基于股价波动理论的上市房企股价与利率变动的外部相关性研究

本文笔者针对上市房企股价波动与利率变化的外部相关性．从理论上分析了利率调整对房企股价的影响因素．结合历史数据,运用事件研究方法．选取上证综指和深成指,对证监会分类下的120家上市房企公司股票进行实证比对剖析,对其内外相关关系进行分析研究．判断利率调整与房地产股价波动的外部相关关系．揭示了利率变动与房企股价波动的外部性．提出了我国利率政策对房地产市场进行调控的政策建议。     

从个股流动性看信息透明度与股价同步性

通过我国A股上市公司的数据分析,采用固定效应方法,控制行业和年度效应,经实证检验发现个股流动性与股价同步性呈正相关关系。这是因为一方面流动性越大则促进了股票交易,导致股票价格反映私有信息程度变化;另一方面是流动性加大则会改善企业信息透明度。进一步的研究发现:随着我国股权分置改革的完成,流通股数量增加,个股流动性增强,进而使得这种关系加强。文章的主要贡献在于,一是把市场微观结构的理论概念——流动性和公司财务领域的现象——股价同步性相结合起来进行研究,有助于两者的进一步融合;二是根据我国股权分置改革的准自然实验,对该关系做了进一步的检验,不但有助于检验股权分置改革的实施效果,更是为未来探索股价同步性提供了一种新的思路。     

基于流动性的股票回报的理论探讨及实证研究

本文对资产流动性的定义及其对证券市场的影响进行了归纳总结,阐明了资产流动性与其预期收益率的紧密关系。本文内容主要包括流动性的测度及流动性对资产定价的影响两个方面。测度方面,Amihud Yakov与Mendelson先后将股票买卖价差与收益率与成交额比值的绝对值作为流动性度量指标,而Pa′stor和Stambaugh 2003的文献将流动性风险上升到了系统性的高度,引入了月度市场流动性指标。对股价影响方面,Amihud Yakov与Mendelson 1986年的研究发现预期到和为预期到的市场弱流动性与股票超额收益率在截面数据层面上分别存在正相关与负相关。此外,Amihud在2002年文献中证明了预期到和未预期到的市场弱流动性与股票超额收益率存在时间序列的正相关性与负相关性,将两者的相关性扩展到了时间维度。此外,Pa′stor和Stambaugh 2003年的文献将流动性风险上升到了系统性的高度,将流动性风险作为资产定价的一个重要状态变量,股票的预期收益率与该股票对市场范围内流动性波动的敏感度高度相关。     

融资融券对流动性的影响——基于我国股市交易数据的实证研究

基于500只融资融券标的股在2010年至2013年的流动性变化,运用Wilcoxon秩和检验方法,考察分析两次融资融券标的证券名单调整结果对流动性的影响。对不同的市值大小、收益率波动、是否允许卖空和上市板块分别分析,继而根据分析得到的结果,利用股市交易数据实证做OLS回归,找到了诸多因素中对我国股市流动性有显著影响的决定性因素:是否允许融资融券、收益率波动、市场交易总金额、是否属于A股以及2013年的流动性比2011年显著恶劣。实证结果表明,能否提升股市流动性并不仅仅取决于融资融券标的证券名单范围扩大与否,能被市场投资者所接受认可的配套政策也很重要。     

我国股票市场流动性影响因素分析——来自中国A股证券市场的经验证据

本文从微观角度研究了股票市场流动性的影响因素。从公司业绩水平、资产规模、股票的市场风险、股价等方面分别进行了单因素相关性分析。结果发现：影响流动性的主要因素有每股收益、总资产、股票的贝塔系数和股价,而净资产收益率对流动性的影响不大,并且净资产收益率和每股收益之间存在偏相关关系。     

上市公司会计信息披露对证券价格的影响:回顾与评价

影响证券价格的因素纷繁芜杂.文章简要回顾、分析了会计信息对证券定价的影响,从“信息→个体交易者行为→股价波动”和“信息→投资者共识→股价波动”两个研究维度进行了阐述,前一个研究维度开创了会计信息之于证券价格的研究先河,而后一个研究维度则是今后研究的重点.     

公司信息披露频率、股价特质性波动与公司治理

院Jin 和Myers（2006）表明信息越透明的公司,股价特质性波动越大,而Dasgupta 等人（2010）的结论则与之相反.文章基于Jin 和Myers（2006）的框架,将“未被市场预期的公司特质信息”分成“公司主动披露”和“投资者搜集”两部分,它们都引起股价的特质性波动,从而证明了公司信息透明度与股价特质性波动存在U 型关系,解决了文献中的矛盾.此外,文章利用我国A 股上市公司数据,实证发现股价特质性波动与公司信息透明度存在显著的U 型关系;进一步的研究还表明,公司治理与股价特质性波动之间存在正的相关性.     

媒体监督、短期市场反应与股价变动——制度环境的角度

本文从我国的制度环境角度，采用事件研究法考察媒体负面报道的短期市场反应，对媒体监督与股价的关系及其原因进行了分析，对股票市场条件对媒体监督效果的影响进行了探讨，并对媒体自身特点、股票流动性及企业自身特征对媒体监督效果的影响进行了研究，为媒体监督影响股价及投资者决策的深层原因提供新的解释，拓展了媒体外部治理机制的相关研究。     

浅析流动性过剩对中国A股市场的影响

过剩的流动性是导致居民消费价格指数不断攀升的重要原因,加速了房地产市场的繁荣;股票市场的繁荣虽不是流动性过剩的必然结果,但充裕的货币流动性则可能有利于股票市场通过整合获得健康发展。总的来说,货币流动性的过剩,促使了股价的上涨,但能否持续,取决于市场资金的态度和预期。     

所有者权益和股本的比值与公司股价的关系研究

股价是指股票的交易价格,股票价格的真实含义是企业资产的价值.但股价并不完全代表股票的价值.股价受到市场情绪、投资者偏好等不确定因素的影响,所以股价经常在真实价格上下波动.本文就针对其中的两个要素,所有者权益和股本的比值,来探讨其与股价的关系.     

“次贷危机”背景下沪港股市溢出效应研究

文章对美国"次贷危机"爆发后沪港股票市场在波动性与流动性方面的溢出效应进行实证研究。研究结果表明,随着次贷危机的蔓延与深化,沪港股市的波动性溢出与流动性溢出呈现不同特征。在危机初期,仅存在上海股市流动性单向溢出到香港市场;在危机后期,香港市场的流动性与波动性均单向溢出到上海市场。     

Liquidity and asset pricing: Evidence from the Chinese stock markets

We introduce a novel two-factor model, incorporating market and liquidity factors, which outperforms the CAPM and Fama–French factor models when applied to stock market returns in Shanghai and Shenzhen over 2000–2019. We compute the liquidity factor as the return on a liquidity-mimicking portfolio, which we construct simultaneously using two measures of liquidity (one of them capturing liquidity’s trading-quantity dimension, and the other associated with its price-impact dimension). Unlike the CAPM and Fama–French factor models, the advocated two-factor model is able to account for numerous return anomalies, such as size, book-to-market ratio, earnings-to-price ratio, cash-flow-to-price ratio, return-on-equity, and volatility. The model’s performance is similar when applied separately to the Shanghai and Shenzhen stock markets. Furthermore, it fares similarly over the 1994–2004 and 2005–2019 sub-periods. This result is somewhat surprising, because liquidity seems likely to have been substantially lower over 1994–2004, as the Chinese markets were noticeably smaller, and the critical market reform aimed at eliminating non-tradable shares by the end of 2006 did not occur until 2005.     

Forecasting oil futures market volatility in a financialized world: Why speculative activities matter

We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we document the subtle interaction between the two measures of which the volatility-averse behavior of speculative activities plays a considerable role in the market. Moreover, by accounting for structural changes, we find significant evidence that this behavior currently becomes weaker than in the past, which implies the oil futures market is less informative and/or less risk-averse in recent time period. Our forecasts based on these features perform very well under the predictive preferences that are consistent with the volatility-averse behavior in the oil futures market. We provide discussions and policy inferences.     

The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market

This paper investigates the asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market. This approach is innovative in so far as it examines the effects of allowing two-round impacts to differ in our settings of dynamic volatility with time-varying jump intensity because the world economic situation differs during periods of large-scale asset purchases. Utilizing the daily futures price of the exchange rate for the Canadian dollar against the U.S. dollar, the empirical findings show that U.S. large-scale asset purchases have significant asymmetric effects on the volatility of the Canadian dollar futures market. Two kinds of asymmetry are observed. Firstly, the impact of large-scale asset purchases is smaller in the first round of the large-scale asset purchases than in the second round. Secondly, an expansionary policy causes higher volatility in the Canadian dollar futures market than does a contractionary policy due to a signal of high liquidity.     

Trading patterns in the European carbon market: The role of trading intensity and OTC transactions

This paper examines the effect of trading intensity and OTC transactions on expected market conditions in the early development period of the European Carbon futures market. Past duration and trading intensity are used as information related order flow variables in modelling time between transactions in two new specifications of Autocorrelation Conditional Duration (ACD) models. This allows for specific investigation of non-linear asymmetric effects on expected duration and the impact of OTC transactions. Evidence is presented of two main types of trading episodes of increased and decreased trading intensity. Both have a significant impact on price volatility, which increases further if an OTC transaction intrudes. OTC transactions also play a dual role. They slow down trading activity in the short term (over the next five transactions) but increase it substantially in the long term (over ten transactions). Both the liquidity and information price impact components increase following an OTC trade, but the information impact is greater. Price volatility calms down faster than liquidity effects following an OTC trade, and this is more pronounced in ECX and in Phase II. The combined evidence points towards increased market depth, efficiency and maturity of the trading environment.     

Toward an understanding of market resilience: market liquidity and heterogeneity in the investor decision cycle

During liquidity shocks such as occur when margin calls force the liquidation of leveraged positions, there is a widening disparity between the reaction speed of the liquidity demanders and the liquidity providers. Those who are forced to sell typically must take action within the span of a day, while those who are providing liquidity do not face similar urgency. Indeed, the flurry of activity and increased volatility of prices during the liquidity shocks might actually reduce the speed with which many liquidity providers come to the market. To analyze these dynamics, we build upon previous agent-based models of financial markets, and specifically the Preis et. al (Europhys Lett 75(3):510–516, 2006) model, to develop an order-book model with heterogeneity in trader decision cycles. The model demonstrates an adherence to important stylized facts such as a leptokurtic distribution of returns, decay of autocorrelations over moderate to long time lags, and clustering volatility. Consistent with empirical analysis of recent market events, we demonstrate the impact of heterogeneous decision cycles on market resilience and the stochastic properties of market prices.     

Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches

The aim of this paper is to examine the explanatory power of realized volatility on the illiquidity in Saudi stock market during the COVID-19 outbreak. To achieve this objective, we consider the Wavelet Coherence approaches as empirical tools to investigate the combined effect of realized volatility and COVID-19 counts on the market illiquidity across frequencies and over time space by taking in account the number of infected cases in Saudi Arabia and over the World, and the number of death cases in Saudi Arabia as well as over the World. Our study reaches two main findings. First, the preliminary results reported by the ARDL bound test as a benchmark model showed significant long-run and short-run effects of the market volatility on illiquidity in contemporaneous and lagged manner. Second, the wavelet coherence analysis tools exhibited important results: (i) the wavelet coherency between illiquidity ratio and realized volatility in Saudi Arabia appear highly pronounced over all time horizons. (ii) PWC plots showed a significant mutual effect between liquidity risk and realized volatility when eliminating the effect of local COVID-19 cases. (iii) MWC plots highlighted that the response of the market illiquidity index to both the amplification in confirmed local cases (resp. international confirmed cases) and the stock market volatility appear significant in the short and middle horizons.     

What drives the liquidity premium in the Chinese stock market?

This paper examines the dynamics of the liquidity premium in the Chinese stock market by adopting a multivariate decomposition approach to measure the individual contributions of various driving forces of the premium (such as firm size, idiosyncratic volatility, and market liquidity betas). By employing a wide range of liquidity measures, we show that liquidity premium is generally significant in the Chinese stock market. Furthermore, this premium is increasing in recent years starting from 2011; this observation is different from the United States market, in which the premium has declined over the years. Moreover, the multivariate decomposition approach highlights several asset pricing factors as the main driving forces of the premium. Based on the Amihud liquidity measure, the decomposition approach indicates that the size factor contributes 45–65% to the liquidity premium. However, the measure based on turnover suggests that idiosyncratic volatility accounts for at least 60% of the liquidity premium. In contrast, the global market liquidity beta does not significantly contribute to the premium. However, there is some evidence that the local market liquidity beta has become more significant in its impact on the premium during the period from 2011 to 2015. Our results imply that the findings on the liquidity premium in the Chinese stock market could be sensitive to the liquidity measure used and period of analysis.     

The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

Using daily data from March 16, 2011, to September 9, 2019, we explore the dynamic impact of the oil implied volatility index (OVX) changes on the Chinese stock implied volatility index (VXFXI) changes and on the USD/RMB exchange rate implied volatility index (USDCNYV1M) changes. Through a TVP-VAR model, we analyse the time-varying uncertainty transmission effects across the three markets, measured by the changes in implied volatility indices. The empirical results show that the OVX changes are the dominant factor, which has a positive impact on the USDCNYV1M changes and the VXFXI changes during periods of important political and economic events. Moreover, USDCNYV1M changes are the key factor affecting the impact of OVX changes on VXFXI changes. When the oil crisis, exchange rate reform, and stock market crash occurred during 2014–2016, the positive effects of uncertainty transmission among the oil market, the Chinese stock market, and the bilateral exchange rate are significantly strengthened. Finally, we find that the positive effects are significant in the short term but diminish over time.     

Margin trade,short sales and financial stability

We model how leveraged trading activities constrained by dynamic funding availability affect financial stability. In the market, customers trade based on the fundamental value of the risky asset and make full payment for their transactions, while speculators take trading position based on margin, which is constantly adjusted by the financier, the fund provider, according to the price volatility. As a result of equilibrium price discontinuity triggered by dynamic margin requirements, trivial shocks to external supply, wealth or fundamental value can be transmitted into asset price crashes or jumps. We find that tightening margin requirements improves (mitigates) the market liquidity in the bull (bear) market, and that imposing short sale constraints helps prevent the price from falling further when the asset is sufficiently under-priced and accelerate price collapse when the asset is over-priced.