共查询到20条相似文献,搜索用时 15 毫秒
1.
We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility (IV) and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that IV is not a significant limit to arbitrage in Japan. 相似文献
2.
3.
Stock market cycles and stock market development in Spain 总被引:2,自引:0,他引:2
In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980s and early 1990s. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.JEL Classification:
C22, G15An earlier version of the paper circulated under the title Bulls and bears: lessons from some European countries. Comments from seminar participants at the Universidad de Navarra, at the IX Meeting of the Spanish Finance Association (Pamplona 2001) and at the Royal Econonomic Society Conference (Warwick 2002) are gratefully acknowledged. We are very grateful to J.M. Campa, G. Llorente and two anonymous referees for helpful comments and suggestions. We also thank D. Garcia and the Research Department of the Madrid Stock Exchange for generously providing the data of the Spanish case. Financial assistance from the Spanish Ministry of Science and Technology (SEC2002-01839) is gratefully acknowledged. The usual disclaimer applies. 相似文献
4.
中国创业板IPO首日超额收益研究 总被引:3,自引:0,他引:3
本文以58家创业板IPO公司为样本,采用类比估价模型来估计新股的内在价值。实证研究结果表明,我国创业板IPO首日超额收益源于二级市场溢价,一级市场抑价不显著;上市首日换手率、上市首日涨跌幅以及市场指数收益率显著影响我国创业板IPO首日超额收益。在此基础上,本文结合海外创业板市场经验以及我国创业板市场表现,给出了相关政策建议,对创业板市场参与者提供了可参考的投资策略。 相似文献
5.
政府与市场的划分,取决于人类生活所同时面临的两种不同性质的风险。损失风险属于公共风险,归政府治理;机会风险属于私人风险,归市场治理。市场经济就是风险经济。市场机制就是在一定的制度环境下,市场主体自主地将自己的产权与他人进行交换的风险机制。我国深化经济体制改革的任务,就是向市场注入风险机制,解决制度环境、市场主体、产权制度、行政垄断等问题。 相似文献
6.
This paper analyzes the welfare costs of business cycles when workers face uninsurable idiosyncratic labor income risk. In accordance with the previous literature, this paper decomposes labor income risk into an aggregate and an idiosyncratic component, but in contrast to the previous literature, this paper allows for multiple sources of idiosyncratic labor income risk. Using the multi-dimensional approach to idiosyncratic risk, this paper provides a general characterization of the welfare cost of business cycles when preferences and the (marginal) process of individual labor income in the economy with business cycles are given. The general analysis shows that the introduction of multiple sources of idiosyncratic risk never decreases the cost of business cycles, and strictly increases it if there are cyclical fluctuations across the different sources of risk. This paper also provides a quantitative analysis based on a version of the model that is calibrated to match US labor market data. The quantitative analysis suggests that realistic variations across two particular dimensions of idiosyncratic labor income risk increase the welfare cost of business cycles by a substantial amount. 相似文献
7.
This study explores the effect of economic policy uncertainty (EPU) in four countries or regions (China, Japan, Europe, and the United States) on the contagion risk of investments in the global stock market. The stock returns of 22 stock markets worldwide are analyzed to determine which region’s EPU exhibits the greatest effect on regional systematic risk in the global stock market and on volatility risk in individual stock markets. First, all of the samples, the markets of different continents and the spillover indices of the developed and emerging markets, are calculated to observe the dynamic correlation among these markets with the aim of quantifying regional systematic risk and further examining the contagion risk effect of EPU. The results indicate the following: EPU in China is the most influential, and its contagion risk spreads to different regional markets, except for Europe; the effect of EPU in the United States is inferior to that in China; EPU in Japan merely influences contagion risk in emerging markets; contagion risk in European markets is not influenced by the four EPU indices; and EPU in Europe is not influenced by contagion risk in the global stock market. However, according to the volatility risk in each market, the EPU in Europe and China respectively influence Asian countries and European countries the most. These results may be attributable to the extremely high trade dependence among these countries because the performance of international enterprises is mainly determined by the economic policies of their trading partners. 相似文献
8.
This study examines the relationship between equity market valuation and risk indicators that portend economic downswings. The indicators are implied options volatility, Treasury-Eurodollar (TED) spread and exchange rate. While implied volatility captures market risk in that it reflects the fear factor embedded in the price of an option, TED spread reflects the default risk premium that is priced into a key short-term credit instrument. Equity markets often show a tendency to reflect the incidence of these risk factors. And because they provide valuable information about the health of the economy, many have argued that equity market valuation be taken into account in the formulation of monetary policy. Results of this study not only show a statistically significant inverse relationship between the stock market and these risk factors, but also evidence of a cointegration. In a variance decomposition of the series, we find that equity valuation is a major contributor to the forecast error variances of each of the risk indicators, a finding that lends tacit support to the argument that risk indicators associated with the equity market be considered in monetary policy decisions. 相似文献
9.
10.
Lee A. Smales 《Applied economics》2016,48(51):4942-4960
I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric whereby changes in VIX are larger following negative news and/or stock market declines. Vector autoregression (VAR) analysis of the dynamics and cross-dependencies between variables reveals a strong positive relationship between previous and current period changes in implied volatility and stock returns, while current period and lagged news sentiment has a significant positive (negative) relationship with stock returns (changes in VIX). I develop a simple trading strategy whereby high (low) levels of implied volatility signal attractive opportunities to take short (long) positions in the underlying index, while extremely negative (positive) news sentiment signals opportunities to enter short (long) index positions. The investor fear gauge (VIX) appears to perform better than news sentiment measures in forecasting future returns. 相似文献
11.
12.
Lakshman Alles 《Applied economics》2017,49(43):4336-4350
As downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a developed market, the Australian Securities Exchange merits separate investigation, as it is small and concentrated on some sectors, when compared with the major developed markets. As realized returns are a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods. We find that both downside risks are separately priced by investors, and that our results are unaffected by the inclusion of a range of company characteristics. We subsequently confirm that returns to each downside risk are not related. In robustness tests, we conclude that the return to downside risk cannot be explained by a size, a value, or a momentum premium. Although it also has explanatory power, the inclusion of a leverage factor also does not reduce the explanatory power of downside risk. 相似文献
13.
Michał Brzozowski 《International Review of Applied Economics》2011,25(4):405-418
Using a simple innovation‐driven growth model I investigate to what extent labor market regulations underlie the devastating effects of output volatility on long‐run growth trends. Empirical analysis conducted for 154 countries over the 1996–2005 period shows that an increase from low values of the rigidity of employment index strengthens the influence of volatility on growth. This effect weakens with further increases in rigidity. Hence implementation of labor protection legislation is recommended in economies frequently hit by shocks. 相似文献
14.
This study investigates the incremental information content of implied volatility index relative to the GARCH family models in forecasting volatility of the three Asia-Pacific stock markets, namely India, Australia and Hong Kong. To examine the in-sample information content, the conditional variance equations of GARCH family models are augmented by incorporating implied volatility index as an explanatory variable. The return-based realized variance and the range-based realized variance constructed from 5-min data are used as proxy for latent volatility. To assess the out-of-sample forecast performance, we generate one-day-ahead rolling forecasts and employ the Mincer–Zarnowitz regression and encompassing regression. We find that the inclusion of implied volatility index in the conditional variance equation of GARCH family model reduces volatility persistence and improves model fitness. The significant and positive coefficient of implied volatility index in the augmented GARCH family models suggests that it contains relevant information in describing the volatility process. The study finds that volatility index is a biased forecast but possesses relevant information in explaining future realized volatility. The results of encompassing regression suggest that implied volatility index contains additional information relevant for forecasting stock market volatility beyond the information contained in the GARCH family model forecasts. 相似文献
15.
The empirical results of the risk-return relationship are mixed for both mature and merging markets. In this paper, we develop a new volatility model to revisit the risk-return relation of the aggregate stock market index by extending the Realized GARCH model of Hansen et al. (2012) with the Wang and Yang (2013) framework, in which the overall risk-return relation is decomposed into a risk premium and a volatility feedback effect. An empirical analysis of three major Chinese stock indices reveals positive risk premium and negative volatility feedback effect, and those findings are stable across different markets and sub-samples. However, their relative magnitudes differ between markets and varies through time. 相似文献
16.
This article investigates market reactions to major United States Department of Agriculture announcements during non-trading and trading hours in the soybean futures market using microstructure data. Following report release, volume increases and remains elevated for up to 15 to 20 minutes. The volume spikes for the non-trading releases relative to the trading releases, but are identical after the first reaction. Report releases during non-trading hours cause a large spike in volatility at the onset of trading which subsides quickly. In contrast, releases during trading hours result in a smaller volatility spike, which extends for 5–6 min at a higher magnitude. Adjusting volatility by normal trading volatility indicates that volatility in trading hour release is higher in both immediate response and persistence. Return correlations provide little evidence to support systematic under- or overreaction in prices regardless of when the report is released reflecting the efficiency of the market. 相似文献
17.
Ajetomobi Joshua Olusegun 《中国经济评论(英文版)》2009,8(1):37-45
This study models supply response for major agricultural crops in Nigeria which include the standard arguments and price risk. The data comes from Central Bank of Nigeria annual reports and statement of account, National Bureau of Statistics' abstract of statistics and annual Agricultural survey manual. The data are analyzed using autoregressive distributed lag and cointegration and error correction models. The results indicate that producers are responsive not only to price but also to price risk and exchange rate. 相似文献
18.
Xian Zheng 《Applied economics》2013,45(37):4020-4035
Measuring housing price volatility is fundamental to understanding the dynamics of housing price risk. This article aims to explore whether a liquidity factor plays a role in explaining the second moment (i.e. the volatility) of housing prices. Housing price volatility is measured as the conditional variance of a Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) model under the Adaptive Expectations framework. The empirical evidence reveals that volatility transmits from smaller housing units to larger housing units, which indirectly supports the trade-up effect discussed in the literature. In addition, less liquid housing classes are more sensitive to unexpected liquidity shocks, and the starter housing class is extraordinarily sensitive to negative liquidity shocks. Consistent with friction search theory, pricing errors are alleviated as the trading volume increases, because the valuation price tends to be more accurate as more information is available. 相似文献
19.
Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression approach. Such approach handles extreme quantiles/CDS values and their behavior with respect to the equity market's influence. Heteroskedastic patterns such as time-varying variance, but also autocorrelation, skewness and leptokurtosis are captured. Thus, the sensitivity of aggregate CDS spreads to equity market price and volatility channels is accurately measured across quantiles and spreads. Such quantile-dependent sensitivity exhibits asymmetric responses to equity market shocks. A sub-period analysis investigates potential regime shifts in estimated quantile cointegrating regressions. Quantile cointegrating coefficients vary over time and quantiles, and exhibit different magnitudes across sub-periods and spreads. Therefore, the relationship is unstable over time. We also propose a scenario analysis and risk signaling application for credit risk management prospects. Under specific risk levels, credit risky situations are described conditional on the equity market's information over time, and related expected aggregate CDS spreads are computed. Estimated conditional quantiles/CDS spreads act as credit alert triggers. 相似文献
20.
This study investigates the impacts of the economic policy uncertainty (EPU) indexes of China and the G7 countries on Chinese stock market volatility and further constructs a new diffusion index based on these indexes using principal component analysis (PCA) to achieve enhanced predictive ability. The in-sample results indicate that the EPU indexes of China and some of the G7 countries show a significantly negative impact on future volatility. Moreover, our constructed diffusion index also has a significantly negative impact. Furthermore, the out-of-sample results show that this diffusion index exhibits a significantly higher forecast accuracy than the EPU itself and combination forecasts. Finally, various robustness checks are consistent with our main conclusions. Overall, we construct a new and useful indicator that can substantially increase forecast accuracy with respect to the Chinese stock market. 相似文献