Market closure effects on return, volatility, and turnover patterns in the Hong Kong index futures market

This paper examines the market closure effect of the Stock Exchange of Hong Kong (SEHK) on the intraday behaviour of the index futures contract which continues to trade for 5–15 min after the close of the SEHK. The behaviour of the index futures market in Hong Kong is consistent with the contagion model of King and Wadhwani (1990) in that the close of the SEHK leads to an immediate downturn in the return, volatility, and turnover in the index futures market. The long period of nontrading before the morning also leads to a higher morning volatility and turnover.     

Determining the contributions to price discovery for Chinese cross-listed stocks

We study the price-discovery process for a number of Chinese cross-listed stocks. For the stocks cross-listed on the New York Stock Exchange (NYSE) and the Stock Exchange of Hong Kong (SEHK), we find that the stock prices of these two exchanges are cointegrated and mutually adjusting, and that the SEHK makes more contributions than the NYSE to the price-discovery process. The SEHK contributions are 81.6% and 89.4%, computed from Gonzalo and Granger [Gonzalo, J., Granger, C., 1995. Estimation of common long-memory components in cointegrated systems. Journal of Business and Economics Statistics 13, 27–35] permanent–transitory (PT) and Hasbrouck [Hasbrouck, J., 1995. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50, 1175–1119] information share (IS) models respectively.     

The impact of salient political and economic news on the trading activity

This paper investigates the impact of salient political and economic news on the intraday trading activity, namely, the stock return volatility, the stock price volatility, the number of shares traded, and the trading frequency. Using transactions data on 33 constituent stocks of the Hang Seng Index in the Stock Exchange of Hong Kong (SEHK), we find that political news has a distinct impact on market activity when compared with economic news. We argue that the observed phenomenon is related to the precision of signals associated with these two types of news and investors' perceptual biases.     

Return spread and liquidity: Evidence from Hong Kong ADRs

Fifteen Chinese H-shares listed on the Stock Exchange of Hong Kong are cross listed as ADRs on the NYSE. We empirically determine the role of security specific liquidity associated with those ADRs and their underlying H-shares on return spreads, differences between the returns on ADRs and their corresponding H-shares after controlling for ADRs and H-shares excess market returns and their respective price inverses denoting conditional betas. We use three proxies for liquidity, trading volume, turnover, and illiquidity (Amihud, 2002) and find that only trading volume and turnover are consistent determinants of return spread for the majority of Chinese ADRs with primary listing in Hong Kong Stock Exchange (SEHK). We use a switching regression model and find that the model parameter estimates are not stationary and change, often drastically between pre and post 2000 and 2003. Further tests using Bai Perron indicate return spreads data as non-stationary with multiple regime changes during the sample period. Further the causes of non-stationarity seem to be largely security specific and not driven by broad market swings in either market.     

Stock market closure and intraday stock index futures market volatility: “contagion”, bid–ask bias or both?

Chang et al. [Journal of Business 68 (1) (1995) 61] examine the impact of the closure of the New York Stock Exchange (NYSE) on S&P500 stock index futures traded on the Chicago Mercantile Exchange. They document a decline in futures market volatility immediately after the close of the NYSE, and an increase 15 minutes later when the futures market closes. They attribute this to contagion–i.e. a decline in information transfer from equities to futures markets following the closure of the underlying market. This paper examines the impact of the extension of trading hours in Hang Seng Index futures traded on the Hong Kong Futures Exchange on the 20 November, 1998 to 15 minutes after the close of the underlying market (the Stock Exchange of Hong Kong). Using the unique natural experiment provided by this change, a pattern similar to US markets is documented for the Hang Seng Index Futures following the change in trading hours. This provides strong evidence that the intraday pattern in volatility is caused by market closure. Unlike US futures exchanges, price reporters on the floor of the Hong Kong Futures Exchange collect quote data in addition to trade data. This data facilitates a test of another plausible microstructure explanation for the observed behaviour–bid–ask bounce associated with trading activity. This paper provides evidence that bid–ask bounce also explains part of the observed intraday behaviour in price volatility.     

Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong

We examine the clustering pattern in trade and quote prices on the electronic limit order book of the Stock Exchange of Hong Kong (SEHK). Earlier research into clustering focuses on transaction prices only. We study clustering on quote prices over a maximum of five queues on the limit order book. We observe an abnormally high frequency of even and integer prices in trade and quote prices for all tick size groups on the SEHK. The deeper quotes display stronger clustering than the best quotes, indicating that the farther away the quotes are from the best queue, the less information they carry. Our analysis further reveals that an extremely fine tick size itself works as a binding constraint to hinder the price resolution process. We also find that short sale prohibition imposed on the majority of stocks listed on the SEHK causes a significant bias in clustering towards the ask side of the limit order book. This implies that a short sale prohibition impairs efficient price discovery in the market.     

Informed trading and the price impact of block trades: A high frequency trading analysis

Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery.     

Information transfer,microstmctures and intraday price return spikes

Previous research has identified overnight public information as the cause of higher opening returns and mean reversion in security markets. This paper tests this hypothesis by using an intervention and transfer function time series model to filter out the dynamic effects of an overnight information set on the opening, and subsequent, intraday AOI stock and SPI futures intraday price returns. A further research objective was to analyse the process by which information is transferred into prices and whether there is a differential impact across stock and futures markets. It was determined that the information contained in the overnight US stock market had: (i) a differential impact on the Australian stock and futures market, and (ii) after filtering out the impact of overnight information, a significant reversal tendency remained in both markets after opening. Further analysis supported the conclusion that price spikes at opening were not wholly related to overnight information. Other possible explanations, such as different trading mechanisms, did not provide a satisfactory explanation. Overall, it appears that the uncertainty participants face at the beginning of a trading session may induce a number of subtle market reactions (both rational and irrational), in markets with different microstmctures and trading clientele.     

Price and trading volume reaction: the case of Hong Kong companies’ earnings announcements

In this paper, we investigate the price changes and trading volume reactions during the days surrounding the announcements of annual earnings based on a 31-day observation window for a sample of Hong Kong firms listed on the Stock Exchange of Hong Kong (SEHK). The major findings of our study: (1) materially support the findings of Morse (1981), (2) demonstrate significant price and volume reactions over four days surrounding the annual earnings announcement over the years 1992 to 1995, (3) show similar market reaction for Blue Chip stocks compared to Non–Blue Chip stocks, and (4) indicate a larger overall price reaction for Non–Blue Chip stocks and mixed results regarding volume reaction when comparing the Blue Chip and Non–Blue Chip stocks. These results show that, although the Hong Kong results are largely in line with the U.S. and international evidence, the Blue Chip stocks are followed more and remain the mainstream stocks for Hong Kong investors.     

Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong

We investigate the profitability of contrarian investment strategies for equities listed on the Hong Kong Stock Exchange (HKEX), which are separated into cross-listed firms and firms listed only in Hong Kong. We also investigate the relationship between stock returns and past trading volume for these equities. We report significantly higher contrarian profits for the period investigated and find that this is a persistent feature of stock returns for cross-listed companies. We also document that contrarian portfolios earn returns as high as 8.01% per month for the dually-traded companies and just 1.83% for only HKEX-listed firms. We find that volume has only a limited ability to explain contrarian profits. All extreme profits disappeared after adjusting for the Fama and French three-factor model.     

Option trading after the opening bell and intraday stock return predictability

Prior literature finds that information is reflected in option markets before stock markets, but no study has explored whether option volume soon after market open has predictive power for intraday stock returns. Using novel intraday signed option-to-stock volume data, we find that a composite option trading score (OTS) in the first 30 min of market open predicts stock returns during the rest of the trading day. Such return predictability is greater for smaller stocks, stocks with higher idiosyncratic volatility, and stocks with higher bid–ask spreads relative to their options’ bid–ask spreads. Moreover, OTS is a significantly stronger predictor of intraday stock returns after overnight earnings announcements. The evidence suggests that option trading in the 30 min after the opening bell has predictive power for intraday stock returns.     

资本市场开放能否提高企业信息披露质量？——基于“沪港通”和年报文本挖掘的分析

提高信息披露质量对于改善上市公司治理结构和保护股东权益具有重要意义。本文利用2014年开通的“沪港通”机制这一准自然实验,研究资本市场开放是否提高了企业的信息披露质量。从2010-2019年A股上市公司年报文本中提炼可读性指标衡量信息披露质量,使用匹配和双重差分方法进行实证研究,发现“沪港通”机制实施以后,标的公司(纳入“沪港通”的A股上市公司)的信息披露质量显著提高。这一结论对不同的估计方法、样本区间及控制变量组均保持稳健。异质性分析表明,对于盈余操纵水平较高、股价信息含量较低的企业,资本市场开放能够更好地改善其信息披露质量。本文丰富了资本市场开放对企业行为和绩效影响的实证研究,为继续推进资本市场开放政策提供了理论依据。     

Intraday and interday volatility in the Japanese stock market

This paper characterizes the volatility in the Japanese stock market based on a 4-year sample of 5-min Nikkei 225 returns from 1994 through 1997. The intradaily volatility exhibits a doubly U-shaped pattern associated with the opening and closing of the separate morning and afternoon trading sessions on the Tokyo Stock Exchange. This feature is consistent with market microstructure theories that emphasize the role of private and asymmetric information in the price formation process. Meanwhile, readily identifiable Japanese macroeconomic news announcements explain little of the day-to-day variation in the volatility, confirming previous findings for US equity markets. Furthermore, by appropriately filtering out the strong intradaily periodic pattern, the high-frequency returns reveal the existence of important long-memory interdaily volatility dependencies. This supports recent results stressing the importance of exploiting high-frequency intraday asset prices in the study of long-run volatility properties of asset returns.     

Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process.     

ON ESTIMATING STOCK MARKET VOLATILITY: AN EXPLORATORY APPROACH

Traditional methods of estimating market volatility use daily return observations from a stock index to calculate monthly variance. We break with tradition and estimate stock market volatility using the daily, cross-sectional standard deviation of returns for all firms trading on the New York Stock Exchange and the American Stock Exchange. We find a significantly positive relation between risk and return. Market volatility is estimated to be about half the volatility level previously reported. The intraday, cross-sectional market volatility measure provides findings consistent with risk-return theory.     

Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data

This paper introduces a new method for identifying the simultaneity between returns and trading flows. The proposed method enables us to identify the intraday interaction using daily data, and provides measures of the information content of trading flows, and their instantaneous response to public information and information revealed by market prices. Applying this method to daily data on investor types from the Korea Stock Exchange, we find significant intraday bi-directional interaction between flows and returns and their latent common drivers, altering some of the results of the previous literature based on Cholesky assumptions. Thus, we obtain a number of new insights concerning the behavior of investor types.     

A dynamic analysis of the neglected firm effect

This study uses rolling regressions with panel data and conducts a dynamic analysis of the neglected firm effect, the negative relationship between the number of analysts and stock returns. For this reason, we use two samples of firms: one from the London Stock Exchange (LSE) and another from Bursa Malaysia (BM). The results reveal a significantly negative neglected firm effect only for the BM sample. In contrast the association between the number of analysts and stock returns is positive in some periods in the LSE. Size is not significant as a moderator, which suggests that the neglected firm effect does not vary with firm size, contrary to the findings in the previous literature. Finally, the neglected firm effect is nonstationary for both LSE and BM firms. Our results hold under a range of robustness tests and yield guidelines for investors regarding the types of markets and time periods for which analyst coverage is likely to matter most.     

Stock price reaction to profit warnings: the role of time-varying betas

This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange. The standard event study methodology indicates the presence of price reversal patterns following both positive and negative warnings. However, incorporating time-varying betas, event-induced variance and conditional heteroskedasticity in the modelling process results in post-negative-warning price patterns that are consistent with the predictions of the efficient market hypothesis. These adjustments also cause the statistical significance of some post-positive-warning cumulative abnormal returns to disappear and their magnitude to drop to an extent that minor transaction costs would eliminate the profitability of the contrarian strategy.     

赵一弘 碧生源的“工匠”

赵一弘用了10年时间,仅凭借着碧生源旗下的2款主力产品,就创造了逾8亿元的年销售额,并将企业带到了香港联交所。从2000年北京房山区窦店镇一个仅1100平方米的厂房,到2010年登陆香港联交所主板,碧生源控股有限公司(以下简称为碧生源)董事长兼CEO赵一弘和创业团队经历了10年时间,在这10年里,除了产品外,他们专心做好了一件事情:在全中国范围内铺设了一个遍布近12万家零售终端     

Intraday Returns and the Frequency of Trading at the Ask on the Sydney Futures Exchange: A Research Note

This article documents and provides explanations for intraday patterns in returns for the Share Price Index (SPI) futures contract traded on the Sydney Futures Exchange (SFE). Consistent with overseas futures markets research, a positive and significant overnight return is documented. Unlike overseas futures markets, we find little evidence of an end of day price rise. Our evidence suggests that overnight returns for the SPI contract are largely driven by the way returns are typically measured, which ignores the fact that there is a significantly greater frequency of sellers at the market close and buyers at the start of the day. These patterns are consistent with hedging behaviour by futures traders with long positions in the underlying stock.