Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market

This paper investigates effectiveness of momentum strategies in the Japanese stock market during the period of 1975 to 1997. The main findings of this research are that momentum strategy portfolios which invest in past three-to-twelve month winners and sell past three-to-twelve month losers lose about 0.5% per month over the subsequent three to twelve months. This means that stock prices in the Japanese stock market reverse rather than continue over a medium-term horizon. The most significant reversal pattern is observed at the first month of portfolio formation and is unique to small stocks. Even with the market risk and size factor controlled, the price reversal is still present.     

The Effect of Market Transparency: Volatility and Liquidity in the Korean Stock Market

Faced with unprecedented competition, stock markets should have fairness and transparency. The effects of market transparency for the stock market volatility and liquidity will be investigated using the case of the Korean stock market. The evidence from this study indicates that increasing the market transparency makes the price discovery process more efficient than before from the viewpoint of stock market volatility, and increases the stock market liquidity compared with before.     

Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators

ABSTRACT

We explore whether investors earn profits through the use of stochastic oscillator indicators (SOI) for trading stocks. The results reveal that investors might use momentum strategies when trading constituent stocks of SSE 50 as the overbought trading signals emitted by SOI. We infer that the results might be caused by herding behaviors of Chinese investors since overoptimistic moods are likely to exist as evidenced by the 80 percent trading volume traded by individual investors in the Chinese stock market.     

水信息披露、机构投资者与股价同步性

基于2010-2016年中国A股高水敏感行业的322家上市公司数据,实证检验水信息披露对股价同步性的影响,以及机构投资者的调节效应。研究表明：水信息披露对股价同步性的影响呈倒U型,且在民营企业样本中尤其显著。在国有企业样本中,机构投资者的加入能促使水信息披露更好地融入股价;在民营企业样本中,只有在高水信息披露水平下,机构投资者才能更好地发挥调节作用。     

Advertising,investor attention,and stock prices: Evidence from a natural experiment

I test whether advertising affects stock prices through an investor attention channel. I use corporate sponsorships of college football bowl games as a natural experiment that provides variation in advertising exposure that is unrelated to firm fundamentals. Sponsoring firms' stocks experience large increases in investor attention, abnormally high turnover, and temporary price pressure that is related to bowl games' TV‐ratings and score differentials. Retail investors are net buyers of sponsors' stocks, whereas institutional investors initially remain neutral and then start selling, ultimately driving a reversal toward fundamental values. These findings shed light on who wins/loses when advertising attracts investor attention.     

股票市场投资者结构国际比较研究

本文梳理了A股市场与相关国家(地区)股市投资者结构的现状,探讨这些市场投资者结构的演变路径、以及促成这种演变的主要因素。基于境外主要市场投资者结构演变及政策措施的经验教训,本文提出改进A股市场相关制度的六点政策建议:第一,从更宏观的政策层面入手,改进上市公司结构,增厚上市公司利润,以增进A股市场的长期投资价值;第二,着力培育和鼓励大体量资金机构进入股市;第三,有必要继续扩大海外合格机构投资者资金规模;第四,完善金融产品供应,适当放宽交易规则约束,使机构投资者有更多工具和交易方式参与市场交易;第五,在个人投资者方面,监管部门需要适度转变监管理念,进而改进相关交易规则,鼓励个人投资者以合理方式理性参与股市;第六,创新税收激励机制,合理引导个人投资者。     

Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

There is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.     

Information Diffusion and Overreaction: Evidence from the Chinese Stock Market

This paper empirically examines the relation between overreaction and the speed of information diffusion in the Chinese stock market. Industry-adjusted firm size and residual analyst coverage are used to proxy the speed of information diffusion. We document strong evidence that the profitability of a monthly contrarian strategy decreases with industry-adjusted firm size or residual analyst coverage. Moreover, the profitability of contrarian strategies survives for a longer horizon for stocks with slower information diffusion than for those with faster information diffusion. This result holds true even if risk, bid-ask spread, lead-lag effect, inventory costs, and limits to arbitrage are properly accounted for. Our findings suggest that information environment and information diffusion determine the extent of overreaction.     

Institutional Traders' Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors

Abstract:   In this paper, we contribute to the literature on institutional herding and feedback trading by analysing the investment behavior of pension funds on the Polish stock market. Pension funds entered into the stock market due to the national pension system reform in 1999, providing a unique opportunity to receive deeper insight into the behavior of institutional investors in an emerging capital market. Our results show that Polish pension fund investors are to a greater extent involved in herd‐like behavior and pursue feedback trading strategies more often than their counterparts in mature markets. This finding is primarily attributed to a stringent investment regulation and high market concentration. We do not detect, however, that trading by the pension funds exerts significant influence on the future stock prices.     

Political Risk and Foreigners' Trading: Evidence from an Emerging Stock Market

This paper analyzes the impact of political risk on foreign investors' trading in emerging stock markets, market-wide and for industry portfolios, using quantified political risk ratings reported in the International Country Risk Guide and foreign flows data compiled by the Istanbul Stock Exchange. We also track the differential effect of political risk upgrades and downgrades. Political risk is shown to affect stock returns, net foreign flows, and macroeconomic variables. Foreigners' reaction to upgrades (downgrades) is slow (immediate) and smaller in magnitude. Foreigners' reaction to political risk varies with industry's sensitivity to market risk, except for the tourism sector, where their response is particularly salient. Local investors appear to provide liquidity to foreigners, who respond to information.     

Tactical Asset Allocation and Stock Issuance in the Korean Stock Market

Stock issuance predicts future stock returns in the Korean market. This creates profitable trading opportunities. Abnormal returns exist in the zero-cost portfolio that short the firms issuing large numbers of shares and longs those issuing small numbers of shares. Their average abnormal return is 12 percent per annum, which is highly significant even after controlling for market, size, value, and momentum factors as well as transaction costs. The authors suggest the possibility of fixed costs in equity market timing. Only the sizable benefit from market timing over fixed costs motivates firms to increase net equity shares.     

石油价格与股票市场的溢出效应——基于中美数据的比较分析

本文以中美股票市场和国际原油市场的数据为样本,用VAR模型和二元GARCH模型研究了中美股市价格和国际石油价格的收益率及波动的溢出效应。研究结果表明,中国股市价格和国际石油价格之间,既不存在任何方向的收益率溢出效应,也不存在任何方向的波动溢出效应;而国际石油价格的变化率对于美国股市收益率确有负向先导作用,并且两者之间具有双向的波动溢出。     

短期动量效应与收益反转效应研究——基于中国中小板市场数据实证分析

依据2011年中小板市场股票的日收益率考量对该市场短期动量效应与反转效应。结果显示:当形成期为一周时,持有期为一周、四周、八周的情况下市场均存在收益反转现象;当形成期为两周时,持有期为四周、八周的情况下市场均存在收益反转现象;当形成期为四周、八周时,各种持有期情况下均存在反转效应。重叠抽样结果显示:除了形成期为两周且持有期为两周的情况下,市场效应不明显之外,其他均显著表现为收益反转效应。同时采用静态与动态的投资策略验证2012年上半年的数据,发现时间段的选取对于研究结论有显著的影响;动态投资策略能够实现更为可观的收益,但收益波动也更为剧烈。     

Investor Sentiment and Stock Returns: Evidence from Turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies, namely closed-end fund discount, mutual fund flows, odd-lot sales-to-purchases ratio, and repo holdings of mutual funds. Investor sentiment does not appear to forecast future stock returns; only the turnover ratio of the stock market seems to have forecasting potential.     

The Effect of House Price on Stock Market Participation in China: Evidence from the CHFS Microdata

This is an empirical study on the effect of house price on stock market participation and its depths based on unique China Household Finance Survey (CHFS) data in 2011 and 2013 including 36,213 sample households. We mainly found that, with an increase of one thousand RMB per square meter in macrohouse price, the probability to participate in the stock market will increase by 5.4% before controlling for wealth effect and 2.84% afterwards, indicating the existence of wealth effect. The participation depths of the stock-total asset ratio are expected to decrease by 0.23%, and absolute stock asset is observed to decrease by 5.8 thousand RMB in response to one thousand RMB increase of per square meter house price. The effect of house price on participation decision is also related to housing area, and the negative effect of house price on stock market participation depths gets more intense with the increase of the stock-total asset ratio.     

The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market

We investigate the effect of energy commodity price movements on market and electricity index returns in Turkey for the periods before, during, and after the year 2008. Although the Turkish economy is highly reliant on oil, we find that oil price does not lead either electricity or market indexes. This might be attributable to sluggish integration of financial markets in Turkey compared to developed markets. Natural gas price leads electricity index in the pre-2008 period. Its significance is reduced following the decline in natural gas usage in electricity production. This suggests that commodity dependence may be driving the link between commodity and asset prices in related sectors.     

Daily Stock Trading by Investor Type and Information Asymmetry: Evidence from the Korean Market

We examine the influence of trading by heterogeneous investors on information asymmetry in the Korean stock market, which includes domestic and foreign institutional investors and individual investors. In particular, we examine the relationship between the daily trading volume and the level of information asymmetry reflected in the stock price. The results reveal that high-volume daily trading by domestic institutional and individual investors increases the degree of information asymmetry in the short term, but is more evident for individual investors. Foreign institutional investors tend to mitigate the information asymmetry. Finally, our findings are robust to an alternative measure of investor trading.     

The Effects of Stock Characteristics on the Direction and Extent of Herding by Foreign Institutional Investors in the Taiwan Stock Exchange

We use a dynamic herding measure to explore the causes of foreign institutional investor (FII) herding in the Taiwan stock market and examine the effects of stock characteristics on the direction and extent of such herding. We find that FII herding primarily results from cascades rather than habit investing or momentum trading. The result of a panel smooth transition regression shows that FIIs' negative cascades focus on their largest net purchases of stocks, but FIIs' positive cascades focus on winner and small-sized stocks. To increase portfolio returns, investors can use FIIs' cascades to inform their stock purchases.     

The First‐ and Second‐Hand Effect of Analysts' Stock Recommendations: Evidence from the Swiss Stock Market

This paper empirically investigates the impact of both the first release of analysts' stock recommendations to a limited clientele and the subsequent dissemination of the same information in a major newspaper to a broader audience. For a sample of 1460 stock recommendations published in FuW, Switzerland's major financial newspaper, significant positive abnormal returns on the day of the original release of buy recommendations and on the day of publication in FuW are documented. Tests of the price pressure and information hypotheses reveal that analysts' recommendations contain new information, which is quickly incorporated in the stock prices on the first release of this information. In contrast, the statistically significant announcement effects associated with the subsequent publication can be primarily ascribed to price pressure in the underlying securities.