The Evolution of Market Efficiency: 103 Years Daily Data of the Dow

Autocorrelation in daily returns of the Dow 30 Index fluctuates significantly over time and reveals a declining trend after World War II. The relation between autocorrelation and volatility is negative and nonlinear. The relation between autocorrelation and volume is also negative and nonlinear. Returns exhibit positive autocorrelation during years with higher autocorrelation, and negative autocorrelation during years with lower autocorrelation. Positive autocorrelation appears more frequently during periods of low volatility, while negative autocorrelation appears more frequently during periods of high volatility. Current period's autocorrelation is related to previous period's autocorrelation and to both the previous and the current period's volatility and rate of return, which implies that investors incorporate previous period's pattern of market behavior into their trading strategy.     

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。     

融资融券视阈下的投资者情绪与A股收益率波动研究

本文以融资融券市场作为研究目标分析投资者的获利倾向、心理状态、行为决策等因素所反映出的投资者情绪特征对A股收益率波动的影响。采用CR I T I C赋权法,通过计算融资融券中融资余额、融券余额、融资融券交易占比以及融资买入量等多个数据指标构建融资融券投资者情绪指数CRISI。结合A股市场日交易数据,分析研究了融资融券市场中投资者情绪指数和股市收益率波动的相互作用。本文实证结果表明,融资融券投资者情绪指数对A股市场收益率存在正向作用,而A股市场收益率对投资者情绪的影响并不显著。此外,A股市场中股价的“异常涨跌”亦对投资者情绪影响不明显。实证结果反映出我国融资融券市场中投资者情绪与A股市场收益率之间存在一种单向的影响关系,为我国股票市场投资者情绪调查机制与监控系统的建立和完善提供了依据。     

Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos

This paper aims to determine the evidence of returns autocorrelation for the main Latin American stock markets, and the influence of the day of the week effect on this phenomenon. Also, we analyze the importance of non-trading periods and their incidence on stock markets returns. We determine a high autocorrelation in most of the stock markets analyzed, both in local and global currency and the day-of-the-week effect on only some of the stock markets. Evidence of correlation between trading periods returns and those of non-trading periods is also found.     

非首发保荐人变更信息披露市场敏感性反应实证研究

以上市公司非首发保荐人变更信息披露市场敏感性反应作为研究对象,通过理论和实证分析来研究非首发保荐人变更信息披露的市场敏感性反应。研究发现,其窗口期平均累积超常收益率都为负,非首发保荐人变更信息披露引起负的市场敏感性反应;保荐人变更信息披露市场敏感性反应和证券市场类别、上市公司的风险性、收益性、成长性有关系,但不显著。同时还发现保荐人变更信息披露前存在信息泄露,信息披露日前的平均累积超常收益率都为负,说明保荐人变更信息在信息披露前就有了不同程度的泄露,内幕消息让一些投资者提前做出了反应。     

Investor Attention and Stock Returns: International Evidence

This article examines the asymmetric/discriminative effects of investor attention on expected stock returns among 15 markets through economic expansions and recessions. The predictive power of attention tends to be short-lived and weakens the autocorrelation within returns. Accounting for business cycles not only confirms that the predictability of attention endures with volatility but also explicates the asymmetric effects that underlying pessimism functions better. International evidence contributes to the literature on investor attention and reveals the discrepant effects of attention with three levels of market efficiency: semi-strong, stronger than semi-strong, and weak.     

信息传递、组织结构与银行效率

银行信息传递效率受银行信息渠道网络、信息结构、员工素质和激励约束机制的影响,银行渠道网络、信息结构,员工素质和激励约束机制受银行组织结构的影响.建立客户中心、适当分权、减少中间管理层、革新银行的信息技术、整合价值链引入市场机制、完善银行的激励约束机制等措施能提高我国银行的信息传递效率和整体效率.     

推进代办股份转让市场的发展 加快多层次资本市场体系建设

我国代办股份转让市场存在的主要问题有信息披露系统存在安全隐患、监管系统存在漏洞、系统内部信息交流繁琐等。因此,发展我国代办股份转让市场应做好以下几方面工作:明确建立交易制度;加强信息系统建设;进一步扩大代办股份转让市场规模等。     

Direct Evidence of Non-trading on the London Stock Exchange

The extent of non-trading is shown to be much greater in the UK than in the more heavily researched US equity markets. Over the period 1975 to 1995 we find that almost 44% of all stocks in our sample failed to trade on the last day of a given month, a figure which is significantly higher than for stocks in the US (see Foerster and Keim, 1993). In this paper we investigate the relationship between the non-trading of UK stocks and the autoregressive and seasonal behaviour of UK stock returns. In addition, we find that stocks are much more likely to be recorded as not having traded on the last day of the month in the period prior to April 1981 than after this date. We trace this result to a reporting requirement change on the London Stock Exchange and investigate whether the change has any real implications for systematic risk estimates over this period. We also find that alternative methods for calculating betas, in the presence of thin trading, are very sensitive to stock size and to non-trading.     

Does a scopic regime produce conformism? Herding behavior among trade leaders on social trading platforms

Social trading platforms (STPs) are transparent online markets governed by a scopic regime, where order flow is publicly disclosed and participants are subject to constant reciprocal scrutiny. Participants on STPs can be categorized into trade leaders and copiers, where the former execute unique trades and manage the funds allocated to them by the latter in return for compensation. Given limited individual capacity and the competition to attract copiers, we investigate whether the scopic regime produces excess and perpetual conformism among trade leaders. Using data from a popular STP, and from an anonymous traditional foreign exchange broker, we show that the scopic regime produces excess levels of herding. Under the scopic environment, we find that herding is high when market information is scarce, which is evidence of herding due to informational cascades. We find herding to be relatively low among risk-seeking trade leaders, which may be a sign of overconfidence. Herding is high for larger trades, suggesting that traders herd to avoid the disappointment associated with underperforming on large positions. Finally, we show that herding in the scopic environment persists at much higher levels compared to traditional environments. Our findings indicate that exposure to a scopic information-rich environment augments the limitations and personal biases of individual traders, thus producing excess and perpetual herding.     

Market reactions to the closest peer firm’s analyst revisions

Prior analyst literature focuses on the impact of financial analysts on the firms they cover, and prior information-transfer literature concentrates on the externalities of information provided by management. This paper fills gaps in both streams of literature by examining the focal firm’s market reactions to the closest peer firm’s (identified by product similarity) analyst revisions. We find that the focal firm’s stock price reacts to the closest peer’s analyst revisions made by analysts who are not covering the focal firm. The focal firm’s cumulative abnormal return for a five-day window centered on the revision date is 0.54% higher if the peer firm’s analyst revision magnitude is in the top decile than if it is in the bottom decile. Cross-sectional tests show that the sensitivity of the focal firm’s market reactions to the peer firm’s revisions increases with the revision informativeness and the similarity between the focal firm and the peer firm. In addition, we find that focal firms do not react to peer firms’ revisions in industries with strong competition where the competitive effects cancel out the spillover effects. Finally, we find that the focal firm’s market reactions can predict its own future analyst revisions, suggesting that the reactions are at least partially rational.     

Dynamic analysis of stock return volatility in an integrated international capital market

This paper examines the dynamic behavior of the stock return volatility for Canada, Japan, Germany, and the United Kingdom. The evidence indicates that international stock return volatility is mainly influenced by the U.S. stock return volatility and the exchange rate volatility, supporting the international capital market integration hypothesis. There seems to be some correlation between stock return volatility and macroeconomic volatility, but the effect is relatively weaker. In addition to the economic fundamentals, the noise component is found to be time varying, confirming the AR(MA)CH specifications in the stock return models.     

Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market

This paper investigates the return–liquidity relationship on one Middle East and North Africa frontier market, the Tunisian Stock Exchange (TSE). The findings provide evidence that there is a significant and positive premium for companies with high price impact and low trading frequency. However, Tunisian investors appreciate more low spread stocks. We show, also, a non-linear relation between potential delays of execution and stock returns. In addition, we find that Tunisian investors require a premium to compensate past cumulative illiquidity risk (high price impact, low turnover and high potential delay of execution) over the prior three to 12 months and to compensate past cumulative spread over 12 months. We point out also that these effects are seasonal.     

全流通背景下大股东交易与市场效率研究——基于信息优势的视角

全流通背景下大股东交易问题日益成为关注的焦点。以2007年至2010年A股市场大股东交易作为研究对象,验证了不同类型大股东交易利用信息优势程度及其对市场效率的影响。研究表明控股股东具有明显信息优势,其交易行为具有信息传递功能,可以缓解与外部投资者之间的信息不对称,同时控股股东的逆向投资也一定程度上能够提高股票市场定价功能;而非控股股东信息优势不明显,其交易行为更多地受市场波动性影响,对市场稳定性的冲击较大。