The paper uses the proportion of zero-return days model to analyze stock market synchronous behaviors for 11 sample counties. It is found that the zero-return measure of stock synchronicity is higher for some emerging...The paper uses the proportion of zero-return days model to analyze stock market synchronous behaviors for 11 sample counties. It is found that the zero-return measure of stock synchronicity is higher for some emerging economies than the developed economies though the result is not statistically significant. In addition, panel data analysis indicates somewhat positive and negative correlation between the zero-return measures with the explanatory variables. The findings raise question about the reliability of the proportion of zero-return days measure and its capability to capture stock market synchronous behavior.展开更多
From the view of hominine bounded rationalities, this paper analyzes the important relationships between ecology and economics with behavioral finance. With a different focus, this paper adopts a new conceptualization...From the view of hominine bounded rationalities, this paper analyzes the important relationships between ecology and economics with behavioral finance. With a different focus, this paper adopts a new conceptualization of stock to show how this conceptualization leads to a new measure of the interaction between ecology and economics, based on bounded rational agents. The hierarchical structure of ecological economic system is described with a multi-agent sinmlation program. This paper also develops an ecological economic model, in which behavioral finance theories are applied to simulating the dynamics system. With the model this paper confirms, that macro-level indicalors of sustainability are predictably influenced by behaviors of bounded rational agents at the micro-level, We discuss the significance of these findings in order to better understand the ecological-economic system based on behavioral finance.展开更多
This paper examines whether index inclusion has information content and the downward-sloping demand curve hypothesis in China. We investigate the stock price and volume effects when stocks are included in two major st...This paper examines whether index inclusion has information content and the downward-sloping demand curve hypothesis in China. We investigate the stock price and volume effects when stocks are included in two major stock indexes, the Shanghai Stock Exchange 30 Index （SH30） and the Shenzhen Component 40 Index （SZ40）. Furthermore, we also study the performance changes after index inclusion. We find significant price and volume increases for the stocks selected by the SH30 when the index was created and announced. Thus, the original inclusion may not be an information-free event. For subsequent index inclusions, we observe significant abnormal returns but not abnormal trade volume around the announcement date. However, the stock returns quickly reversed at the post-announcement period. Moreover, the financial performance of index included firms does not improve. The evidence does not support the price pressure hypothesis in China.展开更多
This paper takes Zoomlion （Changsha Zoomlion Heavy Industry Science and Technology Development Co., Ltd） as an example and illustrates the reasons why traditional theories of stock dividends and stock splits cannot ...This paper takes Zoomlion （Changsha Zoomlion Heavy Industry Science and Technology Development Co., Ltd） as an example and illustrates the reasons why traditional theories of stock dividends and stock splits cannot rationally explain the large stock dividend and stock split behavior among Chinese listed companies. The paper offers the following points after analyzing the current situation of China＇s capital market： As many investors seek after the stocks with large stock dividends and stock splits and form a ＂herd effect＂, it greatly pushes up the price of these stocks. Thus, companies＇ managers can cater these investors＇ irrational behavior, and help their companies get more funds from secondary equity offerings, or help their large shareholders and institutional investors to obtain more returns after lifting the sell restriction on their shares.展开更多
Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the ...Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase （decrease） more when investors become more bullish （bearish）. Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson＇s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.展开更多
文摘The paper uses the proportion of zero-return days model to analyze stock market synchronous behaviors for 11 sample counties. It is found that the zero-return measure of stock synchronicity is higher for some emerging economies than the developed economies though the result is not statistically significant. In addition, panel data analysis indicates somewhat positive and negative correlation between the zero-return measures with the explanatory variables. The findings raise question about the reliability of the proportion of zero-return days measure and its capability to capture stock market synchronous behavior.
基金Supported by the National Natural Science Foundation of China (No. 70571064), and the Doctorate Foundation of Northwestern Polytechnical University CX200425.
文摘From the view of hominine bounded rationalities, this paper analyzes the important relationships between ecology and economics with behavioral finance. With a different focus, this paper adopts a new conceptualization of stock to show how this conceptualization leads to a new measure of the interaction between ecology and economics, based on bounded rational agents. The hierarchical structure of ecological economic system is described with a multi-agent sinmlation program. This paper also develops an ecological economic model, in which behavioral finance theories are applied to simulating the dynamics system. With the model this paper confirms, that macro-level indicalors of sustainability are predictably influenced by behaviors of bounded rational agents at the micro-level, We discuss the significance of these findings in order to better understand the ecological-economic system based on behavioral finance.
文摘This paper examines whether index inclusion has information content and the downward-sloping demand curve hypothesis in China. We investigate the stock price and volume effects when stocks are included in two major stock indexes, the Shanghai Stock Exchange 30 Index （SH30） and the Shenzhen Component 40 Index （SZ40）. Furthermore, we also study the performance changes after index inclusion. We find significant price and volume increases for the stocks selected by the SH30 when the index was created and announced. Thus, the original inclusion may not be an information-free event. For subsequent index inclusions, we observe significant abnormal returns but not abnormal trade volume around the announcement date. However, the stock returns quickly reversed at the post-announcement period. Moreover, the financial performance of index included firms does not improve. The evidence does not support the price pressure hypothesis in China.
文摘This paper takes Zoomlion （Changsha Zoomlion Heavy Industry Science and Technology Development Co., Ltd） as an example and illustrates the reasons why traditional theories of stock dividends and stock splits cannot rationally explain the large stock dividend and stock split behavior among Chinese listed companies. The paper offers the following points after analyzing the current situation of China＇s capital market： As many investors seek after the stocks with large stock dividends and stock splits and form a ＂herd effect＂, it greatly pushes up the price of these stocks. Thus, companies＇ managers can cater these investors＇ irrational behavior, and help their companies get more funds from secondary equity offerings, or help their large shareholders and institutional investors to obtain more returns after lifting the sell restriction on their shares.
基金supported by the National Natural Science Foundation of China under Grant No.70821001
文摘Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase （decrease） more when investors become more bullish （bearish）. Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson＇s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.
