中国A股市场大交易量与收益率关系的研究

利用技术分析制定股票投资策略是投资者主要采用的方法之一,而对交易量与收益率两者之间关系的研究又是技术分析的基础。我们认为,大交易量能更好地预测未来股票的收益。本文通过对中国A股市场代表不同规模股票的指数实证研究发现,不同指数在大交易量形成后的检验期里反应是不同的。代表大盘股的指数存在明显的"大交易量溢价效应";而代表小盘股的指数几乎不存在这种效应。我们还进一步的发现,这种"大交易量溢价效应"只发生在指数上涨了10%-20%的情况下。最后,我们给出了相关的投资策略。     

Abnormal investor response to the index effect for daily and intraday data

Events that directly affect stock indices are of considerable importance to various index instruments such as ETFs and index funds. One of the most important of such events involves updating the index, which takes place once or twice per year. The effect this has on the capital markets is known as the “index effect”, and it is one of the strongest and most influential long-term effects. Using two different methods, I examine how the index effect impacts the Israeli capital markets. I examine the three leading market indices—the Tel-Aviv 25, the Tel-Aviv 75, and the Tel-Tech 15—for firms whose stocks enter and exit their respective index for both daily and intraday data. In the first examination, I divide the sample based on firms entering/exiting each of these three market indices and examine the index effect using daily data. This analysis shows that the market responds differently for firms entering and exiting the Tel-Aviv 25 than it does for the two other indices. For the second examination, the sample is divided based on each stock’s volatility during the period prior to the event using intraday data. This analysis shows that more volatile stocks respond more strongly to the indexing event.     

资本市场国际影响力提升效应研究——来自A股纳入明晟(MSCI)新兴市场指数的证据

2018年5月15日,首批纳入明晟(MSCI)新兴市场指数的A股股票名单正式公布。我们发现,被纳入MSCI的股票(标的股票)在公告日前后有显著为正的累计超额收益。相较于主要特征相似的匹配股票,标的股票纳入MSCI后的分析师评级有显著提升。进一步研究表明,在公告日前后融资(融券)交易量显著上升(下降),而换手率没有明显变化,并且净融资交易与公告效应显著正相关。本文的发现表明,A股纳入MSCI这一事件具有明显的信息含量,传递了有关企业前景的正面信息,并促使本地市场聪明投资者进行更活跃的交易,这对促进价格发现、促成价值投资具有一定的推动作用。     

Exchange-traded fund ownership and underlying stock mispricing

In response to the increasing proliferation of exchange-traded funds (ETFs), and a warning from the Wall Street hero Michael Burry that passive investing has put the stock market into ‘bubble’ territory, we examine the relation between stock ownership by ETFs and mispricing from 2002 to 2018. We find that increased ETF ownership induces overpricing in underlying stocks. We then identify three mechanisms for this relationship: the overpricing of stocks attributable to increased ETF ownership is stronger for stocks that experience an increase in passive ETF ownership; during periods characterised by high investor sentiment; and for illiquid stocks. Our results are robust to a battery of tests including alternative measures for all key variables and are not confounded by the global financial crisis. Additional analyses show that mispricing caused by ETF ownership change is not driven by firm fundamentals and does not exacerbate stocks' information environment around earnings announcement.     

Style‐Related Comovement: Fundamentals or Labels?

I find that economically meaningless index labels cause stock returns to covary in excess of fundamentals. S&P/Barra follow a simple mechanical procedure to define their Value and Growth indices. In doing so, they reclassify some stocks from Value to Growth even after their book‐to‐market ratios have risen, and vice versa. Such stocks begin to covary more with the index they join and less with the index they leave. Backdated constituent data from Barra reveal no such label‐related shifts in comovement during the 10 years prior to the actual introduction of the indices in 1992.     

投资者关注度与股票市场——以PM2.5概念股为例

近年来雾霾成为中国社会的热点话题,而雾霾频发导致PM2.5概念股受到投资者广泛的关注。本文结合现实环境问题,研究投资者通过对环境的关注度继而对与环境相关的股票的影响。具体而言,本文探究投资者对雾霾和PM2.5概念股的关注度对PM2.5概念股的影响。分析发现投资者对雾霾和PM2.5概念股的关注度的增加能拉升PM2.5概念股的股价。投资者对雾霾的关注度和PM2.5概念股的收益率显著正相关。关注度的增加同时也提高PM2.5概念股交易的活跃程度以及PM2.5概念股涨停的可能性。此外,本文发现正面的新闻报道会拉升PM2.5概念股的股价而负面的新闻报道会降低其股价。最后,本文通过讨论内生性和异质性等一系列稳健性检验进一步验证上述结论。     

The Chinese Stock Dividend Puzzle

In this paper, we examine the announcement effects of dividends with an emphasis on stock dividends in China's capital market. We find that dividend-paying stocks exhibit significantly positive abnormal returns while non-dividend-paying stocks show a negative announcement effect. Further, we document that the cumulative abnormal returns for pure stock dividends and combined dividends are the main drivers of this announcement effect. In contrast, pure cash dividend stocks experience no significant price run-up before announcement. The significant announcement effect of stock dividends is robust to controlling the earnings surprise effect. We offer some discussion of the possible explanations.     

MUTUAL FUND TRADES: ASYMMETRIC LIQUIDITY PREFERENCES AND FUND PERFORMANCE

We investigate the role of the liquidity of stocks traded by mutual funds on the performance of funds experiencing substantial and sustained redemptions (outflows) or inflows. Accordingly, we identify 770 redeeming fund‐periods and 1,757 inflow fund‐periods and find a statistically significant relation between the liquidity of the stocks they trade and the quantity of the stock traded. Notably, when funds experience redemptions, those with low portfolio liquidity have an elevated preference for selling more‐liquid stocks. In the following period, such funds statistically and economically underperform funds that sell less‐liquid stocks. This is consistent with redemptions detrimentally affecting shareholders that remain in a fund.     

A network perspective of comovement and structural change: Evidence from the Chinese stock market

How to appropriately characterize the comovement between any pair of individual stocks and describe the market comovement structure is a great challenge and plays a key role in understanding emerging markets. This paper applies the complex network approach to deal with this issue for the Chinese stock market. Firstly, in view of the topological properties, we investigate the time-varying comovement between individual stocks by constructing 14 directed weighted stock networks. Furthermore, the weighted LeaderRank algorithm is employed to describe the comovement structure of the entire market. Most importantly, from the perspective of fundamental factors and industry factors, we reveal the driving factors of the comovement and structural change of the entire market. The empirical results suggest that: (i) Stocks with higher weighted LeaderRank algorithm scores generally have more long-term investment value; and the so-called views, “too big to fail” and “too connected to fail”, are further confirmed. (ii) ROE, BMratio and Growth are significantly positively correlated with the comovement between individual stocks, and Mvalue is significantly negatively correlated during normal periods. However, during the crisis, the signs of regression coefficients of above four explanatory variables are reversed. (iii) In normal periods, we only find that the agriculture, forestry, animal husbandry & fishery and composite have significant influence on the comovement structure of the entire market. Besides, public utilities and medias also have a significant impact during the crisis. In addition, a very interesting fact in point is that network density, average clustering coefficient, and global efficiency can provide an “early warning” for possible upcoming crises.     

The 2011 European short sale ban: A cure or a curse?

This paper examines whether the 2011 European short sale ban on financial stocks proved to be successful or had a negative impact on financial markets. We explicitly take an options market perspective and focus on market participants’ changes in beliefs and expectations. During the ban, short positions in banned stocks decreased, whereas they increased for non-banned stocks. Our results indicate that the ban increased implied jump risk levels, thereby negatively impacting the banned financial stocks. However, we also observe that after the announcement of the ban, financial contagion risk actually dropped for banned stocks. Instead of a substitution effect between regular short selling and synthetic shorting through single stock puts, we observe a migration out of single stock puts into the EuroStoxx 50 index options market. We conclude that this type of migration diversified selling pressure initially concentrated in financial stocks across a larger share of the stock market, thereby reducing systemic risks and enhancing overall financial stability.     

How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co‐move with crisis country index returns. Our results show greater co‐movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.     

Institutional trading and stock returns

In this study, we explore the dynamics of the relation between institutional trading and stock returns. We find that stock returns Granger-cause institutional trading (especially purchases) on a quarterly basis. The robust and significant causality from equity returns to institutional trading can be largely explained by the time-series variation of market returns, that is, institutions buy more popular stocks after market rises. Stock returns appear to be negatively related to lagged institutional trading. A further analysis of the behavior of trading and the returns of the traded stocks reveals evidence that stocks with heavy institutional buying (selling) experience positive (negative) excess returns over the previous 12 months.     

Price and volume effects of changes in MSCI indices – nature and causes

Using changes in the MSCI Standard Country Indices for 29 countries between 1998 and 2001, we document that stock returns and volumes exhibit “index effects” in international markets similar to those detected by the studies of US stocks. The stocks added to the indices experience a sharp rise in prices after the announcement and a further rise during the period preceding the actual change, though part of the gain is lost after the actual change date. The stocks that are deleted from the indices, on the other hand, witness a steady and marked decline in their prices. Trading volumes increase significantly and remain at high levels after the change date for the added stocks. There are also considerable cross-country variations in these effects. Tests using data on various measures reflecting the different hypotheses fail to turn up any evidence in support of information effects. Our evidence appears to be more supportive of the downward sloping demand curve hypothesis. There is some evidence of price-pressure and mild evidence of liquidity effect, particularly in Japan and UK.     

What’s in the news? The ambiguity of the information content of index reconstitutions in Germany

We analyze stock price behavior around reconstitutions of the German DAX index family from 1990 to 2013. The strong price run-up of added stocks in the 2 months preceding the announcement date remains robust until 2 months after the effective date (ED), and is fully reversed 5 months later. Conversely, stock prices of deleted firms are under pressure until 10 months after the ED. Unlike most previous studies, we find that outright entries and exits have temporary price effects, as do additions to and deletions from better-known indices; however, promotions and demotions related to lesser-known indices command permanent stock price responses. Rather surprisingly, deleted stocks consistently earn higher abnormal returns than added stocks in the 5-year post-event period. Specifically, the return differential levels out at 77.3%. We establish that this differential in permanent stock prices is attributable to differences in operating performance and media coverage. In practice, index reconstitutions do not appear to give unambiguous signals about the long-run investment appeal of affected firms. However, index fund managers not constrained by tracking error minimization would be better off holding deleted stocks for 5 years after the ED.     

Red sky at night or in the morning,to the equity market neither a delight nor a warning: the weather effect re-examined using intraday stock data

Unlike most of the existing literature on the weather effect, we conducted our analysis by employing intraday weather and market data, examining a large set of stocks rather than indices only, including volume and volatility data in the study and inspecting a wide number of weather variables (temperature, humidity, pressure, visibility, wind, cloud, rain and snow). Our analysis covered the Italian stock market for the period August 2005–March 2014 for a total of 2201 trading days. We conclude that no systematic relationship seems to exist between the weather and the Italian stock market. Moreover, our results raise doubts that testing the weather effect by limiting the analysis to indices only can lead to spurious conclusions.     

Predicting the bear stock market: Macroeconomic variables as leading indicators

This paper investigates whether macroeconomic variables can predict recessions in the stock market, i.e., bear markets. Series such as interest rate spreads, inflation rates, money stocks, aggregate output, unemployment rates, federal funds rates, federal government debt, and nominal exchange rates are evaluated. After using parametric and nonparametric approaches to identify recession periods in the stock market, we consider both in-sample and out-of-sample tests of the variables’ predictive ability. Empirical evidence from monthly data on the Standard & Poor’s S&P 500 price index suggests that among the macroeconomic variables we have evaluated, yield curve spreads and inflation rates are the most useful predictors of recessions in the US stock market, according to both in-sample and out-of-sample forecasting performance. Moreover, comparing the bear market prediction to the stock return predictability has shown that it is easier to predict bear markets using macroeconomic variables.     

Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices

This paper investigates whether the announcement and/or the implementation of the major changes in March 2003 to the German stock index landscape led to significant price and volume effects. We examine five stock subgroups that were either removed from their former indices or that were added to existing or newly constructed indices. Around the announcement date, stocks in these groups are subject to (cumulative) positive average abnormal marketadjusted returns, whereas the average trading volume tends to decrease. Around the actual change date, (cumulative) abnormal returns are mainly positive, while findings on abnormal transaction volumes are fairly heterogeneous. Our empirical results are not supported by any of the prevailing theoretical explanations of market reactions to index changes, but, as an important result, all findings depend crucially on the chosen benchmark model.The authors are grateful to two anonymous referees for insightful comments and suggestions and for helpful discussions with Stephan Schmidt-Tank. They would like to thank Fabian Zettler for his assistance in collecting the data.     

Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of Mid Cap 400 Index Futures

The MidCap 400 stock index is used to provide new evidence on the relation between stock index futures trading and stock return volatility. The study documents a significant decrease in return volatility and systematic risk, and a significant increase in trading volume for the MidCap 400 stocks after the introduction of the MidCap index. A control sample of medium-capitalization stocks, however, exhibits similar contemporaneous changes in these measures. The MidCap stocks and the control stocks also experience a significant decrease in volatility and an increase in volume after the introduction of MidCap 400 index futures. Thus, the study finds no difference in the behavior of the MidCap 400 stocks and the control stocks and no evidence of a relation between index futures trading and volatility in the stock market.     

Designing proxies for stock market indices is computationally hard*

In this paper, we study the problem of designing proxies (or portfolios) for various stock market indices based on historical data. We use four different methods for computing market indices, all of which are formulae used in actual stock market analysis. For each index, we consider three criteria for designing the proxy: the proxy must either track the market index, outperform the market index, or perform within a margin of error of the index while maintaining a low volatility. In eleven of the twelve cases (all combinations of four indices with three criteria except the problem of sacrificing return for less volatility using the price-relative index) we show that the problem is NP-hard, and hence most likely intractable.