Share liquidity, participation, and growth of the Boston market for industrial equities, 1854-1897

Financial economists have long believed that the liquidity of shares affects the level of participation in equity markets and is thus central to their deepening. This study examines the growth in industrial share liquidity that occurred in Boston over the latter half of the 19th century. From primary sources hitherto unused for scholarly investigations, namely the running annual worksheets of securities price fluctuations that underlie broker Joseph Martin’s volumes on the history of the Boston stock market, I construct broad-based indices of annual prices and returns for banking and industrial equities, as well as measures of real market capitalization. A series of vector autoregressive models then relate increases in liquidity, as measured by falling par values of industrial shares due to stock splits, write-downs and re-capitalizations, entries, and exits, to advances in prices and capitalizations among traded firms. The findings support the view that increases in participation were important for sustaining Boston as the nation’s leading industrial market until finally overtaken by New York sometime around 1900.     

上海A、B股市场收益率波动性对比研究及预测

运用GARCH(1,1)-M模型对样本期内上海A、B股市场收益率波动性进行了对比研究及预测。结果显示:上证A、B股指数收益率序列均存在"ARCH/GARCH现象";上海A、B股市场中,期望收益与期望风险正向变动;上海A股市场记忆期长于B股市场;长期中,上海B股市场预期收益将超过A股市场。进一步结合基本面情况可知,上海B股市场具有相对较高的长线投资价值。     

Excess Returns of Industrial Stocks and the Real Estate Factor

In order to identify the major risk factors in pricing industrial stocks, this study estimates different models based on six explanatory factors: the overall stock market, size, book-to-market equity ratio, the term structure, default risk, and the unsecuritized real estate market. The results of this study indicate that the real estate factor plays an important role in explaining excess returns on industrial stocks, along with other risk factors. The coefficient of the stock market factor declines when the real estate market factor is included in the model. Therefore, the large coefficient in the single-factor (stock market) model probably results from covariation between the overall stock market factor and the real estate factor. Results for subperiods indicate that the effects of the real estate factor are quite stable and second only to the overall stock market factor.     

后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。     

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.     

Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?

Both the efficient market hypothesis and modern portfolio theory rest on the assumptions of the Gaussian probability distribution and independence of consecutive returns. This paper provides a brief excursion into the history of capital market research. A measure of long-range dependence (Hurst exponent) was applied to daily returns of selected stock indices and individual firms. The Hurst exponent was estimated using rescaled range analysis. The estimates are based on an unusually large sample of empirical-time series from capital markets. This method distinguishes whether the data-generating process follows random walk or exhibits antipersistent or persistent behavior. Both the efficient market hypothesis and modern portfolio theory assume that the data-generating process has no memory, i.e. follows Brownian motion. The random walk process is characterized by a Hurst exponent value of 0.5. Values greater than 0.5 and less than 1 indicate a persistence of local trends. Values between 0 and 0.5 indicate a process that reverts to the mean more often than a random process (mean-reverting process). The results indicated that the series of daily returns exhibit predominantly persistent or antipersistent behavior. Therefore, Brownian motion cannot be perceived as the norm for describing stock market behavior. These findings challenge the assumption of a random walk in stock prices, valuation models and assessment of risk.

     

Time variation paths of factors affecting financial institutions and stock returns

This study finds evidence that three risk factors relating to the stock market, bond market, and real estate market are important in explaining the risk premiums included in financial institutions and bank stock returns. Stock returns for insurance companies are not sensitive to changes in the bond market. The Flexible Least Squares (FLS) results indicate that the stock market factor has the most important and stable impact on risk premiums for financial institutions, banks, and insurance companies. The bond market is the primary source of instability in stock returns for these three groups of stocks. This research adds further support for using market discipline, especially as it relates to equity returns to enhance the prudential regulation of the financial sector.     

The Impact of Macroeconomic Risk on Asset Prices in Ghana, 1997–2002

Abstract: The dwindling nature of overseas development assistance in the early part of the 1990s called for the establishment of capital markets in some African countries, including Ghana, with the view to increasing foreign direct investments and achieving sustainable inflows, growth and development. One important factor which affects the determination of prices and the growth of capital markets is macroeconomic risk which is quite high in developing countries. Following works done on advanced stock markets, this study seeks to investigate the impact of six macroeconomic risk factors on asset pricing in the various industrial classification — financial, manufacturing, food and beverages, distribution and mining under the Ghana Stock Exchange (GSE) for the period January 1997 to December 2002. Using the arbitrage pricing methodology developed by Ross (1976) and Chen et al. (1986) , the study revealed that investors in Ghana considered three main macroeconomic risk factors — short‐term interest rate risk, inflation risk and the term structure of the country's interest rate in the determination of the various industrial asset prices during the period under consideration. Analysis of the risks and returns profile of the industries also shows that financial assets made the best gains on the market. Both general and specific policy recommendations aimed at improving the performance of the GSE are explored.     

利率水平、股票指数与资本的国际流动——理论模型与实证检验

传统的蒙代尔-弗莱明模型是以利率作为影响资本在国与国之间流动的主要因素甚至唯一因素为假定前提的,但这一假定具有越来越明显的局限性。在现代经济社会,金融资产的价格波动很多情况下成为影响资本国际流动的最主要因素。证券市场和房地产市场的价格走势又往往是与利率反方向变动的。本文据此论证了负斜率的BP曲线,从而拓展和丰富了蒙代尔-弗莱明模型的形态。然后以两组共计28个国家或地区的经济数据对其进行了实证检验。     

中国家庭股市资产价值变动对居民消费的影响——来自CHFS的微观证据

近年来针对股市资产价值变动与消费关系的研究多采用宏观数据,难以揭示股市资产价值变动对居民消费影响的细节。为克服以上缺陷,文章利用中国家庭金融调查（CHFS）数据分析股市资产价值变动对中国居民消费的影响。实证结果表明：（1）股市资产价值变动对居民消费的影响总体较弱,其中市值变动的财富效应主要体现在改善性消费上,而对饮食等日常必须消费和奢侈品消费影响较小,这可能与我国居民的收入结构和投资方式有关;（2）随着年龄增长,居民的收入分布和资产配置倾向发生改变,股市资产价值变动对不同年龄居民消费的影响呈现先减小后增大的U型分布。研究结论揭示了股市资产价值变动对居民消费影响的分布特征,为今后股市改革方向提供了建议。     

基于信息结构视角的网络论坛与股票市场之间信息传递关系研究

网络论坛与股票市场之间的信息传递关系对于研究市场信息效率具有积极意义,本文从论坛信息结构视角出发,研究两者之间的信息传递关系。结果表明论坛发帖量与股票市场收益率之间存在信息传递关系：日内发帖量与日内收益率之间存在相互的波动溢出,且由日内发帖量向日内收益率的单向波动溢出显著;隔夜发帖量向次日日内收益率的单向波动溢出显著;仅存在隔夜收益率向日内发帖量的单向波动溢出。此外,网络论坛发帖量和股票市场收益率之间的时变相关系数与情绪倾向变量正相关,与意见差异变量负相关。     

内外部冲击下中国股市网络的动态演化和 稳健性分析

股市的平稳运行是实现金融发展、金融稳定和金融安全的重要一环。文章基于复杂网络理论,以2015年股灾和2018年中美贸易战为背景,分别构建不同时期中国股市的MST网络,探索在不同类型冲击下我国股市网络的结构特征,将最小生成树方法和滑动分析相结合,研究我国股市网络动态演化的时变特征和稳健性。结果表明,不同时期股市网络MST结构变化较大;不同时期网络节点的度分布均服从幂律分布,且中心性节点在冲击发生前,集中出现在工业领域,而冲击中、后期则更多地出现在金融领域;股市网络连通性和稳健性会因为冲击类型不同而出现差别,内部冲击(2015年股灾)会降低同行业连接边数,而外部冲击(中美贸易战)则会增加同行业连接边数,且前者比后者对股市网络结构的影响更大,市场对于内部冲击的抵御能力更弱;虽然内外部冲击短期内对网络连接的稳健性冲击不大,但从长期看,网络连接的存活率会急剧下降,网络结构稳健性随时间变化而减弱。     

CHANGE IN VOLATILITY REGIMES AND DIVERSIFICATION IN EMERGING STOCK MARKETS

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for stock returns is controlled by a state-varying mechanism is introduced and used to design a state-varying US-EM (emerging market) portfolio establishment strategy. Additionally, a conventional random-variance framework, the MVGARCH (multivariate GARCH) model, in which a time-varying technique is involved is employed and subjected to comparative analysis. The empirical results are consistent with the following notions: First, as being consistent with a study conducted by Ramchand and Susmel , the US-EM market correlations are higher when the US market is more volatile. However, this study further indicates that the US-EM market correlations increase relatively more when both the US and EM markets simultaneously experience a high variance condition. Moreover, the situation of both the US and EM stock markets at a high volatility state is associated with a minimum risk reduction benefit and a maximum cross-market correlation. Second, the state-varying portfolio loadings established by the MVSWARCH model could effectively enhance asset allocation effectiveness; however, this benefit arises more as a result of risk reduction than an increase in mean returns.     

Yen carry trades and stock returns in target currency countries

The proliferation of carry trade – a strategy of simultaneously shorting a low-yielding currency and longing a high-yielding currency raises the concern on its impact on global asset prices. In this exercise, we examine the implications of yen carry trade for stock markets in a few selected target currency countries. Three alternative proxies for carry trade activity – a currency-specific profit measure, a currency-specific futures position variable, and the Deutsche Bank G10 Currency Futures Harvest Index – are used. It is found that the three measures of carry trade display various degrees of influences on stock returns in Australia, Canada, Britain, Mexico, and New Zealand. The empirical carry trade effect is robust to the inclusion of three control variables; namely the US stock return, the VIX Index that represents market volatility, and commodity prices. Further, the estimation results suggest that the three measures of carry trade share some common information about stock returns in target currency countries.     

基于Fama-French三因素模型的我国A股市场的实证分析

实证检验了Fama-French三因素模型描述我国A股市场期望超额收益率的解释能力。分别针对上证A股和深证A股做了四类模型的回归分析,为了能够从各类模型的对比中准确地捕捉到各因素影响投资组合期望超额收益率动态特征。结果显示,随着公司规模和账面市值比的变化,市场风险因素的系数变化不大,而规模风险因素的系数和账面市值比风险因素的系数呈现巨大差异,模型的拟合效果表明Fama-French三因素模型在我国A股市场表现出相当高的解释能力。     

Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region

We provide new evidence on the relationship between bilateral trade and stock market returns across the Asia‐Pacific region. Using three country blocs in this region, including the Far Eastern bloc, the Chinese bloc and the Australian bloc, we examine whether trade linkages between countries affect their stock returns. Incorporating two distinct dynamic properties of regime shifting and cointegration in intra‐regional trade and stock market returns, we employ the newly suggested multivariable smooth transition autoregressive vector error correction model (STAR‐VECM). A series of estimations reveals evidence that bilateral trade significantly Granger‐causes stock returns in the Asia‐Pacific region, with effects that are asymmetric depending upon the stock market regime and the country pair. Among the three blocs, the Far Eastern bloc displays a more pronounced positive effect of bilateral trade growth on stock returns than do the other blocs.     

Seasonal Effect in Stock Market： Evidence from the Chinese Stock Exchange

In recent years, financial economists have provided much evidence of regularities in security market returns, and consequently the notion of market efficiency has been questioned. In this paper, seasonal effects are tested for the stock returns of Chinese A-share price index covering the period 1997-2005. The empirical research is conducted by using the conventional linear regression model. Finally the results obtained in this paper confirm the existence of the February effect and no evidence support for the day-of-the-week effects, and therefore these results provide some support of the informational efficiency aspect of the market efficiency.     

The Association between Changes in Interest Rates,Earnings, and Equity Values*

Numerous studies have documented that stock returns are negatively related to changes in interest rates, but there has been little corroborating research on the information in interest‐rate changes about the fundamentals that the stock market prices. The negative correlation is often attributed to changes in the discount rate, a denominator effect in a valuation model. However, there may also be a numerator effect on the expected payoffs that are discounted. This paper shows that changes in interest rates are positively related to subsequent earnings, but the change in earnings is typically not large enough to cover the change in the required return. Hence, the net (numerator and denominator) effect on equity value is negative, consistent with the results of the research on interest rates and stock returns.     

Monetary Policy and Risk-Based Asset Allocation

This paper focuses on the effects of the Fed’s monetary policy on stock and bond returns co-movement and their implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary policy we identify three co-movement regimes. We document that risk-based portfolio strategies poorly perform in the low correlation regime which features inflation shocks. We find outperformance evidence under the negative correlation regime with a high stock market risk and a very accommodating Fed policy. Less effectiveness is demonstrated under the positive correlation regime where bonds are regarded as risky assets and interest rate volatility is fueled by monetary policy.     

Can Fundamentals Explain Cross-Country Correlations of Asset Returns?

Previous studies show that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. This paper examines the ability of intertemporal asset pricing models to explain cross-country correlations of national returns. We find that when capital markets are assumed to be fully integrated, a simple intertemporal general equilibrium model is able to explain the observed co-variability of domestic asset returns but generates too little variability in those returns. Results improve considerably if a less restrictive version is employed. In that setting, both domestic variability and cross-country co-variability of returns are consistent with capital market integration. JEL no. G12, G15, E44