Do Attention-Grabbing Stocks Attract All Investors? Evidence from China

Abstract:

Using a unique and comprehensive data set of China’s Shenzhen Stock Exchange, we test whether all investors adopt attention-grabbing stocks. Only the less-wealthy individuals, the Small Group, are found to have the tendency to pursue attention-grabbing stocks, such as abnormal-volume stocks, extreme-return stocks, and initial public offering stocks. By contrast, wealthy individuals, such as the Middle and Large Groups, are the sellers of attention-grabbing stocks and prefer non-attention-grabbing stocks, thereby exhibiting a behavior resembling that of institutional investors. The wealth levels of individual investors may account for such heterogeneous trading behavior. Heterogeneous trading behavior may address one reason why only the less-wealthy individuals do poorly in China’s stock market. Accordingly, we suggest that the Small Group manage the stock selection problem through consultancy with investment institutions.     

IPOs’ signalling effects for speculative stock detection: evidence from the Stock Exchange of Thailand

Using a unique data set from the Thai stock market about the so-called, ‘Turnover List (TOL)’ of speculative stocks spanning the period 2004–2012, we investigate and provide new evidence on the relationship between IPOs’ pricing effects and subsequent classification as speculative investments. To be more specific, we examine the signalling effects for the detection of speculative stocks in relation to the degree of their prior IPOs underpricing. We also employ the market-feedback hypothesis to investigate this signalling process. Our results reveal a significant positive relationship between the magnitudes of the IPO underpricing and the probability of an IPO firm being classified officially as speculative on the TOL. Furthermore, we find that a 6-month abnormal return after going public increases the probability of speculative dealing in the IPOs. Next, we consider all listed firms in the Thai stock market and highlight the role of both abnormal return and trading volume in the transmission of probability for appearing on the TOL. In addition, we find that IPOs and non-dividend paying companies further increase the risk of being on the TOL.     

Testing the bivariate mixture hypothesis using German Stock market data

According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986, 1987) the daily price changes and the corresponding trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events serving as the mixing variable. Using German stock market data of 15 major companies the distributional properties of the BMH is tested employing maximum-likelihood as well as generalised method of moments estimation techniques. In addition to providing a new approach for the pointwise estimation of the latent information arrival rate based on the maximum-likelihood method, we investigate the time-series properties of the BMH. the major results can be summarised as follows: (i) the distributional characteristics of the data (especially leptokurtosis and skewness in the distribution of price changes and volume respectively) cannot be explained satisfactorily by the BMH; univariate mixture models for price changes and trading volume separately reveal a possible specification error in the model; (ii) a univariate normal mixture model can account for the observed distributional characteristics of price changes; (iii) the estimated process of the latent information rate cannot fully explain the time-series characteristics of the data (especially the volatility clustering or ARCH-effects).     

国有股表决权证券化是政治体制改革与经济体制改革的连接点

当前解决我国政治、经济领域的深层次矛盾,是将上市公司的国有股表决权证券化为类似于股票一样的国有股表决权证,并在沪深股市竞价发行后上市流通交易,将上市公司控制权由国家转给股民,制定《国有股被动表决权法》,政府依法管理国有股与行使上市公司政治控制权,实现政企、政经     

杠杆收购与垃圾债券

国外杠杆收购中垃圾债券是必不可少的融资工具,透过研究杠杆收购、垃圾债券以及垃圾债券在杠杆收购中的作用、融资程序,以期对相关各方的政策制定和实践操作提供有益的参考.     

大金融：对国有股减持方案的设计

为了进一步规范和发展证券市场，适应经济全球化和证券市场国际化的新形势，为了解决在我国的经济领域尤其是在金融领域方面的国有股的减持，社会保障基金的设立，国有商业银行存款的消肿和国有商业银行的发展壮大以及全方的协调发展问题，提出了一个新的对国有股进行减 持的方案设计，其方案采用了组合式分步减持，具有很大的灵活性和实用性。     

Time-Varying Spillover and the Portfolio Diversification Implications of Clean Energy Equity with Commodities and Financial Assets

This article examines the time-varying spillover and its implications on hedging and portfolio diversification for clean energy equities (WilderHill New Energy Global Innovation Index (NEX)) with technology stocks (PSE), four energy sub-indices of Standard & Poor Goldman Sachs Commodity Index (S&P-GSCI) viz., Crude oil, Brent crude oil, Gasoline and Heating oil and three major global equities indices represented by the USA, Europe, World, Dow-Jones Islamic Market Index (DJIMI) along with USD-Euro exchange rate. We find that in a mixed portfolio set-up, the inclusion of NEX in energy portfolio provides better diversification and risk reduction benefits for hedgers and portfolio managers.     

The New Stock that Did Not Underperform

This article examines the performance of newly listed stocks in a unique setting in which firms do not issue new equity immediately prior to listing. We find that in such a setting newly listed firms do not observe any underperformance over a three-year period as documented in the extant literature. This result is arrived at after controlling for both size and book-to-market effects using both event-time and calendar-time approaches. These findings present a challenge to the current extant empirical evidence and to the pseudo market timing and fads hypotheses.     

中国开放式基金选股和择时能力的实证分析

经过6年的发展,我国开放式基金发展迅速,截至2007年9月30日我国共有305只开放式基金,与此同时开放式基金对证券市场的影响也越来越大.开放式基金风险和收益、选股和择时能力等问题一直是国内外学者关心的一个话题.对开放式基金风险和收益、选股和择时能力的研究不仅关系到开放式基金本身的发展,也关系到投资者的切身利益.本文在收集2004年1月1日至2007年6月30日开放式基金3年半的数据基础上,应用国外成熟市场对开放式基金评价的指标,分析了中国开放式基金的选股能力和择时能力等问题,得出我国大部分开放式基金具有专家理财的特点,有一定选股能力但选时能力不是很强的结论.     

Can 1-day candlestick patterns be profitable on the 30 component stocks of the DJIA?

We set out in this study to conduct a comprehensive analysis of the profitability of every possible 1-day candlestick pattern using data on the 30 component stocks of the Dow Jones Industrial Average index. Our study involves a very lengthy sample period running from January 1974 to December 2009, with the results revealing a noticeable increase in the predictive power of 1-day candlestick patterns from 1992 onwards. Our evidence shows that several of the patterns may well prove to be profitable for the Dow Jones Industrial Average stocks. The robustness of our results is subsequently confirmed based upon a bootstrap analysis.