共查询到20条相似文献,搜索用时 0 毫秒
1.
Alessandra Bonfiglioli Carlo A. Favero 《Journal of International Money and Finance》2005,24(8):1299-1316
We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion. We propose and implement a full-information approach on data for US and Germany to provide answers to the following questions:
- (i) Is there long-term interdependence between US and German stock markets?
- (ii) Is there short-term interdependence and contagion between US and German stock markets, i.e. do short-term fluctuations of the US share prices spill over to German share prices and is such co-movement unstable over high-volatility episodes?
2.
Indonesia and Malaysia are common in religion; however, the two countries have different developments in their equity markets. This study investigates the risk, return, and liquidity during Ramadan for the Indonesia and Malaysia stock markets. We find that the volatility is higher around Ramadan for the Indonesia stock market, while displays dynamic patterns in different phases around the month of Ramadan for Malaysia. Despite the changing risk during Ramadan, the risk-adjusted return remains unchanged. Furthermore, this study finds that the liquidity in most stock index markets of the two countries is higher around Ramadan. These findings support the notion that Ramadan affects investors’ risk-taking attitude and facilitates the trade in stocks. 相似文献
3.
Trading volume and stock market volatility: The Polish case 总被引:2,自引:0,他引:2
Relying on the mixture of distributions hypothesis (MDH), this paper investigates the relationship between daily returns and trading volume for 20 Polish stocks. Our empirical results show that in the majority of cases volatility persistence tends to disappear when trading volume is included in the conditional variance equation, which is in agreement with the findings of studies on developed stock markets. However, we cannot confirm the testable implications of the MDH in all cases, which indicates that future research on the causes and modeling of Polish stock market volatility is necessary. 相似文献
4.
《Macroeconomics and Finance in Emerging Market Economies》2013,6(1):31-49
The purpose of this paper is to examine the conditional volatility and correlation predictability of four emerging stock markets, and address the issue whether investors could exploit this predictability to earn excess returns from the minimum variance portfolio of index component stocks. Inevitably, transaction cost affects the conclusive results. Nevertheless, economic gain exceeding a conservatively high transaction cost could be derived from a number of conditional volatility and correlation models. One dominant model, the shrinkage model, outperforms the market across the countries, cost structures and performance measures. We also document the superiority of averaging methodologies. However, semiparametric modelling falls in a grey area of profitability – sometimes attractive whilst sometimes not attractive. 相似文献
5.
The empirical relationship between risk and return: evidence from the UK stock market 总被引:1,自引:0,他引:1
Previous studies reach no consensus on the relationship between risk and return using data from one market. We argue that the world market factor should not be ignored in assessing the risk-return relationship in a partially integrated market. Applying a bivariate generalized autoregressive conditional heteroscedasticity in mean (GARCH-M) model to the weekly stock index returns from the UK and the world market, we document a significant positive relationship between stock returns and the variance of returns in the UK stock market after controlling for the covariance of the UK and the world market return. In contrast, conventional univariate GARCH-M models typically fail to detect this relationship. Nonnested hypothesis tests supplemented with other commonly used model selection criteria unambiguously demonstrate that our bivariate GARCH-M model is more likely to be the true model for UK stock market returns than univariate GARCH-M models. Our results have implications for empirical assessments of the risk-return relationship, expected return estimation, and international diversification. 相似文献
6.
A common factor analysis for the US and the German stock markets during overlapping trading hours 总被引:1,自引:0,他引:1
Michael Flad Robert C. Jung 《Journal of International Financial Markets, Institutions & Money》2008,18(5):498-512
We employ a bivariate common factor model to establish a permanent-transitory decomposition of two major stock indices (the Deutsche Aktienindex (DAX) for Germany and the Dow Jones Industrial Average (DJIA) for the United States). Using high-frequency data, we (1) identify a common trend shared by both indices, (2) find that the DJIA contributes up to 95% to the total innovation of the common factor, (3) show that both markets adjust within minutes to a system-wide shock, and (4) verify by hypothesis testing that the DJIA is the driving force in the transatlantic system of stock indices. 相似文献
7.
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.
相似文献
Yuenan WangEmail: |
8.
《Macroeconomics and Finance in Emerging Market Economies》2013,6(2):261-283
This paper investigates the return–liquidity relationship on one Middle East and North Africa frontier market, the Tunisian Stock Exchange (TSE). The findings provide evidence that there is a significant and positive premium for companies with high price impact and low trading frequency. However, Tunisian investors appreciate more low spread stocks. We show, also, a non-linear relation between potential delays of execution and stock returns. In addition, we find that Tunisian investors require a premium to compensate past cumulative illiquidity risk (high price impact, low turnover and high potential delay of execution) over the prior three to 12 months and to compensate past cumulative spread over 12 months. We point out also that these effects are seasonal. 相似文献
9.
Suzanne G.M. Fifield Juliana Jetty 《Research in International Business and Finance》2008,22(3):351-361
This paper examines the efficiency of the Chinese A-share and B-share markets following the deregulation of the B-share market which widened ownership to include domestic investors. Applying parametric and non-parametric variance ratio tests to the daily data of 370 shares over 1996–2005, the paper finds that A-shares are more efficient than B-shares, although the efficiency of both markets has improved following the regulatory change. Overall, the results suggest that the Chinese stock markets are characterised by information asymmetry, although the timely access to high quality information that domestic investors enjoy has improved the efficiency of the B-share market. 相似文献
10.
Zhuo Qiao Thomas C. Chiang Wing-Keung Wong 《Journal of International Financial Markets, Institutions & Money》2008,18(5):425-437
This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the B-share and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets. 相似文献
11.
Nicholas Rueilin Lee 《Financial Markets and Portfolio Management》2012,26(4):449-468
This paper investigates whether there is a link between momentum profitability and firm ratings. We follow traditional and practical (non-) investment-grade classifications to divide into three rating groups, high, median, and non investment-grade group (HIG, MIG, and NIG) since firm ratings express risk in relative rank order to contain valuable information. This study considers the US and Taiwanese stock markets. We find that firm ratings momentum strategies can even earn positive profits, larger than na?ve momentum, supporting that firm ratings can be used to strengthen naive momentum effects. By comparisons, the US firm ratings momentum with NIG produces larger profits than HIG but opposite in direction and V-shaped pattern in Taiwan. With an examination of crises on firm ratings momentum, we find that firm ratings momentum indeed helps increase the payoff during (non-)crises although firm ratings momentum profits should be strong following non-crises states and weak following crises states. However, firm ratings momentum profits partially result from the predictability of business cycle, calendar months, and information asymmetries. Our results highlight the critical importance of using firm ratings screens in empirical momentum studies. 相似文献
12.
This paper empirically examines the theoretically ambivalent relationship between socially responsible investing (SRI) and stock performance. It contributes to the existing literature by considering both the US and the entire European stock markets and by using consistent world-wide corporate sustainability performance data. Our portfolio analysis from 1998 to 2009 is based on the common four-factor model according to Carhart (1997), which comprises market return, size, value, and momentum factors. We show for the US and the European stock markets that SRI is associated with large-sized firms. The insignificant abnormal stock returns for SRI in both regions are the main result of our paper. Therefore, our study supports the view that SRI stocks are correctly priced by market participants, although we cannot rule out that a corresponding mispricing has existed before the beginning of our observation period in 1998. 相似文献
13.
This article examines sudden changes in volatility for five Gulf area Arab stock markets using the iterated cumulative sums of squares (ICSS) algorithm and analyzes their impacts on the estimated persistence of volatility. This algorithm identifies large shifts in volatility of the stock markets during the weekly period 1994 to 2001. In contrast to Aggarwal et al. [Aggarwal, R., Inclan, C., & Leal, R., 1999, Volatility in emerging markets. Journal of Financial and Quantitative Analysis 34, 33-55], this paper found that most of the Gulf Arab stock markets are more sensitive to major global events than to local and regional factors. The 1997 Asian crisis, the collapse of oil prices in 1998 after the crisis, the adoption of the price band mechanism by OPEC in 2000, and the September 11th attack have been found to have consistently affected the Gulf markets. Accounting for these large shifts in volatility in the GARCH(1,1) models significantly reduces the estimated persistence of the volatility in the Gulf stock markets. 相似文献
14.
We examine whether initial returns influence investors’ decisions to return to the stock market following withdrawal. Using a survival analysis technique to estimate Finnish retail investors’ likelihood of stock market re-entry reveals that investors who experience lower initial returns are less likely to return, even after controlling for returns in the last month and average monthly returns for the duration of investing. This primacy effect is robust to accounting for endogeneity in investors’ exit decisions, and other behavioural biases such as recency and saliency of investment experience. Individual investors appear to be subject to primacy bias and tend to put a significant weight on initial experiences in re-entry decisions. 相似文献
15.
16.
This research examines the dynamics of volatility transmission and information flow between ADRs and the underlying stocks. Using a bivariate GARCH model with BEKK parameterisation, the study investigates how changes in volatility in the ADR market affect the volatility in the underlying equity market and vice versa. The findings suggest a bidirectional volatility transmission and information flow between the ADR and underlying stock markets. ADRs and underlying stocks respond to their own innovations as well as to the innovations in each other's market. The findings are consistent for all countries in the sample as well as for different sub-periods. The evidence suggests that the differences in synchronicity of trading period between the US market and other developed markets included in the sample has had no effect on the volatility transmission and information flow between ADRs and underlying stocks. 相似文献
17.
While China had been vigorously pursuing economic reform since the late 1980s, it wasn't until the 2005–2006 time period that non-tradable stock reform took place. The case of Hunan Valin Steel provides a rich look inside about the dynamics of the non-tradable share reform in China, and demonstrates the impact of good financial design helping the company to turn aside the financial distress, while minimizing costs to benefit the stockholders. Moreover, this case provides an illustration of the challenges posed by agency problems in China, with conflicted interests between tradable shareholders (public investors) on one hand and non-tradable shareholders (governments and state-owned enterprises) on the other. Not only does the split share structure result in conflicted interests and asymmetric information between managers and owners, but it also made it difficult to establish effective corporate governance. 相似文献
18.
Faced with unprecedented competition, stock markets should have fairness and transparency. The effects of market transparency for the stock market volatility and liquidity will be investigated using the case of the Korean stock market. The evidence from this study indicates that increasing the market transparency makes the price discovery process more efficient than before from the viewpoint of stock market volatility, and increases the stock market liquidity compared with before. 相似文献
19.
The integration of the real estate market and the stock market: Some preliminary evidence 总被引:2,自引:2,他引:2
Crocker H. Liu David J. Hartzell Wylie Greig Terry V. Grissom 《The Journal of Real Estate Finance and Economics》1990,3(3):261-282
The current study investigates whether the commercial real estate market is segmented from the stock market using the framework of Jorion and Schwartz (1986). Evidence is found to support the hypothesis that segmentation does exist as the result of indirect barriers such as the cost, amount, and quality of information for real estate rather than legal constraints. However, this evidence is contingent on whether real estate returns are computed with appraised values or imputed sale prices and on which market proxy is chosen. 相似文献
20.
C. Sherman Cheung Clarence C. Y. Kwan Jason Lee 《Review of Quantitative Finance and Accounting》1995,5(4):393-402
Empirical evidence by Eun and Resnick (1988), among others, has demonstrated the significance of exchange rate risk in the international asset allocation and they have noted that the risk is nondiversifiable. Yet, exchange rate risk was found by Jorion (1991) to be a risk factor that is not priced in the U.S. stock market. This study reexamines such counterintuitive results using data from the Toronto Stock Exchange. The evidence here weakly supports the pricing of the exchange rate risk. Further, the sample period in this study coincides with Jorion's to ensure that both studies examine the pricing of the exchange rate risk in the same global economic environment. The significant pricing of exchange rate risk in Canada and the insignificant pricing in the U.S. imply the possibility of market segmentation. 相似文献