Forecasting Bull and Bear Markets: Evidence from China

This article extends previous empirical research to forecast Chinese bull and bear stock markets by using three types of binary probit time series models, which are static, autoregressive, and dynamic autoregressive models. This study shows that the dynamic auto regressive model performs the best both in- and out-of-sample. The inflation and market return variables significantly affect the market forecast. The dynamic autoregressive model has successfully forecast the bull and bear markets since 2007. The investment strategy based on this model performs better than the simple buy-and-hold strategy, especially after the Chinese government reformed the non-tradable shares in 2005.     

Trend‐cycle Estimation Using Fuzzy Transform and Its Application for Identifying Bull and Bear Phases in Markets

This paper is focused on one of the fundamental problems in financial time‐series analysis; namely, the identification of the historical bull and bear phases. We start with the proof that the trend‐cycle can be well estimated using the technique of a higher degree fuzzy transform. Then, we suggest a mathematical definition of the bull and bear phases and provide a novel technique for their identification. As a consequence, the turning points (i.e. the points where the market changes its phase) are detected. We illustrate our methodology on several examples.     

基于牛市和熊市不同周期的股票市场动量效应研究

在参考国外研究方法的基础上,以周作为检验周期,将1997年6月至2001年6月的股市作为牛市,2001年6月至2005年6月的股市作为熊市,然后分别检验股市在这两个不同时期的动量效应.研究发现,赢家组合在牛市中存在着正的动量效应,输家组合在熊市中存在着负的动量效应.而牛市中的输家组合和熊市中的赢家组合都存在着价格的反转.     

Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets

Abstract:  This study investigates how limit orders affect liquidity in a purely order-driven futures market. Additionally, the possible asymmetric relationship between market depth and transitory volatility in bull and bear markets and the effect of institutional trading on liquidity provision behavior are examined as well. The empirical results demonstrate that subsequent market depth increases as transient volatility increases in bull markets. Market depth exhibits significantly positive relationship to subsequent transient volatility in bull markets. Additionally, although trading volume positively influences transient volatility in bull markets, no such relationship exists in bear markets. Liquidity provision decreases when institutional trading activity intensifies during bear markets. Thus, liquidity provision for limit orders differs between bull and bear markets.     

Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets

This study documents persistent shifts in the relationship between stock returns and dividend yields over bull and bear markets. The shift in this relationship appears as a separate effect, distinct from the January effect, and after controlling for firm size and systematic risk. After controlling for these other factors, dividend yield is positively related to return during bear markets but negatively related to return during bull markets. This time-varying relationship between dividend yield and stock return helps to explain the anomalous results of earlier studies.     

The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

Higher initial margin requirements are associated with lowersubsequent stock market volatility during normal and bull periods,but show no relationship during bear periods. Higher marginsare also negatively related to the conditional mean of stockreturns, apparently because they reduce systemic risk. We concludethat a prudential rule for setting margins (or other regulatoryrestrictions) is to lower them in sharply declining marketsin order to enhance liquidity and avoid a depyramiding effectin stock prices, but subsequently raise them and keep them atthe higher level in order to prevent a future pyramiding effect.     

牛市下的基金隐忧

现有基金制度建设必须深化．应该豁免投资基金投资其托管银行股票，指数期货工具必须在妥善设计基础上尽快推出，大蓝筹股必须建立沽空制度。[编者按]     

市场趋势下对我国股票市场周内效应的实证分析

关于股票市场周内效应的问题研究很少考虑到牛、熊市场氛围对市场交易的影响。事实上,这是一个重要的影响因素,把牛、熊市场区分开来进行相关问题的研究,区分牛熊市场研究金融市场问题具有重要的理论意义和现实意义．所得结果对实际操作具有较大的指导作用。     

A trading strategy based on Callable Bull/Bear Contracts

The Callable Bull/Bear Contract is a barrier options contract recently introduced to the Hong Kong market. In this study, we propose a trading strategy that defines the entry point and exit point using information on the contract's call price and mandatory call event. Using data on contracts based on the Hong Kong Hang Seng Index, it is shown that the proposed trading strategy, on average, yields some decent trading returns that vary quite substantially across individual trades. Exploratory analyses indicate that trading returns are associated with volatility observed during a contract's lifespan and, to a lesser extent, with volatility in the pre-issuance period. Further, an issuer's relative issuing frequency may bear some implications for the trading strategy's performance.     

Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics

Asia-Pacific Financial Markets - This paper tests for structural changes in the duration of bull regimes in 18 developed and emerging economies’ adjusted market capitalization stock indexes,...     

Efficiency and the Bear: Short Sales and Markets Around the World

We analyze cross‐sectional and time‐series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices. We find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced. A common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic. We find strong evidence that in markets where short selling is either prohibited or not practiced, market returns display significantly less negative skewness.     

Price Linkages Between the US,Japan and UK Stock Markets

This study presents an empirical analysis of the short- and long-term relationships among stock prices in the US, Japan and the UK. We re-examine the evidence of market linkages and cointegration between S&P 500, Nikkei 225 and FTSE-100 stock indices. The results suggest that mature markets are cointegrated, indicating a stationary long-run relationship. Furthermore, Granger causality tests show a bi-directional causality between Nikkei 225–FTSE-100, and unidirectional causalities between S&P 500–FTSE-100 and S&P 500–Nikkei 225. These findings suggest that the potential for diversifying risk by investing in mature markets is limited.     

中日两国不动产市场及价值评估业务的比较

在日本，“不动产”一词的涵义与我国的涵义相同。日本民法中，不动产的定义是土地及其定着物。我国的不动产价值评估在日本被称之为不动产鉴定评价。在日本，不动产鉴定评价就是对土地．建筑物的所有权及其所有权之外的其他各种权利的经济价值进行判定。本文拟对中日两国不动产市场及其价值评估业务作一些分析比较。     

China,Japan and the US Stock Markets and the Global Financial Crisis

In this paper, while focusing on the impact that the global financial crisis had on the stock markets of China, Japan, and the United States, the stock-price volatilities and linkage between these three countries are analyzed. In addition, the relationships between macroeconomic variables (real-economy variables and monetary-policy variables) and stock price volatility in each country are investigated. The estimation results of the EGARCH model revealed that although China’s stock price volatility was far greater than those of Japanese and US stock prices, China was less affected by the global financial crisis in 2007 than Japan and the United States. For China, stock price volatility was greater in the early 1990s, shortly after the stock market had been established, than in 2007 when the global financial crisis occurred. Furthermore, it has been revealed that the linkage of Chinese, Japanese, and US stock prices has increased since the global financial crisis. Moreover, Granger causality testing revealed China’s real-economy variables and monetary-policy variables do not affect China’s stock price volatility.     

Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets

This study examines whether or not the volatility of stock index returns forecasted by a GARCH-M specification is consistent with the implied volatility observed in options markets. Recent data for the New York Stock Exchange Composite Index and Standard & Poor's 500 Index and their options are employed. The patterns of the term structure of implied volatility are compared with those of volatility estimates obtained from the GARCH process. The results indicate that the GARCH process appears to partially explain the variation of implied volatilities and the term structure of implied volatilities.     

Financial Markets Trends and Studies of Singapore Futures Markets

In this paper we explore some recent trends in the financial market and also report some studies of the Singapore futures markets. A characterization of trends shows that national securities markets are much closer than before. This means the linkages between securities and their derivatives and amongst themselves have be come much stronger. Secondly, the advent of sophisticated risk products and instruments and the knowledge to use them effectively would become a common theme together with the idea of value enhancements. Thirdly, computerizations and the internet will play an increasingly important role. So will empirical financial research become increasingly microscopic. The discussion will be supported by the experiences of the Singapore futures markets and various empirical research evidences. The paper also provides a detailed study of causality-in-variance test of information transmission between SIMEX and Osaka Stock Exchange on the Nikkei 225 stock index futures trading prior to, during, and immediately after the announcement of the collapse of Barings. The results are indicative of very strong international market linkages and a portent of things to come.     

Competition and Collusion in Dealer Markets

This article develops a game-theoretic model to analyze market makers' intertemporal pricing strategies. We show that dealers who adopt noncooperative pricing strategies may set bid-ask spreads above competitive levels. This form of “implicit collusion” differs from explicit collusion, where dealers cooperate to fix prices. Price discreteness or asymmetric information are not required for collusion to occur. Rather, institutional arrangements that restrict access to the order flow are important determinants of the ability to collude because they reduce dealers' incentives to compete on price. Public policy efforts to increase interdealer competition should focus on such restrictions.     

Arbitrage and Viability in Insurance Markets

Insurance markets are subject to transaction costs and constraints on portfolio holdings. Therefore, unlike the frictionless asset markets case, viability is not equivalent to absence of arbitrage possibilities. We use the concept of unbounded arbitrage to characterize viable prices on a complete and an incomplete insurance market. In the complete market, there is an insurance contract for every possible event. In the incomplete market, risk can be insured through proportional and excess of loss like insurance contracts. We show how the the structure of viable prices is affected by the portfolio constraints, the transaction costs, and the structure of marketed contracts.