The Impact of Speculation Upon Volatility and Market Efficiency: The Badla Experience on the Bse
The Impact of Speculation Upon Volatility and Market Efficiency: The Badla Experience on the Bse
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投机对波动性和市场效率的影响：Bse 的 Badla 经验
DOI：
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发表时间：
1995
期刊：
影响因子：
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通讯作者：
Ajay Shah
中科院分区：
文献类型：
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作者：
Ajay Shah
1994年3月12日，印度证券交易委员会对孟买证券交易所的交易实行了新的规范，其实际后果是取消了一种远期交易形式。没有badla，投机交易员在BSE的作用就会减弱。本文旨在衡量这种消除投机交易对BSE波动性的影响。我们探索和批评了在这个问题上得出结论的各种不同方法，并提出了一种评估策略，该策略利用了将这一事件视为自然实验的独特机会。我们对每日非系统风险的检查，在我们的样本中平均取3%的值，表明badla将其减少了大约0.25个百分点。这一估计的统计意义是微弱的，特别是考虑到一个定性的论点，表明这一估计是向上偏倚的。根据每周收益数据，badla似乎对非系统性风险没有影响。在市场效率的问题上，我们发现badla对短期市场效率略微有利：A公司日收益的不可预测性在1994年3月12日之后的一年里恶化了。这种效应集中在短视界；在1994年3月12日之后的一年里，每周收益的可预测性实际上略有下降。
On 12 March 1994, SEBI imposed new norms on trading in the Bombay Stock Exchange, and the effective consequence of this has been an elimination of {\em badla}, a form of forward trading. Without badla, the role of speculative traders on the BSE is diminished. This paper sets out to measure the impact of this elimination of speculative trading upon volatility on the BSE. We explore, and criticise, a variety of different methods of arriving at a conclusion on this question, and present an estimation strategy which exploits the unique opportunity to view this episode as a natural experiment. Our examination of daily unsystematic risk, which takes the value of 3\% in our sample on average, reveals that badla diminishes it by roughly 0.25 percentage points. The statistical significance of this estimate is weak, especially in the light of a qualitative argument suggesting that this estimate is biased upwards. Working with weekly returns data, badla seems to have no impact upon unsystematic risk. On the subject of market efficiency, we find that badla is slightly beneficial for short--horizon market efficiency: the non-forecastability of daily returns of A companies has worsened in the year following 12 March 1994. This effect is concentrated in the short horizon; the degree of forecastability of weekly returns has actually diminished slightly in the year after 12 March 1994.