财务报告质量与股票收益波动率关系探讨

本文主要探讨高质量的财务报告是否可以帮助投资者做出相关决策,从而避免股市波动时所造成的损失。文章以2007年—2012年A股上市公司为研究样本,考察财务报告质量与股票收益波动率之间的内在关系。研究发现,股票收益波动率与恶化的盈余质量之间存在显著的正相关关系。从一定程度上来说,上市公司的收益波动率越小,说明其财务报告质量越高。当股市出现大幅波动时,由于投资者可以从高质量的财务报告中得到有效的信息,从而可以有效减少损失。     

The Effect of Annual Earnings Announcements on the Chinese Stock Markets

This paper examines the annual earnings announcement effect of the stock markets in China. The investigation is based on events analysis and carried out by modeling the daily changes of stock returns using the M-EGARCH approach, by testing the news effects of annual earnings announcement on the conditional mean of abnormal return and the variance of the returns. It is found that a higher than expected earnings announcement leads to a rise in the conditional mean of stock returns on days before the news announcement and a fall afterwards. The conditional volatility of the changes are significantly reduced by bigger absolute values of reported earnings before the news announcement and increased afterwards, supporting the rejection of semi-strong-form efficiency.     

股指期货对A股波动性的影响

鉴于GARCH模型适合研究金融时间序列的方差随时间变化的情况,笔者采用该模型研究股指期货的推出能否减少股票市场的波动性。本文选取股指期货推出前后一年的沪深300指数的日收盘价作为原始数据,通过建立GARCH模型就股指期货对股票市场波动性的影响进行了实证研究,结果显示,股指期货的引入在一定程度上降低了我国股票现货市场的波动性,但不显著。     

中国股市波动性聚类特征参数与非参数分析

从分析中国股市收益率序列的特征入手,寻找描述中国股市波动性特征的合适的统计模型。重点对中国股市收益率序列的波动性聚类现象进行研究。运用描述统计学方法,广义自回归条件异方差模型,以及非参数统计方法等多种方法进行广泛探讨。结合具体的数据分析,从多个角度刻画出中国股市收益率序列的波动性聚类现象的参数与随机性特征。     

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。     

Oil Price Shocks and Volatility in Australian Stock Returns

This paper examines the effect of oil shocks on return and volatility in the sectors of Australian stock market and finds significant effects for most sectors. For the overall market index, an increase in oil price return significantly reduces return, and an increase in oil price return volatility significantly reduces volatility. An advantage of looking at sector returns rather than a general index of stock returns is that sectors may well differ markedly in how they respond to oil price shocks. The energy and material sectors (as expected) and the financial sector (surprisingly) are out of step (in different ways) with results for the other sectors and for the overall index. A rise in oil price increases returns in the energy and material sectors and an increase in oil price return volatility increases stock return volatility in the financial sector. Explanation for the negative (positive) association between oil return (oil return volatility) and returns (volatility of returns) in the financial sector must be based on the association via lending to and/or holdings of corporate bonds issued by firms with significant exposure to oil price fluctuations and their speculative positions in oil‐related instruments.     

The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey

This paper investigates the effects of interest rate and foreign exchange rate changes on Turkish banks' stock returns using the OLS and GARCH estimation models. The results suggest that interest rate and exchange rate changes have a negative and significant impact on the conditional bank stock return. Also, bank stock return sensitivities are found to be stronger for market return than interest rates and exchange rates, implying that market return plays an important role in determining the dynamics of conditional return of bank stocks. The results further indicate that interest rate and exchange rate volatility are the major determinants of the conditional bank stock return volatility.     

Structural breaks and GARCH models of stock return volatility: The case of South Africa

This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All Share Index from 07/02/1995 to 08/25/2010. We find evidence of structural breaks in the unconditional variance of the stock returns series over the period, with high levels of persistence and variability in the parameter estimates of the GARCH(1,1) model across the sub-samples defined by the structural breaks. This indicates that structural breaks are empirically relevant to stock return volatility in South Africa. However, based on the out-of-sample forecasting exercise, we find that even though there structural breaks in the volatility, there are no statistical gains from using competing models that explicitly accounts for structural breaks, relative to a GARCH(1,1) model with expanding window. This could be because of the fact that the two identified structural breaks occurred in our out-of-sample, and recursive estimation of the GARCH(1,1) model is perhaps sufficient to account for the effect of the breaks on the parameter estimates. Finally, we highlight that, given the point of the breaks, perhaps what seems more important in South Africa, is accounting for leverage effects, especially in terms of long-horizon forecasting of stock return volatility.     

An information theoretic analysis of stock returns,volatility and trading volumes

Information theory is used to examine the dynamic relationships between stock returns, volatility and trading volumes for S&P500 stocks. This provides an alternative approach to traditional Granger causality tests when dealing with nonlinear relationships. The article highlights the dominant role played by trading volumes in all of these relationships – even in the return–volatility relation – and finds evidence of a market level feedback effect from index returns to the return–volatility relation at the stock level. The article also produces a number of stylized facts from an information theoretic perspective.     

资产选择、风险偏好与储蓄存款需求

本文以消费者最优资产选择模型为基础,采用局部均衡分析方法探讨了通货膨胀、股市收益波动、消费者风险偏好对储蓄存款需求的影响。2001年6月以后,通货膨胀方差下降,股市持续下跌,股市收益率下降,收益率方差也有所下降,但货币需求却加速增长。本文根据不同的相对风险回避指数,模拟了利率、通货膨胀、股市收益率、股市收益率方差等因素对2001年6月至2005年9月平均储蓄存款的影响。在适当的相对风险回避指数下,储蓄存款增加的30%左右可以由这些因素解释;如果不考虑GDP等规模变量,股市收益率下降是导致平均货币需求增长的主要因素。     

Dynamic asset pricing model with heterogeneous sentiments

The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment investor only. Moreover, heterogeneous sentiments induce fluctuations in the wealth distribution, which increases stock return volatility and induces mean reversion in stock returns. The model offers a partial explanation for the financial anomaly of mean reversion.     

Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models

This paper applies the threshold quantile autoregressive model to study stock return autocorrelations and predictability in the Chinese stock market from 2005 to 2014. The results show that the Shanghai A-share stock index has significant negative autocorrelations in the lower regime and has significant positive autocorrelations in the higher regime. It attributes that Chinese investors overreact and underreact in two different states. These results are similar when we employ individual stocks. Besides, we investigate stock return autocorrelations by different stock characteristics, including liquidity, volatility, market to book ratio and investor sentiment. The results show autocorrelations are significantly large in the middle and higher regimes of market to book ratio and volatility. Psychological biases can result into return autocorrelations by using investor sentiment proxy since autocorrelations are significantly larger in the middle and higher regime of investor sentiment. The empirical results show that predictability exists in the Chinese stock market.     

The relationship between the Vietnam stock market and its major trading partners – TECM with bivariate asymmetric GARCH model

This study employs threshold error-correction model with bivariate Glosten–Jagannathan–Runkle-generalized autoregressive conditional heteroscedasticity model to examine the relationship between the Vietnam stock market and its major trading partners, the United States, Japan, Singapore and China. The results indicate that the Vietnam stock market and return risks are influenced by Japan and Singapore stock markets. We also find that the volatility of stock market in Vietnam and its trading countries have an asymmetrical effect. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in the Vietnam stock market.     

An Investigation of Analysts' Praise of Management During Earnings Conference Calls

Through the textual analysis of a large sample of earnings conference calls, the authors find that analysts praise management on over half of earnings conference calls by saying complimentary phrases such as “congratulations on the great quarter.” The results show that analysts' complimentary phrases reflect the nature of the information released at the earnings announcement. The authors find that the amount of praise by analysts on an earnings conference call is strongly associated with the earnings surprise and to a greater extent the earnings announcement stock return. They also find that there is value to investors in tracking analysts' flattery of management during earnings conference calls, as it predicts abnormal stock returns over the following quarter. The findings, which are incremental to prior research on the tone of earnings conference calls, highlight a previously ignored aspect of analyst feedback.     

上市公司连续两年亏损就应该被“ST”吗?

结合公司运营以及赢利的相关理论 ,本文对我国股市的上市公司股票特殊处理 (ST)政策进行了深入分析。本文提出了一个既能够反映公司赢利能力又可以反映赢利波动率的公司盈亏模型。该模型显示亏损以及连续亏损与否 ,并不直接依赖于公司长期的赢利能力 ,而是直接依赖于一个综合了赢利能力以及赢利波动率的盈亏稳定性指标。结合 1 975— 2 0 0 3年美国上市公司数据的实证检验发现 ,大量具有良好赢利能力的公司 ,可以具有较差的盈亏稳定性。基于以上理论以及实证分析 ,本文对我国股市的特殊处理政策在过去、现在以及未来的现实意义阐述了自己的观点。     

信息不对称与机构操纵——中国股市机构与散户的博弈分析

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。     

Small trades and volatility increases after stock splits

In this paper, we examine the trading activity and return volatility pattern before and after splits. Unlike previous studies, we employ high-frequency transaction data and more powerful asymptotical tests on the impact of split on volatility. Furthermore, we examine the relationship between volatility and volume using different volatility measures and controlling for the effects of autocorrelation and trading costs. We find that small trades increase significantly after stock splits and the increase in return volatility is strongly related to the increase in small trades after stock splits. The results support our contention that the post-split volatility increase is driven primarily by the trading activity of smaller noise investors. Test results are robust to different measures of trading activity and return volatility.     

我国证券市场正反馈交易的实证检验

正反馈交易是投资者依据证券t-1期收益高低决定其第t期买卖行为的一种交易策略,这种交易策略广泛存在于世界各国的证券市场中,使证券市场表现出超常的波动性。本文使用上证指数和深证指数对我国证券市场的正反馈交易进行了实证研究,结果显示我国证券市场同样存在显著的正反馈交易现象,这种现象降低了市场的稳定性。     

Politics, stock markets, and model uncertainty

The available evidence on the effects of political variables on both returns and volatility of aggregate stock indices is scant and mixed. Applying Bayesian Model Averaging to a panel dataset of 17 parliamentary democracies spanning the post-war period until 1995, we test the robustness of political variables in explaining stock returns and stock return volatility. While we find that the influence of political variables on excess returns is weak, there is evidence of some political variables explaining return volatility.     

An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries

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.