The Mediating Effect of Corporate Governance on the Relationship Between Accounting Information and Stock Market Return of Listed Entities in Ghana

The study examined the mediating effect of corporate governance on the relationship between accounting information and stock market returns of listed entities on the Ghana Stock Exchange.The population of the study was forty(40)listed entities from 2007-2019 with 520 firm-year observations.The study applied a panel regression model that takes unobserved individual heterogeneity and distributional heterogeneity into consideration.In addition,the study employed cross-section dependence test,Levin-Lin-Chu,ImPesaran,Pesaran,Kao,and Larsson cointegration test,fully modified ordinary least square(FMOLS),and dynamic ordinary least square(DOLS).The results of unit root test showed that all the variables are integrated at first difference.Moreover,the results of cointegration test revealed that accounting information variables were cointegrated in the long run.The result of FMOLS and DOLS further revealed that all the accounting information variables with the exception of OCFPS and NTA have a direct insignificant relationship with the stock market return.The study revealed that corporate governance which was proxied by board size also strengthens the relationship between TAT and stock market return and NTA and stock market return at 5%significant level under FMOLS and DOLS respectively.

Does Board Size Mediate the Relationship Between Accounting Information and Stock Market Return?Evidence From Listed Financial Firms in Ghana

The study examined the relationship between accounting information and stock market returns of listed financial entities on the Ghana Stock Exchange using board size as a mediating variable.The population of the study was 13 listed financial entities from 2007-2019 with 169 firm-year observations.This study applied a panel regression model that takes unobserved individual heterogeneity and distributional heterogeneity into consideration.In addition,the study employed cross-section dependence test;Levin-Lin-Chu(LLC),ImPesaran,Pesaran,Kao,and Larsson cointegration test;Fully Modified Ordinary Least Square(FMOLS)and Dynamic Ordinary Least Square(DOLS).The results of the unit root test showed that all the variables were integrated at first difference.Moreover,the results of cointegration test revealed that accounting information variables were cointegrated in the long run.The result of FMOLS and DOLS revealed that all the accounting information variables with the exception of operating cash flow per share(OCFPS)and net tangible assets(NTA)have a direct insignificant relationship with the stock market return of listed financial entities.The study revealed that board size strengthens the relationship between OCFPS and NTA,and stock market return at 5%significant level under FMOLS and DOLS of listed financial entities.

Investor sentiments and stock marketsduring the COVID-19 pandemic

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.

基本养老保险基金投资、股票收益率与股价波动性

以2017—2022年各季度基本养老保险基金投资数据为样本,考察基本养老保险基金投资对股票收益率与股价波动性的影响。结果显示:基本养老保险基金持股比例变化对股票未来收益率有一定预测效应,持股比例增加会加剧股价波动。异质性检验表明,被持股公司规模越大,持股比例变化对股票收益率的影响越不明显,对股价波动性影响的时滞性越强。对于短期持股而言,持股比例增加会加剧股价波动,而对于长期持股而言,持股比例增加有利于稳定股价。鉴于此,应继续推动基本养老保险基金全国统筹,进一步扩大其市场化投资规模、延长投资考核期限,提升基金可持续发展能力。

共同富裕目标下高管和普通职工薪酬差距的股票市场反应

实现共同富裕是中国式现代化的本质要求,作为初次收入分配的主要内容,薪酬收入分配具有重要的意义。本文采用2008—2022年中国A股市场上市公司数据检验了企业内部高管-普通职工薪酬差距的股票市场收益表现。投资组合分析结果和Fama-MacBeth回归都表明,A股市场对高管-普通员工薪酬过大的差距呈现了显著的负面反应。机制分析结果发现,员工的不平等厌恶影响了企业的收益现金流进而增强了薪酬差距的负面影响,外部投资者的不平等厌恶也发挥了降低股票超额收益的作用。此外,进一步对内部薪酬差距收益异象的来源分析表明,风险补偿解释了股票超额收益。总体上,在推进共同富裕理念的背景下,中国A股市场表现出了对内部薪酬差距的关注,本文的研究有助于更为深刻理解内部薪酬极端差距的经济后果,对推进共同富裕、完善初次分配的薪酬收入制度提供了一定的政策启示。

企业ESG信息披露质量与股票市场表现——基于双重代理成本的视角

环境、社会和治理(ESG)已成为衡量企业可持续发展的关键指标,并受到社会各界的广泛关注,但企业披露ESG信息能否改善其在股票市场的表现仍尚未明确。基于此,以2016—2020年沪深两市A股上市公司为研究样本,考察企业披露ESG信息质量对股票收益的影响效应和影响机制。结果显示:企业ESG信息披露质量与股票收益显著正相关。对作用机制的分析显示,高质量的ESG信息披露有助于缓解股东与管理层以及大股东与中小股东之间的双重代理成本,从而提升股票收益。异质性分析结果显示,对于大规模企业和处于行业竞争较激烈的企业而言,ESG信息披露质量对股票收益的提升效应更为明显。研究结论表明,企业披露ESG信息不仅是对持续增长的价值投资和ESG责任理念的积极回应,还有助于提升股票收益,是一项“一举多得”的战略决策。

量化投资基金和股票市场稳定性

基于2003第4季度至2021年第4季度量化投资基金持股数据,分别从市场和个股层面出发,采用TGARCH(1,1)模型和固定效应回归模型检验量化投资基金对市场指数波动和个股收益的影响。研究结果表明,在市场整体层面,量化基金持股的相对规模可以显著减轻沪深A股指数收益率的波动。在微观个股层面,利用面临赎回压力的量化投资基金抛售个股的行为,构建遭抛售个股的压力指数和基金趋同性交易变量,结果发现量化投资基金的个股抛售并没有造成股票收益率的显著波动和股价下跌,但是多个量化投资基金的趋同性抛售信号对于股票收益则有显著的负面影响。因此,有关部门应重视量化投资基金规模增加对市场稳定的积极作用,也要约束趋同性交易行为可能产生的不利影响。

投资者意见趋同对股票市场的影响——基于收益和风险的双重视角

互联网技术的发展和自媒体产业的爆发,加剧了投资者形成一致性预期的可能性。基于此,利用网络论坛发帖数据构建投资者意见趋同指数,从收益和风险两个维度考察投资者意见趋同对股票市场的影响。研究表明,投资者意见趋同对股票收益有显著的正向影响,且该影响具有持续性,其作用机制在于投资者意见趋同会催生买入拥挤交易行为,抬升资产价格。具体来看,看涨意见趋同会带来持续的正向收益,而看跌意见趋同仅会带来短期的负向冲击;与此同时,投资者意见趋同还会导致交易量缩减、股价跳跃以及羊群行为等潜在市场风险的出现。进一步分析发现,放开卖空限制能够让看跌投资者的意见得以表达,进而有效降低投资者意见趋同对股票市场的影响。研究结论为政府完善资本市场制度、逐步放开卖空限制提供了现实依据。

新冠疫情前后中国三大股指收益率联动性变化

为克服VAR、SVAR模型拟合优度较低的问题,选取中国股市三大股指(上海证券交易所综合股价指数、深圳证券交易所成份股股价指数及创业板指数)的日收益率平稳时间序列进行研究;选取中国新冠疫情大爆发期间的2020年1月20日作为分界点,分段研究疫情前后股市收益率的联动性变化。研究发现:在99%的置信度上,中国三大股指日收益率之间仅有当期影响;通过Chow突变点检验发现,疫情前后中国三大股指日收益率联动性发生了显著的变化,表明疫情对中国资本市场的影响是显著的、持续的;疫情发生后,上海证券交易所综合股价指数、深圳证券交易所成份股股价指数对其他两个指数的影响均加强,但创业板指数对上海证券交易所综合股价指数、深圳证券交易所成份股股价指数的影响减弱。

ESG评价体系在市场氛围影响下对公司股票收益率的影响分析——基于面板数据的交互固定效应模型

本文旨在探讨不同市场环境下A股上市公司的ESG得分与股价收益之间的关系。为此,文章利用商道融绿ESG评价体系数据库对中国A股上市公司的ESG得分进行实证分析,辅以其持有比率与估值技术的考察,并探讨ESG得分在熊市和牛市环境下对股价回报的影响。结果显示,ESG得分在熊市中与股价回报率呈正相关,在牛市中则呈负相关。研究结果强调了ESG因素在投资决策中的重要性,以期为投资者、公司和政策制定者提供有价值的参考。

上海证券市场 CAPM 实证检验

对上海股票市场的价格行为进行了研究，目的是检验风险和收益的关系是否符合ＣＡＰＭ理论．研究内容：①对平均收益和β系数关系的传统ＣＡＰＭ实证检验；②对影响收益的其他因素的横截面实证检验．研究结论：①上海股票市场风险和收益关系并不如ＣＡＰＭ理论所预期的那样，系统风险并非是决定收益的唯一因素；②尚有其他因素影响股票收益率，这些因素是：股本规模、可流通股占总股本的比例、净资产收益率和成交量．各因素对收益影响的重要性随时间而变化．

基于Copula函数的国际原油价格与股票市场收益的相关性研究

针对国际原油价格与金砖五国股票市场收益之间的相关性问题,使用AR(p)-GARCH(1,1)-Copula模型进行检验。运用广义误差分布(GED)获取收益残差序列,对WTI原油价格和金砖五国股市收益之间的相关性进行实证分析。研究结果表明,国际原油价格与中国股市收益呈现微弱的相关关系,而与其他四国股市收益的相关关系较为明显。用时变SJC Copula模型刻画国际原油价格与金砖五国股票市场收益的相关性最为合适。