中国股票市场和债券市场收益率动态相关性分析

基于A股综合市场收益率和中信全债指数收益率数据来研究中国股票市场和债券市场收益率的动态相关性,并分析时变的股债相关性影响因素,以及在横截面上对股票收益率的定价影响进行考察后得知:股债相关性是时变的,股票市场的不确定性和预期通货膨胀率是影响股债相关性的主要因素;通过虚拟变量回归发现,股债相关性在横截面上对股票收益率的影响很小。这些结论对于投资者来说具有直接的现实意义。     

The Semi-Strong Efficiency of the Australian Share Market*

This paper tests the weak and semi-strong forms of the Efficient-Markets Hypothesis (EMH) using data on the Australian skate market in the 1980s. The tests are based on aggregate share price indexes and the semi-strong efficiency tests use macroeconomic data The weak-form tests examine the autocorrelation structure of share returns and test for unit roots in share prices. The data are found to be consistent with the EMH.     

Time-varying beta: a boundedly rational equilibrium approach

The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic behaviour of betas through agents’ behaviour, such as momentum trading. Misspecification of beta risk and the lack of any theoretical guidance on how to specify risk factors based on the representative agent economy appear empirically challenging. In this paper, we set up a dynamic equilibrium model of a financial market with boundedly rational and heterogeneous agents within the mean-variance framework of repeated one-period optimisation and develop an explicit dynamic behaviour CAPM relation between the expected equilibrium returns and time-varying betas. By incorporating the two most commonly used types of investors, fundamentalists and chartists, into the model, we show that there is a systematic change in the market portfolio, risk-return relationships, and time varying betas when investors change their behaviour, such as the chartists acting as momentum traders. In particular, we demonstrate the stochastic nature of time-varying betas. We also show that the commonly used rolling window estimates of time-varying betas may not be consistent with the ex-ante betas implied by the equilibrium model. The results provide a number of insights into an understanding of time-varying beta.     

The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns

This paper examines empirically whether the expected and unexpected components of monetary policy have nonlinear impacts on the dynamics of REIT returns. Empirical results find the nonlinear response of REIT returns to expected and unexpected components of monetary policy. The unexpected component of monetary policy plays a more prominent role in influencing REIT returns than does the expected component of monetary policy. Specifically, unexpected contractionary monetary policy has a significantly adverse impact on REIT returns, and the adverse effect in a bust market is stronger than in a boom market. In addition, the unexpected monetary policy will also affect the boom-bust dynamics of REIT returns through its effect on the time-varying transition probability matrix. The tightening of the expected and unexpected components of monetary policy will enhance the probability that the REIT market will stay in the bust regime.     

Inter-market efficiency and the foreign exchange market

This paper extends previous tests of weak-form efficiency in foreign exchange markets by (a) testing the efficiency of trades involving a combination of forward markets, and by (b) using data with a daily frequency. We show the Canada-U.S. forward exchange market to be weak-form efficient during the period 1972 to 1975 inclusive.     

Asymmetric effect of advertising on the Chinese stock market

In this paper, we investigate whether investor attention to advertising has an asymmetric effect on Chinese stock returns by using a multivariate Markov switching model with time-varying regime transition probabilities. Using the Chinese stock market as a setting, we obtain lagged conditional volatility from generalized autoregressive conditional heteroskedasticity (GARCH) for modelling the time-varying transition probabilities of the regime-switching process to capture changes in the market regime. Our evidence documents that the high advertising portfolio does earn higher abnormal return than the low advertising portfolio in low-volatility periods. In high-volatility periods, however, the abnormal return is insignificant when the firm increases advertising spending. Our results support the behavioural model argument that in high-volatility period, advertising information diffuses slowly due to cognitive dissonance. Thus, the effect of advertising on stock returns is asymmetric, and it shows statistical significance in low-volatility periods.     

How strong is the global integration of emerging market regions? An empirical assessment

This paper attempts to evaluate the time-varying integration of emerging markets from a regional perspective based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH parameters that allows for dynamic changes in the degree of market integration, global market risk premium, regional exchange-rate risk premium, and local market risk premium. Our findings reveal several interesting facts. First, the time-varying degree of integration of four emerging regions under consideration, satisfactorily explained by the regional level of trade openness and the term premium of US interest rates, has recently tended to increase, but these markets still remain substantially segmented from the world market. Second, the local market risk premium is found to explain more than 50% of the total risk premium for emerging market returns. Finally, we show that conditional correlations usually underestimate and overstate the measure of time-varying market integration. The empirical results of this study have some important implications for both global investors and policymakers with respect to dedicated portfolio investments in emerging markets and policy adjustments.     

Are Islamic stock markets efficient? A time-series analysis

This article investigates the weak-form informational efficient hypothesis for three major Islamic stock markets (world, emerging and developed). Unlike previous studies, we applied different parametric and nonparametric tests to investigate efficiency in the short and long horizons. Using recent data over the period May 2002–June 2012, we developed a time-series analysis of Islamic stock price dynamics in the context of the recent global financial crisis (2008–2009). Our analysis offers two interesting results. First, emerging Islamic stock markets seem to be less efficient than developed Islamic markets, suggesting interesting investment opportunities and diversification benefits from this region in both the short run and the long run. Second, nonrejection of the cointegration hypothesis for developed Islamic markets and the global conventional stock market point to efficiency for the former in the long term, even if it is inefficient in the short term. This finding has at least two economic and political implications: (i) investors who seek moderate risk would do well to opt for Islamic funds in developed countries, particularly as they share the same tendency and provide similar expected returns in the long term as conventional funds, (ii) Islamic financial systems can offer a useful model that can help to reform and remodel conventional financial institutions.     

A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan

The paper offers some new evidence which suggests that Japanese equity and real estate markets might not necessarily behave in a parallel manner to US capital markets. These results are obtained from an examination of the nature of expected and unexpected movements in the returns of Japanese assets and US assets using a present-value model which allows for a time-varying expected discount rate in conjunction with a VAR process. Based on data from 1972–92, it is found that one distinctive difference is that changes in the future expected return for Japanese real estate and stocks are less persistent over time than their US counterparts. It is also found that the impact of Japanese markets on the US market was relatively small. On the other hand, there is some evidence that the US equity market had some significant impact on the Japanese equity market. Returns on Japanese stocks also exhibit a weaker mean reversion process relative to returns on US stocks and US real estate.     

Do Reverse Stock Splits Benefit Long-term Shareholders?

This paper examines the market response of the reverse stock splits by using the effective date to trace the abnormal returns after reverse splits over the period of 1981 to 2010:3. The findings show that the short-term behavior of the abnormal returns on the effective date is negative and highly significant for all firms. The abnormal returns on the effective month are negative and highly significant. As expected, the cumulative abnormal returns are negative and significant at 10?% level over the period of +1 to +12?months. However, the cumulative abnormal returns from month +13 to month +36 are significantly positive. Our findings also support that institutional investors show confidence by increasing mean holdings of reverse splits of large capital stocks.     

Regional stock market integration in Singapore: A multivariate analysis

This paper evaluates the time-varying integration of the Singapore stock market in the ASEAN-5 region based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with c-DCC-FIAPARCH parameters. This model allows for dynamic changes in the degree of market integration, regional market risk premium, regional exchange-rate risk premium, and domestic market risk premium. Our findings show several interesting facts. First, the time-varying degree of integration in the Singapore market is satisfactorily explained by the level of trade openness and the term premium of US interest rates, which have recently tended to increase, however these markets remain substantially segmented from the world market. Second, the local market risk premium is found to explain a significant proportion of the total risk premium for emerging market returns. Our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity markets. Our results are also of interest for both policymakers and investors, with respect to regional development policies and dedicated portfolio investment strategies in the ASEAN-5 region.     

管理者交易的市场择时能力对市场有效性的影响

管理者卖出和买入公告对股票市场具有一定的影响,以管理者卖出交易和买入交易为公告样本进行实证分析,检验公告当日及给定事件期超额收益的显著性.结果显示:卖出公告样本反对半强式有效假说,管理人能够“卖高”,获得超额收益；而买入公告样本支持半强式有效假说,管理者不能够“买低”,在公告日和事件期都不能获得超额收益.     

Regulation Effects on Company Beta Components*

This paper introduces a general model to analyse the effects of regulation on company risk. In particular, we consider two determinants of systematic risk: the company's overall risk and the correlation between the regulated company's value and the market. Theoretical findings indicate that, as regulation gets stricter, the company's abnormal returns will turn negative whereas the two systematic risk components will increase, and vice versa. We use event analysis elements and a time‐varying beta estimation to verify the regulation impact on risk and returns in the English electricity distribution industry. We find that systematic risk varies significantly during the period considered in our analysis. Furthermore, the analysis points to negative relationships between abnormal returns and both market correlation and overall risk variations.     

The instantaneous capital market line

Summary. We show that if the intercept and slope of the instantaneous capital market line are deterministic, then investors will not hold any hedge portfolios in the sense of Merton [9, 11]. They will choose portfolios that plot on the capital market line, and they will slide up and down the capital market line over time as their wealth and risk tolerance change. This result allows us to aggregate over investors and derive a single factor CAPM where the first and second moments of security returns may change stochastically over time and markets are potentially incomplete.Received: 21 June 2004, Revised: 10 December 2004, JEL Classification Numbers: G11, G12.An earlier version of this paper was presented at the Econometric Society Meeting in Pasadena (1997) under the title “Portfolio selection and asset pricing with dynamically incomplete markets and time-varying first and second moments”.     

Nonlinear behaviour of emerging market bonds spreads: the Latin American case

In this article we check for nonlinear behaviour of the 10 most important Latin American emerging market bonds spreads. Applying the Hinich portmanteau bicorrelation test, the BDS test and the Engle LM test, we observe systematic nonlinear structure in the spreads series. Our results suggest that the nonlinear serial dependencies are episodic in nature. All the stock returns series (with the exception of Mexico) are characterized by few brief periods of highly significant nonlinearity, followed by long time periods in which the returns follow a pure noise process. Our findings support the idea that, even in this well informed and sophisticated market, the weak-form of the efficient market hypothesis cannot be supported.     

Equity risk premium and time horizon: What do the U.S. secular data say?

We consider a representative investor whose wealth is made up of the equity market portfolio and the riskless asset, and who maximizes the expected utility of his/her future wealth for a given horizon. The solution of this program shows that the equilibrium value of the equity risk premium – the latter being measured by the difference between the expected equity portfolio return and the risk-free interest rate – is given by the product of the price of risk by the expected variance of stock returns. When returns are predictable, these two magnitudes are both time-varying and horizon-dependent. In accordance with this theoretical framework, our paper presents an econometric model of the equity risk premia for two traditional horizons: the one-period-ahead horizon (i.e. the ‘short-term’ premium) and the infinite-time horizon (i.e. the ‘long-term’ premium). Using annual US secular data from 1871 to 2008, and representing the expected returns by mixing the three traditional adaptive, extrapolative and regressive processes, large disparities in the dynamics of the two premia are evidenced. Concerning the determination of the equilibrium values of the two premia, the expected variances depend on the past values of the centered squared returns while the prices of risk (unobservable variables) are estimated according to the Kalman filter methodology, which enables us to capture the influence of hidden variables and of non-directly measurable psychological effects. A spread of interest rates adds to this determination. Possibly due to risky arbitrage and transaction costs, the results show that observed premia gradually converge towards their equilibrium values, this process being described by an error correction model. Overall, our model provides a rather satisfactory representation of ‘short-term’ and ‘long-term’ premia.     

Evolving Weak-Form Informational Efficiency of Indian Stock Market

This empirical study deals with the changing weak-form informational efficiency of Indian stock market in recent years. The data cover daily information on BSE-100 index for a period of nine years from January 4, 1993 to December 31, 2001. In order to assess the evolving weak-form efficiency over time, entire data period is partitioned into 18 sub-periods and spectral shape tests are carried out separately in each sub-period. Based on empirical results it is seen that the extent of informational efficiency (weak form) of Indian stock market fluctuated substantially from sub-period to sub-period. The market was considerably inefficient during each sub-period till June 1996, achieved high level of efficiency during July 1996 to December 1999 and showed efficiency at relatively lower level thereafter except little aberration during 2000.

     

The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model

This paper designs a Mixture copula-based ARJI–GARCH model to simultaneously investigate the dynamic process of crude oil spot and futures returns and the time-varying and asymmetric dependence between spot and futures returns. The individual behavior of each market is modeled by the ARJI–GARCH process. The time-varying and asymmetric dependence is captured by the Mixture copula which is composed of the Gumbel copula and Clayton copula. Empirical results show three important findings. First, jumping behavior is an important process for each market. Second, spot and futures returns do not have the same jump process. Third, the tail dependence between spot and futures markets is time-varying and asymmetric with the magnitude of upper tail dependence being slightly weaker than that of lower tail dependence.     

Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach

The aim of this paper is to test empirically the conditional liquidity-adjusted capital asset pricing model (L-CAPM) developed by Acharya and Pedersen (2005). Accordingly, we propose to estimate the L-CAPM using unobserved components methodology, which allows us to take into account the main stylized facts characterizing liquidity. Based on a sample of firms listed on the NASDAQ, our empirical analysis reveals several findings. Firstly, we show that liquidity is time-varying and exhibits strong seasonality. Secondly, we highlight the impact of the liquidity level premium on asset prices. Thirdly, we show that the most important liquidity risk is related to the covariance between portfolio illiquidity and market returns. Fourthly, we observe a negative relationship between portfolio returns and market illiquidity. Fifthly, we find that liquidity risk and illiquidity level are not always positively correlated.