chapter06TheGlobalStockMarket(国际投资,英文版).ppt

Francis Ibbotson Chapter6 TheGlobalStockMarket 1 TheGlobalStockMarket Chapter6 Francis Ibbotson Chapter6 TheGlobalStockMarket 2 Background AvarietyofdifferentstockmarketsexistForinstance Germany smarketisover400yearsoldwhileTanzania sbeganin1998MacedoniahasonlytwocompaniestradingonitsstockexchangewhileIndiahas5 840ThemarketcapitalizationoftheU S is 10trillionwhilethatofGuatemalaisonly 2billion inU S dollars ManystockmarketsalsotradeotherfinancialinstrumentsConsolidationsaremergingstockmarketsandtechnologyispullingnationalmarketstogether Francis Ibbotson Chapter6 TheGlobalStockMarket 3 TheGlobalStockMarket Aggregatemarketcapitalizationofequitysharesintheworldgrewfrom 9 6trillionin1990toover 35trillionin2000Anaveragerateof14 8 annuallyFinancialcapitalisverymobileIn1990theTokyoStockExchangewas30 5 oftheglobalmarketbutonly12 7 in1999NorthAmericaincreaseditsshareoftheworldequitymarketfrom28 0 1990 to50 28 1999 Francis Ibbotson Chapter6 TheGlobalStockMarket 4 TheGlobalStockMarket TechnologicaladvancesareautomatingexperiencedstockexchangeemployeesoutofjobsStockmarketsareactiveineverytimezone Francis Ibbotson Chapter6 TheGlobalStockMarket 5 BrokerageServices BrokersSalespeople earningacommission employedbydealersHavenomoneyinvestedinthedealer ssecurityinventoryHelpcreatemarketsbybuyingandsellingfromemployer sinventoryBrokeragefirmsextendcredit marginaccounts toclientsEnablesclienttodomoresecuritiestrading Francis Ibbotson Chapter6 TheGlobalStockMarket 6 BrokerageServices TypesofstockbrokerageservicesFull serviceTakebuyandsellordersExtendmargincredittocustomersHoldclients securitiesinsafekeepingCollectcashdividendsProvidefreeinvestmentresearchPerform hand holding servicesPleasanttelephoneconversationsInvestmentcounselingBirthdaycardsAllpaidforbyclients tradingcommissionsRangefrom 30 150foronecommonstocktransaction ExamplesMerrillLynchGoldmanSachsPaineWebberMorganStanleyDeanWitterSalomonSmithBarney Francis Ibbotson Chapter6 TheGlobalStockMarket 7 BrokerageServices DiscountBrokersSimplytakeordersOfferlittleornoinvestmentadviceNo hand holding servicesprovidedLittleopportunityforchurningLowercommissionsRangefrom 20to 50ExamplesCharlesSchwab CompanyQuick ReillyMurielSiebertJackWhite CompanyFidelityInvestmentsVanguardBrokerageServices Francis Ibbotson Chapter6 TheGlobalStockMarket 8 BrokerageServices ElectronicbrokersTakebuyandsellordersviaInternetNo hand holding servicesMayprovideinvestmentresearchMayormaynotbefreeLowcommissionsRangefromalmostfreeto 35atradeExamplesDiscoverBrokerageDLJdirectE TradeArchipelagoBloombergTradebookAccutrade AmeritradeCharlesSchwabSURETRADEWallStreetAccessCyberC Francis Ibbotson Chapter6 TheGlobalStockMarket 9 Transacting Whenmakingatrade theinvestormustspecifyTypeoforderWhetherornotmarginwillbeinvolved Francis Ibbotson Chapter6 TheGlobalStockMarket 10 TypesofTradingOrders Marketorder ordertobuyorsellASAPatthecurrentmarketpriceSimplest mostcommonordertypeExecutedimmediatelywithvirtualcertaintyLimitorder ordertobuyorsellwithalimitLimitastothemaximumpricepaidforabuyorderLimitastotheminimumpricereceivedforasellorderIfordercannotbeimmediatelytransacted itisrecordedinthemarket maker slimitorderbookandheldforpossiblefutureexecutionOrdermayneverbeexecutediflimitpriceisnotreachedMayattachatimeframetothelimitorder Francis Ibbotson Chapter6 TheGlobalStockMarket 11 TypesofTradingOrders StopordersTobuy sell arewrittenatpricesgreater lower thanthecurrentmarketpriceActivatedwhen if themarketpricereachesthestoppriceOnceactivatedbecomesamarketorderDangerswithstopordersExecutionpricecannotbeknowninadvanceInvestormaybewhip sawedinvolatilemarketVariationonstoporderStoplimitordersWhenstoporderisactivateditbecomesalimitorderratherthanamarketorder Francis Ibbotson Chapter6 TheGlobalStockMarket 12 TypesofTradingOrders ScaleorderRequiresbuyingorsellingpartoftheorderateachpriceasmarketpriceschangeCumbersomeandnotallbrokersacceptthemFillorkill FOK orderSpecifiespriceatwhichordermustbefilledororderisimmediatelycanceledGoodtillcanceledorderRemainsineffectuntilcanceledDayorder mustbefilledonthedayorderisissuedMarketoncloseorder canonlybeexecutedattheday sclosingprice Francis Ibbotson Chapter6 TheGlobalStockMarket 13 TradingonMargin Whenopeninganewaccountwithabrokeragefirm canhaveeitherCashaccountMustpaycashforsecuritiesMarginaccountOffersabilitytobuysecuritiesoncreditMoneyputforthbyinvestorservesasadownpaymentAmountinvestorsmayborrowiscontrolledbytheFederalReserveBoardofGovernorsForexample theFedmaystipulatea60 margin meaningtheinvestormustputforthatleast60 ofthepurchaseprice Francis Ibbotson Chapter6 TheGlobalStockMarket 14 TradingonMargin FederalReserve smarginrequirementsforstocksVariedfrom10 1929 to100 1940 Inrecentyearshasbeen50 Marginrequirementsaredifferentfordifferenttypesofsecurities Francis Ibbotson Chapter6 TheGlobalStockMarket 15 HowMarginWorks Example Youwishtopurchase100sharesofXYZCompanyforapriceof 100pershare Theinitialmarginrequirementis50 Purchasepriceis 100 x100shares 10 000Youputforth50 or 5 000Borrowtheremaining 5 000fromyourbrokerBrokerchargesyouthebrokers callrateforamarginloan Francis Ibbotson Chapter6 TheGlobalStockMarket 16 HowMarginWorks Assumethatthemarketvalueofthestockrisesto 150ashareYourtotalprofitwillbe 50asharetimes100shares or 5 000 ignoringinterest onmarginloan taxesandcommissionsYourreturnis100 Profitof 5 000 Investmentof 5 000Ifyouhadnotusedmargin youcouldhaveonlyafforded50shares andyourprofitwouldonlyhavebeen 2 500Yourreturnwouldhavebeen50 Profitof 2 500 Investmentof 5 000 Francis Ibbotson Chapter6 TheGlobalStockMarket 17 HowMarginWorks Assumethatthemarketvalueofthestockfallsto 50ashareCurrentmarketvalueoftheinvestmentisnowonly 5 000 whichexactlyequalstheamountthatwasborrowedfromthebroker Yourtotallosswillbe 50asharetimes100shares or 5 000 ignoringinterest onmarginloan taxesandcommissionsYourreturnis 100 Lossof 5 000 Investmentof 5 000Ifyouhadnotusedmargin youcouldhaveonlyafforded50shares andyourlosswouldonlyhavebeen 2 500Yourreturnwouldhavebeen 50 Lossof 2 500 Investmentof 5 000 Francis Ibbotson Chapter6 TheGlobalStockMarket 18 MaintenanceMargin Ifamarginedportfoliodecreasessufficientlyinvalue investorwillreceiveamargincallInvestormustputupmoremarginmoneyASAPOtherwise brokerliquidatesenoughoftheinvestor ssecuritiestobringaccountuptotherequiredminimummarginEasyforbrokertodobecauseinvestorwithamarginedaccountmustkeepsecuritiesatthebroker sofficeascollateralfortheirloanTheNYSEhasamaintenancemarginrequirementof25 Investor sequitycannotfallbelow25 oftheaccount smarketvalueOr investor sloanamountcannotexceed75 oftheaccount smarketvalue Francis Ibbotson Chapter6 TheGlobalStockMarket 19 MaintenanceMargin Continuingtheexample ifyouhadpurchased 10 000ofstockwitha50 margin youwouldfaceamargincallwhenMarketvalueofstockdroppedbelow 6 666 67Becauseyourloanof 5 000cannotexceed75 ofthemarketvalueofportfolio75 X 5 000X 6 666 67Somebrokerssetahighermaintenancemarginthanthe25 minimum Francis Ibbotson Chapter6 TheGlobalStockMarket 20 InvestmentBanksMakePrimaryMarkets Initialpublicofferings IPOs occurwhencorporationsandgovernmentsissuenewsecuritiesintotheprimarymarketSometimescorporationsandgovernmentswithexistingsecuritiesraiseadditionalcapitalbyissuinganewissueofseasonedsecuritiesInvestmentbankersfindbuyersforbothIPOsandseasonednewissues Francis Ibbotson Chapter6 TheGlobalStockMarket 21 InvestmentBanks AfewthousandinvestmentbankingfirmsexistintheU S includingMerrillLynch Co MorganStanleyDeanWitterLehmanBrothersCreditSuisseFirstBostonGoldman Sachs Co SalomonSmithBarneyBearStearnsCos PaineWebber Francis Ibbotson Chapter6 TheGlobalStockMarket 22 InvestmentBankers Functions EachpublicofferinghasfourstepsConsultingwiththeissuerCarryingoutadministrativedutiesUnderwritingtheissueDistributingthesecuritiestoinvestors Francis Ibbotson Chapter6 TheGlobalStockMarket 23 Consulting TheinvestmentbankthatservesastheIPO soriginatormustanalyzetheclient sneedsandsuggestafinancingplanWhattypeofsecurityshouldbeissued Howmuchfinancingisneeded Whenshouldthenewsecuritiesbeissued TheoriginatorwillalsomanageTheunderwritingsyndicateRangesfrom5to200investmentbankingfirmsthatsharethefinancingandunderwritingriskThesellinggroupInvestmentbanksandbrokeragefirmsthatsellthesecuritiestoinvestors Francis Ibbotson Chapter6 TheGlobalStockMarket 24 Administration DealswithlegalissuesassociatedwithanIPOHelpsobtainnecessarygovernmentpermissionsHastheprospectusprintedMakespublicannouncements Francis Ibbotson Chapter6 TheGlobalStockMarket 25 Underwriting Anunderwriterguaranteestheissuerwillreceiveapre specifiedamountofcashforthenewsecuritiesDaysorweeksfromthetimetheunderwriterbuysthesecuritiesfromtheissuertilltheysellthesecuritiestotheinvestorsareveryriskytounderwriterMarketconditionsmayfluctuateandunderwritermaylosemoneyonthesecuritiesbecausetheyhavetosellthematalowerpriceItisimportanttosetthe right priceforanIPOIfpriceistoohigh underwritersmaynotbeabletosellsecuritiesIfpriceistoolow issuermayfinditcostlytoissuesecurities Francis Ibbotson Chapter6 TheGlobalStockMarket 26 Distribution InvestmentbankermaysellsecuritiestoawidegroupofinvestorsOrmayactasintermediarybetweenissuerandbuyerinaprivateplacementThedifferencebetweentheinvestmentbanker scostandthesalepriceisknownasthespreadRangesfrom5 16 forstocksAbout4 forbonds Francis Ibbotson Chapter6 TheGlobalStockMarket 27 ElectronicInvestmentBankers ThereareseveralinvestmentbankingfirmsofferinginternetservicesDLJdirectFreidman Billings RamseyGroupE OfferingOpenIPOE InvestmentBankWitCapitalVaryinsizeandsophistication Francis Ibbotson Chapter6 TheGlobalStockMarket 28 FullDisclosure InU S theSECrequiresmostprimaryissuesbeaccompaniedbyaprospectus10to20pagedocumentthatfullydiscloses amongotheritemsPurposeforwhichtheproceedsoftheissuewillbespentOfferingpricetothepublicOfferingpriceforspecialgroups inanyUnderwriter sfeesNetproceedstotheissuerInformationontheissuer sproducts historyandlocationNamesandremunerationofofficersDetailedstatementofcapitalizationDetailedfinancialstatementsDetailsaboutanypendinglitigation Francis Ibbotson Chapter6 TheGlobalStockMarket 29 FullDisclosure ApprovalofaprospectusbytheSECdoesnotmeantheinvestmentisagoodvalue butthatallthenecessaryinformationrequiredbytheSEChasbeendisclosedFulldisclosureallowsinvestorstoestimatevalueofnewsecurities Francis Ibbotson Chapter6 TheGlobalStockMarket 30 SecondaryMarket Oncesecuritiesareissuedintheprimarymarket theycanbegintradinginthesecondarymarketTypesofsecondarymarketsOrganizedexchangerunbydealers NYSE Electronicmarketinwhichdealerscompetewithoneanother Nasdaq Electroniccommunicationnetworks Francis Ibbotson Chapter6 TheGlobalStockMarket 31 NYSE NewYorkStockExchange listsapproximately3000commonandpreferredstocksissuedbyAmericancorporations300foreignstocks250AmericanDepositoryReceipts ADRs Alsotradesbonds Francis Ibbotson Chapter6 TheGlobalStockMarket 32 NYSE EachstocktradedontheNYSEisassignedaspecialistwhomustContinuouslypostbidandaskpricesforthestocksinwhichtheymakeamarketStandatassignedpostsonthetradingfloorActasmarket makers dealer Alwaysreadytobuyattheirbidpriceandsellattheirask oroffer priceInvesttheirowncapital risky butmayearnareturnExecuteordersforothers broker Earnthebid askspreadoneverytransaction Francis Ibbotson Chapter6 TheGlobalStockMarket 33 Decimalization AtickrepresentstheminimumamountbywhichapricecanchangePriorto1997thetickwas1 8butthenbecame1 16Howevertheticksizeisnow1 sincetheexchangesinstituteddecimalizationExpectedtoreducethebid askspreadandtradingcosts Francis Ibbotson Chapter6 TheGlobalStockMarket 34 NYSEListingRequirements TobelistedontheNYSEmusthaveAminimumtaxableannualincomeof 2 5millionAminimumnettangibleassetsof 18millionAminimumof1 1millionsharesofpubliclyheldstockwithaminimummarketvalueof 18millionAminimumnumberof2 000investorsowninground lots 100shares Onespecialist Francis Ibbotson Chapter6 TheGlobalStockMarket 35 NYSEOperations Approximately460specialistswithabout8stocksassignedtoeachspecialist stradingpostAbout1 500tradingboothswithtelephonessurroundtheperimeterofthetradingfloorAllowsforordertransmissionandconfirmationbetweenbrokers officesandexchangefloorNYSEhas1 366memberswhomustownaseatontheexchangeAlmostallmembersareeitherspecialistsorfloorbrokers Francis Ibbotson Chapter6 TheGlobalStockMarket 36 FloorBrokers BuyandsellsecuritiesfortheclientsofbrokeragehousesorfortheirownaccountsOrderprocessBrokerreceivesorderviaphonefromthebrokerageWalkstotradingfloorandexecutestransactionatthespecialist spostPhonesbrokerageandprovidesconfirmation Francis Ibbotson Chapter6 TheGlobalStockMarket 37 Specialists AcceptsobligationtomakeafairandorderlymarketbySellingsharesoutoftheirowninventoryiftherearemorebuyordersthansellorders orbyraisingthepriceofthesecuritytheycontrol Buyingsharesfortheirowninventoryiftherearemoresellordersthanbuyorders orbyloweringthepriceofthestock Keepsalimitorderbook LOB foreachstockinwhichtheymakeamarket Francis Ibbotson Chapter6 TheGlobalStockMarket 38 LimitOrderBook TodayiskeptonacomputerRecordsbuyandsellordersfrompotentialtradersOutlinesthesupplyanddemandcurvesthatdeterminemarketpriceofsecurityHelpsspecialistsearntradingprofits Francis Ibbotson Chapter6 TheGlobalStockMarket 39 NYSE NYSEhaslaggedbehindotherorganizationsintermsoftechnologyUsesSuperDesignatedOrderTurnaround SuperDOT systemRoutessmallmarketordersandlimitordersdirectlyfrommemberfirmstospecialistsBypassesfloorbrokersSpecialistsusuallyletPCsexecuteSuperDOTtransactionsautomatically Francis Ibbotson Chapter6 TheGlobalStockMarket 40 BlockTrades Asingletransactioninvolving10 000ormoresharesIncreasedsteadilythroughoutthe1960s 1980sbutleveledoffinthe1990sSpecialistsarenotinvolvedinblocktradesthatoccuroutsidetheNYSEbyblockpositionersSpecialbrokers dealersthatlineupmultiplebuyersforalargeblockSomelargeinvestmentbankshaveablockpositioningdepartmentHavethecapitaltocarryalargeblockforafewdaysandtheconnectionstodistributeitTheupstairsmarketEconomiesofscaleleadtosmallcommissionspershare Francis Ibbotson Chapter6 TheGlobalStockMarket 41 NasdaqMarket Electronic over the counter OTC marketListsover15 oftheworld sstockmarketcapitalizationOver6 400commonandpreferredstocksAbout320foreignstocksAbout140ADRs Francis Ibbotson Chapter6 TheGlobalStockMarket 42 NasdaqMarket NationalAssociationofSecuritiesDealersAutomatedQuotations Nasdaq isthecommunicationsnetworkthatservicestheOTCmarketAbout61 000computerterminalsareconnectedtoNasdaq smainframeviaphonelinesCanobtaincurrentbidandaskpricesforallNasdaqstocksUpdatedcontinuouslybyabout540competingNasdaqmarket makers dealers Investor sbrokercanaccessthesystemtofindthebestbid askpriceforasecurityBrokerthencallsdealertoexecutetransactionastradescannotbeexecutedviaNasdaqcomputer Francis Ibbotson Chapter6 TheGlobalStockMarket 43 NasdaqMarket CentralizesageographicallydispersedmarketintoamainframecomputerWhenabrokerordealerinquiresaboutasecurity sprice bid askquotesareinstantlyprovidedevenifthedealersaremanymilesapartDesignedtohandleupto20 000stocksCurrentlylistsabout6 500activelytradedstocksIn1999NasdaqmergedwithAMEXNasdaqplanstocross liststockswithvariousinternationalexchangesPositioningitselftomoreeffectivelycompetewithNYSE Francis Ibbotson Chapter6 TheGlobalStockMarket 44 CQS ITSandLawofOnePrice SECrequiresthattheConsolidatedQuotationSystem CQS reportcurrenttransactionsforNYSE OTC AMEX regionalU S stockexchangesandthethirdmarketHelpsinvestorsfindthebestpricesCQScannotperformexecutionsSECurgedNYSEtocreatetheIntermarketTradingSystem ITS ElectronictradingnetworklinkingvariousU S marketsNasdaqsupplementedITSwithanelectroniccommunicationsnetworkcalledPrimexGivesfasteraccesstoNYSE listedstocksCombiningCQSwithITSandPrimexallowsarbitrageurstoenforcethelawofoneprice Francis Ibbotson Chapter6 TheGlobalStockMarket 45 Non NasdaqNationalQuotationBureau NQB TobeincludedinNasdaq snationaldailylist astockmusthaveAtleasttwomarketmakersAminimumof1 500stockholdersSignificantinvestorinterestAstocknotmeetingtheserequirementsarelistedwiththeNationalQuotationBureau NQB NQBlists3 600stocks someofwhicharenotactivelytradedIncludesDomesticU S micro capstocksSharesinforeigncorporationsthatcannotbelistedonanorganizedexchangeADRSandGDRsforstocksthatdonotmeettheaccountingstandardsforlistingonanorganizedexchange Francis Ibbotson Chapter6 TheGlobalStockMarket 46 ThirdU S Market Thirdmarket subsetofOTCmarketwhereexchange listedstocksaretradedCompeteswithorganizedexchangesOfferscostsavingsintheformofbetterbid askpricesNasdaqandregionalstockexchangesarethecoreofthethirdmarketForinstance in1999ChicagoStockExchange CHX tradedover90 oftheNYSE listedstocksMajorityofCHX stradingvolumeisfromduallistingsCHXpaysfororderflowSpecialiststakeapennyorso pershare fromtheirbid askspreadandgiveittobrokerstoencouragebrokerstoexecutetheirordersontheCHXratherthanNYSE Francis Ibbotson Chapter6 TheGlobalStockMarket 47 FourthU S Market Fourthmarket anetworkofmarket makers blocktradersandinstitutionsBypassnormaldealerservicesandnegotiatedirectlywitheachotherInstinet shortforInstitutionalNetwork hasoperatedinthefourthmarketsince1970Hascomputerterminalsinover5 000subscribers officesMillionsofsharesaretradedinsecrecydailyviaInstinetCommissionsrangefrom2 to8 ashare Francis Ibbotson Chapter6 TheGlobalStockMarket 48 OrderCrossingNetworks AnelectroniccommunicationnetworkthattriestomatchbuyandsellordersThepricemaybeThelastreportedpricefromanorganizedexchangeMidwaybetweenthecurrentbid askpricesonanorganizedexchangeTradersmaypayafixedannualfeetousealternativemarketsystemsVariabletradingcostsarezeroRapidexecutionsarepossibleiftheotherhalfofthetransactionisalreadypresentinnetworkOffersanonymitySometimesthenetworkisnotoperatingwhenitisneededOrtheotherhalfofthetransactionisunavailable Francis Ibbotson Chapter6 TheGlobalStockMarket 49 OrderCrossingNetworks InstinetoperatestheCrossingNetworkandcompeteswithInvestmentTechnologyGroup s ITG PortfolioSystemforInstitutiionalTrading POSIT BloombergrunsTradebook acontinuousmatchingsystemmainlyforNasdaqstocksIn1999Bloomberg ITGcreatedSuperECNOffersacrossingnetworkwithalargerorderflowOthercrossingne