Output volatility of five crisis-affected East Asia economies

A decade has passed since the Asian financial crisis (AFC) in 1997, and attention is drawn to the output performance of the crisis-affected economies in East Asia. Using the Hodrick–Prescott (HP) filter, this paper examines the growth volatility of GDP, its components and the stock market of five East Asia economies of Japan, Singapore, South Korea, Chinese Taipei and Hong Kong Special Administrative Region (SAR). Empirical evidences based on quarterly data show that output volatility for both Singapore and South Korea has increased after the AFC. For the GDP components, trade is a major factor in lowering GDP volatility in Chinese Taipei. The Hong Kong SAR economy has experienced an increase/decrease in the volatility of investment/private consumption. Among the five East Asia economies, government intervention is obvious in Singapore. The stock markets in both Hong Kong SAR and Chinese Taipei showed stronger ability in absorbing shocks.     

Transmission of Stock Prices and Volatility from the Influential Major Markets on the Emerging Market: A Case Study of the Korean Stock Market

Abstract

This study investigates how the 1997 crisis has changed the Korean market by focusing on price and volatility spillovers from the US, Chinese, and Japanese markets. Using the exponential general autoregressive conditional heteroskedastic (EGARCH) model, new information on stock prices originating in the US market was transmitted to the Korean market for all periods. The price spillover effect from the Japanese market to the Korean market became stronger from the crisis period. Asymmetry in the spillover effect on market volatility was more pronounced in the Korean market after the financial crisis.     

我国A股市场中的波动性之谜与市场情绪

本文使用Campbell和Shiller(1988)基于对数线性RVF的VAR非线性Wald检验方法对我国A股1994-2009期间的数据进行实证研究,结果表明样本期间我国A股股价相对其基础价值表现出"过度波动"的迹象,无论是常数超额收益率模型还是V-CAPM模型都无法对此进行解释。通过进一步定义市场情绪指数来分析这种"波动性之谜"现象的原因,结果发现市场情绪和股市"过度波动"之间存在相互作用机制,市场情绪能够对股价波动提供额外的解释。     

后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。     

MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*

This paper analyses how systematic risk emanating from the macroeconomy is transmitted into stock market volatility using augmented autoregressive Generalised Autoregressive Conditional Heteroscedastic (AR‐GARCH) and vector autoregression (VAR) models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for the 1997‐1998 Asian and the 2007‐2009 sub‐prime financial crises, the study further analyses whether financial crises affect the relationship between macroeconomic uncertainty and stock market volatility. The findings show that macroeconomic uncertainty significantly influences stock market volatility. Although volatilities in inflation, the gold price and the oil price seem to play a role, it is found that volatility in short‐term interest rates and exchange rates are the most important, suggesting that South African domestic financial markets are increasingly becoming interdependent. Finally, the results show that financial crises increase volatility in the stock market and in most macroeconomic variables, and, by so doing, strengthen the effects of changes in macroeconomic variables on the stock market.     

中国股市收益分形分布的实证研究

近年来，分形分布在金融市场中的研究和应用逐渐引起研究者的浓厚兴趣。本文借助分形分布理论对中国股票市场的收益分布特性进行了实证研究，估计出了分形分布的参数，绘制了分形分布的密度曲线，并对其进行了拟合检验。实证结果表明，分形分布能较好地拟合中国股票市场的收益序列。     

收益波动与随机冲击的非对称性影响：中国与美国股票市场的对比

通过讨论股票收益与随机;中击之间的关系,对中国股票市场和美国股票市场进行了对比研究。研究中使用了中国上海和深圳股票市场1990年12月31日至2005年12月30日的两市A股算术平均周指,以及美国股票市场1973年1月2日至2004年月12月30日的标准普尔500周指。在进行经验研究的过程中,分别使用了线性GARCH模型和GJR—GARCH模型计量股票收益的条件波动——即模型中的条件方差。研究发现,中国股票市场自1990年——1995年波动剧烈,之后波动趋于平缓,而美国股票市场在研究期间内收益波动一直处于一定范围内。同时还发现,美国股票市场的随机冲击对股票收益产生非对称性影响,即负冲击使股票收益产生的波动大于正冲击。而在中国股票市场却找不到相似的证据。鉴于对中国股票市场收益波动的研究结果,在剔除1996年以前的数据之后又进行了扩展研究,但是似然比率检验结果表明,正冲击对股票收益的影响还要略强于负冲击。     

Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns

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.     

我国股票市场的过度反应现象及其成因分析

本文采用1997-2004年上海证券交易所的所有股票交易数据,对我国股票市场的过度反应及其成因进行实证分析。研究结果表明,我国股票市场的确存在过度反应现象,其形成期为两年;过度反应的主要成因是规模效应,而非月历效应。     

The microstructure of the Chinese stock market

The auction principles, clearance, settlement, and depository (CSD) facilities of the Chinese stock market are described. An autoregressive model is found to characterize the time series properties of stock returns and volatility in the Shanghai market reasonably well. The extremely high volatility of the market is explained well by its lagged volatilities along with trading volumes. Further scrutiny reveals that trading volumes and volatility are endogenous in a vector autoregressive process (VAR) system for the Shanghai Composite Index (SHCI). Foreign shares are found to behave differently from domestic shares in several respects.     

Trump’s Effect on the Chinese Stock Market

U.S. President Donald J. Trump tweets frequently to communicate his thoughts to the public. We quantitatively evaluate the impact of Trump's China-related tweets on the Chinese stock market. We find that following Trump’s inauguration, his tweets with a positive sentiment significantly increase abnormal returns for the manufacturing industry in the Chinese stock market. Furthermore, an increase in the absolute value of his positive sentiment increases both the trading volume and volatility of the market. The positive effect is more pronounced for those subindustries with high exposure to international trade and stronger business relations with the United States than for other subindustries. The results are robust for various sensitivity tests.     

基于GARCH模型的上证指数与GDP波动性研究

中国的证券市场与宏观经济关系已进入弱相关阶段,本文通过使用ADF检验、ARCH效应检验、GARCH模型分析以及Granger检验对两者的波动性进行分析和研究。实证结果发现,中国的证券市场与宏观经济都具有非正态分布的特性。其次,证券市场不存在自回归条件异方差效应波动,宏观经济存在自回归条件异方差效应波动,并且GARCH(1,1)最适合描述宏观经济的自回归条件异方差效应波动,上证指数的预测与宏观经济的预测两者之间具有互相印证的关系。     

The effect of index futures trading on volatility: Three markets for Chinese stocks

This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with Chinese index futures traded in Singapore and Hong Kong. Our results indicate that Chinese index futures decrease spot market volatility in all three spot markets considered. In contrast, we do not obtain the same results for the companion index futures markets in Hong Kong and Singapore. China's stock market is relatively young and largely dominated by private retail investors. Nevertheless, our evidence is favorable to the stabilization hypothesis usually confirmed in mature markets.     

基于因果联系的中国股市异常波动归纳分析——以st类股票发布资产重组公告与股价异动的关系为例

提出了利用因果联系分析中国股市股价异常波动的思路。结合该思路,通过对st类股票（连续三个涨停的）股价异动与上市公司发布资产重组公告的关系进行实证分析,认为中国股市st类上市公司可以通过发布确定资产重组的公告来控制股价,导致股价连续三个涨停;在资产重组的过程中,一定程度上存在着内幕消息,在股价出现连续三个涨停之后,公司被迫公布消息。     

机构投资者与股市波动的实证研究——基于上证2005～2010年的季度面板数据

本文采用上证2005~2010年共24个季度数据的面板数据,采用固定效应模型,实证分析了机构持股比例与股市收益率波动之间的关系,以探讨机构投资者能否真正起到缓解股市收益率波动的作用。实证结果表明,机构持股比例与股市收益率波动具有显著的正向关系,即机构投资者比例的增加反而使得股市收益率波动上升,因此监管当局希望在现阶段大力引进机构投资者来缓解股市波动的愿望可能很难实现。     

The Korean stock market volatility during the currency crisis and the credit crisis

This paper studies the volatility of the Korean stock market during the Asian currency crisis of 1997–1998 and the global credit crisis of 2008–2009. We use a fad model with Markov switching heteroskedasticity, which was first proposed by Kim and Kim (1996). Using the monthly data from January 1980 to October 2009, we find that the volatility of the transitory component of the stock return, or fads, increased during the currency crisis, but did not rise much during the credit crisis. It implies that the stock price fluctuations were not driven by irrational sentiments during the recent global crisis as much as during the former crisis. However, when we consider the dollar value of the Korean stock index in order to estimate the volatility that foreign investors confront, we find that the volatility of the transitory component was raised during the credit crisis as well as during the currency crisis. That is, foreign investors experienced greater volatility than domestic investors in the recent financial market turmoil. This asymmetric volatility that domestic and foreign investors face is one of the characteristics of the credit crisis.For more detailed analysis, the same model was applied to the weekly data from January 2005 to October 2009 and provided the result that the data measured by won–dollar exchange rates were more increased than the raw data. It holds that foreign investors confronted much greater volatility than domestic investors while the stock volatility was relatively lower in the credit crisis state than in the currency crisis state.     

基于GARCH族模型的深证成分指数波动性研究

基于GARCH族模型对深证成分指数的波动性进行实证研究。用学生-t分布的GARCH(1,1)模型分析了尖峰厚尾和波动聚集特征,用基于CED分布的GARCH-M(1,1)模型研究了风险溢价情况,以及用基于标准正态分布的EGARCH(1,1)模型分析股市波动的杠杆效应。结果显示,残差确实存在异方差性,股市中收益与风险成正比,同等单位的利空消息对股市冲击更大。最后根据实证研究给出结论与建议。     

Global Financial Crises and Time‐Varying Volatility Comovement in World Equity Markets

This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two‐year rolling‐window regressions. The FM's time‐varying variance shares of global factors map variations in volatility comovement over time and across countries. The results indicate that global volatility linkages are significantly stronger during financial crisis periods in Asia (1997‐1998), Brazil (1999), Russia (1998) and the United States (2000, 2007‐2008). Emerging markets are weakly synchronised with world volatility in comparison with developed markets. In particular, emerging market comovement is significantly lower than developed market comovement during the Asian and US sub‐prime crises. This suggests a degree of decoupling of emerging markets from the global drivers of volatility during these periods.     

投资者结构与股价波动关系——基于理论的思考

长期以来，人们认为机构投资者可以稳定股市。本文从更广的视角研究了投资者结构与股价波动的关系。本文结论如下：（1）在市场产品机构、交易制度和规则体系等要素给定的情况下，股价波动是投资者结构参数的函数。（2）机构投资者与稳定股市没有必然的联系。即使在市场的产品结构和交易制度等要素给定的情况下．不同的投资者结构中机构投资者比例的增加既可以增加股价波动，也可以减少股价波动。（3）在一些投资者结构中，股价波动反而随着理性机构投资者比例的增加而增加。即使在投资者结构中其他参数相同的情况下，理，比机构投资者的比例过多或过少均有可能增加波动。（4）即使在上市公司不分红且没有重大利好消息支持股价的情况下，在一定的投资者结构中，机构投资者仍能通过买入来制造股价波动。并从中获利。但这种策略能够成功依赖于市场中其他类型投资者的结构。（5）适度的羊群行为会使股价波动最小，而过强或者过弱的羊群行为都使股价波动增加。     

涨跌幅限制对股市风险的影响——来自ST股票的实证研究

涨跌幅限制是我国证券市场上重要的交易制度之一,目的在于降低股市风险,提高市场效率,但对其有效性却存在分歧。本文运用Wilcoxon秩和检验和带有涨跌停虚拟变量的GARCH(1,1)模型,对在沪市交易的ST股票在5%涨跌停限制的收益波动进行了实证研究。结果表明,当前ST股票5%的涨跌幅限制不能降低市场的风险,甚至还加剧股市波动,阻碍了股价向均衡价格的回归。