Threshold effect in international linkage of stock prices

This paper examines whether the international linkage of the stock price indexes found in previous studies is confirmed for the case where the stock index changes only slightly, utilizing the daily stock price index data from 1975 to 1995 for the US, UK, Germany, and Japan. Using dummy variables in the regressions, it is shown that small changes in the stock price index of any country do not affect the other country's index. In contrast, large changes have a significant effect in most cases. Thus, there is a threshold effect in international linkage of stock prices. It is also shown that negative large changes have a clearer effect than positive ones.     

中国股票价格指数与宏观经济关系的实证研究

股票市场与经济增长之间的关系是经济学界中极富争议性的一个话题,而股票价格是否能反映国民经济状况,也是当前研究的热点问题。本文选择股票价格指数与经济增长,货币供应量以及进出口额的关系进行研究,通过协整检验等计量分析方法得出:中国股票价格指数和宏观经济增长指标相关性不强,股票价格指数在我国尚未起到"晴雨表"作用。     

股票价格与宏观经济变量间的实证研究

本文运用协整检验等计量方法对我国股票价格与宏观经济变量间的关系进行了研究。表明股价指数与工业生产值、消费支出、消费价格指数、货币供应量存在长期均衡关系;消费价格指数和货币供给量的变化会引起股价指数的波动,同时股价指数的波动会引致工业生产值和消费支出的变化;股价指数与部分宏观经济变量存在协整关系,一定程度上可以反映我国经济发展的水平。     

大小非解禁和股价波动关系的实证分析

本文基于2007年1月至2011年3月的月度时间序列样本,构建了经典的多元回归模型,对"大小非"解禁与股价走势之间的关系进行了分阶段实证研究。计量结果表明,国内国际经济形势、货币政策以及预期等因素才是影响我国股价走势变化的最主要因素,而"大小非"解禁对股价走势的影响程度则要受到我国股市所处行情阶段的限制。     

Spillover Effects of Fraud Allegations and Investor Sentiment

We examine whether a stock price spillover effect spreads through the method of listing or country of origin and whether this spillover effect changes when investor sentiment shifts. Using a sample of fraud allegations against Chinese companies that became public through Chinese reverse mergers (CRMs), we investigate whether firms that experienced negative spillover effects on their stock prices are those from the same country and/or with the same method of listing as the firms accused of fraud. We first show that the negative spillover effect channeled through the firm's country of origin becomes stronger when investor sentiment about Chinese companies becomes pessimistic, as evinced by significant declines in the stock prices of non-fraudulent Chinese companies, including both CRMs and Chinese IPOs. Second, we show that the negative spillover effects on CRMs are stronger than those on Chinese IPOs and non-Chinese reverse mergers, suggesting that both country and listing method are applicable to CRMs. Our findings indicate that (i) investor sentiment plays an important role in the spillover process involving fraud allegations and (ii) while the two channels could coexist, negative spillover effects that spread through the country of origin play a more prominent role than those that spread through the method of listing.     

The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets

This paper provides insight into the sources of time variation and persistence in volatility by presenting new evidence concerning the price behavior of three index futures contracts and associated stock price indexes (the New York Stock Exchange Composite index, Standard and Poor's 500 index, and Toronto 35 index). Although persistence in the second moments of stock returns distribution is widely documented, the economic explanation for generalized autoregressive conditional heteroskedasticity is not established. Cross-sectional differences in measured persistence indicate that market characteristics thought to impede information flows may not play a significant role in explaining generalized autoregressive conditional heteroskedasticity effects.     

投资者结构与股价波动：基于过度自信和注意力分配的理论分析

本文假定市场上仅存在散户和机构,且他们之间存在过度自信的差异和对多期私有信息注意力分配方式的差异,在此基础上对投资者结构和股价波动的关系进行了理论分析,并进一步研究了投资者结构的长期均衡问题。研究表明,当两种差异同时存在时,第一,市场上现有的投资者结构决定了散户或机构比例的上升是否增加股价波动。如果市场是散户主导的,那么散户比例的上升将加剧股价波动;如果市场是机构主导的,那么在特定情形下,机构比例的上升将加剧股价波动。第二,散户在长期均衡时不仅不会彻底消失,甚至会在特定情形下完全占据市场。     

基于游程检验的深圳股票市场有效性实证分析

市场有效性理论（EMH）是股票市场研究的基本理论之一，一个股市是否有效，会对政府的政策和管理产生重大影响。文中选取深圳股票市场2000．1．07—2007．12．29为样本时间段，以深圳成份指数周收盘价为研究对象，以检验股票市场是否符合随机游走特征为根本目标，利用游程检验的方法观察深市整体有效性；另外，以深市各行业指数周收盘价为研究对象，利用游程检验观察深市各行业有效性。最终发现两检验所得的检验结果完全一致：深圳股票市场经过十八年的发展，逐渐趋于弱式有效。     

股指期货套期保值存在的障碍及解决办法

根据我国资本市场现状,着重分析我国股指期货套期保值目前存在的障碍,利用约翰森(Johnson,1960)和斯坦(Stein,1961)的研究成果,阐述一种可行的套期保值方法,其次,通过沪深300指数期货对股指期货套期保值进行实证分析,算出进行套期保值所需的期货合约个数。结果表明本文阐述的方法能够提供一种较为有效的套期保值方法,可以作为实际交易过程中的操作参考。     

宏观经济因素对我国股票市场波动影响的实证分析

股票市场的发展与一国的宏观经济因素存在密切的联系,本文选取工业增加值增长率,居民消费价格指数、利率、汇率、货币供应量、上证综合指数这6个变量建立VAR模型,并进行脉冲响应分析,对宏观经济因素对我国股票市场价格变动的影响进行定量分析。分析得出宏观经济因素与股票价格波之间存在长期稳定的均衡关系,并且货币政策只有很微弱的影响作用。     

Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach

This paper investigates how the price dynamics of both onshore and offshore RMB markets are affected by fundamental determinants, market liquidity, global risk aversion and policies by using daily data from August 2010 to February 2016. The interval time series (ITS) modelling is applied to study the RMB price mechanism by capturing prices of the two markets as one self-formed interval data. An interval-based Wald test is constructed to examine the differences between the coefficients and an interval-based Mallows criterion is proposed for choosing appropriate explanatory variables. We find that both the price level and the price differences of onshore and offshore RMB markets are greatly affected by economic fundamentals indicated by different returns on stock indexes and market liquidity indicated by bid-ask prices of offshore market price. In addition, it is suggested that the interest rate spread between China and the US and the global risk appetite do not significantly affect the RMB price for both onshore and offshore markets. Finally, the results imply that “811 reform” of the RMB exchange rate regime does not change the fundamental price dynamics of RMB markets, but significantly changes how economic fundamentals affect the price mechanism of RMB exchange rate.     

Accounting Quality,Stock Price Delay,and Future Stock Returns*

In frictionless capital markets with complete information and rational investors, stock prices adjust to new information instantaneously and completely. However, a substantial body of research studies information imperfections such as asymmetric information and incomplete information. Information imperfections potentially hinder timely price discovery and are likely associated with delayed stock price adjustment to information. Our first research question therefore is whether the quality of accounting information (or “accounting quality”) is one such information imperfection that is associated with cross‐sectional variation in stock price delay. We define accounting quality as the precision with which financial reports convey information to equity investors about the firm’s expected cash flows. Poor accounting quality is likely associated with higher expected returns through uncertainty about stock valuation parameters and incomplete information. Our second research question therefore is whether the accounting quality component of price delay is associated with higher future stock returns. Consistent with our hypotheses, the results show that poor accounting quality is associated with delayed price adjustment and higher future stock returns. Thus, accounting quality plays a role in timely stock price discovery.     

Counting carbon: historic emissions from fossil fuels,long-run measures of sustainable development and carbon debt

This article examines how to account for the welfare effects of carbon dioxide emissions, using the historical experiences of Britain and the USA from the onset of the industrial revolution to the present. While a single country might isolate itself from the detrimental effects of global warming in the short run, in the long all countries are unable to free ride. Thus, we support the use of a single global price for carbon dioxide emissions. The calculated price should decrease as we move back in time to take into account that carbon dioxide is a stock pollutant, and that one unit added to the present large stock is likely to cause more damage than a unit emitted under the lower concentration levels in the past. We incorporate the annual costs of British and US carbon emissions into genuine savings, and calculate the accumulated costs of their carbon dioxide emissions. Enlarging the scope and calculating the cumulative cost of carbon dioxide from the four largest emitters gives new insights into the question of who is responsible for climate change.     

Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions

We estimate exchange rate pass-through (PT) into import, producer and consumer price indexes for nine OECD countries, using a method proposed by Uhlig (2005). In a Vector Autoregression (VAR) model, we identify the exchange rate shock by imposing restrictions on the signs of impulse responses for a small subset of variables. These restrictions are consistent with a large class of theoretical models and previous empirical findings. We find that exchange rate PT is less than one at both short and long horizons. Among three price indexes, exchange rate PT is greatest for import price index and smallest for consumer price index. In addition, greater exchange rate PT is found in an economy which has a smaller size, higher import share, more persistent exchange rate, more volatile monetary policy, higher inflation rate, and less volatile aggregate demand.     

CEO Overconfidence and Stock Price Crash Risk

This study examines the association between chief executive officer (CEO) overconfidence and future stock price crash risk. Overconfident managers overestimate the returns to their investment projects and misperceive negative net present value (NPV) projects as value creating. They also tend to ignore or explain away privately observed negative feedback. As a result, negative NPV projects are kept for too long and their bad performance accumulates, which can lead to stock price crashes. Using a large sample of firms for the period 1993–2010, we find that firms with overconfident CEOs have higher stock price crash risk than firms with nonoverconfident CEOs. The impact of managerial overconfidence on crash risk is more pronounced when the CEO is more dominant in the top management team and when there are greater differences of opinion among investors. Finally, it appears that the effect of CEO overconfidence on crash risk is less pronounced for firms with more conservative accounting policies.     

Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches

This paper studies the hypothesis of stock price comovements between the US market and four different regions (the G6, the BRICS, the MENA (Middle East North Africa) during calm and crisis periods. Using different econometric approaches (BEKK-GARCH model, cointegration tests, and panel cointegration tests), we checked the interdependence of these markets in the short and the long term. Our findings point to the importance of heterogeneity linked to the stock price adjustment process, inviting individual analysis to be carried out according to market specificities in the aim of identifying countries that are sources of investment opportunities. We also highlighted the presence of time-varying stock price comovements that significantly increased after the subprime crisis. This enabled us to specify periods and regions that can still provide promising diversification benefits. Investigation of this issue is of interest for investors and bankers in order to improve their portfolio choices, diversification strategies as well as risk management.     

周期视角下半导体行业股价指数波动

半导体股价指数受行业周期影响呈现周期规律,运用向量自回归模型,从宏观和行业层面出发,结合半导体周期和硅周期进行分析。实证研究表明,行业周期和股价指数周期之间存在相关性,半导体行业周期波动是半导体股价指数周期波动的核心影响因素,股价指数周期先于行业周期2～6个月,证实股票市场发挥宏观经济晴雨表功能。从行业周期视角分析股价指数波动的内在规律,对优化投资者的投资策略具有一定的参考价值。     

Crash Risk and the Auditor–Client Relationship

This study examines whether the term of the auditor–client relationship (i.e., auditor tenure) is associated with future stock price crash risk measured both ex ante and ex post. Using a large sample of U.S. public firms with Big 4 auditors, we find robust evidence that auditor tenure is negatively related to one‐year‐ahead stock price crash risk. The evidence is consistent with monitoring‐by‐learning where development of client‐specific knowledge over the term of the auditor–client relationship enhances auditors’ ability to detect and deter bad news hoarding activities by clients, thereby reducing future crash risk. This result holds even after controlling for endogeneity of the tenure/crash risk relation. We further provide evidence indicating that option market investors do not fully incorporate the information contained in the term of auditor–client relationship in predicting future stock price crash risk. Our empirical results have important policy implications for regulators concerned with ensuring auditor independence.     

Allocative inefficiency and measures of market power

Conclusion This paper has shown that under conditions of both linear and constant price elasticity demand functions, market power as measured by the Lerner index and profit rates may easily move in the opposite direction of the welfare losses from monopoly. This means that changes in monopoly power, as measured by either Lerner indexes or profit rates, are not adequate to predict qualitative changes in allocative inefficiency.More (less) market power does not necessarily imply more (less) allocative inefficiency whether one is comparing different industries at a point in time or a given industry at different points in time. For these reasons, interpretation of the relation between market power as measured by the Lerner index or profit rates and market performance must proceed with caution.     

房地产上市公司股价影响因素实证分析

近年来,在持续的房地产调控政策影响下,我国商品房市场开始出现成交量大幅下滑,房价逐步松动下滑的现象。但在此期间,房地产上市公司股票价格不仅强于大盘走势,而且其波动幅度也高于房地产销售价格指数。为此,本文选择房地产上市公司股票价格指数为因变量,选择上证综指、发电量增长率、CPI、人民币贷款利率、房地产价格指数五个因素指标为自变量进行多元回归统计建模,模型检验结果表明,房地产上市公司股价波动除具有一般金融资产价格波动的系统性、集聚性等特点外,还具有与人民币贷款利率和房屋销售价格指数负相关的特点。受宏观调控政策的持续影响,中国当前房地产市场出现一定程度的扭曲,实体经济增长对房地产上市公司股价的影响不显著。