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.     

Adjustment of the Stamp Duty on Stock Transactions and Its Effect on the Chinese Stock Market

This paper studies how the last three adjustments of the stamp duty on stock transactions (SDST) have affected trading behavior on the Chinese stock market. To exclude other shocks from our event study, we focus only on the SDST's short-term effects. Based on an interval autoregressive (IAR) model, we find that the SDST's effects on interval return are trivial; moreover, its ability to influence market volatility and trading volume is cast into doubt. Our empirical evidence lends support to the view that in China the SDST is not an effective policy tool.     

What Influences Stock Market Behavior in Russia and Other Emerging Countries?

We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10–2012:02. We also analyze countries that can be considered to be relatively similar to Russia, e.g., Poland, the Czech Republic, and South Africa. First, we apply a rolling regression to identify periods when oil prices or stock indices in the United States and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. Second, we employ a TGARCH-BEKK model to assess the degree of correlation between the markets in question, taking into account the global market stochastic trend. Correlation between markets increased between 2000 and 2012.     

The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market

By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model. Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either the world stock markets or the Hong Kong stock market over the period 1995–2002.

Smooth Transition ARCH Models: Estimation and Testing

In this paper, we suggest an extension of the ARCH model, the smooth-transition autoregressive conditional heteroskedasticity (STARCH) model. STARCH models endogenously allow for time-varying shifts in the parameters of the conditional variance equation. The most general form of the model that we consider is a double smooth-transition model, the STAR-STARCH model, which permits not only the conditional variance, but also the mean, to be a function of a smooth-transition term. The threshold ARCH model, the Markov-ARCH model and the standard ARCH model are special cases of our STARCH model. We also develop Lagrange multiplier tests of the hypothesis that the smooth-transition term in the conditional variance is zero. We apply our STARCH model to excess Treasury bill returns. We find some evidence of a smooth transition in excess returns, but in contrast to previous studies, we find almost no evidence of volatility persistence once we allow for smooth transitions in the conditional variance. Thus, the apparent persistence in the conditional variance reported by many researchers could be a mere statistical artifact. We conduct in-sample tests comparing STARCH models to nested competitors; these suggest that STARCH models hold promise for improved predictions. Finally, we describe further extensions of the STARCH model and suggest issues in finance to which they might profitably be applied.     

Global integration and emerging stock market excess returns

This article studies the effects of the global integration process on emerging stock market excess returns in a dynamic context. I improve the existing literature in four main directions. First, I show that the average excess returns rise as the level of financial and real integration rises. Second, I find overwhelming evidence that the financial liberalizations (i.e. de jure integration) of the late 1980s and early 1990s have not been simultaneously accompanied by a de facto integration. Third, I find that the percentage of variation in emerging excess returns explained by non-traded global risk factors rises as the level of market openness rises. Last, at the country level, I show that the correlation coefficient does not represent a robust measure of integration. Results also suggest that there are substantial cross-country differences in the dynamics of the degree of financial integration.     

Capital Market Integration in the Middle East and North Africa

This paper studies capital market integration in Middle Eastern and North African (MENA) countries and its implications for international portfolio investment allocation. Starting with four cointegration methodologies, we significantly reject the hypothesis of a stable, long-run bivariate relationship between each of these markets and the European Monetary Union (EMU), the United States, and a regional benchmark. This indicates the existence of significant diversification opportunities for three categories of investors (EMU, world, and regional investors). A recursive analysis based on Barari (2004) suggests that recently, the MENA markets have started to move toward international financial integration. Investigating the effect of selected financial, economic, and political events on such a process, we extend the methodology and find that the markets react heterogeneously to the different categories of shocks. They should therefore not be treated as a bloc for global allocation purposes. Finally, after adjusting the integration levels by relative market capitalization, Israel and Turkey are the most promising markets in the region, followed by Egypt, Jordan, and Morocco. Tunisia and Lebanon seem to be lagging behind.     

Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?

Daily returns of stock markets in emerging markets in Asia, Africa, South America, and Eastern Europe from the early 1990s through 2006 are analyzed for the possible presence of nonlinear speculative bubbles. The absence of these is tested for by studying residuals of vector autoregressive-based fundamentals, using the Hamilton regimeswitching model and the rescaled range analysis of Hurst. For the first test, absence of bubbles is rejected for twenty-four countries (except Mexico, Sri Lanka, and Taiwan); for the second test, it is rejected for twenty-six countries (except Malaysia). BDS testing on these residuals after autoregressive conditional heteroskedasticity (ARCH) effects are removed fails to reject further nonlinearity (except for Israel). Policy issues are discussed, noting that what is appropriate varies from country to country and time period to time period.     

债券市场与股票市场的动态相关性研究

本文使用非对称动态条件相关系数(ADCC)模型,研究债券市场与股票市场的相关系数随时间变化的情况。发现由于经济运行情况和宏观政策等外部的不确定因素的影响,两个市场的相关关系存在结构性变化,同时两个市场对冲击的反应程度也不尽相同。本文还揭示出对股市-债市联动来说,其相关系数受到联合负冲击的影响要大于联合正冲击的影响;而对股市-股市联动来说,联合正冲击的影响要大于联合负冲击的影响。本研究对投资组合的构建、金融市场监管和风险控制有重要价值。     

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.     

渐进式改革中我国股票市场的功能缺陷及其反思

本文从中国近20年经济发展的渐进式改革进程的大背景出发,论述股票市场在其中所起到的作用.研究表明,国家主导型渐进式改革背景下对股票市场赋予了控制金融剩余、为国企改革服务的特殊任务,中国股票市场的制度设计抑制了股票市场资源配置功能的实现,而国家、地方、特权阶层、上市公司、机构投资者、散户等分利集团对自身利益的追求又产生了股票市场上种种的非市场化或违规现象.因此,股票市场资源配置失效产生的表面原因虽然常被归结为其自身内部的问题,但实质应是其所处的整个社会大环境的问题.认识这一点,对于我们重新考量中国金融体系的结构设计和布局有一定的现实意义.     

中国A、B股市场关联性的实证分析

利用市值加权法分别编制相应的A、B股市场指数，在此基础上利用多种经济计量模型对A、B股市场关联性进行多角度、分阶段的实证分析，以期得到B股开放前后两市关联性的结论。上述研究可以对A、B股的内在关联性有一个更准确的判断，为管理层在决策上提供相应的依据。