金融危机背景下银行类股票β值及其稳定性的实证检验

在金融研究中,风险和收益、个股与整个股市的波动一直是人们最为关注的问题。特别是在2007年8月美国次贷危机迅速蔓延后,各个公司更加重视股市波动的研究,以求最大限度地规避风险、获得最大收益。在金融研究中,人们通常用期望值表示收益,用方差和标准差来衡量风险。而在两者的关系研究中,资本资产定价模型反映了均衡状态下单个证券的预期回报与其相对市场风险值之间的关系,也描述了证券的风险溢价与市场组合风险溢价之间的关系。选择金融危机迅速传播后的2007年8月到2011年10月21日为研究时间段,选择上海证券交易所A股市场的浦发银行（600000）等14只银行类股票为研究对象,确定它们的值,研究银行类股票与整个股市波动的相关性,说明它们的风险溢价与市场组合风险溢价之间的变动关系。考虑到在所选时间段中,2010年3月开展的融资融券业务可能会对股票值的稳定性有所影响,因此,在求出这些股票的值后,还对这些股票值的稳定性进行了Chow检验。     

Overflow effect of credit rating announcements on stock exchange based on event study

This study is aimed to identify the impact of credit rating announcements on the stock returns in stock markets and for this purpose, four different sectors of Pakistan stock exchange were selected and from each of these four sectors, different business organizations were selected, i.e. total 32 business organizations were selected. The credit rating announcement data were collected for these 32 business organizations belonging to four different sectors. Totally 101 credit rating announcements were selected and the time period for which the credit rating warnings were selected include last three years period, i.e. from 2014 to 2016. The collected data were analysed by calculating abnormal returns for each of the selected security and average abnormal returns, and cumulative average abnormal returns were calculated for four different sectors. Event study methodology was applied, and t-test and t-stats value were calculated and results were analysed on the basis of t-statistics. The results of analysis identified that credit rating announcements have a significant impact on stock prices and investors and other market participants are earning abnormal returns during two-day period after the announcements are made. In addition, these abnormal returns were either negative or positive, depending upon the nature of credit ratings announced. If the credit rating announced was upgraded, investors enjoyed positive abnormal returns while in case when credit rating announcements were downgraded, then investors bear negative abnormal returns. Finally, the findings of the study identified the applicability of random walk hypothesis on the Pakistan Stock Exchange and Pakistan Stock Exchange confirms the efficient market hypothesis with its semi-strong form of efficiency.     

Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets

Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in developed economies. However, nonlinearities in financial variables in developing economies have not been fully examined yet. In this article we investigate potential nonlinearity and cyclical behaviour of stock returns in Europe's two largest emerging stock markets, mainly in the Greek and Turkish stock markets. Specifically, we use STAR family models, which allow to model nonlinearities in the conditional mean, for modelling monthly returns on stock exchange indices of the Athens Stock Exchange and Istanbul Stock Exchange. Although we find no nonlinearity in conditional variance, we do find strong evidence in favour of nonlinear adjustment of stock returns. It is found that allowing for nonlinearity in conditional mean results in a superior model and provides good out-of-sample forecasts, which contradicts to efficient market hypothesis.     

COMMON STOCHASTIC TRENDS AMONG THE CYPRUS STOCK EXCHANGE AND THE ASE,LSE AND NYSE

Common stochastic trends among major international stock price indices have been an intensively analysed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange, and three mature equity markets, namely the Athens Stock Exchange (ASE), the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE).     

“牛市”和“熊市”对信息的不平衡性反应研究

“利好”和“利空”信息对股票市场具有不平衡性的影响 ,研究这一现象对资产定价、投资组合构造及风险头寸确定都有重要作用。而新信息的出现对股票市场的影响应该区分股市所处的位置 ,这一点正是已有的波动性研究所忽视的。中国股票市场总体上不平衡性信息表现与国外不同 ,本文将股票市场波动划分为“牛市”和“熊市”两个阶段 ,采用EGARCH模型实证研究我国股票市场在牛市和熊市阶段对“利好”与“利空”的不平衡性反应特征。然后从投资者预期、结构、心理和交易机制等方面解释产生“强市恒强、弱市恒弱”现象的原因 ,指出进一步研究的方向 ,以期为投资者选择投资策略和政府制订政策提供参考     

股权分置改革效应模型及实证分析

Based on the sample of 939 Chinese listed companies in the 40 former reformed batches, this paper investigates the effect of Chinese split share structure reform and its impact factors. First, considering Chinese split share structure reform as an event, an effect model is set up by means of the event study method, which takes abnormal return rate as a basic indicator to measure the reform effect. Further, in order to look for the impact factors on the reform effect, the empirical comparing analysis for different batches, different trading posts and different boards are done. These results show that the reform has positive effects on Chinese stock market and increases value of the listed companies. There is higher transformable return rate in the reform batches which include more Chinese listed companies with high quality performances. The shareholders who are in Shenzhen Stock Exchange market get higher transformable return rate than the shareholders who are in Shanghai Stock Exchange market. SME board has higher transformable return rate than the main board.     

Drivers of expected returns in Istanbul stock exchange: Fama–French factors and coskewness

We investigate the impact of coskewness on the variation of portfolio excess returns in Istanbul Stock Exchange (ISE) over the period July 1999 to December 2005. We form portfolios according to size, industry, size and book-to-market ratio, momentum and coskewness and compare alternative asset pricing models. The traditional capital asset pricing model (CAPM) and the three-factor model of Fama and French are tested in the multivariate testing procedure of Gibbons–Ross–Shanken (1989). Coskewness is introduced as a fourth factor and its incremental effect over CAPM and Fama–French factors is examined both in multivariate tests and in cross-sectional regressions. The findings reveal that coskewness is able to explain the size premium in ISE. Hence, the basic two-moment CAPM without the coskewness factor would underestimate the expected return of size portfolios. Multivariate test results indicate that coskewness reduces the pricing bias, albeit insignificantly. Cross-sectional analysis uncovers that coskewness has a significant additional explanatory power over CAPM, especially for size and industry portfolios. However, coskewness does not have a significant incremental explanatory power over Fama–French factors in ISE.     

Uniform testing and portfolio strategies for single and multifactor asset pricing models in the Pacific Basin markets

We test and implement portfolio strategies for three major asset pricing models, under uniform diagnostic measures using the PACAP data set containing all current listing and de-listing of firms for the local stock exchange in several Pacific Basin countries. Compared to the often used MSCI database that include only a subset of the (large) firms in the local markets, the more complete coverage of our database allows for more robust testing of current multifactor asset pricing models since the possible effects of additional factors such as size and book to market may not show up correctly using less comprehensive data sets. Our data set also provides a natural packet of nonUS data for addressing the issue of whether the results of recent asset pricing research are sample specific. Our overall results provide multi-country (sample nonspecific) support for the additional asset pricing risk factors of the Fama-French three-factor model but not for the momentum factor of the Carhart model. We additionally find that the size risk factor is more prominent than value risk factor in the Pacific Basin markets. Finally, we find strong evidence that portfolio strategies implemented to capture value and size effects are profitable in the Pacific Basin stock markets.     

Long-run Relationships between Selected Central European Indexes

In the paper we discuss the results of the long-run relationships (cointegration) between the Warsaw Stock Exchange and the other three stock exchanges situated in Central Europe: the Vienna Stock Exchange, the Prague Stock Exchange, and the Budapest Stock Exchange. Cointegration analysis is applied to check if the markets are integrated. Highly integrated markets are not isolated from international shocks.     

Market microstructure and security pricing in the warsaw market

The speed with which information is impounded in security prices is evaluated with respect to several market microstructure variables in the context of a dynamic, rapidly-changing market, the Warsaw Stock Exchange. The dynamic nature of this market allows for predictions concerning pricing efficiency in more mature markets as they merge or expand their number of offerings. The results indicate that the performance of the Warsaw Exchange compares favorably with that of the average security traded on the NASDAQ. To the extent that recent mergers of several exchanges have had the effect of engaging more market participants and enhancing trading opportunities through expanded hours, trading efficiency has been positively affected. There is also weaker support for the view that consolidating securities on fewer exchanges will improve informational efficiency as well.     

CHOICE,CONFUSION AND COMPETITION IN THE MARKET FOR MARKETS: AIMING FOR AIM IN THREE JUNIOR ASIAN STOCK EXCHANGES

Abstract. A review of literature on the theory of stock exchange competition provides the basis for a template model of a successful stock exchange. Three junior stock exchanges in East Asia which stated their ambitions to become a regional exchange for emerging firms are compared with the template and with the AIM section of the London Stock Exchange; the Tokyo Stock Exchange Mothers, Hong Kong Stock Exchange Growth Enterprise Market and the Singapore Exchange Catalist. Our analysis indicates that the AIM and Catalist markets have the closest fit to our template model, while the GEM and Mothers show material departures from it.     

Portfolio performance with controlled variables in the Singapore Stock Market

Recently, many stock return ‘anomalies’ have been identified. This leads to increasing agreement among researchers that these anomalies are relevant to enhancing investment performance. This study examines the existence of stock return anomalies on the Stock Exchange of Singapore in the period 1979–87, using a behavioural approach. The results reveal that the impact of anomalies on stock returns is unstable, with the direction of the impact determined by the strength of the stock market. This phenomenon and other observed anomalies may be partially explained by investors' psychology.     

The effect of the liberalization of the Chinese stock market on returns

We examine the short-term effects of the liberalization of the Chinese stock market on returns. We find a positive and significant abnormal return associated with the announcement of the liberalization of the Shanghai Stock Exchange. Exploiting features of the reform, we are able to compare stocks directly and indirectly affected by the liberalization. We find that all stock prices reflect this announcement premium equally, suggesting that the premium does not reflect an increase in expected liquidity. We further find that observed liquidity, as measured by volume and price impact, did not increase following the liberalization. We conclude that the observed premium reflects a diversification benefit for Chinese investors.     

The relationship between South Asian stock returns and macroeconomic variables

This article investigates whether economic variables have explanatory power for share returns in South Asian stock markets. In particular, using data for four South Asian emerging stock markets over the period 1998–2012, the article examines the influence of a selection of local, regional and global economic variables in explaining equity returns; most previous studies that have examined this issue have tended to focus on only local and/or global factors. Important factors are identified by distilling the macroeconomic variables into principal components. Economic activities, real interest rates, real exchange rates and the trade balance represent local factors. Regional factors are represented by interregional trade and regional economic activity while global factors are represented by world financial asset returns and world economic activity. The vector autoregression results suggest that the South Asian markets examined are not efficient. Both local and regional factors can directly and indirectly explain Bangladeshi, Pakistani and Sri Lankan stock returns while the lagged returns of the Pakistani stock market and world economic activity can explain Indian stock returns.     

Nowcasting norwegian GDP: the role of asset prices in a small open economy

This article finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. We use an approximate dynamic factor model that is able to handle new information as it is released, thus the marginal impact on mean square nowcasting error can be studied for a large number of variables. We use a panel of 148 non-synchronous variables. The high informational content in asset prices is explained by reference to the small size of companies on Oslo Stock Exchange and the small and open nature of the Norwegian economy.     

An analysis of the spillover effects of exchange-traded funds

This article used the Generalized Autoregressive Conditional Heteroscedasticity-Autoregressive Moving Average (GARCH-ARMA) and the exponentially Generalized Autoregressive Conditional Heteroscedasticity-Autoregressive Moving Average (EGARCH-ARMA) models to study the impact of the spillover and the leverage effects on returns and volatilities of stock index and Exchange Trade Fund (ETF) for developed and emerging markets. Previous unexpected returns for developed and emerging markets which have an opposite influence pattern on ETFs’ returns were identified. The spillover effects from returns are excellent for Hong Kong, followed by Singapore. Meanwhile, Taiwan's stock index return was recorded to have a strong negative impact on ETF return. Notably, this article shows that the spillover effects on stock index and ETF volatilities existed with bilateral influences. Despite a strong positive asymmetric volatility effect in Korea's ETF market, the leverage effect appears to play important roles in the explanation of both stock index and ETF returns.     

Credit risk – Return puzzle: Evidence from India

Although asset pricing theories predict a positive relation between risk and returns, empirical findings on credit risk-return relationship are mixed. And, observed negative relation between the two in this regard is referred to as credit risk-return puzzle. Using credit rating as a measure of credit risk, we have investigated into the existence of this puzzle in India during July 2011 to March 2019. We have used information for the companies listed on the National Stock Exchange for this purpose. Our results validate the presence of this puzzle in the Indian stock market. Moreover, credit risk is observed to be a systematic risk, which has not been captured in the traditional asset pricing models. We have also observed partial evidence favoring both behavioural and rational pricing explanations—the two widely acknowledged explanations in the literature behind this puzzle. On our further query in this connection, we have not seen any significant change in the puzzle due to the recent enactment of the Insolvency and Bankruptcy Code.     

Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

风险投资参与对中资企业首次公开发行折价的影响——不同证券市场的比较

本文考察中资企业在不同市场上市时风险投资的参与是否影响首次公开发行折价。研究发现,在大陆中小板和香港主板市场上市的中资企业中,有风险投资参与的企业IPO折价显著高于无风险投资参与的企业,支持声誉效应假说,即风险投资机构以IPO折价来提早退出投资项目,以此来建立自己的声誉,吸引更多的资金流入。在美国市场风险投资的参与对IPO折价则没有显著影响。本文进一步研究发现从业时间短的风险投资机构,其参与投资的公司上市时的历史也较短;风险投资进入企业的时间越长,IPO折价水平也越高。这两个检验都验证了风险投资机构通过IPO折价提早退出投资项目,进一步支持了声誉效应假说。     

Market efficiency and international diversification: Evidence from India

This study evaluates one of the most important emerging markets, India (Bombay Stock Exchange and Indian National Exchange), for its efficiency and for its potential to offer diversification benefits to international investors. Market-wide tests include; 1) contemporaneous relationship, 2) Granger type causality and 3) day-of-the-week effect. Tests on individual Indian stocks include: 1) panel estimation of Granger causality, 2) stock-by-stock estimation of Granger causality and 3) runs test. In sum, Indian markets are well integrated with the international equity markets, a characteristic that lowers the international diversification benefits. While day-of-the-week effect is an international spillover, it may be possible to predict individual Indian stocks' returns through causality with international equity markets and through momentum trading techniques.