If common factors jointly affect country stock markets, it is an indica- tion of global stock market integration. Common factors may affect some markets more/less than other markets, an indication of the degree of glo...If common factors jointly affect country stock markets, it is an indica- tion of global stock market integration. Common factors may affect some markets more/less than other markets, an indication of the degree of global stock market in- tegration/segmentation. In this paper, we study the integration of global stock mar- kets based on the returns on exchange traded funds （ETFs） for the US, Canada, UK, Germany, France, Italy, Australia and Japan. The relationship between country ETF returns and common risk factors may be time-varying across countries, and that favors a regime switching （RS） factor model for the dynamics of the country ETF returns. A RS factor model for the relationship between country ETF returns and common risk factors is fitted to daily data for the period from May 31, 2000 to March 31, 2014. We use the data to test a hierarchy of hypotheses on country ETF returns： （1） common factor exposure across all country ETFs and all regimes; （2） common factor exposure across some country ETFs and all regimes, and （3） common factor exposure across some country ETFs and some regimes. The RS factor model for ETF returns fits the data well and the common factors have variable effects across countries and over regimes展开更多
One of the major difficulties blocking China＇s path to becoming a developed capital market is the “state share overhang” problem that hampers the development of the stock market. With almost two-thirds of the outst...One of the major difficulties blocking China＇s path to becoming a developed capital market is the “state share overhang” problem that hampers the development of the stock market. With almost two-thirds of the outstanding shares of the stock market owned by the central government, investors are wary of the potential sell-off by the government that would inevitably dilute the value of their stock holdings. In this paper, we review the state share reform that aims at solving the dilemma that the central government faces： releasing billions of dollars of government＇s capital locked up in the nontradable stocks of the state-owned enterprises （SOEs） without suppressing the stock prices. We also discuss the alternative of using exchange traded funds （ETFs） as a complementary means to expediting the state share conversion process.展开更多
Non-parametric methods are treasured in data analysis,particularly in finance.ST-metric is a new concept,introduced by Tulunay(2017).It offers non-parametric methods and a new geometric view to data analysis.In that p...Non-parametric methods are treasured in data analysis,particularly in finance.ST-metric is a new concept,introduced by Tulunay(2017).It offers non-parametric methods and a new geometric view to data analysis.In that paper,ST-metric concept has been applied to performance measures of portfolios.In this current paper,we purpose another ST-metric method for finding factor exposures in the five-style-factors model.Here the style factors are value,size,minimum volatility,quality and momentum.The main idea is to find the factor exposures(weights)of the five-factors-model by minimizing the ST-metric between benchmark returns and the constructed factor model returns.We compare ST-metric method with Tracking Error method(TE-method)which is used for factor analysis of major indexes,decomposed into the style factors(tradable via Exchange Traded Funds(ETFs))by Ang et al.(2018).We show that ST-metric method gives better estimation of the factor exposures(weights)than tracking error method,in general,and further how ST-metric values vary with respect to fluctuations.This explains the reason behind the efficiency of the ST-metric method.We support this idea with empirical evidences.展开更多
文摘If common factors jointly affect country stock markets, it is an indica- tion of global stock market integration. Common factors may affect some markets more/less than other markets, an indication of the degree of global stock market in- tegration/segmentation. In this paper, we study the integration of global stock mar- kets based on the returns on exchange traded funds （ETFs） for the US, Canada, UK, Germany, France, Italy, Australia and Japan. The relationship between country ETF returns and common risk factors may be time-varying across countries, and that favors a regime switching （RS） factor model for the dynamics of the country ETF returns. A RS factor model for the relationship between country ETF returns and common risk factors is fitted to daily data for the period from May 31, 2000 to March 31, 2014. We use the data to test a hierarchy of hypotheses on country ETF returns： （1） common factor exposure across all country ETFs and all regimes; （2） common factor exposure across some country ETFs and all regimes, and （3） common factor exposure across some country ETFs and some regimes. The RS factor model for ETF returns fits the data well and the common factors have variable effects across countries and over regimes
文摘One of the major difficulties blocking China＇s path to becoming a developed capital market is the “state share overhang” problem that hampers the development of the stock market. With almost two-thirds of the outstanding shares of the stock market owned by the central government, investors are wary of the potential sell-off by the government that would inevitably dilute the value of their stock holdings. In this paper, we review the state share reform that aims at solving the dilemma that the central government faces： releasing billions of dollars of government＇s capital locked up in the nontradable stocks of the state-owned enterprises （SOEs） without suppressing the stock prices. We also discuss the alternative of using exchange traded funds （ETFs） as a complementary means to expediting the state share conversion process.
文摘Non-parametric methods are treasured in data analysis,particularly in finance.ST-metric is a new concept,introduced by Tulunay(2017).It offers non-parametric methods and a new geometric view to data analysis.In that paper,ST-metric concept has been applied to performance measures of portfolios.In this current paper,we purpose another ST-metric method for finding factor exposures in the five-style-factors model.Here the style factors are value,size,minimum volatility,quality and momentum.The main idea is to find the factor exposures(weights)of the five-factors-model by minimizing the ST-metric between benchmark returns and the constructed factor model returns.We compare ST-metric method with Tracking Error method(TE-method)which is used for factor analysis of major indexes,decomposed into the style factors(tradable via Exchange Traded Funds(ETFs))by Ang et al.(2018).We show that ST-metric method gives better estimation of the factor exposures(weights)than tracking error method,in general,and further how ST-metric values vary with respect to fluctuations.This explains the reason behind the efficiency of the ST-metric method.We support this idea with empirical evidences.
