Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can...Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies,fluctuations in the underlying stocks of the Chinese stock market,and decision support for the formulation and revision of relevant policies.This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period,the excess return gap between the stocks which are in the program and which are not in the program,and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks.Based on the CAPM model and the Fama-French 3-factor model,this paper uses t test to study the significance of the abnormal rate of return.By establishing a difference-in-difference(DID)model,the regression of the abnormal rate of return is tested,and the sample volatility is analyzed according to the influence of the fund transaction.The study found that the stocks in the program have significant abnormal rate of returns during the window period.The Shanghai Stock Connect has brought about a huge change in transaction amount,and policy makers need to improve related and similar policies.展开更多
This study uses a sample of A-share listed companies to investigate the impact of China's Data Basic Institutional System on capital market reactions and the mechanism by which it exerts influence.The findings rev...This study uses a sample of A-share listed companies to investigate the impact of China's Data Basic Institutional System on capital market reactions and the mechanism by which it exerts influence.The findings reveal that within a 5-day period before and after the policy announcement,listed companies with high data resources experience a significantly higher abnormal return compared to those with low data resources.Moreover,this difference becomes more pronounced as enterprise technology intensity increases.Furthermore,the policy enhances the capital market's perception of the value of data resources and its potential for generating multiplier effects.Additional tests confirm that post-implementation of the policy,the capital market reevaluates the long-term value of enterprises associated with data resources.This comprehensive examination contributes empirical evidence to support academic research,inform policy formulation,and guide strategic planning in relevantindustries.展开更多
This study uses an event study methodology to examine how the Chinese market reacts to announcements of involvement in corporate social responsibilitY (CSR) by Southern Weekend (a Chinese newspaper)for Chinese fir...This study uses an event study methodology to examine how the Chinese market reacts to announcements of involvement in corporate social responsibilitY (CSR) by Southern Weekend (a Chinese newspaper)for Chinese firms from 2008 to 2012. Our results show significant and pcsitive market reactions, supporting the instrumental stakeholder theory. We attribute the positive market response to social capital development and real growth options related to the CSR involvement by the Chinese firms.展开更多
This study investigates how equity investors react to bank loan announcements in China using an event study methodology. By estimating the average Cumulative Abnormal Returns (CARs) over the event period and control...This study investigates how equity investors react to bank loan announcements in China using an event study methodology. By estimating the average Cumulative Abnormal Returns (CARs) over the event period and controlling for the impact of other factors such as borrower, lender and loan characteristics, we find that the overall reaction is negative. However, the results for the two sub-sample periods are different. After the onset of the Global Financial Crisis, the average CARs are no longer statistically different from zero, indicating higher lending standards and improvement in the quality of credit analysis of Chinese banks.展开更多
文摘Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies,fluctuations in the underlying stocks of the Chinese stock market,and decision support for the formulation and revision of relevant policies.This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period,the excess return gap between the stocks which are in the program and which are not in the program,and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks.Based on the CAPM model and the Fama-French 3-factor model,this paper uses t test to study the significance of the abnormal rate of return.By establishing a difference-in-difference(DID)model,the regression of the abnormal rate of return is tested,and the sample volatility is analyzed according to the influence of the fund transaction.The study found that the stocks in the program have significant abnormal rate of returns during the window period.The Shanghai Stock Connect has brought about a huge change in transaction amount,and policy makers need to improve related and similar policies.
基金the project"Research on the Verification Method and Value Evaluation of Digital Assets in Enterprises"(No.22YJA630047),funded by the Humanities and Social Sciences Fund of the Ministry of Education,China。
文摘This study uses a sample of A-share listed companies to investigate the impact of China's Data Basic Institutional System on capital market reactions and the mechanism by which it exerts influence.The findings reveal that within a 5-day period before and after the policy announcement,listed companies with high data resources experience a significantly higher abnormal return compared to those with low data resources.Moreover,this difference becomes more pronounced as enterprise technology intensity increases.Furthermore,the policy enhances the capital market's perception of the value of data resources and its potential for generating multiplier effects.Additional tests confirm that post-implementation of the policy,the capital market reevaluates the long-term value of enterprises associated with data resources.This comprehensive examination contributes empirical evidence to support academic research,inform policy formulation,and guide strategic planning in relevantindustries.
基金the National Natural Science Foundation of China(Approval No.71031003)
文摘This study uses an event study methodology to examine how the Chinese market reacts to announcements of involvement in corporate social responsibilitY (CSR) by Southern Weekend (a Chinese newspaper)for Chinese firms from 2008 to 2012. Our results show significant and pcsitive market reactions, supporting the instrumental stakeholder theory. We attribute the positive market response to social capital development and real growth options related to the CSR involvement by the Chinese firms.
文摘This study investigates how equity investors react to bank loan announcements in China using an event study methodology. By estimating the average Cumulative Abnormal Returns (CARs) over the event period and controlling for the impact of other factors such as borrower, lender and loan characteristics, we find that the overall reaction is negative. However, the results for the two sub-sample periods are different. After the onset of the Global Financial Crisis, the average CARs are no longer statistically different from zero, indicating higher lending standards and improvement in the quality of credit analysis of Chinese banks.