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Job market paper: |
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"Stock Exchange Merger and Liquidity" (forthcoming in the Journal of Financial Markets) |
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Pdf file |
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Abstract:
In recent years national stock exchanges have
increasingly been forming alliances or merging with each
other. The impacts of such merger activity are largely
unknown and this paper is among the first to empirically
investigate the effects of stock exchange consolidation.
The paper investigates the effects of the
Euronext stock exchange merger on listed firms, i.e. the
merger of stock exchanges in Amsterdam, Brussels, Lisbon and
Paris. Specifically, it examines how exchange consolidation
has affected stock liquidity and how the effect varies with
firm type, i.e. what types of firms benefit the most in
terms of stock liquidity. Answering how liquidity has change
- and for which firms - is a valuable contribution to
evaluating possible motives for a stock exchange merger and
whether such a cross-border merger is advisable.
The results show asymmetric liquidity gains
from the stock exchange merger, where the positive effects
are concentrated among big firms and firms with foreign
sales. There is not a significant increase in stock
liquidity of small or medium sized firms, nor of firms that
only operate domestically. The merger is also associated
with an increase in Euronext’s market share, where the
increase is drawn from the London Stock Exchange. |
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Work
in progress: |
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"Battle
of the Bourses: Attracting small, good quality firms" |
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The competition
among stock exchanges is examined in light of recent
discussion on whether the US stock exchanges may be losing their competitive edge. Recent literature indicates that US
exchanges still stand strong and any potentially
outperforming exchanges – such as the London AIM market –
primarily attract small firms. This study, however, shows
that small firms listing on the London AIM market are higher
quality firms than comparable firms listing in the US or in
continental Europe. They also raise relatively more capital
and have a higher market valuation. |
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"Clearing
and Settlement of Derivatives: Is a Code-of-Conduct
advisable?" |
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This is a first step to assess
whether a self-regulatory "Code of Conduct", which has been
in effect for European equities, should also be extended to
derivatives. The aim of the code for equities is to increase
competition and customer choice in the European transaction
process (trading, clearing and settlement). This paper
examines whether such a code is advisable for derivatives by
evaluating potential market failures in European derivatives
markets. |
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"Pre-trade
Transparency and Market Quality: Evidence from China",
with Yinghua He. |
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The question of optimal amount of pre-trade
transparency is explored, i.e. whether more pre-trade
transparency leads to improvement or deterioration of market
quality. This is done by using a staggered introduction of
new software in China which gives more pre-trade information
than previously offered. |
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Publications: (available upon request) |
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"Stock Exchange Merger and Liquidity", Journal of Financial Markets, forthcoming.
See above. |
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"Measuring and Regulating Extreme Risk", Journal of
Financial Regulation and Compliance, forthcoming (Cambridge
M.Phil.thesis) |
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Two important
extensions and supplements to the well known Value-at-Risk (VaR)
methodology are discussed, namely Extreme Value Theory (EVT) and Expected
Shortfall (ES). The theory of VaR and the two extensions are
reviewed and the methodology is evaluated in light of the
Basel II regulatory framework that calls for the use of VaR
by financial institutions. |
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"Interdependence of Nordic and Baltic Stock Markets", 2007,
Baltic Journal of Economics (Columbia M.Phil. thesis) |
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The interdependence of the Nordic and Baltic stock
markets is explored in light of increased merger activity of
stock exchanges over the sample period, 1996-2006. The
results show surprisingly little interdependence between the
Nordic and Baltic stock indices. The stock markets seem no more
integrated than they were at the outset of recent merger
activity, suggesting that the levels of cooperation between
the Nordic and Baltic exchanges have not been deep enough to
produce increased interdependence. |
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"The
Impact of News on Return and Volatility of Icelandic Stocks",
2004, Quarterly Journal of the of The Central Bank of
Iceland (Univ. of Iceland M.Sc. thesis). |
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The paper deals with measuring the
effect of news announcements on the Icelandic stock market,
i.e. the effect of news on returns, volatility, turnover and
number of transactions. The study shows that news
announcements have an effect on the returns of stocks and
the market reacts rationally to news given their information
value. The rate of price adjustment is also rapid. Overall the
Icelandic stock market acts similarly as other larger
markets and is efficient with respect to news announcements. |
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Book
chapters: |
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"Iceland", Global Guide to Management Education 2006,
Emerald Group Publishing Ltd. (joint with T. Karlsson) |
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The Icelandic school system is
described from the elementary level up to the unversity level,
with particular focus on business studies. The chapter e.g.
includes an overview of student and faculty statistics and
discussses current issues that business schools in
Iceland face. |
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