Testing the impact of trading volume on market return and volatility： The case of the Romanian stock market

This paper examines both the return-volume and volatility-volume movements on Bucharest stock exchange, in order to evaluate the impact of changes in stock market liquidity on stock returns and on volatility of returns. We employ linear Granger-causality tests to investigate the dynamic relation between trading volume, stock returns and returns volatility on the Romanian stock market, using daily logarithmic returns for the composite index BET-C, as a proxy for the market, and daily logarithmic change in trading volume during the period January 2004-July 2008. As a proxy for return volatility we employ absolute values of daily deviation of return from its mean value during the considered time period. We can report unidirectional linear causality from returns to volume and also from volume to volatility.     

Credit default swaps and stock prices： Further evidence of mean and volatility transmission using a GARCH-M model

This paper empirically investigates the association between the stock market and the credit default swap （CDS） market in terms of mean and volatility spillovers. The analysis uses daily observations from four stock markets and two European CDS indices, along with the error correction （EC） methodology and the generalized heteroskedasticity in mean （GARCH-M） modelling. The authors find that stock returns across European and US markets are negatively related to European CDS spread changes, that the CDS market seems to lead the stock market （implying that information contents coming from the firm＇s environment impacts first on the CDS market and then on the stock market）, and that CDS spreads volatility has a positive impact on stock market returns, both in mean and in volatility.     

Volatifity spillovers on precious metals markets and the G-7： The effects of the Asian crisis

This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; We use EGARCH modelling, which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to precious metals returns, but overall the results are significant in the other way around. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spill over running in a bidirectional way in almost all the cases. And finally, the results from asymmetric spillovers effects show that negative news has a stronger impact in these financial markets than positive news.     

Emerging Impact of Chinese Commodity Futures Market on Domestic and Global Economy

In this paper we construct a set of indices that capture the special features of the Chinese commodity futures market for the period from January 2000 to December 2011 to analyze the general properties of China＇s commodity futures market. Using these indices we investigate the risk premiums of Chinese commodity futures and verify that the commodity futures can act as an effective diversification tool for Chinese asset management. It is found that the commodity futures can hedge both expected and unexpected inflation in China, and agricultural commodity futures are found to signal inflation 2 months beforehand. Finally, we explore the relationship between Chinese and US commodity futures markets in the years 2000 and 2010, and find that their interactions strengthen over time. Our research reveals an increasingly important role of the Chinese commodity futures market in both the domestic and the global economy. Some policy changes are suggested in response to this trend.     

Linkage between stock volatility and corporate bond yield spread in Thailand

This paper studies the relationship between stock volatility and corporate bond yield spread in Thai market by using Campbell and Taksler （2003） panel data regression approach. The results show that the equity volatility＇s variables, such as finn＇s idiosyncratic risk, market risk, individual stock return and market return, are matter to explain the corporate bond yield spread. Surprisingly, these variables could explain the spread better than credit rating variables. Furthermore, during bear market period, only corporate bond yield spreads in financial finns are increasing significantly. Some of the deterministic yield spread parameters such as level and slope of interest rate also alter from bull market period.     

The Cause of Turnovers of Top Management -An Empirical Research on the Special Treatment Companies in China

The turnover of top management is important for both foreign stock market and corporate management. China has developed its own stock market for more than ten years. During this period, a lot of listed companies＇ top managers were on the move. Based on 97 Chinese ST companies of 2004, this paper invesdgates the main factors, which causes the top management turnovers in the ST companies. The results of regression analysis show that the turnover of top management in Chinese ST companies is highly positively related to the change of large shareholder and are negatively related to the rate of net profit to total assets. We also find that net cash flow that is provided from operations per share, the proportion of state-owned shares and the type of audit views have no influence on the top management turnovers in such ST companies in China.     

Indian stock market reaction to international cross-listing： Evidence from Depository Receipts

The present study investigates the impact of cross listing of ADRs on the Indian stock market for the period June 2004 to July 2009. Average abnormal returns and cumulative average abnormal returns are calculated for the [-25, ＋25] event window, with the ADR listing date being the event date. The result indicates a significant negative abnormal local market return on the ADR listing day. Six out of nine companies shows increased volatility of local returns after the cross listing. We can conclude that ADR listings have no tangible benefit impact to the local shareholders.     

Rise and Fall of the First Financial Futures Market in China： The Case of Chinese Government Bond Futures

This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ in market design and structure, market governance, margin requirements, position limits, delivery process, and the way in which the settlement price is calculated. Furthermore, with a unique dataset, we show that prior to maturities of government bond futures, traders began to accumulate significant amounts of long positions for several selected contracts without the intention to offset, forcing short position holders to either purchase deliverable bonds or offset futures at highly inflated prices, causing higher market volatility and price disequilibrium in both spot and futures markets. Arbitrage opportunity arises and the market eventually collapses. The lessons learned from the suspension of the Chinese Government bond futures market offer an invaluable learning experience.     

An Examination of Component Returns and Volatility for Country-Specific Equity Funds in Emerging Markets＇ Evidence From Asian Financial Crisis

This research aims to examine the daily return generating processes for country-specific funds in five east-Asian countries for the period 1995-2000. The effects of component returns and their volatility on the dollar denominated returns and volatility of U.S., international investors and the effects of exchange rate regimes on risk and return are also evaluated. The GARCH-M model is adopted, without the restrictive assumptions of linearity, independence, and constant conditional variance. The time frame, 1995-2000 captures a 30 months period prior to these East Asian countries aborting exchange rate stabilization/intermediate exchange rate regimes in response to the currency crisis. The decomposition of returns to holders of country-specific equity funds into the component returns due to changes in the exchange rate and the returns valued in the fund＇s foreign currency during a period of crisis provides additional information. This research provides evidence of the importance of examining component returns. With regards to the effects on volatility, both the conditional variances associated with the exchange rate returns and the returns denominated in the foreign currencies show some importance, especially the conditional variances associated with the returns denominated in the foreign currencies. With regards to the effects of return component, the exchange rate returns have a greater effect on the fund returns than foreign currency dominated returns.     

Time frequency effects on market indices： World comovements

The international comovement of stock market indices is reviewed in this paper. The most powerful argument for cross-border investing is the risk reduction due to low correlation of world＇s stock markets. Diversifying risk has become even more important as financial markets globalize, helped by advanced information technology which lowers the transaction costs. Systematic risk is lowered through international diversification in markets with low correlation in domestic markets. Investors must be willing to take advantage of these correlations to reduce volatility in their portfolios. As such, the authors show the usefulness of wavelet analysis for financial relations. The current work tries to analyze the relationship among eleven stock indices using wavelet theory, applying the MODWT, Cross-Wavelets techniques, and regression analysis for different time scales. The findings suggest that there is strength to moderate cointegration among many stock markets, and therefore evidence of intra-continental relationships. Thus, it is able to disentangle different short, medium and long-run relations. The importance of historical transmissions is low for the period under analysis.     

An asymmetric and DCC analysis of two stock markets returns＇ volatility： An evidence study on the Hong Kong and Japan＇s stock markets

This paper discusses the model construction and the association between the Hong Kong and the Japanese stock markets. The data period is from January 4, 1999 to December 30, 2005. This paper also utilizes student＇s t distribution to analyze the proposed model. The empirical results show that the bivariate asymmetric-GARCH （1, 2） model with a dynamic conditional correlation （DCC） seemed to be appropriate in evaluating the relationship between them. The empirical result also indicates a positive relation between the Hong Kong and the Japanese stock markets returns. The average estimation value of DCC coefficient equals to 0.5196, which implies that these two stock markets＇ return volatility had synchronized influence on each other. In addition, the empirical results also show that the Hong Kong and the Japanese stock markets have an asymmetrical effect. Based on the idea of the good and bad news, the explanatory ability of proposed model is better than the model of the bivariate GARCH with a DCC.     

Multivariate GARCH Volatility Across Major Industry Groups of the Stock Exchange of Thailand

This paper examines the volatility on the time-series relations among the returns of industry group indices in the stock exchange of Thailand. Does volatility of the return series in one industry group indices necessarily lead to volatility in other industry group indices among the sample of eight industry groups？ This research will be valuable to investors utilizing a better understand diversification needed to get good returns. Daily data （2,116 days） are used in this paper covering data for the nine-year period from January 5, 2004, to August 31, 2012. Multivariate Generalized Autoregressive Conditional Heteroscedasticity was tested consisted of： （1） Diagonal VEC Model; （2） Baba Engle Kraft Kroner Models （BEKK Models）; （3） Vector Autoregressive Moving Average GARCH Model （VARMA GARCH Model）; and （4） Constant Conditional Correlation Model （CCC Model）. The findings indicated that the major result shows that, volatility in one industry group necessarily lead to volatility in other industry group indices in the opposite way and in the similar way.     

Uncertainty and Corporate investment： An Empirical Analysis of China＇s Manufacturing Firms

With the measurement of volatility of a firm＇s stock returns uncertainty, the paper examines the investment behavior of China＇s manufacturing firms over the period of 1998-2003, and studies the relationship between uncertainty and corporate investment by using the 2SLS re, gression method. The empirical results indicate that there are significantly positive relationships between total uncertainty and investment, and market uncertainty and investment, but the relationship between firm-specific uncertainty and investment is not significantly positive.     

Stock Returns, Volatility, and Cointegration among Chinese Stock Markets

I. IntroductionA plethora of research has focused on therelationship between returns and volatility, andcointegration among major, well-established financial markets. It has been found that aninverse relationship exists between an individualfirm’s stock return volatility and itsstockprice. There are two popular explanations: the first one is related to the leverage effect. Itasserts that a decrease in afirm’s stock price increases the firm’s debt ratio (or decreasesthefirm’s equity ratio)…     

Efficient Market Hypothesis and State-owned Shares＇ Circulation at Market Price

It is generally considered that the reason why the state-owned shares failed in circulation is that state-owned shares and the Negotiable Shares are in two separated markets. However this paper argues that the real reason why state-owned shares failed in circulation at market price and Negotiable Shares＇ price has been overstated is that Chinese stock market does not accord with Efficient Market Hypothesis, moreover Chinese investors are short of the concept COC and Chinese capital market has no short sells system.     

中国股票所有权的分割、流通及对投资银行业的制约

I. IntroductionSince establishment of the two stock markets in Shanghai and Shenzhen, the markets havegrown substantially to over 1,200 listed companies in 2003. The total stock marketcapitalization reached over 45 percent of Chinas gross domestic product (GDP) as of April2000, a figure comparable to that in developed countries, according to Fung and Leung(2002, p.100). Development of the Chinese stock market is critically important, because itenables Chinese firms to raise external capi…     

The Efficiency of the Chinese Commodity Futures Markets： Development and Empirical Evidence

I. Introduction In the early 1980s China set about transforming its moribund economy by adopting, in stages, various elements of the market-based systems. Among the reforms were thederegulation of prices and the introduction of financial markets for assets. The first stock market was set up in Shanghai in 1991 and in the same year the first commodities market opened in Zhengzhou, Henan Province. Since then, both the stock market and the commodities futures markets have expanded substantiall…     

Market Response and Firms＇ Operating Performance Surrounding Actual Share Repurchases： Evidence from Hong Kong

Share repurchases have become a popular payout method to distribute cash flows to shareholders not only in the U.S. but also other countries. This study examines the firms＇ share price and operating performance surrounding actual share repurchases and the motivations behind share repurchases in the Hong Kong stock market. The empirical results show that, on average, firms engage in share repurchases when their stocks are under-valued andrepurchases are followed by abnormal positive returns. Among repurchases, the stock price performance varies across firms＇ size and market-to-book ratios. The market responds most favorably to repurchases that are made by small and ＂value＂ firms. This suggests that smaller firms are usually less analyzed and more likely to be undervalued; hence, the market reacts more favorably when they repurchase.     

A Proposal for Progressively Integrating Illiquid Shares and Liquid Shares in Chinese Stock Markets

This paper classifies the market barriers which cause the division of the Chinese stock markets into two categories： the barriers for trading across markets and the barriers for capital transference across markets. It critically reviews various plans and Chinese historical practices which aimed to remove the barriers, and brings forward a proposal for progressively integrating illiquid shares and liquid shares in Chinese stock markets.