Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM
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B3 Transfers Equities to Its Multi-Asset Clearing Platform
Press release 29 August 2017 B3 transfers equities to its multi-asset clearing platform Cinnober’s real-time clearing solution now handles post trading process for both the equities and the derivatives markets in Brazil • BRL 21 billion of collateral returned to the market (approx. USD 6,4 billion) • Phase two completed of major Post-Trade Integration Project going from two clearinghouses to one for equities and derivatives • More efficient risk management by analyzing the risk on entire portfolios B3 (the Brazilian exchange and clearinghouse) successfully launched on Monday the equities, corporate bonds, and equities lending markets on its new multi-asset clearing platform. The clearing solution is delivered by Cinnober, built on its TRADExpress RealTime Clearing system. The migration of the equities clearinghouse was the target for phase two of B3’s Post-Trade Integration Project that will consolidate B3’s originally four clearinghouses into one integrated entity (managing equities, derivatives, government and corporate debt securities and FX). Derivatives and OTC products were the first to launch on the new platform in phase one. With the new integrated clearinghouse, B3 manages risk more efficiently. By analyzing the risk on entire portfolios, the clearinghouse can compensate if an investor has opposite positions in the same underlying asset across product groups and markets. When financial and commodity derivatives, along with OTC products, migrated to the new clearinghouse in phase one, the total systemic benefit in terms of margin release amounted to around BRL 20 billion. The estimated effect from Monday’s launch of phase two is BRL 21 billion of collateral that was returned to the market with complete preservation of the clearinghouse’s safety system. -
Euronext Amsterdam Notice
DEPARTMENT: Euronext Amsterdam Listing Department ISSUE DATE: Tuesday 13 April 2021 EFFECTIVE DATE: Tuesday 13 April 2021 Document type: Euronext Amsterdam Notice Subject: EURONEXT AMSTERDAM PENALTY BENCH END DATE INTRODUCTION Pursuant to Rule 6903/3, Euronext Amsterdam may decide to include a Security to the Penalty Bench if the Issuer fails to comply with the Rules. This Notice sets out Euronext Amsterdam’s policy with respect to the term a Security can be allocated to the Penalty Bench after which it may be removed from trading. DETAILS Policy for delisting of issuers on the Penalty Bench When Euronext Amsterdam establishes that an Issuer fails to remedy the violation(s) of the Rule(s) that caused the transfer of its instruments to the Penalty Bench and the instruments have been on the Penalty bench for at least 24 months(*), Euronext will consider the violation(s) as a manifest failure of the Issuer to comply with the obligations imposed and the requirements set pursuant to the Rules in accordance with 6905/1(a). The process to come to a decision to remove the Securities will then commence. The final decision will be taken taking all relevant circumstances into account including but not limited to the the investors’ interests and the orderly functioning of the market. The process to delist will be applied in accordance with Rule 6905/1(ii) jo 6905/2 with the following specifications: - The date of the delisting will be at least 6 months after the formal decision. In the meantime, the instrument remains on the Penalty Bench and trading is possible, provided that trading is not suspended. -
I2PO SPAC Lists on Euronext Paris • €275 Million Raised • 16Th SPAC Listing on Euronext in 2021 • 1St European SPAC Dedicated to the Entertainment and Leisure Sector
Contacts Media Contact Investor Relations Amsterdam +31 20 721 4133 Brussels +32 2 620 15 50 +33 1 70 48 24 27 Dublin +353 1 617 4249 Lisbon +351 210 600 614 Milan +39 02 72 42 62 12 Oslo +47 22 34 19 15 Paris +33 1 70 48 24 45 I2PO SPAC lists on Euronext Paris • €275 million raised • 16th SPAC listing on Euronext in 2021 • 1st European SPAC dedicated to the entertainment and leisure sector Paris – 20 July 2021 – Euronext today congratulates I2PO, a Special Purpose Acquisition Company (SPAC) dedicated to the entertainment and leisure sector, on its listing on the professional compartment of Euronext’s regulated market in Paris (ticker code: I2PO). Iris Knobloch, along with Artemis, a patrimonial holding from the Pinault family represented by François-Henri Pinault and Alban Gréget, and Combat Holding, the entity which co-founded the 2MX Organic and Mediawan SPACs, have partnered to create the I2PO SPAC. The first SPAC in Europe to be co-founded and led by a woman, I2PO is also the first European SPAC in the entertainment and leisure sector. I2PO aims at one or several targets in the sub-sectors such as streaming and content distribution, music, intellectual property of media and services, electronic games and sports, online learning, and leisure platforms. I2PO was listed through the admission to trading of the 27.5 million units making up its equity. In total, I2PO raised €275 million in a private placement from qualified investors, exceeding the €250 million initially announced during the introductory offer. Iris Knobloch, President of the Executive Board and Director General of I2PO, said: “Launching I2PO, we succeeded in creating, with Artemis and Combat Holding, the first SPAC listed in Europe dedicated to entertainment and leisure. -
Case M.9564 – LSEG/REFINITIV BUSINESS REGULATION (EC)
EUROPEAN COMMISSION DG Competition Case M.9564 – LSEG/REFINITIV BUSINESS Only the English text is available and authentic. REGULATION (EC) No 139/2004 MERGER PROCEDURE Decision on the implementation of the commitments - Purchaser approval Date: 26/2/2021 EUROPEAN COMMISSION Brussels, 26.2.2021 C(2021) 1483 final PUBLIC VERSION In the published version of this decision, some information has been omitted pursuant to Article 17(2) of Council Regulation (EC) No 139/2004 concerning non-disclosure of business secrets and other confidential information. The omissions are shown thus […]. Where possible the information omitted has been replaced by ranges of figures or a general description. London Stock Exchange Group Plc. 10 Paternoster Square EC4M 7LS - London United Kingdom Dear Sir/Madam, Subject: Case M.9564 – LONDON STOCK EXCHANGE GROUP/ REFINITIV BUSINESS Approval of Euronext N.V. as purchaser of the Divestment Business following your letter of 16.10.2020 and the Trustee’s opinion of 22.02.2021 1. FACTS AND PROCEDURE (1) By decision of 13 January 2021 (the "Decision”) based on Article 8(2) of Council Regulation (EC) No 139/20041 and Article 57 of the EEA Agreement2, the 1 OJ L 24, 29.1.2004, p. 1 (the ‘Merger Regulation’). With effect from 1 December 2009, the Treaty on the Functioning of the European Union ("TFEU") has introduced certain changes, such as the replacement of "Community" by "Union" and "common market" by "internal market". The terminology of the TFEU will be used throughout this decision. For the purposes of this Decision, although the United Kingdom withdrew from the European Union as of 1 February 2020, according to Article 92 of the Agreement on the withdrawal of the United Kingdom of Great Britain and Northern Ireland from the European Union and the European Atomic Energy Community (OJ L 29, 31.1.2020, p. -
An Analysis of the Relationship Between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM
www.sciedu.ca/rwe Research in World Economy Vol. 5, No. 1; 2014 An Analysis of the Relationship between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM Kolani Pamane1 & Anani Ekoue Vikpossi2 1 School of Management, Wuhan University of Technology, Wuhan, China 2 Swakop Uranium (Propriety) Ltd, Olympia Windhoek, Namibia Correspondence: Kolani Pamane, School of Management, Wuhan University of Technology, Wuhan 430070, China. E-mail: [email protected] Received: October 22, 2010 Accepted: November 10, 2010 Online Published: March 1, 2014 doi:10.5430/rwe.v5n1p13 URL: http://dx.doi.org/10.5430/rwe.v5n1p13 Abstract One of the most important concepts in investment theory is the relationship between risk and return. This relationship drives the theoretical foundation of many investment models such as the well known Capital Asset Pricing Model which predicts that the expected return on an asset above the risk-free rate is linearly related to the non-diversifiable risk measured by its beta. This study examines the Capital Asset Pricing Model (CAPM) and test it validity for the WAEMU space stock market called BRVM (BOURSE REGIONALE DES VALEURS MOBILIERES) using monthly stock returns from 17 companies listed on the stock exchange for the period of January 2000 to December 2008. Combining Black, Jensen and Scholes with Fama and Macbeth methods of testing the CAPM, the whole period was divided into four sub-periods and stock’s betas used instead of portfolio’s betas due to the small size of the sample. The CAPM’s prediction for the intercept is that it should equal zero and the slope should equal the excess returns on the market portfolio. -
Msci Index Calculation Methodology
INDEX METHODOLOGY MSCI INDEX CALCULATION METHODOLOGY Index Calculation Methodology for the MSCI Equity Indexes Esquivel, Carlos July 2018 JULY 2018 MSCI INDEX CALCULATION METHODOLOGY | JULY 2018 CONTENTS Introduction ....................................................................................... 4 MSCI Equity Indexes........................................................................... 5 1 MSCI Price Index Methodology ................................................... 6 1.1 Price Index Level ....................................................................................... 6 1.2 Price Index Level (Alternative Calculation Formula – Contribution Method) ............................................................................................................ 10 1.3 Next Day Initial Security Weight ............................................................ 15 1.4 Closing Index Market Capitalization Today USD (Unadjusted Market Cap Today USD) ........................................................................................................ 16 1.5 Security Index Of Price In Local .............................................................. 17 1.6 Note on Index Calculation In Local Currency ......................................... 19 1.7 Conversion of Indexes Into Another Currency ....................................... 19 2 MSCI Daily Total Return (DTR) Index Methodology ................... 21 2.1 Calculation Methodology ....................................................................... 21 2.2 Reinvestment -
The Australian Stock Market Development: Prospects and Challenges
Risk governance & control: financial markets & institutions / Volume 3, Issue 2, 2013 THE AUSTRALIAN STOCK MARKET DEVELOPMENT: PROSPECTS AND CHALLENGES Sheilla Nyasha*, NM Odhiambo** Abstract This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these reforms. As a result of the reforms, the Australian stock market has developed in terms of the number of listed companies, the market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Australia has developed remarkably over the years, and was spared by the global financial crisis of the late 2000s, it still faces some challenges. These include the increased economic uncertainty overseas, the downtrend in global financial markets, and the restrained consumer confidence in Australia. Keywords: Stock Market, Australia, Stock Exchange, Capitalization, Stock Market *Corresponding Author. Department of Economics, University of South Africa, P.O Box 392, UNISA, 0003, Pretoria, South Africa Email: [email protected] **Department of Economics, University of South Africa, P.O Box 392, UNISA, 0003, Pretoria, South Africa Email: [email protected] / [email protected] 1. Introduction key role of stock market liquidity in economic growth is further supported by Yartey and Adjasi (2007) and Stock market development is an important component Levine and Zevros (1998). -
Reporting Guidelines
REPORTING GUIDELINES These guidelines provide the Contracting Party and/or its Affiliates with more detailed information on how to fulfil their market data reporting obligations to Euronext, as described in the EMDA Reporting Policy, as per 1 February 2019. This EMDA Reporting Policy, which forms part of the Euronext Market Data Agreement (EMDA) and other documentation are available here. For more information, please e-mail [email protected]. Note, the information and materials contained in this document are provided ‘as is’ and Euronext does not warrant the accuracy, adequacy or completeness of the information and materials and expressly disclaims liability for any errors or omissions. This document is not intended to be, and shall not constitute in any way a binding or legal agreement, or impose any legal obligation on Euronext. 1 © 2019, Euronext - All rights reserved. Version 1.1 CONTENT Introduction to the Reporting Requirement ................................................................................................. 3 Monthly Reports (submitted via TCB Data) ................................................................................................... 4 TCB Data ............................................................................................................................................................... 4 Display Use of Real Time Market Data ................................................................................................................. 4 Market Data Display Use Fees ............................................................................................................................. -
Change to Equity Derivatives Physical Delivery Settlement Cycle
Transitional Arrangements - Change to Equity Derivatives Physical Delivery Settlement Cycle 1 Exercise/Expiry/Trade 2 Underlying Stock Exchange Current Settlement Cycle New Settlement Cycle Settlement Date Date Futures/Options: Second Borsa Istanbul, Borsa Italiana, Futures/Options: Third Business Thursday 30 June Tuesday 05 July Business Day after Expiry Copenhagen Stock Exchange, Day after Expiry Day/Exercise Day/Exercise Deutsche Boerse, Euronext Amsterdam, Euronext Brussels, Friday 01 July Tuesday 05 July Euronext Lisbon, Euronext Paris, Helsinki Stock Exchange, Irish Stock Exchange, London Stock Exchange, London Stock Exchange (IOB), Oslo Stock Contingent Trades: Stock Contingent Trades: Thursday 30 June Monday 04 July Stock Exchange, SIX Swiss Exchange, Second Business Day after Trade Second Business Day after Trade Stockholm Stock Exchange, Vienna Date Date (no change) Stock Exchange Friday 01 July Tuesday 05 July Futures/Options: Second Futures/Options: Fourth Thursday 30 June Wednesday 06 July Business Day after Expiry Business Day after Expiry Day/Exercise Day/Exercise Friday 01 July Tuesday 05 July Madrid Stock Exchange Stock Contingent Trades: Thursday 30 June Tuesday 05 July Stock Contingent Trades: Third Second Business Day after Trade Business Day after Trade Date Date Friday 01 July Tuesday 05 July Thursday 30 June Thursday 07 July Futures/Options: Fourth Futures/Options: Third Business Business Day after Expiry Day after Expiry Day/Exercise Day/Exercise Friday 01 July Thursday 07 July NYSE, NASDAQ Thursday 30 June Wednesday 06 July Stock Contingent Trades: Third Stock Contingent Trades: Third Business Day after Trade Date Business Day after Trade Date (no change) Friday 01 July Thursday 07 July 1 Effective on and from Friday 01 July 2016 2 For NYSE/NASDAQ, dates reflect the 4th July U.S. -
Enhancing Liquidity in Emerging Market Exchanges
ENHANCING LIQUIDITY IN EMERGING MARKET EXCHANGES ENHANCING LIQUIDITY IN EMERGING MARKET EXCHANGES OLIVER WYMAN | WORLD FEDERATION OF EXCHANGES 1 CONTENTS 1 2 THE IMPORTANCE OF EXECUTIVE SUMMARY GROWING LIQUIDITY page 2 page 5 3 PROMOTING THE DEVELOPMENT OF A DIVERSE INVESTOR BASE page 10 AUTHORS Daniela Peterhoff, Partner Siobhan Cleary Head of Market Infrastructure Practice Head of Research & Public Policy [email protected] [email protected] Paul Calvey, Partner Stefano Alderighi Market Infrastructure Practice Senior Economist-Researcher [email protected] [email protected] Quinton Goddard, Principal Market Infrastructure Practice [email protected] 4 5 INCREASING THE INVESTING IN THE POOL OF SECURITIES CREATION OF AN AND ASSOCIATED ENABLING MARKET FINANCIAL PRODUCTS ENVIRONMENT page 18 page 28 6 SUMMARY page 36 1 EXECUTIVE SUMMARY Trading venue liquidity is the fundamental enabler of the rapid and fair exchange of securities and derivatives contracts between capital market participants. Liquidity enables investors and issuers to meet their requirements in capital markets, be it an investment, financing, or hedging, as well as reducing investment costs and the cost of capital. Through this, liquidity has a lasting and positive impact on economies. While liquidity across many products remains high in developed markets, many emerging markets suffer from significantly low levels of trading venue liquidity, effectively placing a constraint on economic and market development. We believe that exchanges, regulators, and capital market participants can take action to grow liquidity, improve the efficiency of trading, and better service issuers and investors in their markets. The indirect benefits to emerging market economies could be significant. -
List of Execution Venues Made Available by Societe Generale
List of Execution Venues made available by Societe Generale January 2018 Note that this list of Execution Venues is not exhaustive and will be kept under review and updated in accordance with Societe Generale’s execution practices. Societe Generale reserves the right to use other Execution Venues in addition to those listed below where it deems it appropriate in accordance with execution practices. Where Societe Generale acts as the Execution Venue, it will consider all sources of reasonably available information to obtain the best possible outcome. Fixed Income . The main Execution Venue is Societe Generale SA (and its affiliates) . When the trading obligation for derivatives applies, execution will take place on MiFID trading venues (Regulated Markets, or MTF or OTF or all equivalent venues as SEF) Alternative Venues include: BGC Bloomberg Bloomberg FIET Brokertec GFI Marketaxess MTP MTS TP ICAP Tradeweb Tradition Forex . The main Execution Venue is Societe Generale SA (and its affiliates) Alternative Venues include: 360T Alpha BGC Bloomberg Currenex EBS Equilend FX Connect FX Spotstream FXall Hotpspot ICAP Integral FX inside Reuters Tradertools Cash Equities Abu Dhabi Securities Exchange EDGEA Exchange NYSE Amex Alpha EDGEX Exchange NYSE Arca AlphaY EDGX NYSE Stock Exchange Aquis Equilend Omega ARCA Stocks Euronext Amsterdam OMX Copenhagen ASX Centre Point Euronext Block OMX Helsinki Athens Stock Exchange Euronext Brussels OMX Stockholm ATHEX Euronext Cash Amsterdam OneChicago Australia Securities Exchange Euronext Cash Brussels Oslo -
Cooperation Among the Stock Exchanges of the Oic Member Countries
Journal of Economic Cooperation, 27 -3 (2006), 121-162 COOPERATION AMONG THE STOCK EXCHANGES OF THE OIC MEMBER COUNTRIES SESRTCIC In response to the increased competition prevailing in the international financial markets, national stock exchanges around the world recently made several attempts to upgrade their cooperation and improve their integration. Those attempts took often the form of coalitions, common trading platforms, mergers, associations, federations and unions. Like others, the OIC countries have recently intensified their efforts to promote cooperation among their stock exchanges with a view to developing and consolidating a mechanism for a possible form of integration among themselves. This paper reviews the experiences of various stock exchange alliances established at regional and international levels and draws some lessons for the OIC countries’ stock exchanges in terms of the need for harmonising their physical, institutional and legal frameworks and policies and sharing their investor base. 1. INTRODUCTION As the international trade and financial flows accelerated, the global economy witnessed an increase in the pace of integration. This process of globalisation is most evidently observed in the capital and financial markets. One important element that has led to such a result is the technological advancement in the information and telecommunications sector. Hence, financial transactions became instantaneous and the information guiding investments open to everybody. In this context, technological advancements and the resulting accelerated flow of information have increased efficiency, fairness, transparency and safety in the international financial and capital markets. 122 Journal of Economic Cooperation As those developments introduced new prospects and benefits to the stock markets all around the world, they increased competition among the financial markets, securities exchanges in particular.