Stock market rationality and price volatility: Tests using Japanese data

This paper tests the stock market rationality hypothesis, which implies that a stock price is determined as the discounted sum of optimally forecasted future dividends. Mankiw-Romer-Shapiro volatility tests and new volatility tests which do not use the unobservable “ex post rational price” are applied to the data from a stock market in Japan. A Hausman type specification test of the market rationality hypothesis is also developed and applied to the data. The results suggest that we cannot reject the hypothesis that the Japanese stock market is rational. A couple of variance inequalities are violated by the data but the violation does not seem to be significant. J. Japan. Int. Econ., December 1987, 1(4), pp. 441–462. Massachusetts Institute of Technology, Cambridge, MA 02139.     

Historical returns and security market development, 1872–1925

Annual holding returns are reported for a broad range of the assets available to investors in the security market between 1872 and 1925. A generally favorable picture of asset performance is revealed when these returns are compared to those on similar investments in the modern era. Two changes in the patterns of returns around 1900 occurred—a decline in inflation adjusted debt returns and an increase in the volatility of stock returns (especially industrial stock). The structure of asset returns after 1900 was distinctly modern and has persisted to the present. The emergence of the modern structure of returns is linked to institutional changes in the security market between 1890 and World War I, and to the process of industrial capital formation.     

机构投资者对股票市场发展的影响分析

对于大力发展机构投资者能否对股票市场的发展起到稳定运行的作用,国际上在理论和经验研究上都没有形成确切的结论。由于我国股票市场起步于个人投资者,股市发展中的多次波动是理论界寄希望于大力发展机构投资者来稳定市场,事实上机构投资者未能起到稳定市场的作用,究其原因是我国股市属于不完全有效市场,上市公司质量低下等,给机构投资者的投机行为创造了很大的空间。本文从若干层面分析机构投资者对股市发展产生的影响,提出解决发展机构投资者对股市稳定运行的建议。     

Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors

Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the correlation between volatilities of stock returns and exchange rate changes. In this paper, we employ a bivariate GJR-GARCH model to examine all such aspects of exchange rate exposure of sectoral indexes in Japanese industries. Based on a sample data of fourteen sectors, we find significant evidence of exposed returns and its asymmetric conditional volatility of exchange rate exposure. In addition, returns in many sectors are correlated with those of exchange rate changes. We also find support for the “averaged-out exposure and asymmetries” argument. Our findings have direct implications for practitioners in formulating investment decisions and currency hedging strategies.     

Do Supermarkets Change the Food Policy Agenda?

Policy makers want supermarkets to serve the interests of important groups in society, especially small farmers and the owners of traditional, small-scale food wholesale and retail facilities. But consumer issues are also important, including “internalizing” the full environmental costs of production and marketing, and helping supermarkets be part of the solution to the health problems generated by an “affluent” diet and lifestyle. This paper places the supermarket debate in the broader evolution of food policy analysis, a framework for integrating household, market, macro, and trade issues as they affect hunger and poverty. Increasingly, supermarkets provide the institutional linkages across these issues.     

Characteristics and performance of institutional and foreign investors in Japanese and Korean stock markets

This study examines the characteristics of the stock ownership by institutional and foreign investors, as well as their effects on stock price performance in Japan and Korea. The main results of this study are summarized as follows. First, foreign investors have a clearer preference for stocks with large capitalization and low book-to-market ratios than do institutional investors in both Japanese and Korean stock markets. Second, foreign investors prefer stocks with a high return on equity, especially in Korea. Third, average returns have more apparent differentiation among institutional (foreign) ownership portfolios than among foreign (institutional) ownership portfolios in Japan (Korea). Fourth, the stocks that are preferred simultaneously by both institutional and foreign investors show statistically significant positive abnormal returns in both Korea and Japan, whereas those preferred by either institutional or foreign investors show statistically significant positive abnormal returns only in Korea. The institutional investors' incentive for stock holding, the extent of stock market efficiency, and stock price polarization could be the possible explanations for the different empirical results observed for Japan and Korea. J. Japanese Int. Economies 21 (2) (2007) 195–213.     

重大政治事件对我国股票市场影响的实证研究

论文对党的全国代表大会和“两会”这类政治事件是否对我国股票市场产生影响进行了实证检验,以“十六大”、“十七大”以及2002年、2005年和2007年“两会”为研究事件,运用事件分析法对其进行研究。实证结果表明,此类政治事件会对国内股票市场产生显著影响,中国股票市场是一个带有明显“政策市”特点但又缺乏政策效率的市场。研究认为政府强制性的制度安排、政策机制的非稳定性以及“内部消息”人士的存在等是造成此现象的主要原因,最后提出了相应的政策建议。     

Stock Performance and Intermediation Changes Surrounding Sustained Increases in Disclosure*

This paper investigates whether firms benefit from expanded voluntary disclosure by examining changes in capital market factors associated with increases in analyst disclosure ratings for 97 firms. The disclosure rating increases are accompanied by increases in sample firms' stock returns, institutional ownership, analyst following, and stock liquidity. These findings persist after controlling for contemporaneous earnings performance and other potentially influential variables, such as risk, growth, and firm size. While it is difficult to draw unambiguous causal conclusions, these results are consistent with disclosure model predictions that expanded disclosure leads investors to revise upward valuations of the sample firms' stocks, increases stock liquidity, and creates additional institutional and analyst interest in the stocks.     

Market supplanting versus market fostering interventions: China, East Asia and other developing countries

The paper investigates the relationship between growth and different types of government intervention by distinguishing “market supplanting” regimes from “market fostering” interventions. A lesson from the East Asian miracle was not that governments necessarily intervened less, but they intervened efficiently in a relatively transparent and flexible way that kept overall distortions in check. China's reforms can be considered a transition from a “market supplanting” regime where market signals are distorted over long periods, to “market fostering” interventions in which government acts like a gardener. Alternative measures of government interventions were used to construct two composite policy indexes. Preliminary analysis suggests that “market fostering” interventions seem to have facilitated growth in productivity, although the result is inconclusive due to data limitations. Compared with the East Asian NIEs, China still has a long way to go in reforming the role of government in the economy.     

投资者结构与股价波动：基于过度自信和注意力分配的理论分析

本文假定市场上仅存在散户和机构,且他们之间存在过度自信的差异和对多期私有信息注意力分配方式的差异,在此基础上对投资者结构和股价波动的关系进行了理论分析,并进一步研究了投资者结构的长期均衡问题。研究表明,当两种差异同时存在时,第一,市场上现有的投资者结构决定了散户或机构比例的上升是否增加股价波动。如果市场是散户主导的,那么散户比例的上升将加剧股价波动;如果市场是机构主导的,那么在特定情形下,机构比例的上升将加剧股价波动。第二,散户在长期均衡时不仅不会彻底消失,甚至会在特定情形下完全占据市场。     

机构投资者与股市波动的实证研究——基于上证2005～2010年的季度面板数据

本文采用上证2005~2010年共24个季度数据的面板数据,采用固定效应模型,实证分析了机构持股比例与股市收益率波动之间的关系,以探讨机构投资者能否真正起到缓解股市收益率波动的作用。实证结果表明,机构持股比例与股市收益率波动具有显著的正向关系,即机构投资者比例的增加反而使得股市收益率波动上升,因此监管当局希望在现阶段大力引进机构投资者来缓解股市波动的愿望可能很难实现。     

China＇s Stock Market： Inefficiencies and Institutional Implications

The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s stock market. The realization of efficient markets requires the effective operation of a complete set of macro and micro mechanisms. However, such mechanisms are not only incomplete in China＇ s stock market, but are also ineffective because of the prevalence of institutional deficiencies.     

机构投资者持股特征对IPOs长期绩效影响的实证研究

文章从机构投资者持股规模、持股集中度、持股稳定性三个方面归纳不同类型机构投资者持股特征,采用Log-it回归检验机构投资者持股特征对上市后股票购买并持有异常回报率(BHAR),即IPOs长期绩效的影响。实证结果验证了机构投资者持股比例越高、持股稳定性越强,股票上市后的长期绩效越好;而持股比例低、持股集中度高、持股稳定性差的机构投资者也导致了股票长期表现较差。积极型机构投资者对股票长期绩效具有正面的影响。因此,引入积极型机构投资者符合当前我国股票市场深化改革的目标。     

The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets

The primary aim of this study is to investigate the validity and predictability of technical analysis in eight Asian equity markets. We employ the bootstrap tests of White (2000) and Hansen (2005) to determine whether any superior trading rule is found to exist amongst the ‘universe’ of technical trading rules identified by Sullivan et al. (1999). We use these powerful bootstrap tests to ascertain the profitability of technical analysis, along with two institutional adjustments for non-synchronous trading and transaction costs. The empirical results indicate that these three elements, data snooping, non-synchronous trading and transaction costs, have significant impact on the overall performance of technical analysis; indeed, the results for these eight Asian stock markets support the efficient market hypothesis, demonstrating that the generation of economic profits through the use of technical analysis is extremely unlikely with these particular markets.     

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.     

Institutional Investors' Trading in Speculation: Evidence from China

The trading behaviour of institutional investors has attracted much attention. However, many issues related to their trading behaviour cannot be addressed without high‐frequency changes in institutional ownership. Based on a measure of the trading behaviour of institutional investors by using an institutional account dataset from China, we find that (i) active institutions trade speculatively by taking advantage of individual investors; (ii) individuals buying high and selling low offer liquidity only on average; (iii) foreign investors do not show significant patterns in speculation; and (iv) trading of active institutions significantly affects price. This study casts doubt on the conventional wisdom that institutional or sophisticated investors improve market efficiency by correcting mispricing, and provides direct evidence for institutional investors' speculation behaviour and their destabilising effect on the stock market. Results suggest that regulators in emerging markets should monitor institutions' speculation to bring fairness and justice to the stock market.     

Microcredit in Prefamine Ireland

Hundreds of independent, local, quasi-charitable microcredit societies, or “loan funds,” were lending to as many as 20% of Irish households in the mid-19th century. Their goal was to relieve poverty by providing credit to the “industrious poor” at competitive interest rates without public funding. They successfully mitigated informational, moral hazard, and enforcement problems, and operated at a surplus in a market where intermediation by the banks seems not to have been profitable. Loan fund activity offers new insights into capital formation in the 19th-century Irish economy and challenges traditional notions regarding the economic activities of the Irish poor. They are also relevant for economists studying current microcredit initiatives.     

Capital markets and legal development: The China case

Recent research establishes a significant positive correlation between law and finance (and hence economic growth), restarting a debate on the “law matters” thesis. However, which way the causality goes is still not clear. The purpose of this paper is to use the ongoing reform experience of China, especially its capital market experience, to examine the direction of causality. First, we show that China's recent experience is largely consistent with Coffee's [Yale Law Journal 111 (2001, October)] “crash-then-law” interpretation of this correlation. Indeed, it is the large and clearly defined constituency of investors that has been a key driving force behind much of the recent legal progress. The rights and economic interests of this constituency have fundamentally challenged the traditional emphasis of the Chinese legal culture on administrative and criminal sanctions, but not on civil litigation law. Second, we compare the different contributions to legal change made by the stock market and the consumer product markets. We argue that capital markets are perhaps the most conducive to the formation of a politically powerful constituency and hence more aggressive legal change, because of (1) the higher degree of commonality among interested parties and (2) immediately measurable and tangible damages. These two characteristics not only allow investors to identify with each other more easily, but also create an ideal basis for more debate in the media, which in turn promotes the development of a legal culture.     

Sentiment effects on Chinese share prices and savings deposits: The post-2003 experience

This paper examines the importance of sentiment effects on asset allocation decisions in mainland China and beyond. Rising stock market sentiment appears to have negatively and significantly impacted Chinese savings account growth over the 2003–2007 period. Investor sentiment also exerted consistently significant effects on the discounts attached to Chinese B-shares, H-shares and ADRs by foreign investors. Although the sample period is limited by availability of the sentiment data, the indicated effects remain most robust when controlling for relative stock market performance, liquidity levels, expected exchange rate movements, and such ‘indirect’ sentiment measures as market and firm-specific price-earnings ratios.     

基于Agent的机构投资者新股操纵行为管制仿真研究

本文以新股首个交易日频遭炒作的现象为切入点,对机构投资者联合操纵新股价格走势行为的可能性进行了分析,并使用基于Agent方法在Swarm仿真平台上建立了计算机仿真模型,进一步研究机构投资者对新股的投资行为特征,提出实际操作性较强的管制措施,以避免机构投资者对新股价格走势的联合操纵,从而在一定程度上保证新股走势能够比较正确地反映上市公司经营状况,保证股票市场的健康发展。