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Liu, Yuna
Publications (6 of 6) Show all publications
Hellström, J., Liu, Y. & Sjögren, T. (2018). Stock Exchange Mergers and Weak-Form Information Efficiency: Evidence from the OMX Nordic and Baltic Consolidation. The Nordic Journal of Business, 67(2), 114-136
Open this publication in new window or tab >>Stock Exchange Mergers and Weak-Form Information Efficiency: Evidence from the OMX Nordic and Baltic Consolidation
2018 (English)In: The Nordic Journal of Business, ISSN 2342-9003, E-ISSN 2342-9011, Vol. 67, no 2, p. 114-136Article in journal (Refereed) Published
Abstract [en]

In this paper, we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. A time-varying measure of return predictability for individual stocks is used in a panel-data seting to test for stock market merger effects. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed, indicating, among other, a flight to liquidity effect, i.e. relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency.

Place, publisher, year, edition, pages
Aalto: Association of business Schools, Aalto University, 2018
Keywords
Time-varying return predictability, turnover, market structure
National Category
Economics
Identifiers
urn:nbn:se:umu:diva-163496 (URN)
Available from: 2019-09-23 Created: 2019-09-23 Last updated: 2019-09-26Bibliographically approved
Liu, Y. (2016). Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations. (Doctoral dissertation). Umeå: Umeå University
Open this publication in new window or tab >>Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
2016 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.

In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns.

In Paper [II] we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed in the sense that relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency and turnover. Although the results indicate that changes in the level of investor attention (measured by turnover) may explain part of the changes in information efficiency, they also lend support to the hypothesis that merger effects may partially be driven by changes in the composition of informed versus uninformed investors following a stock.

Paper [III] analyzes whether the measured level of trust in different countries can explain bilateral stock market correlations. One finding is that generalized trust among nations is a robust predictor for stock market correlations. Another is that the trust effect is larger for countries which are close to each other. This indicates that distance mitigates the trust effect. Finally, we confirm the effect of trust upon stock market correlations, by using particular trust data (bilateral trust between country A and country B) as an alternative measurement of trust.

In Paper [IV] we present the impact of the stock market mergers that took place in the Nordic countries during 2000 – 2007 on the probabilities for stock price jumps, i.e. for relatively extreme price movements. The main finding is that stock market mergers, on average, reduce the likelihood of observing stock price jumps. The effects are asymmetric in the sense that the probability of sudden price jumps is reduced for large and medium size firms whereas the effect is ambiguous for small size firms. The results also indicate that the market risk has been reduced after the stock market consolidations took place.

Place, publisher, year, edition, pages
Umeå: Umeå University, 2016. p. 20
Series
Umeå economic studies, ISSN 0348-1018 ; 926
Keywords
Time-varying return predictability, Tests for jumps, International financial markets, Market structure, Common trading platform, Integration, Time-varying correlation, C-GARCH, Trust, Portfolio Diversification, Stock Market Participation
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-119873 (URN)978-91-7601-459-2 (ISBN)
Public defence
2016-05-31, Hörsal C, Samhällsvetarhuset, Umeå universitet, Umeå, 13:15 (English)
Opponent
Supervisors
Available from: 2016-05-10 Created: 2016-05-01 Last updated: 2018-06-07Bibliographically approved
Liu, Y. (2016). Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers.
Open this publication in new window or tab >>Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers
2016 (English)Report (Other academic)
Abstract [en]

The impact of the stock market mergers that took place in the Nordic countries during 2000 – 2007 on the probabilities for stock price jumps, i.e. for relatively extreme price movements, are studied. The main finding is that stock market mergers, on average, reduce the likelihood of observing stock price jumps. The effects are asymmetric in the sense that the probability of sudden price jumps is reduced for large and medium size firms whereas the effect is ambiguous for small size firms. The results also indicate that the market risk has been reduced after the stock market consolidations took place.

Publisher
p. 32
Series
Umeå economic studies, ISSN 0348-1018 ; 925
Keywords
Tests for jumps, International financial markets, Market structure, Integration, Common trading platform, Mergers, Acquisitions
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-119871 (URN)
Available from: 2016-05-01 Created: 2016-05-01 Last updated: 2018-06-07Bibliographically approved
Hellström, J., Liu, Y. & Sjögren, T. (2016). Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation.
Open this publication in new window or tab >>Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation
2016 (English)Report (Other academic)
Abstract [en]

In this paper we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. In the study, a time-varying measure of return predictability for individual stocks is used in a panel-data setting to test for stock market merger effects. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed which indicates a flight to liquidity effect in the sense that relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency and turnover. Although the results indicate that changes in the level of investor attention (measured by turnover) may explain part of the changes in information efficiency, they also lend support to the hypothesis that merger effects may partially be driven by changes in the composition of informed versus uninformed investors following a stock.

Publisher
p. 33
Series
Umeå economic studies, ISSN 0348-1018 ; 923
Keywords
Time-varying return predictability, market structure
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-119868 (URN)
Available from: 2016-05-01 Created: 2016-05-01 Last updated: 2018-06-07Bibliographically approved
Liu, Y. (2016). Trust and stock market correlation: a cross-country analysis.
Open this publication in new window or tab >>Trust and stock market correlation: a cross-country analysis
2016 (English)Report (Other academic)
Abstract [en]

Several studies have shown that the level of trust between agents is an important determinant of financial decisions. This paper studies this issue further by analyzing whether the measured level of trust in different countries can explain bilateral stock market correlations. Using a panel of 62 countries and 1891 country-pairs over a period of ten years, the effect of generalized trust on stock market correlations is analyzed. One finding is that generalized trust among nations is a robust predictor for stock market correlation. Another is that the trust effect is larger for countries which are close to each other which indicates that distance mitigates the trust effect. Finally, we confirm the effect of trust upon stock market correlations, by using particular trust data (bilateral trust between country A and country B) as an alternative measurement of trust.

Publisher
p. 29
Series
Umeå economic studies, ISSN 0348-1018 ; 924
Keywords
International Financial Markets, Stock Market Correlation, Trust, Volatility, Portfolio Diversification, Stock Market Participation
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-119869 (URN)
Available from: 2016-05-01 Created: 2016-05-01 Last updated: 2018-06-07Bibliographically approved
Hellström, J., Liu, Y. & Sjögren, T. (2013). Stock exchange mergers and return co-movement: A flexible dynamic component correlations model. Economics Letters, 121(3), 511-515
Open this publication in new window or tab >>Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
2013 (English)In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 121, no 3, p. 511-515Article in journal (Refereed) Published
Abstract [en]

The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.

Place, publisher, year, edition, pages
Elsevier, 2013
Keywords
Time-varying correlation, Long-run trend, Transitory component, C-GARCH
National Category
Business Administration Economics
Research subject
Business Studies; Economics
Identifiers
urn:nbn:se:umu:diva-81736 (URN)10.1016/j.econlet.2013.10.001 (DOI)000329145500038 ()
Available from: 2013-10-21 Created: 2013-10-21 Last updated: 2018-06-08Bibliographically approved
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