proceedings against a decision addressed to that person or against a decision, which, although in the form of a regulation or a decision addressed to another persion, is of direct and individual concern to the former...'