OFDI and stock returns: Evidence from manufacturing firms listed on the Chinese A-shares market

Using data for manufacturing firms listed on the Chinese A-shares market over the 2000−16 period, this paper studies the impact of outward foreign direct investment (OFDI) on stock returns using the propensity score matching. It shows that when firms carry out OFDI for the first time, they have to deal with the risks of the overseas market; therefore, the OFDI firms show significantly higher returns. Furthermore, OFDI affects stock returns through the risk channel rather than the diversification channel; the risks OFDI firms are exposed to are mainly demand and political risks. OFDI firms face different risks than non-OFDI firms, thus investors can obtain diversification benefits by purchasing stocks of OFDI firms. In addition, investors can make diversified investments based on the seven dimensions of the nature of firms and OFDI to increase the opportunity to obtain stock returns. For firms, they can conduct on-site inspections before conducting OFDI, becoming familiar with the host country market, laws and regulations. Firms should try to choose politically and economically stable countries to invest in.     

The state of the market and the contrarian strategy: evidence from China's stock market

Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995–2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks’ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a ‘down’ market generates higher profit than those following an ‘up’ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a ‘down’ market are robust after risk adjustment.     

International linkages of the Japanese stock market

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead–lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei.     

Financial risk exposure of returns to education: Panel evidence from Korea*

The present study examined financial market risk exposure of human capital returns, which are represented by the returns to education, using panel data for Korea. Overall, financial market shocks seem to be irrelevant to returns to education. However, when we divide a financial market shock into cash flow news and discount rate news leading to a negative risk premium, returns to education increase after positive news about future cash flows and unexpected increases in discount rates Therefore, the risk exposure to cash flow shocks is offset by the exposure to discount rate shocks. The returns to education of low‐income workers were significantly exposed to the cash flow risk as compared to those with a high income, but they were offset by the positive correlation to discount rate shocks. In contrast, considering the gap between generations, the old generation was not only less exposed to the cash flow risk compared to the young generation regarding returns to education but also positively correlated with the discount rate shock, resulting in less exposure to financial market risks.     

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years.     

Stock market efficiency the evidence from FTA indices of eleven major stock markets

Summary This article presents a survey of recent literature on stock market efficiency, with special reference to the US and Dutch stock markets. Additionally, models are specified and estimated for the daily return since 1987 on FTA indices for eleven major stock markets, allowing for non-normality, heteroskedasticity, leverage effects and autocorrelation. The leverage effect and positive autocorrelation are characteristics of some of the indices investigated. The magnitude of the autocorrelation, however, is so small, that no profitable arbitrage opportunities arise and weak-form efficiency of these stock markets is not rejected.     

上市公司会计造假的财务指标与非财务特征分析——来自证券市场的数据

会计信息是客观反映社会经济有效运行的有力工具,本文以1993～2002年因会计造假受到中国证监会行政处罚的25家上市公司对外公告的招股说明书、年报资料为基础进行统计分析,旨在通过对上市公司财务造假案例的分析,筛选出能够揭示企业会计造假的财务指标和非财务指标,并将之总结归纳,借此为防范会计造假而建立指标预警机制。     

The stock market, fundamentals, cash flow, and private investment: evidence from Japan

Using Japanese postwar annual aggregate data, we examine the responsiveness of investment to three variables — asset Q (stock market), fundamentals Q (discounted future “profits”), and cash flow. We find considerable support for cash flow, but only moderate and very weak support for fundamentals Q and asset Q, respectively.Earlier work that has estimated investment equations on Japanese data spanning the entire period from the 1960s to the 1990s may therefore be plagued with specification error. When estimating the investment equations, we are careful to split the Japanese post-war period into two samples.     

Labor market effects of import competition: Theory and evidence from the textile and apparel industries

Since the early 1980s, much attention has been given to the possibility of trade-related job losses and wage effects in the textile and apparel industries. This paper uses aggregate time series data from the Annual Survey of Manufacturers [Bartlesman and Gray, 1996] with import price data from the Bureau of Labor Statistics [Alterman, 1991] for 1977–91 to test the effect of imports on employment and wages in textiles and apparel. Theoretical models suggest that import competition should be a factor in the determination of employment, and possibly wages, regardless of whether the U.S. is represented as a price-setter or price-taker. The empirical analysis provides some support. The author appreciates the helpful comments of Barry T. Hirsch, participants at the Georgia Southern University economics seminar in November 1997, and the editorial assistance of a reviewer for theAtlantic Economic Journal.     

Seasonality and stock returns: some evidence from Japan

This paper examines the seasonal properties of Japanese stock prices using time series data from 1971 through 1997. Of interest are the influences of particular months of the year, which this study measures for the Tokyo stock price index (TOPIX), and indices that represent companies with large, medium, and small numbers of listed shares. The monthly effects in the various stock indices are confirmed for the total sample period. In contrast, such effects are not found for the latter half of the sample, and seasonal unit roots are rejected for all indices. That is, the seasonality of Japanese stock price indices is found to be deterministic but not stochastic.     

宏观经济与股票市场：来自A股的实践

近年来中国股票市场运行与宏观经济表现之间呈现出复杂的关系,股票市场自身的波动更是招致颇多争议。本文运用因果关系等分析方法进行实证研究,力图探求这种复杂关系背后的本质。从实际上证指数和经济变量绝对值来看,笔者利用相关数据进行了实证检验,发现GDP值、社会货币供应量这2个经济变量对整个股票市场的具有明显影响,上证指数与经济变量之间存在显著的因果关系。     

Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market

This paper investigates the empirical evidence of the pricing of macroeconomic factors in the Japanese stock market during the bubble period using Arbitrage Pricing Theory (APT) model. We also examine pre- and post-bubble periods in order to compare the robustness of priced factors over the bubble period. We find that the empirical content of the APT, namely the implied across-equation pricing restrictions, is not rejected in any of the sample period.     

Institutions and economic performance: evidence from the labour market

We analyse the institutional determinants of economic performance,taking European labour-market institutions as a case in point.European economic growth after the Second World War was basedon Fordist technologies, a setting to which the continent'sinstitutions of solidaristic wage bargaining were ideally suited.They eased distributive conflicts and delivered wage moderation,which in turn supported high investment. The wage compressionthat was a corollary of their operation was of little consequenceso long as the dominant technologies were such that firms couldrely on a relatively homogeneous labour force. But as Fordismgave way to diversified quality production, which relied moreon highly skilled workers, the centralization of bargainingand the compression of wages became impediments rather thanaids to growth. Assuming that growth will rely even more inthe future on rapidly changing, science-based, skilled-labour-intensivetechnologies, countries with centralized labour-market institutionswill have to move still further in the direction of decentralization.Whether Europe in particular can accommodate these demands willhelp to determine whether it is able to re-establish a fullemployment economy in the twenty-first century.     

The impact of opportunity factors on fraudulent behavior in the Vietnamese stock market

This study examines the opportunity factors on fraudulent behavior in Vietnam’s stock market by employing mixed methodology. In this regard, data were obtained from 20 in-depth interviews and 568 questionnaire survey responses of securities companies, fund management companies, stock exchanges and the State Securities Commission in Vietnam. Using the exploratory factor analysis, the study discovered that the following groups of opportunity factors result in fraudulent behavior: (i) influences of the internal person and issuer, which include (person whose internal information has not been published by the company), collusion of the issuer and securities company, abuse of power by influential person in the company, complex organizational structure of the issuer (one person handling multiple positions) and failure of an issuer to properly control internal information; (ii) investors’ factors, which include investors’ trade of securities based on the insider’s suggestion, framework of foreign investors, brokerage company recommendations, and advisory information on securities forums; and (iii) factors associated with market management and supervision, such as use of lenient penalty with no deterrent effect, untimely market management and limited authority of the securities committee. Using regression analysis, the order of the impact of each group of factors was found as follows: factors due to internal person and the issuing organization, the market management and supervision, and investors.     

Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market

This paper undertakes empirical analysis to investigate whether foreign exchange rate risk is priced, and the extent to which the Pakistani equity market is integrated into world equity markets. For the period January 1993–January 2013, we investigate unconditional pricing using the iterated generalized method of moments, employing industry and size portfolios formed from 180 firms traded on the Karachi Stock Exchange. Using the multi beta asset pricing model, we find that exchange risk is priced into the Pakistani equity market over the full sample period. Moreover, we find strong evidence that the Pakistani equity market is segmented from world markets, especially in the post 9/11 period.     

The stock market and the ringgit exchange rate: a note

This paper presents and tests an augmented monetary model that includes the effect of stock prices on the bilateral exchange rates. The model is applied to the ringgit/US dollar (RM/US) and ringgit/Japanese yen (RM/JY) exchange rates. The empirical analysis is conducted by the Johansen method of cointegration. Using the data from the recent float that ends with 1996:Q4, the study is motivated, among others, by an interesting preliminary finding that although the augmented monetary model is cointegrated, it is subject to parameter instability and that the parameter time dependency can be attributed at least partly to a particular subset of the variables in the system including stock prices. We find that a restricted VAR model which imposes exogeneity restrictions on I(1) variables, such as stock prices, among others, exhibits both cointegration and parameter stability. In addition, we demonstrate that exchange rate adjusts to clear any disequilibrium in the long-run relationship. The empirical findings tend to suggest that the equity market is significant in affecting the exchange rate and in explaining at least in part the parameter instability evidenced in the cointegrating system. Hence, we conclude that models of equilibrium exchange rate should be extended to include equity markets in addition to bond markets.     

The micro-economic effects of financial market structure: evidence from 20th century North American steel firms

This paper analyzes the historical relationship between domestic financial institutions, firm level financing decisions, and average capital costs in a sample of US and Canadian firms from a large and economically important manufacturing industry—primary steel production. We find that national capital market characteristics and firm specific characteristics were important determinants of 20th century US and Canadian steel firms’ financing decisions. We also show that, despite source-specific price differences, average capital costs were approximately equal in the two countries, and the firms’ financing decisions were important determinants of these average capital costs. We conclude that firms structured their balance sheets in an effort to exploit the idiosyncratic features of their domestic financial institutions, and thereby, minimize their average capital costs.     

Option volume and stock price behavior: Some evidence from the Chicago board options exchange

This study examines the relationship between selected Chicago Board Options Exchange option volume and underlying stock prices using intraday data for the period January 3, 1989 to January 31, 1989. The data were prefiltered and aggregated into 15-minute intervals. Causality tests were performed using Granger's method. The test results indicate that the option volume-stock price relationship is largely characterized by feedback, with option volume causing stock price changes and vice versa. The evidence also suggests that the relationship only persists for very short time periods, with little or no opportunity for market participants to devise profitable trading strategies utilizing one market's information in the other market. Data for the study were generously provided by Itzhak Krinsky and Jason Lee of the DeGroote School.     

Job tasks and wages in the Japanese labor market: Evidence from wage functions

Based on the microdata from the Basic Survey on Wage Structure and the original survey, we estimate the Mincerian wage function, incorporating job tasks, to examine the importance of job task wage premiums as well as long-term changes in the Japanese labor market. In the estimation, we found that the association between abstract tasks and wages is positive and that a one standard deviation increase in the abstract task scores was associated with a 21.2% wage premium, while that of routine and manual task wage premiums are negative. We also found that the total explanatory power of three task scores (routine, abstract, and manual tasks) is higher than that of the education dummies or the major occupation group dummies. We also confirmed two testable implications from the Roy model regarding the workers’ self-selection into occupations in the Japanese labor market. These findings are similar to those obtained by Autor and Handel (2013). On the other hand, we found no major changes between 2005 and 2016 in the coefficients of routine, abstract, or manual task scores as well as their explanatory powers in the wage function. We then observed that demand for labor increased in many occupations involving many non-routine or manual tasks, but at the same time, the supply of labor to those occupations also increased. Therefore, we discussed that the change in labor demand and supply may be one of the reasons for the stable relationship between job tasks and wages.