Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006

Vietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; Strong herd effect toward extreme positive returns of the market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities re-think the use of price limit and give more freedom to market participants.

New empirical results on anomalies and herd behaviour: Vietnam stock market 2000-2004

info:eu-repo/semantics/published

Some new results on anomalies and herd behavior: Vietnam stock market

info:eu-repo/semantics/published

Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

[BSHM meetings] Topics in the history of financial mathematics: early commerce to chaos in modern stock markets

This account provides an overview of the study day, entitled 'Topics in the History of Financial Mathematics: Early commerce to chaos in modern stock markets,' held by the British Society for the History of Mathematics jointly with Gresham College, at Gresham College, London on 25th April 2008. The series of talks explored the development of mathematics and mathematical techniques in a commercial and financial context.

Depth gradients of benthic standing stock and diversity on the continental margin at a high-latitude ice-free site (off Spitsbergen 79 degrees N)

High-latitude seas are mostly covered by multi-year ice, which impacts processes of primary production and sedimentation of organic matter. Because of the warming effect of West Spitsbergen Current (WSC), the waters off West Spitsbergen have only winter ice cover. That is uncommon for such a high latitude and enables to separate effects of multiyear-ice cover from the latitudinal patterns. Macrofauna was sampled off Kongsfjord (79°N) along the depth gradient from 300 to 3000 m. The density, biomass and diversity at shallow sites situated in a canyon were very variable. Biomass was negatively correlated with depth (R=-0.86R=-0.86, p<0.001), and ranged from 61 g ww m−2 (212 m) to 1 g ww m−2 (2025 m). The biomasses were much higher than in the multiyear-ice covered High Arctic at similar depths, while resembling those from temperate and tropical localities. Species richness (expressed by number of species per sample and species–area accumulation curves) decreased with depth. There was no clear depth-related pattern in diversity measures: Hurbert rarefaction, Shannon–Wiener or Pielou. The classic increase of species richness and diversity with depth was not observed. Species richness and diversity of deep-sea macrofauna were much lower in our study than in comparable studies of temperate North Atlantic localities. That is related to geographic isolation of Greenland–Icelandic–Norwegian (GIN) seas from the Atlantic pool of species.

Fishery Exploitation and Stock Assessment of the Endangered Nassau Grouper, Epinephelus Striatus (Actinopterygii: Perciformes: Serranidae), in the Turks and Caicos Islands

The Nassau grouper, Epinephelus striatus (Bloch, 1792), is an endangered species that has been historically overexploited in numerous fisheries throughout its range in the Caribbean and tropical West Atlantic. Data relating fishery exploitation levels to stock abundance of the species are deficient, and protective regulations for the Nassau grouper are yet to be implemented in the Turks and Caicos Islands (TCI). The goal of this study was to conduct a stock assessment and evaluate the exploitation status of the Nassau grouper in the TCI. Materials and methods. Calibrated length cohort analysis was applied to published fisheries data on Nassau grouper landings in the TCI. The total lengths of Nassau groupers among the catches of spearfishers, lobster trappers, and deep sea fishers on the island of South Caicos during 2006 and 2008 were used with estimates of growth, natural mortality, and total annual landings to derive exploitation benchmarks. Results. The TCI stock experienced low to moderate fishing mortality (0.28, 0.18) and exploitation rates (0.49, 0.38) during the period of the study (2006, 2008). However, 21.2%-64.4% of all landings were reproductively immature. Spearfishing appeared to contribute most to fishing mortality relative to the use of lobster traps or hydraulic reels along bank drop-offs. Conclusion. In comparison with available fisheries data for the wider Caribbean, the results reveal the TCI as one of the remaining sites, in addition to the Bahamas, with a substantial Nassau grouper stock. In light of increasing development and tourism in the TCI, continued monitoring is essential to maintain sustainable harvesting practices.

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.