中国股票市场上的“隔夜效应”和“午间效应”研究

我国目前关于非交易时期信息对股市影响的研究多集中在"周末效应"和"节日效应"上,而缺少对其他非交易时期的研究。针对这一现状,本文在定义了"午间效应"和"隔夜效应"之后,使用交叠样本法和ARMA—GARCH模型对深沪两市上的午间休市和晚间休市对股票收益率的影响进行了实证分析。研究发现:深沪两市均存在持续稳定的"隔夜效应";同时,在某些年份,两市存在显著的"午间效应",但这种效应不具有持续稳定的特性,而是随着样本期选择的不同而变化的特征。使用5分钟数据进行的抽样频率稳健性检验与上述结论基本一致,证明了本文结论具有较好的稳定性。     

Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares

This study examines and compares stock returns and volatilities between state‐owned (SO) and non‐state‐owned (NSO) firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower‐order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second‐order stochastic dominance.     

Computerized stock screening rules for portfolio selection

Recent studies have uncovered several systematic patterns that increase the probability that individual investors can select stock portfolios with excess returns. This study tests the feasibility of using a commercially available computerized stock screening program for investors to take advantage of these patterns. The screening program searches the three major exchanges and selects stocks on both fundamental and technical indicators: low price-to-sales ratio, small firm size, accelerating stock prices above their 50 day moving average, high trading volume, and high earnings growth. Of the 18 models tested between 1994 and 1998, those that allow for selection between exchanges yield portfolio returns that significantly exceed the average market indices.     

Stock Return Anomalies and the Tests of the APT

This paper shows that the empirical tests of the Arbitrage Pricing Theory (APT) model are very sensitive to the anomalies observed in January in the stock returns data. There is a strong seasonal pattern in the estimates of the risk premia from the APT model. The most important implication of the findings in this paper is that the APT model can explain the risk-return relation mostly for January. Once the January returns are excluded from the data, there is no significant relation between the expected stock returns and the risk measures predicted by the APT model.     

International Stock Market Efficiency and Integration: A Study of Eighteen Nations

This study examines the relationships among stock prices in eighteen national stock markets by using unit root and cointegration tests for the period 1961--92. All the markets were analyzed individually and collectively in regions to test for market efficiency. The results from unit root tests suggest that the world equity markets are weak-form efficient. The cointegration test results show that there are only a small number of significant cointegrating vectors over the last three decades. However, the number of significant cointegrating vectors increases after the October 1987 stock market crash, a result that is consistent with the contagion effect.     

STOCK PRICE AND DEGREE OF NEGLECT AS DETERMINANTS OF STOCK RETURNS

In prior research the neglected firm effect persists even after controlling for firm size. Several recent studies show that the size effect is a stock price effect. In the present study we investigate whether excess returns on neglected stocks are a manifestation of a stock price effect. Although material evidence supporting an independent neglected firm effect is still found, results are much weaker than in prior studies. Examining a large sample of New York Stock Exchange and American Stock Exchange stocks from 1977 to 1988, we find that both January and non-January months do not have a statistically significant neglect effect after controlling for a price effect.     

Another January effect—Evidence from stock split announcements

This paper examines whether there is a January effect in the propensity and abnormal returns of stock split announcements. It provides primary evidence in the investigation of using monthly effects to explain the patterns of stock splits. The results show that the January effect exists in the likelihood of the occurrence of share splits and in the associated short-term abnormal returns. We also find that another monthly effect—the Halloween effect—exists in stock split announcements. However, the January effect has a much larger and considerably more significant impact on the probability and returns of these announcements. The results of this paper shed light on why we observe patterns in the announcement of corporate events.     

Are stock markets really efficient? Evidence of the adaptive market hypothesis

This study examines the adaptive market hypothesis in the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also whiten the returns through an AR-GARCH process to study the nonlinear predictability after accounting for conditional heteroscedasticity through the BDS test. We evaluate the time-varying return predictability by applying these tests to fixed-length moving subsample windows and also examine whether there is a relationship between the level of predictability in stock returns and market conditions. The results show that there are periods of statistically significant return predictability, but also episodes of no statistically significant predictability in stock returns. We also find that certain market conditions are statistically significantly related to predictability in certain markets but each market interacts differently with the different market conditions. Therefore our findings suggest that return predictability in stock markets does vary over time in a manner consistent with the adaptive market hypothesis and that each market adapts differently to certain market conditions. Consequently our findings suggest that investors should view each market independently since different markets experience contrasting levels of predictability, which are related to market conditions.     

Earnings Yields,Market Values,and Stock Returns

Earlier evidence concerning the relation between stock returns and the effects of size and earnings to price ratio (E/P) is not clear-cut. This paper re-examines these two effects with (a) a substantially longer sample period, 1951–1986, (b) data that are reasonably free of survivor biases, (c) both portfolio and seemingly unrelated regression tests, and (d) an emphasis on the important differences between January and other months. Over the entire period, the earnings yield effect is significant in both January and the other eleven months. Conversely, the size effect is significantly negative only in January. We also find evidence of consistently high returns for firms of all sizes with negative earnings.     

The Seasonal Stability of the Factor Structure of Stock Returns

This paper investigates the month-by-month stability of (a) daily returns and correlation coefficients of stock returns, (b) correlation and covariance matrices, (c) number of return-generating factors, and (d) the APT pricing relationship. The results show that there is a January effect and a small-firm effect in stock returns. Correlation matrices are more stable than covariance matrices, but both types of matrices are not stable across months and across the sample groups. The number of return-generating factors is rather stable most of the time and for most of the sample groups, but there is some significant instability that is related to the average correlation coefficients among stocks. The APT pricing relationship does not seem to be supported by the two-stage process using the maximum-likelihood factor analysis.     

Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926–1988, this phenomenon is entirely concentrated in January. In the post-war period both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange.     

The size effect in the Mexican stock market

This paper tests for a firm size effect in the Mexican stock market using data from January 1987 to December 1992. Our initial tests indicate that average stock returns are positively related to market betas. We also find, however, that average returns are negatively related to firm size. To measure the effects on average return of betas that are unrelated to firm size, we examine portfolios formed on the basis of size and beta We find that beta is priced in addition to firm size for the Mexican stock market, even after carefully separating the effects of beta and size.     

Growth Strategies and Value Creation: What Works Best for Stock Exchanges?

In recent years, demutualized stock exchanges increasingly have been engaging in mergers and acquisition (M&A) and alliance activities. To examine the effect of these growth strategies on exchange shareholders’ value creation, we focus on 15 public stock exchanges and investigate their short‐run share price responses to the formation of 111 M&As and alliances around the world spanning the period 2000–2008. Our findings show that the average stock price responses for M&As and alliances are positive. M&As create more value than alliances. For alliances, joint ventures generate more value than nonequity alliances. More value accrues when the integration is horizontal than when it is vertical. Cross‐border integration creates more value than domestic integration. In addition, there is evidence of learning‐by‐doing effects in stock exchange integration activities. Finally, we find that when the partnering exchange is located in a country with better shareholder protection, accounting standards, and capital market development, more shareholder value accrues to our sample exchange. These patterns are consistent when we examine the exchanges’ long‐run performance.     

Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen

This paper investigates seasonal patterns in stock returns on the Shanghai and Shenzhen stock markets. The paper documents several interesting findings. First, unlike studies for other stock markets, the highest daily returns on both exchanges occur on Thursday rather than Friday. Second, price change limits exert an effect on the observed daily pattern of returns. Third, daily stock returns appear to be positively correlated with risk. This result is at odds with the majority of findings for other stock exchanges around the world. Finally, the paper documents other differences in seasonal patterns on the two exchanges.     

DEALER BID-ASK SPREADS AND OPTIONS TRADING ON OVER-THE-COUNTER STOCKS

In this study the impact of option listings on bid-ask spreads for over-the-counter stocks is examined. Option listings are hypothesized to impact spreads by affecting the inventory-holding cost and/or the informed risk component of spreads. Univariate tests reveal that the commencement of options trading is accompanied by a statistically significant decline in percentage spreads. In addition, it is found that there is a significant rise in the average daily stock trading volume in the post-option-listing period, while there is no significant change in variance of the underlying stock returns in the short term. Regression results indicate that some stocks experience a decline in spreads even after controlling for changes in inventory-holding costs. The univariate and regression results taken in conjunction indicate a favorable impact of option listings on both the inventory-holding cost and informed-trading risk components of spread determinants. The combined evidence suggests that initiation of options trading enhances the overall liquidity of the underlying stock.     

中国利率与股市间波动溢出效应的实证研究

采用多变量EGARCH模型分别对中国利率与沪深股市间的波动溢出效应进行的实证研究表明,股票收益率对利率收益率有着显著的短期动态影响;利率与沪深股市间存在着显著的双向波动溢出,除了利率对深圳市场的方向外,其他方向的波动溢出均存在着不对称性.     

GARCH modelling of banking integration in the Eurozone

We investigate the progress of integration in the European banking industry and its effects on the price of the common stock of banks listed on European stock exchanges. We estimate the overall effect of progress by comparing the changes in the stock price volatility of listed banks over the period from January 1990 to December 2005. Using univariate and bivariate GARCH models, we document that the introduction of the Euro and the enlargement of the European Union in May 2004 have contributed to the integration process of the banking industry in Europe. We also find evidence of negative volatility spillovers among bank stock returns for different groups of countries that have been involved in various recent stages of the European economic and political integration.     

Seasonality in the Risk-Return Relationship: Some International Evidence

We report evidence of seasonality in the Fama and MacBeth estimate of the CAPM-based risk premium in four stock exchanges: the NYSE and the London, Paris, and Brussels exchanges. Specifically, we found that, in Belgium and France, risk premia are positive in January and negative the rest of the year. There is no January seasonal in the U.K. risk premium. Instead, we observed in this country a positive April seasonal and a negative average risk premium over the rest of the year. In the U.S., the pattern of risk-premium seasonality coincides with the pattern of stock-return seasonality. Both are positive and significant only in January. We also found that the January risk premium in the U.S. is significantly larger than those observed in the European markets. Interestingly, the reported patterns of risk-premium seasonality in European equity markets do not fully coincide with the observed patterns of stock-return seasonality in these markets. For example, in the U.K., average stock returns are significant and positive in January and April, whereas the market risk premium is significantly positive only in April. A possible interpretation of this phenomenon is presented in the paper.     

上海股票市场规模效应的实证研究

规模效应是指公司规模与收益率之间存在的反向关系,即小规模公司较大公司而言有着更高的收益率。本文从上海证券市场随机抽取60只股票作为数据样本,对其从2007年1月到2009年6月之间的公司数据进行实证研究,得出上海股市存在着规模效应这一结论。     

Ethical behavior and trustworthiness in the stock market-growth nexus

While formal institutional quality has been used to explain the finance-growth nexus, the role of social capital has not been fully addressed. The proposition of “better finance, more growth” is important amidst concerns over the erosion of ethics and trust in finance in the aftermath of the 2007/2008 global financial crisis. Using threshold estimation technique, this study examines whether the growth effect of stock market development differs according to the distinct levels of ethical behavior and trustworthiness in a cross-section of 73 jurisdictions during the post-crisis period. The results demonstrate that the impact of stock market liquidity on gross domestic product (GDP) and total factor productivity (TFP) growth is positive and significant only where there is high level of ethical behavior in firms. Similar effect is discerned in the case of strong trustworthiness and confidence. However, there is mixed evidence when formal institutional quality in the form of regulation and supervision of securities exchanges is considered. In terms of policy implications, this study upholds the “better finance, more growth” proposition and contributes to the identification of thresholds above which ethical behavior and trustworthiness can influence positively the relations between stock market development and macroeconomic performance.