The efficient Market Hypothesis divided the stock market into three parts： weak-form efficiency, semi-strong-form efficiency, and strong-form efficiency. There are so many scholars have conducted researches on whethe...The efficient Market Hypothesis divided the stock market into three parts： weak-form efficiency, semi-strong-form efficiency, and strong-form efficiency. There are so many scholars have conducted researches on whether China＇ s stock market has reached weak-form efficiency. The author of this literature review summaries the results of these researches and makes a systematic induction. This article attempts to show the achievements of these researches and ~ive readers new ideas about how to improve China＇ s stock market efficiency.展开更多
This paper studies the performance of the GARCH model and two of its non linear modifications to forecast China′s weekly stock market volatility. The models are the Quadratic GARCH and the Glosten, Jagannathan and R...This paper studies the performance of the GARCH model and two of its non linear modifications to forecast China′s weekly stock market volatility. The models are the Quadratic GARCH and the Glosten, Jagannathan and Runkle models which have proposed to describe the often observed negative skewness in stock market indices. We find that the QGARCH model is best when the estimation sample does not contain extreme observations and that the GJR model cannot be recommended for forecasting.展开更多
In this paper,we study how China’s stock market reacts to the sudden outbreak of COVID-19 in 2020,particularly to the announcement of the pandemic lockdown.In general,we observe reversals both at the industry level a...In this paper,we study how China’s stock market reacts to the sudden outbreak of COVID-19 in 2020,particularly to the announcement of the pandemic lockdown.In general,we observe reversals both at the industry level and at the firm level due to investors’overreactions to the pandemic lockdown.For industryand firm-level stocks with positive cumulative abnormal returns(CARs)in the event window when Wuhan was locked down,the reversals are stronger.Thus,the reversal effects are mostly driven by industries and stocks that positively overreact to COVID-19 than do others.Further investigation shows that overreactions are stronger for stocks with lower institutional ownership,which means that retail investors react more strongly to COVID-19.Among stocks with positive CARs in the event window,those with higher idiosyncratic volatilities and lower book-to-market ratios tend to have worse performance after one month.展开更多
The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s st...The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s stock market. The realization of efficient markets requires the effective operation of a complete set of macro and micro mechanisms. However, such mechanisms are not only incomplete in China＇ s stock market, but are also ineffective because of the prevalence of institutional deficiencies.展开更多
This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） i...This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.展开更多
Ⅰ. Transparency and Truthfulness: Theoretical BackgroundAccording to information restriction theory devel-oped by Stiglitz, the 2001 Nobel Prize winner ofeconomics, transparency can raise market efficiencyand reduce ...Ⅰ. Transparency and Truthfulness: Theoretical BackgroundAccording to information restriction theory devel-oped by Stiglitz, the 2001 Nobel Prize winner ofeconomics, transparency can raise market efficiencyand reduce trading cost.The past economics theory展开更多
The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in thi...The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal chemical mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.展开更多
This paper introduces China＇s New Third Board Market（the NTB market） and tests the market-making system in the role of improving market liquidity. The NTB Market is the main part of China＇s OTC market, established...This paper introduces China＇s New Third Board Market（the NTB market） and tests the market-making system in the role of improving market liquidity. The NTB Market is the main part of China＇s OTC market, established in 2006. In comparing with China＇s Main Board Market and the Second Board Market, it attracts a lot of start-up companies that need financing with less strict listing requirements. Meanwhile, it is full of opportunities and challenges that appeal to numerous securities traders and investors with the rapid development momentum. Since its establishment, the NTB Market has been stuck in the lack of liquidity. The authority of the NTB Market introduced market maker system, so as to solve the problem of liquidity. Using the difference-in-difference method（DID method）, the market maker system has been proved to make little contribution to improving the stock liquidity. Although the problem of liquidity is difficult to solve in short term, the NTB Market is full of opportunities for all kinds of participants definitely.展开更多
In the past couple of years,China’s futures exchanges have launched nighttime trading sessions.We use daily data from 23 commodity futures to investigate the impact of this important policy change.Our findings sugges...In the past couple of years,China’s futures exchanges have launched nighttime trading sessions.We use daily data from 23 commodity futures to investigate the impact of this important policy change.Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices.The normality of returns improves during the post-nighttime trading period.As documented in the literature,the interactions between trading activities(i.e.,trading volume and open interest)and volatility conform better to the observed patterns in developed markets.This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.展开更多
文摘The efficient Market Hypothesis divided the stock market into three parts： weak-form efficiency, semi-strong-form efficiency, and strong-form efficiency. There are so many scholars have conducted researches on whether China＇ s stock market has reached weak-form efficiency. The author of this literature review summaries the results of these researches and makes a systematic induction. This article attempts to show the achievements of these researches and ~ive readers new ideas about how to improve China＇ s stock market efficiency.
文摘This paper studies the performance of the GARCH model and two of its non linear modifications to forecast China′s weekly stock market volatility. The models are the Quadratic GARCH and the Glosten, Jagannathan and Runkle models which have proposed to describe the often observed negative skewness in stock market indices. We find that the QGARCH model is best when the estimation sample does not contain extreme observations and that the GJR model cannot be recommended for forecasting.
基金This research is supported by the National Natural Science Foundation of China[Grant No.71773127].
文摘In this paper,we study how China’s stock market reacts to the sudden outbreak of COVID-19 in 2020,particularly to the announcement of the pandemic lockdown.In general,we observe reversals both at the industry level and at the firm level due to investors’overreactions to the pandemic lockdown.For industryand firm-level stocks with positive cumulative abnormal returns(CARs)in the event window when Wuhan was locked down,the reversals are stronger.Thus,the reversal effects are mostly driven by industries and stocks that positively overreact to COVID-19 than do others.Further investigation shows that overreactions are stronger for stocks with lower institutional ownership,which means that retail investors react more strongly to COVID-19.Among stocks with positive CARs in the event window,those with higher idiosyncratic volatilities and lower book-to-market ratios tend to have worse performance after one month.
文摘The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s stock market. The realization of efficient markets requires the effective operation of a complete set of macro and micro mechanisms. However, such mechanisms are not only incomplete in China＇ s stock market, but are also ineffective because of the prevalence of institutional deficiencies.
基金Acknowledgements We gratefully acknowledge the financial support from the National Natural Science Foundation of China （No. 71173078, 70803013）.
文摘This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.
文摘Ⅰ. Transparency and Truthfulness: Theoretical BackgroundAccording to information restriction theory devel-oped by Stiglitz, the 2001 Nobel Prize winner ofeconomics, transparency can raise market efficiencyand reduce trading cost.The past economics theory
基金The authors acknowledge the financial support of the National Natural Science Foundation of China （No. 71173088）.
文摘The present study investigates the influence of international oil prices on China＇s stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal chemical mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.
基金funded by the National Natural Science Foundation of China under Grant No.71572093
文摘This paper introduces China＇s New Third Board Market（the NTB market） and tests the market-making system in the role of improving market liquidity. The NTB Market is the main part of China＇s OTC market, established in 2006. In comparing with China＇s Main Board Market and the Second Board Market, it attracts a lot of start-up companies that need financing with less strict listing requirements. Meanwhile, it is full of opportunities and challenges that appeal to numerous securities traders and investors with the rapid development momentum. Since its establishment, the NTB Market has been stuck in the lack of liquidity. The authority of the NTB Market introduced market maker system, so as to solve the problem of liquidity. Using the difference-in-difference method（DID method）, the market maker system has been proved to make little contribution to improving the stock liquidity. Although the problem of liquidity is difficult to solve in short term, the NTB Market is full of opportunities for all kinds of participants definitely.
文摘In the past couple of years,China’s futures exchanges have launched nighttime trading sessions.We use daily data from 23 commodity futures to investigate the impact of this important policy change.Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices.The normality of returns improves during the post-nighttime trading period.As documented in the literature,the interactions between trading activities(i.e.,trading volume and open interest)and volatility conform better to the observed patterns in developed markets.This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.
