The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach

A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading environment over time. With new methodologies and a new measure of the degree of market efficiency, we examine whether the US stock market evolves over time. In particular, a time-varying autoregressive (TV-AR) model is employed. Our main findings are: (i) the US stock market has evolved over time and the degree of market efficiency has cyclical fluctuations with a considerably long periodicity, from 30 to 40 years; and (ii) the US stock market has been efficient with the exception of four times in our sample period: during the long recession of 1873–1879; the recession of 1902–1904; the New Deal era; and the recession of 1957–1958 and soon after it. It is then shown that our results are partly consistent with the view of behavioural finance.     

Selection,Market Size and International Integration: Do Vertical Linkages Play a Role?

We analyze how increases in the market size and in the level of international integration affect the process of selection among firms with heterogeneous productivity levels when they are interconnected by vertical linkages. We show that when vertical linkages among firms are relatively weak (strong), an increase in the market size softens (toughens) the competition facing firms in this market and more firms of a lower (higher) efficiency survive, increasing (decreasing) the welfare level. Moreover, an increase in the level of economic integration softens competition only for intermediate vertical linkages, worsening the welfare level only for strong linkages.     

中国股票市场的渐进有效性研究

本文研究了中国股市是否弱式有效。不同于传统的检验方法 ,本文的实证分析运用了特别适合于转轨经济体中新兴股市的渐进有效性检验 ,该方法采用时变系数的AR( 2 )自回归模型 ,同时考虑到“波动集群”的异方差影响 ,更能清晰地反映出市场有效性的动态演进过程。加之分年度检验的结果 ,我们有把握认定中国股市从 1 997年开始呈现弱式有效。     

How pervasive is the effect of culture on stock market linkages? Evidence across regions and economic cycles

We conduct a comprehensive study on the effect of culture on stock market linkages. With data on 25 national stock markets, a quantile regression model is used to estimate the determinants of market linkages using culture variable/s such as language, religion and Hofstede’s cultural dimensions while controlling for distance, economic and legal variables. Further, we test whether these effects hold across regions and if changes are detected during periods of market crisis. We also test if market liquidity, an indicator of market efficiency, diminishes the impact of culture on market linkages. The main conclusion is that culture preferences shape investor choices, which affects integration between stock markets. The equity markets with similar cultural traits tend to increase market linkages; however, we observe differences across regions. Furthermore, liquidity and economic uncertainty fail to have an impact on the significance of culture variable/s as determinants of market linkages.     

Cointegration networks in stock markets

We use a novel approach based on a combination of network and cointegration analysis to examine linkages between stock markets across market cycles. Our results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, we find no widespread common stochastic trends between markets and neither are we able to draw a conclusion that major financial markets display influences network linkages.     

Capital Mobility—Resource Gains or Losses? How,When, and for Whom?

This paper investigates which of the two types of countries—resource‐rich or resource‐poor—gains from capital market integration and capital tax competition. We develop a framework involving vertical linkages through resource‐based inputs as well as international fiscal linkages between the two types of countries. Our analysis shows that capital market integration causes capital flows from resource‐poor to resource‐rich countries and improves global production efficiency. However, such gains accrue only to resource‐poor countries, and capital mobility might even negatively affect resource‐rich countries. Furthermore, we show that resource‐rich countries can exploit the gains when taxes on capital are available.     

寡头垄断:优化产业市场结构的选择

长期以来,人们从微观经济理论出发,认为竞争是有效的,垄断是无效的。但从世界范围内的产业发展来看,寡头垄断是当今国际市场结构发展的主流,为了优化中国产业市场结构,改善产业组织绩效,本文认为应对市场结构的效率进行重新认识,并提出了优化中国产业市场结构的选择。     

Short-run and long-run dynamic linkages among international stock markets

This paper investigates the dynamic linkages among the U.S., Japan, U.K. and German stock market indices using daily data for the April 1, 1984 to May 31,91 period. In contrast to previous studies, a vector error correction model of cointegrated variables as developed by Johansen (1988, 1991) and Johansen and Juselius (1990) is employed to examine both short-run and long-run intermarket relationships among these four stock markets. Significant evidence is found in support of both short-run and long-run relationships among these four stock market indices. The U.S. stock market leads other stock markets in short-run in the pre and post October 1987 crash, but leads all other markets in the long-run in all periods examined. The presence of a one long-run cointegrating equilibrium relationship among the four stock market indices implies a limited role of international diversification for investors with long holding periods. However, because the US-Japan-Germany stock market indices, and Japan-UK-Germany indices are not cointegrated with each other, these indices may yield international portfolio diversification in the long-run. Finally, the conflicting results from multivariate cointegration tests found in this study can not be used to provide conclusive evidence on international stock market efficiency.     

The Irish Newspapers and the Residential Property Price Boom

There has already been some academic discussion of the role of the Irish newspapers in fuelling the country's residential property boom that crashed in 2008. Several academic commentators have argued that the newspapers intentionally talked up the Irish market because of the conflicts of interest that they faced, particularly arising from advertising and their organisational linkages. This paper argues that these factors have only limited explanatory value, and that the key determinant in the economics sections of the newspapers was their reliance on external expertise to augment their analyses. The article presents quantitative data demonstrating the enormous prevalence of articles written by and citing private-sector economists from organisations with direct stakes in the property market. These commentators were very unlikely to issue unreserved warnings about a crash, and in many cases made unduly positive forecasts with little empirical justification. The article argues that the key fault of the newspapers therefore lay in the failure of management to prevent the tone and coverage of the market from being skewed by external interests. The article contributes to the broader international literature on media bias and the role of external experts.     

Economic Significance of the Predictable Movements in Futures Returns

This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once one allows for time-varying risk and time-varying risk premia, the investment strategy can be used consistently to generate abnormal returns in seven out of 26 markets. With relatively few exceptions therefore, the predictable movements in futures returns reflect weak-form market efficiency. The paper also shows that wrongly assuming constant expected returns may lead to incorrect inferences regarding market efficiency.
(J.E.L.: G14, G12).     

基于亲景度与市场发展指数的竞争态模型分析——以安徽省国际旅游市场为例

依据安徽省国际旅游市场1999～2008年的相关统计数据,运用引入了亲景度指标与市场发展指数指标的改进竞争态模型予以分析。据此提出了安徽省国际旅游在以后发展中的四类市场：主要市场、重点市场、潜力市场和机会市场,同时为安徽省国际旅游市场的开发提出了建议和对策。     

Intraweek and intraday trade anomalies: evidence from FOREX market

In this article, we search for the evidence of intraweek and intraday anomalies on the spot foreign exchange (FOREX) market. Having in mind the international scope of this market, empirical evidence against market efficiency (i.e. market anomalies) will have important consequences for the substantial number of FOREX investors all around the globe. We explore intraweek, intraday and interaction between days and hour trade anomalies on the FOREX market over the period of 10 years using hourly time-series data of Euro and US Dollar (EUR/USD) exchange rate on Swiss FOREX market from 1 January 2004 to 11 January 2014. We compare by analysis of variance test all pairs of mean returns on a daily, hourly and daily/hourly basis. t-Test is used to test whether intraday returns are significantly different from zero. We employ Tukey’s honestly significant difference test to explore which intraday pairs of hourly mean returns are significantly greater than zero. We find that intraday and interaction between day and hour anomalies are present in trading EUR/USD on the spot FOREX market over the period of 10 years. The best arbitrage opportunity is evidenced on Fridays, when selling USD and buying EUR at 00:00 and selling EUR and buying USD at 03:00 the same day.     

Bond market and stock market integration in Europe: a smooth transition approach

This article investigates whether there has been a structural increase in financial market integration in nine European countries and the US in the period 1980 to 2003. We employ a GARCH model with a smoothly time-varying correlation to estimate the date of change and the speed of the transition between the low and high correlation regimes. Our test produces strong evidence of greater comovement across the board for both stock markets and government bond markets. Dates of change and speeds of adjustment vary widely across country linkages. Stock market integration is a more gradual process than bond market integration. The impact of European monetary union (EMU) is rather limited, as it has mainly affected the timing of bond market correlation gains (but hardly their size) and has had little discernible effect on stock market integration.     

Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?

This article investigates the linear, nonlinear and time-varying Granger causality between different time horizons in the volatility of US stock market and the China Exchange-Traded Fund (ETF) market. We find evidence of linear causality from the US stock market to the China ETF market, with a bilateral nonlinear causal relationship in the longer term. Bootstrap rolling causality analysis indicates high rejection rates of a noncausal relationship running from the US stock market to the China EFT market. The causality linkage from the China ETF market to the US stock market was determined to be time-horizon-dependent, and the null hypothesis rejection rate of non-Granger causality increased in the longer term.     

El Niño and La Niña induced volatility spillover effects in the U.S. soybean and water equity markets

This paper examined links between U.S. soybean prices and the Dow Jones U.S. Water Index (DJUSWU). We particularly studied the impact of El Niño and La Niña events on price risk spillovers. Results showed that La Niña significantly increases the linkages between soybean and water equity markets. Based on this, we identified a new soybean hedge strategy that would be possible if a futures contract for the DJUSWU existed. This new strategy improves on the effectiveness of both a conventional naïve soybean market hedge, and a traditional time-varying hedge. The findings can be used to assist soybean agents in managing increased market risks associated with extreme weather events.     

市场信号、技术特征与中国国际高质量专利

近年来,中国专利申请量与授权量得到了快速飞跃,然而“专利泡沫”“专利沉睡”等问题也日益凸显,如何有效促进专利数量到专利质量的转变是实现专利强国的关键。本文基于信号传递理论,构建了市场信号与技术特征共同影响国际高质量专利形成的理论模型,并利用中国在美国专利与商标局(USPTO)申请的专利数据进行了实证检验。研究结果表明:市场信号有助于传递积极的专利信号与打破信息不对称,推动形成国际高质量专利;技术特征能够扩大专利自身的技术范围与技术合作空间,与国际高质量专利也存在显著正向关系;此外,技术特征能够产生技术噪音与技术竞争压力,弱化信号传递效率,从而负向调节市场信号对国际高质量专利的促进效应。本文认为与市场上的普通商品一样,专利存在“酒香也怕巷子深”问题,一方面企业应该加强专利国际推广;另一方面政府需要进一步完善市场机制与减弱信息不对称,共同塑造中国国际高质量专利。     

Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis

In the light of the global financial crisis and sovereign debt crisis, this paper investigates the dependence patterns in 24 European equity markets from January 5, 2004 to July 1, 2016. We further examine whether these stressful events trigger contagion. Given that investors tend to behave irrationally in turmoil periods, we add to the literature by studying the effect of investor sentiment on markets correlations. Our results reveal heterogeneity in the time-varying dependence and across markets. Contagion is confirmed in turbulent times, a spillover effect from periphery euro area being detected. We find that similar sentiments increase correlations, especially in crises, suggesting that investors’ perceptions are an important channel of moving markets in the same direction. Furthermore, negative sentiments, such as fear or pessimism, amplify the linkages between markets. Our results offer useful insights to policy makers for reacting timely to financial shocks and for designing a more integrated market.     

国内外期铜市场互动及其价格波动关系研究

文章全方位检验了国内期铜市场和国际市场(伦敦市场)的互动关系,并应用VEC模型考察了它们之间的波动性。结论表明,国内期铜市场已经真正融入了世界,进一步开放的时机已经成熟;中国在国内外市场“定价权”地位已正式确立。不过,要充分发挥该市场套期保值功能,还应在实际操作中因市场而异。     

国内外投资者间存在价格先导性吗?--来自我国股市A、B股的检验

本文以1994年开始同时发行A、B股的上海和深圳股市60家企业为样本(上海31个、深圳29个),样本取值从1999年1月4日到2001年12月31日的每日收盘价.用Granger因果关系模型检验了国内外投资者间会不会存在价格先导性的问题,从而分析和研究了国内外投资者投资行为特征和相互关系.研究发现,上海股市中,A股和B股间,存在着价格先导性.往往B股价引导A股价.然而在深圳股市中,A股和B股间,不存在着价格先导性.这一研究为探讨证券市场的有效性和国内外投资者投资行为特征提供了有用的线索和资料.     

Have food and financial markets integrated?

This article analyses comovements and discusses possibly greater market integration between aggregate food commodity and stock prices in the period 1990 to 2012. Return correlations, price return distributions, cointegration and Granger-causalities are tested in subsamples on monthly FAO Food Price Index and MSCI World Stock Market Index. Empirical results suggest that while there is only weak indication of greater comovements concurrent with structural changes such as changed agricultural policies, new demand due to growth in emerging markets and energy mandates and the financialization of food markets since the early 2000s, they did start to increase substantially in particular during the financial stress of the Lehman crisis and the Great Recession. While structural changes may have amplified price linkages across markets, results do not suggest that they are the key factors for greater price comovements. Instead, the effects of the late-2000s recession as a time of great economic weakness and uncertainty may have changed concurrently the behaviour of both food and financial market participants, such that different market prices exhibit large comovements.