World market integration through the lens of foreign direct investors

This paper is motivated by the unparalleled increase in foreign direct investment to emerging market economies of the last 25 years. Using a large cross-country time-series data set, we evaluate the dependence of foreign direct investment on global factors, or worldwide sources of risk (i.e., factors that drive foreign direct investment across several countries). We construct a globalization measure that equals the share of explained variation in direct investment attributable to global factors. We show that our globalization measure has increased steadily for developing and developed countries. For the full sample of countries, the globalization measure rose by over 10-fold from 1985 to 1999. Furthermore, in recent years, developing countries' exposure to global factors has approached that of developed countries. Finally, our globalization measure correlates strongly with measures of capital market liberalization, supporting our hypothesis that increased market integration leads to a greater role for worldwide sources of risk. We discuss the implications of our results for public policies regarding capital market liberalization and policies directed at attracting foreign investment.     

The impact of the US stock market opening on price discovery of government bond futures

We examine price discovery in sequential markets for the 10-year US Treasury note, German bund, and UK gilt futures over the period 2010–2017. We find that price discovery increases after the opening of the US stock market. Order flows in the bond futures markets are more informative for permanent price changes in the 30-min period after the US stock market opens. A placebo test using US statutory holidays confirms our findings. A cross-market analysis suggests that the increased price discovery in the bond futures is related to returns and net order flows of the US stock market.     

The gambling preference and stock price: Evidence from China's stock market

Considering the strong gambling preference of retail investors in emerging markets and using the data of Chinese A-share listed companies from 2000 to 2018, this paper constructs an index of investor's gambling preference based on the theory of explicit preference and develops a factor model to capture the risk premium of gambling by introducing gambling factors. The results show that the factor model not only fits the gambling characteristics of the Chinese stock market well but also has strong explanatory power for common market anomalies. Through the index of capital gains over-hang (Wang et al., 2016), this paper further finds that facing different degrees of losses, investors will show different gambling preferences. The factor model also shows stronger explanatory power in the sample with more losses, revealing the investment characteristics of retail investors that the more you gamble and the more you lose. This study would be meaningful for exploring behavioral pricing factors, understanding emerging stock markets and supporting investment practice.     

股价崩盘风险国内外研究综述

股价崩盘风险作为一种极端的市场现象,已经引起实务界和学术界的关注。本文首先梳理了股价崩盘风险的形成机理和衡量方式,分析了国内外关于股价崩盘风险的影响因素及经济后果的文献,并将影响因素分为三个大类:公司内部相关者、公司外部相关者以及宗教、制度、市场、政治因素。尽管目前已有很多文献研究了股价崩盘风险的影响因素,但是关于企业集团的研究以及股价崩盘风险经济后果的研究还相对较少。     

股指期货的推出对股票市场的影响

我国推出股指期货的背景 股指期货是一种以股票价格指数作为标的物的金融期货合约。由于股票指数基本上能代表整个市场股票价格变动的趋势和幅度,上世纪70年代以后人们开始尝试着将股票指数改造成一种可交易的期货合约并利用它对所有股票套期保值,规避系统风险,于是股指期货应运而生。目前,国内生产总值（GDP）排名前21位的国家或地区,除中国外都有股指期货。中国已成为全球第四大经济体,如此庞大的经济体没有股指期货市场,在世界上是罕见的。     

Real-time price discovery in global stock,bond and foreign exchange markets

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news.     

Real-time price discovery in global stock, bond and foreign exchange markets

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news.     

The impact of global factors on stock market movements in emerging market economies

Global factors are becoming increasingly important as a cause of international capital fl ows. It is nearly impossible for some countries to protect themselves from outside infl uences on their fi nancial markets. This paper investigates the extent to which various global factors such as stock market volatility, international liquidity and global interest rate levels impact on the effective fi nancial market exchange rates of selected emerging market economies. These results are compared with effects on the fi nancial market exchange rates of the United States, the United Kingdom and Germany.     

股指期货对股票市场的影响分析

中国股票市场发展至今已有近18年的历史,多年来,由于缺乏有效的风险对冲工具,市场一直处于一条腿走路的尴尬局面.而股指期货的推出必将对股票市场产生重大影响,本文将就此做简要的分析.     

Transfer of corporate governance practices into weak emerging market environments by foreign institutional investors

We advance the practice transfer theorising of corporate governance (CG) by developing a framework that uncovers how foreign institutional investors (FIIs) improve on CG practices of firms in weak institutional environments. Using hand-collected data for 85 listed Nigerian firms covering the 2011–2016 period, we show that FIIs bypass the weak regulatory environment in emerging markets by transferring good CG standards to host countries. Furthermore, FIIs’ ability to enhance the CG quality of firms in such environments is moderated by their home country’s legal system, with FIIs from countries with strong legal enforcement having an enhanced ability to improve CG practices of firms in weak institutional environments. However, cultural differences between the FIIs’ home and host countries negatively moderate this relationship. Our results are robust to the choice of estimation technique and various sources of endogeneity.     

The capital market spillover effect of product market advertising: Evidence from stock price synchronicity

We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention. Using a sample of Chinese listed firms from 2009 to 2017, we find that firms with greater advertising expenditures have lower stock price synchronicity. The results are robust after we address endogeneity concerns. In accord with our hypothesis that product market advertising increases the amount of firm-level information capitalized into stock prices through the information channel, we find that the impact of advertising on synchronicity is more pronounced for firms with a higher degree of information asymmetry and firms in the consumer-product industry. Further tests show that product market advertising enhances the ability of current period returns to reflect future earnings, and thus rules out that the negative relationship between advertising and synchronicity is driven by noise trading. Our results imply that product market advertising plays an informative role and improves information efficiency in a capital market.     

Foreign institutional investors and stock return comovement

We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.     

Foreign institutional investors and stock return comovement

We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.     

放松价格管制能否促进股票市场稳定——来自创业板涨跌停制度改革的证据

2020年8月24日起,创业板市场股价单日涨跌幅由10%调整至20%,这是一项旨在放松价格管制、促进资本要素价格市场化形成的重大制度改革。基于改革前后共14个月的创业板指数、创业300指数和创业板综合指数数据,利用GARCH模型研究放松价格管制对股票市场稳定性的影响。研究发现,放宽涨跌幅限制后,中小盘股票价格波动程度显著减轻,但大盘股的波动率没有明显变化。非对称的EGARCH模型回归结果显示,创业板波动的杠杆效应在改革后显著缓解,市场投资者对利好消息和利空消息的反应较改革前都更为稳定。本文从吸睛效应、信号效应和处置效应等角度,对上述影响给出了基于行为金融学理论的解释,并提出相关政策建议。     

The stock closing calland futures price behavior: Evidence from the Taiwan futures market

This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to 5 minutes. This change presents an opportunity to analyze how a stock closing method affects the behavior of index futures prices. Empirical results indicate that an increase in the length of the batching period affects the return volatility and trading volume of index futures contracts around stock market close. Furthermore, preclose stock returns have a great impact on extended futures returns when the batching period of the stock closing call is long. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1003–1019, 2007     

Opportunities and tripwires for foreign investors in Eastern Europe

This article discusses how the local environment influences the strategic decisions of foreign investors entering Central and Eastern Europe. The current economic transition of the region offers unique opportunities arising from virgin markets and low labor costs. Foreign businesses have been eager to exploit the former, often pursuing first-mover advantages. However, the underlying structural problems of the economies in transition inhibit the development of business: in adapting to the new market environment, firms are in a process of fundamental restructuring. Moreover, the privatization process in the region creates both opportunities and obstacles for entry by acquisition. While the institutional framework is developing toward Western models, it remains incomplete. © 1998 John Wiley & Sons, Inc.     

成交量变动对股票价格波动影响的实证研究

股票市场上,股价与成交量是两个最为根本的变量。资产定价是现代金融的核心问题,众多国外学者对股票市场的研究都是以辨别股价和成交量两者之间的关系为核心的。他们的研究结果表明,股票市场上成交量与股价的关系能间接反映市场参与者的交易特点、交易习惯、信息流入市场的速度,在市场中的传播速度,以及市场的公开程度,交易规模,交易规则设置合理性等市场特征。只有极少数国内学者对股票价格与成交量之间的关系进行研究。     

Duration,trading volume and the price impact of trades in an emerging futures market

This paper examines the price impact of trading intensity on the MexDer TIIE28 interest rate futures contract, one of the world's most actively traded contracts. A novel volume-augmented duration model of price discovery decomposes trading intensity into liquidity and information components. Duration between transactions exerts a positive influence on price changes, while increases in order flow and trade volume exert positive and negative influences, respectively. The liquidity component dominates the information measure, suggesting that liquidity considerations dictate trade timing. These findings are rationalized with reference to MexDer's organizational structure, specifically the affirmative obligations placed upon marketmakers to trade a minimum volume.