中国股市反向效应和动量效应的实证研究

本文对中国股市的“反向效应”和“动量效应”进行了研究，实证结果显示：中国股市存在显著的短期性“反应效应”和中期性“动量效应”。依据本文的分析，造成中国股市存在这两种效应的基本原因在于：股市存在对上市公司特质性信息的过度反应；股票收益中存在“带头--滞后结构效应”。而这两个基本因素又内生于中国股市的特质性。     

中国股票市场宏观政策效应的实证研究

一、宏观政策效应的理论描述 所谓股票市场宏观政策效应,是指在国家实施的针对或涉及股票市场的法律手段、经济手段、行政手段以及其他调节杠杆作用下,股票市场所产生的“反应”,反应程度及其反应效果。在宏观政策作用下,股票市场的“政策效应”往往会表现出多种复杂的情形,归纳起来,可以概括为四种基本情形:     

股票市值:一个必要的视角

<正> 本文并非要准确地预测证券市场股票市值的变动,因为一个能够被精确预测结果的市场,那往往说明它的市场化程度不高,有效信息传播不充分。本文更关注的是股票市值与相关指标趋势的变动关系、推动市场规模扩大的应对措施以及市场规模扩大后的利弊影响分析。由于非流通股的存在,目前的总市值反映的市场规模实际     

高送转股票财富效应的实证研究

运用事件研究法,研究高送转股票的财富效应以及除权除息日前后股价的异常波动.实证表明,除权除息日前八个交易日内,高送转股票呈现正的显著超额收益,而在除权除息日后十个工作日内,高送转股票仍然呈现正的超额收益,但是结果不显著.     

QFII扩容动机及其对中国证券市场的影响

QFII是新兴市场经济国家有计划有步骤渐进式开放本国证券市场的一种制度安排,是货币没有完全可自由兑换,资本项目尚未开放的产物。最近,中国的QFII的额度有望从目前的100亿美元扩大到300亿美元。本文解释QFII的扩容动机,并分析了其对中国证券市场的影响。     

中国证券市场发行权证的股价效应分析

文章选取2005年～2009年期间,中国证券市场发行的55只权证为样本,实证分析了权证发行的股价效应。通过计算平均超额收益率和累积超额收益率,以及相对应假设检验统计量,文章结论表明,中国证券市场权证发行存在显著的股价效应。权证发行对整体样本和上海样本的股价存在显著的负效应,而对深圳样本的股价效应并不显著。     

中国股票市场月份效应的实证研究

本文将中国股票市场按发展成熟程度不同进行了两个时间阶段的划分,并运用带虚拟变量的GARCH(1,1)模型结合描述性统计结果对两个阶段进行比较研究。实证结果显示:第一阶段,由于中国证券市场的市场化程度低,沪市和深市均存在多月份效应;第二阶段,中国证券市场存在符合经济学解释且与国外一月份效应类似的年关效应和其中沪市表现为四月效应和十二月效应,深市表现为二月效应和十二月效应。由此可见,中国股票市场的月份效应是随着股市发展程度而变化的。     

中国证券市场价值成长效应的实证研究

价值成长效应是国外证券市场普遍存在的现象 ,本文通过实证分析的方法研究了从 1994年 1月3日到 2 0 0 1年 12月 30我国证券市场与国际证券市场价值型 /成长型股票的异同 ,得到以下三个结论。首先在本文研究的时间阶段 ,中国证券市场上价值成长效应基本不存在。其次 ,中国证券市场上市公司的基本面对股票价格收益没有显著的预测作用。最后中国证券市场的投资者对公告中的基本面信息并不存在过度反应。     

中国证券市场监管研究

中国证券市场监管研究●曹凤岐徐文石我国证券市场是一个新兴的、正在快速成长的市场,随着社会主义市场经济体制的建立和资本证券化步伐的加快,我国证券市场在国民经济中的作用愈来愈重要。但正如众所周知的那样,这一新兴市场在快速成长的同时,在管理手段、监管体制等...     

股票市场正相关影响通货膨胀的路径分析

股票市场与通货膨胀的变动关系主要有四种：通货膨胀正相关影响股市;通货膨胀负相关影响股市;股市负相关影响通货膨胀;股市正相关影响通货膨胀。之前对于两者的变动研究得出的结论主要是负相关。1992—2008年中国股票市场与通货膨胀的数据显示,06年以前二者在趋势上基本呈负相关。但是,06年至今两者呈现出了滞后正相关的变动关系,并且是CPI滞后于股票市场同向波动。本文通过对股票市场参与结构的历史比较,总结出了股票市场正相关影响通货膨胀的路径。     

The effect of the liberalization of the Chinese stock market on returns

We examine the short-term effects of the liberalization of the Chinese stock market on returns. We find a positive and significant abnormal return associated with the announcement of the liberalization of the Shanghai Stock Exchange. Exploiting features of the reform, we are able to compare stocks directly and indirectly affected by the liberalization. We find that all stock prices reflect this announcement premium equally, suggesting that the premium does not reflect an increase in expected liquidity. We further find that observed liquidity, as measured by volume and price impact, did not increase following the liberalization. We conclude that the observed premium reflects a diversification benefit for Chinese investors.     

The Saturday effect: an interesting anomaly in the Saudi stock market

The vast majority of empirical research on calendar anomalies has studied financial markets in countries where the Western calendar is used. This article investigates day of the week effects in Saudi Arabia’s stock market, where an Islamic calendar is used and where Saturday is the first working day of the week over the sample period considered. The Saudi stock market is the largest in the Gulf region, and we consider both total market data (the TASI index) and data for 15 sector indices. Our investigation reveals the existence of a positive Saturday effect, which contrasts with the results on first day of the week effects that are typically obtained for Western calendar markets.     

世界股市低迷及其对我国的影响

世界股市全面退潮2000—2001年，持续走强多年的世界股市大起大落。1999年，全球上市公司总市值超过全球总产值；2000年上半年，各主要股市纷纷攀上历史最高峰，但从下半年开始便急转直下，至今没有根本改观。股市退潮在世界最大资本市场———美国资本市场表现得极为充分。美股牛市几乎纵贯整个90年代，2000年第一季度登峰造极，三大指数的最高纪录都是那时创造的：2000年1月14日，道-琼斯30种工业股票平均价格指数为11722.98点；2000年3月10日，纳斯达克指数为5048.62点；2000年3月24日，标准-普尔500种股票综合指数为1527.46点。2000年4…     

Asymmetric effect of advertising on the Chinese stock market

In this paper, we investigate whether investor attention to advertising has an asymmetric effect on Chinese stock returns by using a multivariate Markov switching model with time-varying regime transition probabilities. Using the Chinese stock market as a setting, we obtain lagged conditional volatility from generalized autoregressive conditional heteroskedasticity (GARCH) for modelling the time-varying transition probabilities of the regime-switching process to capture changes in the market regime. Our evidence documents that the high advertising portfolio does earn higher abnormal return than the low advertising portfolio in low-volatility periods. In high-volatility periods, however, the abnormal return is insignificant when the firm increases advertising spending. Our results support the behavioural model argument that in high-volatility period, advertising information diffuses slowly due to cognitive dissonance. Thus, the effect of advertising on stock returns is asymmetric, and it shows statistical significance in low-volatility periods.     

The stock market effect of air pollution: evidence from China

In financial studies, environmental stimuli such as sunshine, temperature, and daylight are often used as proxies for people’s collective mood swings to test their effects on the stock market. China has experienced serious air pollution problems in recent years, and Chinese public awareness of air pollution has soared. In this paper, we use China as a natural experiment to investigate the effect on stock returns of depressed moods induced by air pollution. Daily air-pollution data from 2005 to 2014 are analysed and the results obtained from the empirical research show that a contemporaneous negative and a two-day lagged positive relationship exists between air pollution levels and stock returns over this time period. The relationship is mediated by the influence of air pollution on investment decisions. The results also indicate that the effect is weakened for companies that protect air quality, but no stronger effect is detected for polluting companies. The findings imply that air pollution is a behavioural factor with some connection to stock returns in China.     

Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market

In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification.     

The stock market and the vacancy rate

This paper analyzes the vacancy rate in competivive markets. It is shown that the competitive vacancy rate is suboptimal and that it can be higher or lower than the optimal rate.     

股票市场系统动力学分析：以上海股票市场为例

本文突破了传统经济理论研究的线性框架,视股票为一非线性系统,运用分形、混沌等复杂性理论对上海股票市场的系统动力学特征进行实证研究,得出了上海股票市场系统的分形特征、复杂性程度、系统演化类型及稳定性,最后,探讨了这些结论对股票市场的理论与实践意义。     

Technological races and stock market value: evidence from the pharmaceutical industry

We provide estimates of the abnormal stock market returns associated with pharmaceutical firms’ announcements of technological and regulatory successes in drug development. On the basis of these estimates, we find empirical support for two key features of technological race models. First, we observe that leaders in the innovation race record higher abnormal returns than do latecomers when they announce a success. Hence, firms should indeed be racing to complete the innovation process before their rivals. Second, pharmaceutical firms are adversely affected by the technological and regulatory success of their rivals, implying that interfirm spillovers in drug development are not sufficient to offset technological rivalry. Additional results are also produced regarding the impact of competition on R&D racing and the extent of therapeutic competition.