In this paper,we study how China’s stock market reacts to the sudden outbreak of COVID-19 in 2020,particularly to the announcement of the pandemic lockdown.In general,we observe reversals both at the industry level a...In this paper,we study how China’s stock market reacts to the sudden outbreak of COVID-19 in 2020,particularly to the announcement of the pandemic lockdown.In general,we observe reversals both at the industry level and at the firm level due to investors’overreactions to the pandemic lockdown.For industryand firm-level stocks with positive cumulative abnormal returns(CARs)in the event window when Wuhan was locked down,the reversals are stronger.Thus,the reversal effects are mostly driven by industries and stocks that positively overreact to COVID-19 than do others.Further investigation shows that overreactions are stronger for stocks with lower institutional ownership,which means that retail investors react more strongly to COVID-19.Among stocks with positive CARs in the event window,those with higher idiosyncratic volatilities and lower book-to-market ratios tend to have worse performance after one month.展开更多
The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s st...The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s stock market. The realization of efficient markets requires the effective operation of a complete set of macro and micro mechanisms. However, such mechanisms are not only incomplete in China＇ s stock market, but are also ineffective because of the prevalence of institutional deficiencies.展开更多
This paper studies the performance of the GARCH model and two of its non linear modifications to forecast China′s weekly stock market volatility. The models are the Quadratic GARCH and the Glosten, Jagannathan and R...This paper studies the performance of the GARCH model and two of its non linear modifications to forecast China′s weekly stock market volatility. The models are the Quadratic GARCH and the Glosten, Jagannathan and Runkle models which have proposed to describe the often observed negative skewness in stock market indices. We find that the QGARCH model is best when the estimation sample does not contain extreme observations and that the GJR model cannot be recommended for forecasting.展开更多
This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） i...This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.展开更多
Ⅰ. Transparency and Truthfulness: Theoretical BackgroundAccording to information restriction theory devel-oped by Stiglitz, the 2001 Nobel Prize winner ofeconomics, transparency can raise market efficiencyand reduce ...Ⅰ. Transparency and Truthfulness: Theoretical BackgroundAccording to information restriction theory devel-oped by Stiglitz, the 2001 Nobel Prize winner ofeconomics, transparency can raise market efficiencyand reduce trading cost.The past economics theory展开更多
运用上海A股股票的交易数据,采用事件研究法分析了开盘集合竞价由封闭式改为开放式后市场流动性的变化。通过面板数据回归,检验了开盘交易量比率和连续竞价市场的买卖价差、市场深度、流动性比率和弹性的变化。实证结果表明:在开放式集...运用上海A股股票的交易数据,采用事件研究法分析了开盘集合竞价由封闭式改为开放式后市场流动性的变化。通过面板数据回归,检验了开盘交易量比率和连续竞价市场的买卖价差、市场深度、流动性比率和弹性的变化。实证结果表明:在开放式集合竞价机制下,交易者参与开盘的积极性明显提高,连续竞价开始后15 m in内的市场流动性明显减少。根据不同的交易者对信息揭示的反应不同,得到如下结论:实行开放式集合竞价开盘不仅吸引了更多的交易者参与交易,提高了开盘价格的信息效率,而且缓解了交易者对开盘信息的过度反应。展开更多
基金This research is supported by the National Natural Science Foundation of China[Grant No.71773127].
文摘In this paper,we study how China’s stock market reacts to the sudden outbreak of COVID-19 in 2020,particularly to the announcement of the pandemic lockdown.In general,we observe reversals both at the industry level and at the firm level due to investors’overreactions to the pandemic lockdown.For industryand firm-level stocks with positive cumulative abnormal returns(CARs)in the event window when Wuhan was locked down,the reversals are stronger.Thus,the reversal effects are mostly driven by industries and stocks that positively overreact to COVID-19 than do others.Further investigation shows that overreactions are stronger for stocks with lower institutional ownership,which means that retail investors react more strongly to COVID-19.Among stocks with positive CARs in the event window,those with higher idiosyncratic volatilities and lower book-to-market ratios tend to have worse performance after one month.
文摘The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s stock market. The realization of efficient markets requires the effective operation of a complete set of macro and micro mechanisms. However, such mechanisms are not only incomplete in China＇ s stock market, but are also ineffective because of the prevalence of institutional deficiencies.
文摘This paper studies the performance of the GARCH model and two of its non linear modifications to forecast China′s weekly stock market volatility. The models are the Quadratic GARCH and the Glosten, Jagannathan and Runkle models which have proposed to describe the often observed negative skewness in stock market indices. We find that the QGARCH model is best when the estimation sample does not contain extreme observations and that the GJR model cannot be recommended for forecasting.
基金Acknowledgements We gratefully acknowledge the financial support from the National Natural Science Foundation of China （No. 71173078, 70803013）.
文摘This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.
文摘Ⅰ. Transparency and Truthfulness: Theoretical BackgroundAccording to information restriction theory devel-oped by Stiglitz, the 2001 Nobel Prize winner ofeconomics, transparency can raise market efficiencyand reduce trading cost.The past economics theory
文摘运用上海A股股票的交易数据,采用事件研究法分析了开盘集合竞价由封闭式改为开放式后市场流动性的变化。通过面板数据回归,检验了开盘交易量比率和连续竞价市场的买卖价差、市场深度、流动性比率和弹性的变化。实证结果表明:在开放式集合竞价机制下,交易者参与开盘的积极性明显提高,连续竞价开始后15 m in内的市场流动性明显减少。根据不同的交易者对信息揭示的反应不同,得到如下结论:实行开放式集合竞价开盘不仅吸引了更多的交易者参与交易,提高了开盘价格的信息效率,而且缓解了交易者对开盘信息的过度反应。
