Does ESG Certification Improve Price Efficiency in the Chinese Stock Market?

Asia-Pacific Financial Markets - This paper investigates the impact of ESG certification on the pricing efficiency in Chinese listed firms and examines the internal mechanism of this impact....     

Does Financial Regulation Enhance or Impede the Efficiency of China's Listed Commercial Banks? A Dynamic Perspective

Unlike studies investigating only the characteristics of bank regulation that affect the concurrent static efficiency of banks, this paper uses a dynamic, slacks-based measure to study the persistent and intertemporal effects on the dynamic efficiency of banks in the long run. The authors find the following main results. First, the cost-to-income ratio has a significant negative effect on bank efficiency. Second, banks having higher loan-to-deposit and current ratios are more efficient than those with lower ratios. Third, the capital adequacy, provision coverage, and loan-loss provision ratios do not significantly affect bank efficiency.     

Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?

This study examines the effects on the stock market unitary risk premium and volatility associated with the listing of stock and stock index derivatives in Switzerland. Based on a univariate GARCH (1,1) specification of the stock index variance and a time-varying unitary risk premium representation, we can reject the hypothesis that stock and stock index derivatives listings do not affect the total risk premium. Contrarily to previous empirical evidence, we find that derivatives listings affect both the conditional market returns' variance and the unitary risk premium through structural shocks. The gradual market completion hypothesis is further corroborated in that, cumulatively, the three stock and stock index options futures derivatives listings reduced the unitary risk premium while the marginal impact of each successive listing decayed.     

Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?

This study examines the effects on the stock market unitaryrisk premium and volatility associated with the listing of stockand stock index derivatives in Switzerland. Based on a univariateGARCH (1,1) specification of the stock index variance and atime-varying unitary risk premium representation, we can rejectthe hypothesis that stock and stock index derivatives listingsdo not affect the total risk premium. Contrarily to previousempirical evidence, we find that derivatives listings affectboth the conditional market returns’ variance and theunitary risk premium through structural shocks. The gradualmarket completion hypothesis is further corroborated in that,cumulatively, the three stock and stock index options futuresderivatives listings reduced the unitary risk premium whilethe marginal impact of each successive listing decayed. JELClassification: G12, G14.     

When Do Listed Firms Pay for Market Making in Their Own Stock?

A recent innovation in the equity markets is the introduction of market maker services procured by the listed companies themselves. Using data from the Oslo Stock Exchange, we investigate what motivates issuing firms to pay to improve the secondary market liquidity of their listed shares. By examining the timing of market maker hirings relative to corporate events, we show that hirings are more likely when the firm will interact with the capital markets in the near future. Futhermore, a typical firm employing a designated market maker is more likely to raise capital, repurchase shares, or experience an exit by insiders.     

Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets

Size effect studies generally suggest that a return premium exists for small firms. While the size effect has mostly disappeared in recent years in mature markets (e.g., US and UK), it remains mostly strong in developing markets. The purpose of this paper is to examine the relationship between firm size and excess stock returns in the Chinese stock markets, and to examine this effect in both a bull and bear market. No studies have previously examined these relationships in the Chinese markets. The results of the study indicate that a size effect exists in the Chinese stock markets over the 6-year period from 1998 to 2003. We find small firms have significantly greater excess returns than large firms. Moreover, small firms are found to have a stronger reaction to the direction of the market than large firms. Small firms have significantly greater positive excess returns than large firms during the bull market. However, small firms have significantly greater negative returns (using total market value), or no significant difference in returns (using float market value) during the bear market period.     

Does the Stock Market Compensate Banks for Diversifying into the Insurance Business?

This paper explores a wide range of corporate restructurings, all available deals from wire services, in the banking and insurance sectors that led to bancassurance ventures. An event study methodology is employed to calculate excess returns on and around the deals’ announcement date. Using both univariate and multivariate analysis the paper finds bank driven mergers, deal's size and regional categorization all triggering positive and significant market reactions. Unlike the univariate framework, multivariate analysis shows that geographic focus and language are not significant factors. The results also indicate that markets are indifferent with respect to bank withdrawals from the bank‐insurance operations. Finally, Canadian, U.S. and European bank‐insurance deals produce positive results, while Australasian bidders offer statistically insignificant equity returns.     

Who Gambles in the Stock Market?

This study shows that the propensity to gamble and investment decisions are correlated. At the aggregate level, individual investors prefer stocks with lottery features, and like lottery demand, the demand for lottery-type stocks increases during economic downturns. In the cross-section, socioeconomic factors that induce greater expenditure in lotteries are associated with greater investment in lottery-type stocks. Further, lottery investment levels are higher in regions with favorable lottery environments. Because lottery-type stocks underperform, gambling-related underperformance is greater among low-income investors who excessively overweight lottery-type stocks. These results indicate that state lotteries and lottery-type stocks attract very similar socioeconomic clienteles.     

Does the Momentum Strategy Work at the Industry Level? Evidence from the Chinese Stock Market

This article examines the effectiveness of momentum strategy at the industry level in the Chinese stock market. We find that the intermediate-horizon momentum effect is stronger in industries with higher competition. This effect is consistent with the hypothesis that information contained in firms from highly competitive industries is vague and hence leaves more space for behavioral biases, which leads to the momentum effect. Alternatively, the measure of the Herfindahl–Hirschman index potentially captures the size effect in explaining this phenomenon. Moreover, concentrated industries experience a pronounced lead-lag effect of big firms on small firms, which is a potential explanation for the contrarian strategy. We do find that the short-horizon contrarian effect is pronounced in highly concentrated industries.     

On the Predictability of the Stock Market Volatility: Does History Matter?

This study compares the performance of the ISD, the GARCH (1,1) , the historical volatility estimates and of two lagged trading volume measures for predicting the Swiss Stock Market Index's (SMI) volatility. The ISD has a superior daily informational content than the GARCH (1,1) estimate and retains unbiased but decreasing explanatory power over up to 20 days ahead horizons. Mean and spread daily volume measures play a significant correcting role when forecasting stock market volatility over daily and longer intervals respectively and clearly dominate the GARCH (1,1) forecasts. Their significance emphasises heterogeneous horizon traders' influence on the SMI volatility time series properties     

我国交易所增设多样化委托类型的国际借鉴

在国际证券(衍生品)交易市场,多样灵活的委托类型为投资者提供了多种交易手段,对市场发展起到了重要的推动作用.随着市场规模的扩大、品种的增多以及投资者数量的增加,单一的委托类型已不能满足市场发展的需要.本文首先介绍了一些常见的委托类型,并通过对世界主要交易所以及我国交易所现有委托类型的分析,说明我国交易所应该借鉴国际上的经验,研究、开发满足投资者需要的多样化委托类型.     

Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects

There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Poell, 1988; Pope, Morris and Peel, 1990; and Gregory, Matatko, Tonks and Pukiss, 1994). All three of these UK studies used different definitions of 'buy' and 'sell' signals resulting from the transactions of directors and employ different controls to detect the presence of any 'size effects'. We investigate whether the signal definition explains the different conclusions drawn by these earlier studies, and examine whether or not any observed abnormal returns are explicable by the small companies effect. We also investigate trading strategies based on holding a long portfolio of shares purchased or a short portfolio of shares sold by directors held until the end of the study period or until a 'reserving event' (e.g. a sale following a purchase by director[s] is observed).     

共同富裕目标下互联网可及性对健康支出的影响研究

运用两部分模型、倾向得分匹配等方法,依据CFPS数据库中成人与家庭数据匹配及分类处理,考量共同富裕进程中互联网可及性对潜在因病返贫风险的阻断效应.结果显示,互联网可及性引致健康支出绝对量增加,但灾难性健康支出发生率显著降低,对潜在因病返贫风险具有一定的阻断效应.异质性分析显示,互联网使用对农村居民、低收入群体的健康支出影响较大.鉴于此,应加大互联网基础设施建设力度,引导农村居民、低收入群体更有效地利用医疗资源,阻断其潜在因病返贫风险.     

基本养老保险对居民幸福感的影响及其机制研究

完善基本养老保险制度是增进民生福祉与加强社会治理的关键要义。过往研究主要关注基本养老保险对幸福感的主效应,鲜有探讨异质性和中介效应。基于中国综合社会调查2015年的数据,利用有序Logit模型和倾向得分匹配模型,重点探讨基本养老保险对居民幸福感的影响机制。研究表明:参加基本养老保险对居民幸福感具有显著正向作用;基本养老保险显著提升中低收入居民的幸福感,但对高收入居民的影响微弱;社会信任在基本养老保险参与和居民幸福感之间发挥部分中介作用。因此,为了提升居民幸福感,我国在多层次养老保险体系建设中应以基本养老保险制度为重点,同时加快推进第二层次的企业年金制度和第三层次的个人储蓄性养老保险制度的发展,努力为培育社会信任提供公平正义的养老保险制度环境。     

Insider Trading in the Hong Kong Stock Market

Many previous studies on insider trading are based ondata in the U.S. capital market and conclude thatinsiders can earn abnormal profits. This paperexamines abnormal price performance associated withinsider trading in the Hong Kong stock market. We findthat abnormal profits associated with insider tradingare all concentrated on small firms. Trading volumedoes matter in determining the magnitude of thoseabnormal profits. Our results show that insiders ofmedium-sized and large firms do not earn abnormalprofits. Finally, it is found that outsiders who mimicthe information of insider trades associated withmedium-sized and large firms cannot earn abnormalprofits.     

Evaluating the effectiveness of exchange rate bands in reducing inflation

This paper contributes to the debate between the intermediate option and the corner solution through evaluating effectiveness of exchange rate bands (target zone and crawling band) in retaining inflation. I employ propensity score matching methods, based on the conditional independence assumption (CIA), to overcome the selection bias and problem of functional form in a sample covering observations from 88 countries from 1998 to 2005. The result suggests countries with target zones experienced significantly lower inflation rates than those with floating exchange rates. I use the sensitivity analysis for matching estimators, which highlights that the result is robust to specific failures of the CIA. Meanwhile, no significant evidence has been found that crawling bands offer a counter- inflationary benefit. It might be explained by the possibility that frequent exchange rate realignments could weaken the role of a nominal anchor and raise inflationary expectations.     

加入工会能有效改善职工工作条件吗

工会是劳动力市场的重要调节机制。本文基于中国社会综合调查数据,采用倾向值匹配方法来控制样本选择偏误,并利用自抽样进行统计推断,以克服小样本偏误,试图回答工会组织对职工工作条件的影响。研究结果显示:整体而言,加入工会可以明显地改善职工的工作条件。进一步研究发现,加入工会对体制内部门职工的工作条件有显著的改善作用,而对体制外部门职工工作条件的改善作用并不明显。此外,工会对职工工作条件的改善作用会随着市场化程度的影响而逐渐弱化。上述结果意味着中国工会组织对收入机制具有影响作用,通过夏普利值过程的回归分解发现,工会对职工小时收入差距和年收入差距的贡献率分别为4.53%和9.77%。     

Stock Exchange Reforms and Market Efficiency: the Italian Experience

This paper examines whether the reforms introduced by the Italian Stock Exchange from 1991 to 1994 (creation of specialised intermediaries, obligation to trade on the official markets, screen-based trading and cash settlement) did increase market efficiency. The issue is addressed using both the traditional information efficiency model, which tests market efficiency by verifying the predictability of prices conditional on some information subset, and a microstructure approach that measures efficiency as the distance of the price movements from their efficient components, represented by a random walk process. The joint analysis of daily and intraday data on prices and volumes validates the hypothesis that most of the reforms have increased market efficiency over the sample period, except for cash settlement, which appears to have substantially reduced it.