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1.
信息不对称与机构操纵——中国股市机构与散户的博弈分析 总被引：27，自引：0，他引：27
中国股市中 ,股票二级市场价格常常在短期内发生剧烈变化。这种现象产生的原因在于 ,在信息不对称情况下 ,机构通过操纵上市公司基本面信息来影响股票交易价格 ,以获得超额收益。鉴于机构之间信息不对称程度远远低于机构与散户之间信息不对称程度 ,发展机构投资者可以最终减少市场操纵行为 ,机构在投资者中所占比例与市场整体被操纵程度的关系可以用倒“U”形曲线表示。 相似文献
2.
We study how the predictability and the decisiveness of electoral outcomes affect financial volatility. We argue that traders’ optimal investment strategies depend on their ability to make accurate electoral forecasts and the prospective losses associated with placing a bet on the wrong candidate. Using a triple difference‐in‐difference approach and data from two‐round presidential elections in five Latin American countries between 1999 and 2018, we find that financial volatility is greatest in the days immediately following unpredictable, decisive, elections. Postelectoral volatility also occurs following predictable, indecisive elections. The effect of learning the identity of the winning candidate on financial volatility is null when the election is unpredictable and indecisive, as well as when the election is decisive, but the outcome is predictable. These findings offer insights into investors seeking to hedge price risk around elections. They also have important implications regarding the relationship between public opinion polls and postelectoral financial volatility. 相似文献
3.
Tarek Chebbi 《International economic journal》2013,27(3):408-430
ABSTRACTIt is well documented that there has been a relationship between stock markets and unconventional monetary policies. However, most research concentrates on developed economies and analyzes the effects of shocks from such polices on stock prices. This paper is different from this research in that we investigate the impact of surprises from the Fed’s and the ECB’s announcements on the stock returns and volatility in Gulf Cooperation Council (GCC) countries using GARCH models. We find that a positive surprise associated with a fall in the U.S. Treasury yield causes an increase in ADX returns. We show significant effects of the ECB’s shocks on price returns. In particular, announcement that induces a decline in yield spreads in Italian sovereign bonds leads to higher stock prices. We also document a significant impact of surprises both by the Fed and ECB on volatility. However, the estimates are mixed. We note that volatility went down in response to the ECB’s policies, while they increased after the Fed’s asset purchases. Finally, when we distinguish surprises by their sign, the GJR-GARCH model estimates indicate that the effect on the volatility which is, perhaps surprisingly, symmetric for both types of news. 相似文献
4.
We examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest emerging African stock markets over the period from 2001 to 2015. First, we find that there is a robust and significantly negative MAX effect in the pooled African stock markets. Second, though we initially document a negative IVOL effect, it disappears after controlling for MAX. Finally, the negative MAX effect is only significant in the small-SIZE, high-illiquidity and high-skewness portfolios. Our results suggest risk-seeking behaviour among African investors similar to that in other parts of the world. 相似文献
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6.
Political Stock Markets and Unreliable Polls 总被引：1，自引：0，他引：1
A political stock market (PSM) clearly beat the polls in predicting the outcome of a Swedish referendum on whether or not Sweden should join the European Union. In fact, polls were unable to make such predictions since the number of undecided respondents always far exceeded the observed YES/NO margin. However, an obstacle to PSMs serving as a superior forecasting instrument is that they can be sensitive to price distortions - by interest groups that may wish to effectuate, and pay for, such distortions - or forecast competitions tied to PSM trade gains, the latter of which was tested here. 相似文献
7.
This paper investigates whether the multi-factor stochastic volatility of stock returns is related to economic fluctuations and affects asset prices. We address these issues in a dynamic Fama-French three-factor volatility model framework. Consistent with the ICAPM with stochastic volatility (Campbell et al., 2017), we find that the conditional volatility of the size and value factors is significantly related to economic uncertainty. These volatilities are also significant pricing factors. The out-of-sample forecasting analysis further reveals that the conditional volatility can predict stock returns and deliver economic gain in asset allocation. Our analysis sharpens the understanding on the link between the stock market and economic fundamentals. 相似文献
8.
The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, and South Korea. The research determined the stock return volatility for each country＇s index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index＇s return with the index＇s returns of the following countries： Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012. 相似文献
9.
This article predicts the daily movement of monthly foreign exchange (FX) rate volatility using a linear combination of a time-series model and implied volatilities from options. The focus is on analysing the FX volatilities in three developing economies (the Brazilian real (BRL), the Indian rupee (INR) and the Russian ruble (RUB)) against the US dollar (USD). The empirical exercise utilizes two time-series models, mixed data sampling (MIDAS) and GARCH. The analysis indicates that for both developed and developing economies the predictive power of MIDAS and that of GARCH is comparable. Further on in this article, we will ascertain whether the relationship between realized and implied volatility is fundamentally different in the case of developing economies from that among developed economies. Thus, we compare the pairs USD/BRL, USD/INR and USD/RUB against EURO/USD and USD/Japanese yen to determine the information content and predictive power of implied volatilities. Plots of the MIDAS coefficients show that the volatility is more persistent in developing economies than in developed economies. 相似文献
10.
This study examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the United States, Europe and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those markets and US Monetary policy, oil prices, global financial risk and uncertainty factors. The recently developed Hafner and Herwartz (2006)’s causality-in-variance test provides evidence of risk transfers between these seemingly different equity markets, indicating a contagion between them during the full sample and the subperiods. The volatility structure of these markets is dominated by short-run volatility in the first period and by high long-run volatility in the second period. The volatility impulse response analysis indicates a similar volatility transmission pattern although it is characterized by a more volatile and short-lived structure in the second period. It also appears that the Islamic equity market responds to shocks from the risk factors and not from the oil price and the US economic policy uncertainty index during both periods. 相似文献
11.
Saibal Ghosh 《Economic Notes》2023,52(1):e12209
Using disaggregated data on Indian state-owned banks, we study how political connections influence their lending behaviour. The findings indicate an overall credit expansion of 10% during election years for banks with political connections, driven by increased lending to agriculture and Small and Medium Enterprises. Further disaggregation reveals cycles in such lending driven by electoral considerations, primarily for banks with political connections. In turn, there is a gradual weakening in the asset quality of these banks. The net effect is manifest in lower productivity. The key policy implication is that electoral manipulation exerts significant economic costs. 相似文献
12.
股市收益率与波动性长期记忆效应的实证研究 总被引：12，自引：0，他引：12
股票市场长期记忆效应问题是近来金融实证研究的一个热点.多数的研究集中在收益率长期相关性的考察上,较少有对波动率序列的研究.然而,波动率的长期记忆性不仅会导致金融市场上的波动持久性特征,而且将对波动率的预测与衍生证券定价产生重要的影响.基于此,本文通过修正的R/S分析与ARFIMA模型对我国股市收益率及其波动性的长期相关性进行了实证研究.结果表明:中国股市具有显著的非线性特征,虽然收益率序列的自相关性较弱,但波动性序列却表现出显著的长期记忆效应.这一结论将为研究股票价格行为特征与金融经济学理论提供新的方向. 相似文献
13.
Jeroen Klomp 《Scottish journal of political economy》2020,67(3):300-321
This study explores whether the amount of fossil fuel subsidies paid by the government is subject to an election cycle. Theoretically, it is not a priori directly clear whether the provision of fossil fuel subsidies should go up or down when elections are upcoming. On the one hand, governments may reap electoral benefits from offering additional support in an election year since voters generally prefer candidates from whom they expect to receive greater material well-being by reducing the prices of basic goods. On the other hand, if the number of recipients is only small or when they are politically not well organized, reducing fossil fuel subsidies to finance a tax cut or an increase in other public spending areas that benefit and attract more voters might be a more successful re-election strategy. My main empirical findings clearly show a U-shaped election effect. It turns out that election cycles encourage fossil fuel support only in countries that have either a large or small fossil fuel demand. In these countries, governments are more inclined to provide additional fossil fuel support in an election year. In turn, I do not find any significant evidence for the notion that upcoming elections create a window of opportunity to reduce fossil fuel subsidies. Finally, the significant election effects are in particular visible during presidential elections. 相似文献
14.
Anna Dodonova 《Applied economics letters》2016,23(9):674-677
Using monthly data for 2005–2014 time period, this article documents the relationship between lagged stock returns and trading volume. We show that the dispersion of stock returns in a market portfolio positively affects future trading volume. We also show that extreme negative returns lead to high future trading volume while extreme positive returns have little effect on future trading. Dividing our sample into several sub-samples based on the Standard Industrial Classification (SIC) divisions leads to similar results for most of the SIC divisions. 相似文献
15.
The growing political polarization and the increasing use of social media have been linked to straining social ties worldwide. The 2016 presidential elections in the United States reflected this trend with reports of fear and anxiety among voters. We examine how election results can be linked to episodes of anxiety through the use of alcohol as self-medication. We analyze a daily dataset of household purchases of alcohol in the weeks following presidential elections. We find that, within 30 days from Election Day, a 10 percentage point increase in support for the losing candidate increases alcohol expenditure by 1.1%. The effect is driven by counties with a higher share of supporters of the losing candidate and is robust to controlling more flexibly for omitted variables related to alcohol consumption. The increase in alcohol consumption is present in the 2016 elections and absent in the previous three presidential elections. 相似文献
16.
This paper examines the dynamic and switching effects of volatility spillovers arising from US stock market returns and GDP growth on those of Australia, Canada and the UK. For this purpose, we use quarterly data (1961q1–2013q1) and a constant probability Markov regime switching model. We found that the US stock market volatility significantly affects the stock market volatility of all three countries at least in one of the two specified regimes over time. However, the stock market volatilities in none of the three countries are contemporaneously influenced by the US output volatility even after allowing for two distinct regimes. On the other hand, the US stock market volatility exerts significant influences on the output volatilities of both Australia and the UK. Compared with Australia and the UK, Canada and the US show substantial output volatility co-movements, thereby confirming the close association between the two neighbouring economies through the NAFTA (North American Free Trade Agreement). We conclude that shocks emanating from the US stock market have unequivocal flow-on effects on the output and return volatilities of the other economies. 相似文献
17.
Poland's economic and political transition, one of the most successful, has depended very heavily on job creation in new firms to replace the jobs lost in the formerly state‐owned enterprises. This paper uses survey and aggregate data from three Polish elections to suggest that these de novo firms, the individuals they employ, and the residents in the local areas where they exist become an important constituency supporting pro‐reform political parties and constraining the actions of parties less sympathetic to the reforms. The creation of this political constituency helps explain how countries can successfully pursue both economic and political reforms. JEL classification: D72, P26. 相似文献
18.
中国股市的风险与收益存在补尝关系吗？ 总被引：2，自引：0，他引：2
Abstract Employing a recently developed method-mixed data sampling (MIDAS) approach — to assess the risk-return trade-off
for Chinese stock markets, our results are striking. First, we fail to find any evidence of the risk-return trade-off in the
first subsample (Jan 1993–Jan 2001), while we do find the existence of such relationship in the second subsample (Feb 2001–Dec
2005); such results suggest that as the markets become more mature, risks are compensated more properly. Second, we also compare
the MIDAS results with the results obtained from conventional approaches such as the GARCH-type model. Our results are reasonably
robust to the methods that we use, and the MIDAS and GARCH-type approaches outperform rolling-window approach in terms of
modeling volatility.
相似文献
19.
《Economic Papers: A journal of applied economics and policy》2017,36(4):429-443
This study is novel in measuring the volatility and efficiency of Islamic stock markets of top oil‐importing countries. Daily prices of six Islamic stock markets are analysed for volatility using EGARCH and efficiency using Multifractal Detrended Fluctuation Analysis, over three different economic regimes. The results indicate a concurrent movement of oil price volatility and Islamic stock market volatility, as Islamic stock markets are heavily reliant on the real economy, which faces the effects of oil price changes. Emerging markets faced higher volatility and lower efficiency than developed counterparts, owing to fast‐paced economic and infrastructural growth, affecting the real sector of the economy. 相似文献
20.
The popular sentiment-based investor index SBW introduced by Baker and Wurgler (2006, 2007) is shown to have no predictive ability for stock returns. However, Huang et al. (2015) developed a new investor sentiment index, SPLS, which can predict monthly stock returns based on a linear framework. However, the linear model may lead to misspecification and lack of robustness. We provide statistical evidence that the relationship between stock returns, SBW and SPLS is characterized by structural instability and inherent nonlinearity. Given this, using a nonparametric causality approach, we show that neither SBW nor SPLS predicts stock market returns or even its volatility, as opposed to previous empirical evidence. 相似文献