Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market con...Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market concentration of stock traded which could generate price distortion/manipulation. This study empirically estimates the impact of market structure （concentration） and liquidity （turnover ratio） on equity performance （price/returns） of 19 EEM. We use panel data for the period 1992-2000 and least square dummy variable regression technique that measure fixed effects and the dynamics of adjustment. The results show the significance of both independent variables. Liquidity favours investment, and market concentration suggests the potential for market/price manipulation that requires regulatory policies. These results indicate success of reform policies aimed at capital deepening to improve efficient capital allocation and provide profitable investment opportunities.展开更多
This study examines the association between corporate governance mechanisms （i.e., internal corporate governance, ownership structure, and external corporate govemance） and stock investment risk （i.e., idiosyncrati...This study examines the association between corporate governance mechanisms （i.e., internal corporate governance, ownership structure, and external corporate govemance） and stock investment risk （i.e., idiosyncratic risk, systematic risk, and total risk of non-financial listed firms in Thailand in 2007）. The multiple regression analysis is employed to test the hypotheses, and the results suggest that firms with higher market power have lower systematic risk. It implies that firms with higher market power can reduce the unavoidable risk when compared with firms that have lower market power. Firms with more media coverage will have higher systematic risk, which indicates that firms which publish more news will have higher unavoidable risk. This research may be the first to provide the evidence of the association between corporate govemance mechanisms and stock investment risk. Interestingly still, this study has utilized the data of Thailand, which is an emerging market economy with a capital market structure different from those of the developed market economies, and the results of this study are anticipated to be applicable to other similar studies in other emerging market economies.展开更多
This paper applies Markov switching techniques to examine the different conditions of Chinese Stock Market from 1995 to 2004, Three contrasting regimes are identified： a bear market, a bull market and a speculative m...This paper applies Markov switching techniques to examine the different conditions of Chinese Stock Market from 1995 to 2004, Three contrasting regimes are identified： a bear market, a bull market and a speculative market, This paper also surveys the time period and probability of each regime, The timing of regime switching reflects the strong policy market feature of Chinese stock market.展开更多
文摘Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market concentration of stock traded which could generate price distortion/manipulation. This study empirically estimates the impact of market structure （concentration） and liquidity （turnover ratio） on equity performance （price/returns） of 19 EEM. We use panel data for the period 1992-2000 and least square dummy variable regression technique that measure fixed effects and the dynamics of adjustment. The results show the significance of both independent variables. Liquidity favours investment, and market concentration suggests the potential for market/price manipulation that requires regulatory policies. These results indicate success of reform policies aimed at capital deepening to improve efficient capital allocation and provide profitable investment opportunities.
文摘This study examines the association between corporate governance mechanisms （i.e., internal corporate governance, ownership structure, and external corporate govemance） and stock investment risk （i.e., idiosyncratic risk, systematic risk, and total risk of non-financial listed firms in Thailand in 2007）. The multiple regression analysis is employed to test the hypotheses, and the results suggest that firms with higher market power have lower systematic risk. It implies that firms with higher market power can reduce the unavoidable risk when compared with firms that have lower market power. Firms with more media coverage will have higher systematic risk, which indicates that firms which publish more news will have higher unavoidable risk. This research may be the first to provide the evidence of the association between corporate govemance mechanisms and stock investment risk. Interestingly still, this study has utilized the data of Thailand, which is an emerging market economy with a capital market structure different from those of the developed market economies, and the results of this study are anticipated to be applicable to other similar studies in other emerging market economies.
文摘This paper applies Markov switching techniques to examine the different conditions of Chinese Stock Market from 1995 to 2004, Three contrasting regimes are identified： a bear market, a bull market and a speculative market, This paper also surveys the time period and probability of each regime, The timing of regime switching reflects the strong policy market feature of Chinese stock market.
