Dynamic relationship between volume and volatility in the Chinese stock market:evidence from the MS-VAR model

Since market uncertainty,or volatility,serves as a crucial gauge for assessing the traits of market fluctuations,the link between stock market volume and price continues to be a focal point of interest in finance.This study examines the dynamic,nonlinear correlations between Chinese stock volatility,trading volume,and return using a hybrid approach that combines the Markov-switching regime with the vector autoregressive model(MS-VAR).The empirical findings are as follows:(1)The Chinese stock market can be divided into three regional systems:steady downward,steady upward,and high volatility.The three states have similar frequencies of occurrence,and their corresponding stable probabilities are not high,indicating that the Chinese stock market is unstable.(2)Asymmetric dynamic relationships exist between market volatility,investment return,and trading volume.For different regimes,while the effect of trading volume on volatility and return appears to be insignificant,the impacts of volatility and return on trading volume are considerably strong.(3)A regime-dependent,contemporaneous correlation between volatility and return is observed,which also reflects the behavior of the Chinese stock market“chasing up and down”.However,a positive contemporaneous correlation always exists between volatility and trading volumes in different regimes,indicating that uncertainty in the Chinese stock market is closely related to information inflow.

Research on the Dynamic Volatility Relationship between Chinese and U.S. Stock Markets Based on the DCC-GARCH Model under the Background of the COVID-19 Pandemic

This study utilizes the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model to investigate the dynamic relationship between Chinese and U.S. stock markets amid the COVID-19 pandemic. Initially, a univariate GARCH model is developed to derive residual sequences, which are then used to estimate the DCC model parameters. The research reveals a significant rise in the interconnection between the Chinese and U.S. stock markets during the pandemic. The S&P 500 index displayed higher sensitivity and greater volatility in response to the pandemic, whereas the CSI 300 index showed superior resilience and stability. Analysis and model estimation suggest that the market’s dependence on historical data has intensified and its sensitivity to recent shocks has heightened. Predictions from the model indicate increased market volatility during the pandemic. While the model is proficient in capturing market trends, there remains potential for enhancing the accuracy of specific volatility predictions. The study proposes recommendations for policymakers and investors, highlighting the importance of improved cooperation in international financial market regulation and investor education.

China’s Monetary Policy Impacts on Money and Stock Markets

This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.

地缘关系与机构投资者合谋报价:来自科创板IPO的经验证据

本文以科创板IPO公司为样本,基于地缘关系考察了机构投资者合谋报价行为。研究发现,科创板IPO过程中,存在地缘关系的机构投资者一致报价概率显著更高;在考虑了信息相似性、锚点报价问题、羊群效应及其他关系类型的替代性解释后,该研究结果依然成立,这表明机构投资者涉嫌实施基于地缘关系的合谋报价行为。拓展性分析显示,监管加强后,机构投资者报价行为随之改变,存在地缘关系的机构投资者一致报价频率降低,微小差异报价频率提升,从而降低了合谋报价嫌疑与被监管机构关注的风险;IPO公司信息环境较好时,机构投资者基于地缘关系的合谋报价嫌疑较低。本文不仅丰富了IPO领域的理论研究,也为舆论关切的机构投资者合谋报价问题提供了经验证据和机理解释。

Can the Baidu Index predict realized volatility in the Chinese stock market?

This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.

Indian stock market prediction using artificial neural networks on tick data

Introduction:Nowadays,the most significant challenges in the stock market is to predict the stock prices.The stock price data represents a financial time series data which becomes more difficult to predict due to its characteristics and dynamic nature.Case description:Support Vector Machines(SVM)and Artificial Neural Networks(ANN)are widely used for prediction of stock prices and its movements.Every algorithm has its way of learning patterns and then predicting.Artificial Neural Network(ANN)is a popular method which also incorporate technical analysis for making predictions in financial markets.Discussion and evaluation:Most common techniques used in the forecasting of financial time series are Support Vector Machine(SVM),Support Vector Regression(SVR)and Back Propagation Neural Network(BPNN).In this article,we use neural networks based on three different learning algorithms,i.e.,Levenberg-Marquardt,Scaled Conjugate Gradient and Bayesian Regularization for stock market prediction based on tick data as well as 15-min data of an Indian company and their results compared.Conclusion:All three algorithms provide an accuracy of 99.9%using tick data.The accuracy over 15-min dataset drops to 96.2%,97.0%and 98.9%for LM,SCG and Bayesian Regularization respectively which is significantly poor in comparison with that of results obtained using tick data.

我国A股IPO效率影响因素的实证研究

本文运用多元线性回归模型对2001年5月15日至2005年6月7日在深沪两市上市的288只A股新股,就IPO效率影响因素进行了实证研究。研究引入了一个新的解释变量——市场气氛,将深沪两市市场气氛衡量指标予以统一。结果发现:发行价、市场气氛、上市首日换手率、资产规模等变量均表现出极强的显著性。

股票IPO理论研究新进展

股票IPO的短期收益与长期回报之间的巨大反差引起了学者们的广泛研究。市场环境和公司所处的生命周期理论是IPO的原因。建立在不对称信息基础上的理论揭示了抑价现象,非理性行为和政策的差别及变化对这一理论提出了挑战。股票的配置理论因其对很多问题有重要影响而备受关注。股票上市后长期表现不佳是股票首次公开发行后争议颇多的问题,股市微观结构的改善是解决这一问题的关键。

Daily Patterns in Stock Returns： Evidence From the New Zealand Stock Market

In this paper, we study day-of-the-week effects in stock retums across different industry sectors in the New Zealand market. Unlike other studies on this market, we examine weekday seasonality using daily stock return data of four market indexes and 16 industry sectors for the period from October 1, 1997 to April 16, 2009. We do not find significant Monday anomalies of the market index, large capitalization stock index and all industry sectors except for the property sector. Our finding is inconsistent with the literature on the New Zealand stock market. However, we find that the mid and small capitalization stocks have significant negative returns on Mondays than on other weekdays, which is consistent with the previous studies in some other markets.

Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market： A nonlinear model approach

The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.

Markov-Switching Time-Varying Copula Modeling of Dependence Structure between Oil and GCC Stock Markets

This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.

国有股权、IPO抑价与长期收益率

国有股权对IPO抑价和长期收益率具有重要的影响。然而,已有研究关于国有股权对IPO抑价和长期收益率的影响并没有取得一致的结论。运用1990—2011年的中国A股IPO公司数据,使用首日超额收益率和首日收益率来衡量IPO抑价,运用买入并持有的两年期超常收益率和两年期累计超额回报来衡量IPO长期收益率,构建国有股权对IPO抑价和IPO长期收益率的影响的Cluster和Bootstrap回归模型进行分析。研究结果表明,国有股权比例越高,IPO抑价率越高;国有股权比例越高,IPO长期收益率越低。这一分析有助于认识国有股权对IPO抑价和长期收益率的影响,也有助于认识国有企业私有化过程中的政府行为及其影响,可以为国有企业改革提供一定的借鉴作用。

Technological Research about “IPO” Suited for Market Environment in China

Recently, IPO (Initial Public Offering)has seen great change in China. This shift resulted in significant reformation in the way of operation for domestic investment bank. In the future competition for IPO market among investment banks, the refined pricing ability will stand for the winner as prerequisite. As a kind of discussion on IPO pricing, this paper begins with how the reasonable IPO price is being worked out from three layers: the evaluation of stocks, the equilibrium of price and the formation of the final price. On this basis, we summarize and analyze the process of the reform of domestic IPO. Finally, we give some suggestions on this problem for further reform. Key words IPO pricing - reform - market environment

Pyramid scheme in stock market:A kind of financial market simulation

Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characterized by four parameters,we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes.Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors,the small investors'parameters of taking profit and stopping loss,the order size of the main fund and the strategies adopted by the main fund.Our work is helpful to explain the financial phenomenon with the characteristics of pyramid schemes in financial markets,design trading rules for regulators and develop trading strategies for investors.

Estimation of Dynamic VaR in Chinese Stock Markets Based on Time Scale and Extreme Value Theory

The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.

The impact of IFRS mandate and institutional governance on underpricing and aftermarket performance of IPO shares in Turkey

Along with the European Union,policymakers in Turkey passed a regulation that mandated all listed companies use the International Financial Reporting Standards(IFRS)starting from January 1,2005.Using a before-after estimation design,this study examines the impact of this policy change and the role of institutional governance quality on the initial trading day and aftermarket trading performance of initial public offerings(IPO)in Turkey from 1998 to 2019.The results show that the IFRS mandate does not affect initial trading day returns but improves the aftermarket trading performance of IPO shares.This finding may imply that Turkey’s secondary market also suffers from information asymmetry and that IFRS-compliant reports help alleviate this problem.Furthermore,none of the six institutional governance quality measures tested loaded significantly against initial trading day or long-term returns.However,when examined together,two institutional measures with a negative value,voice and accountability,and political stability,offset the positive effect of the IFRS-compliant reporting on longterm IPO returns,providing support to the premise that institutional quality matters for realizing the economic benefits of the IFRS mandate.

BASIC EQUATIONS, THEORY AND PRINCIPLE OF COMPUTATIONAL STOCK MARKET (Ⅰ)──BASIC EQUATIONS

This paper studies computational stock market by using network model and similar methodology used in solid mechanics. Four simultaneous basic equations, i. e., equation of interest rate and amount of circulating fond, equations of purchasing and selling of share, equation of changing rate of share price, and equation of interest rate, share price and its changing rate, have been established. Discussions mainly on the solution and its simple applications of the equation of interest rate and amount of circulating fond are given. The discussions also involve the proof of tending to the equilibrium state of network of stock market based on the time discrete form of the equation by using Banach theorem of contraction mapping, and the influence of amount of circulating fond with exponential attenuation due to the decreasing of banking interest rate.Keyworks: stock market; network model; differential equation; contraction mapping; elasticity; methodology

IKD Co., Ltd. successfully listed on Shanghai＇s stock market

IKD Co., Ltd. was listed on the main board of Shanghai＇s stock market on November 17, 2017. IKD, established in 2003, is a professional manufacturer of precision aluminum alloy die-castings. Its main products are die-casting aluminum automotive parts such as wiper, transmission, steering, engine and brake systems to meet the requirements of lightweight and energy saving. Its main customers are the world＇s leading providers of automotive components including Valeo, Bosch, and Knorr-Bremse.

Major Factors Influences the 2008 Stock Market

2007 was an unusual year for China's stock market, as the index climbed from 2675 points up to 6124 by the end of the year, setting new records again and again throughout 2007. What will happen to the stock market in the coming 2008? Let's havea look at some of the main factors that will influence the stock market this year, perhaps we can find out if 2008 will be another memorable year full of surprises.……

Manufacturing Capital Lingers in the Stock Market

Pressured by a slowdown in exports, cost increases and dwindling returns to manufacturing investments, China's manufacturing capital has begun to shift to the real-estate and stock markets. As a matter of fact, the stock market had already felt a shock a couple of years ago when top domestic manufacturers like Midea, Gree, TCL and LMZ started to invest their idle capital in the real-estate and stock markets. Investments of manufacturing capital in both the real estate and stock markets have increased fluid capital and pushed up the value of both markets. Booms in both markets have in turn guaranteed investment returns of manufacturing capital, which further increased the stock market valuations of manufacturing capital. Such a cycle has created interest chains between listed manufacturers, the stock market and the real-estate market. Along with the ups and downs of the stock and real-estate markets, manufacturing capital now faces a dilemma: to escape or to persist? Where should it escape? When can the markets be profitable again? Just like the classic Shakespearean question: to be or not to be, that is the question.