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Author: Sutthisit Jamdee Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper examines investors' trading behaviors in Chinese stock markets by studying five stock indices that cover Chinese common stocks in three stock exchanges -- Shanghai, Shenzhen, and Hong Kong. Our empirical results suggest that there exists a significant positive feedback trading effect in the Shanghai A-share, Shenzhen A- and B-share, and Hong Kong H-share markets. No significant positive feedback trading behavior was observed in the Hong Kong Red chip stock market. Consistent with prior literature, our empirical results suggest that the positive feedback trading effect in Chinese markets is asymmetrical between market upturns and downturns and that stock returns exhibit positive autocorrelation at a low volatility level and negative autocorrelation at a high volatility level. This finding is attributed to wealth-related variation in investors' risk aversion level and to market segmentation in Chinese stock markets. In addition, we examine the impact of deregulation of the B-share market on trading behaviors and find that the asymmetric return autocorrelation pattern of the market has changed since the deregulation. This finding should be of interest to portfolio managers and policy makers.
Author: Sutthisit Jamdee Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper examines investors' trading behaviors in Chinese stock markets by studying five stock indices that cover Chinese common stocks in three stock exchanges -- Shanghai, Shenzhen, and Hong Kong. Our empirical results suggest that there exists a significant positive feedback trading effect in the Shanghai A-share, Shenzhen A- and B-share, and Hong Kong H-share markets. No significant positive feedback trading behavior was observed in the Hong Kong Red chip stock market. Consistent with prior literature, our empirical results suggest that the positive feedback trading effect in Chinese markets is asymmetrical between market upturns and downturns and that stock returns exhibit positive autocorrelation at a low volatility level and negative autocorrelation at a high volatility level. This finding is attributed to wealth-related variation in investors' risk aversion level and to market segmentation in Chinese stock markets. In addition, we examine the impact of deregulation of the B-share market on trading behaviors and find that the asymmetric return autocorrelation pattern of the market has changed since the deregulation. This finding should be of interest to portfolio managers and policy makers.
Author: Die Wan Publisher: ISBN: Category : Languages : en Pages : 42
Book Description
Based on 4 years data of individual stocks in SZ300P index, the paper investigates the positive feedback trading behavior and its asymmetry. Regressions with heterogeneous belief terms show the presence of positive feedback trading in Chinese market. The traders who react to daily, weekly or monthly returns all exist in the market. The asymmetric pattern of positive feedback trading in individual stocks is quite different from that in developed markets and the findings in index data: The volume and order imbalance both rise more after price rises than those after price declines. An updated Sentana-Wadhwani model confirms the existence of this kind of asymmetric positive feedback trading. The asymmetric positive feedback trading tends to be more intensive in small-cap and high-liquid stocks, and this partially explains the contrast asymmetry between individual stocks and indexes.
Author: Die Wan Publisher: ISBN: Category : Languages : en Pages : 40
Book Description
Based on Level-2 transaction data of individual stocks in Chinese market, the paper constructs measures to directly estimate positive feedback trading intensity and its asymmetry in high-frequency intervals, and then investigates the impact of feedback trading on market quality. Heterogeneous positive feedback traders are found in high-frequency trading intervals of individual stocks, and the buying-winners effect is generally more intensive than selling-losers effect. The asymmetric positive feedback traders contribute to high volatility, high return autocorrelations, high variance ratios and low speed of price discovery. The asymmetry is positively related to aggressive trading orders and hence large price impact, while positive feedback trading reduces both liquidity provision and trading cost. Collectively, the high-frequency asymmetric positive feedback trading leads to an active-trading but less efficient market.
Author: Eric Girardin Publisher: Springer Nature ISBN: 303017123X Category : Business & Economics Languages : en Pages : 125
Book Description
Mainstream research has rationalized China’s stock market on the basis of paradigms such as the institutional approach, the efficient market hypothesis, and corporate valuation principles. The deviations from such paradigms have been analyzed as puzzles of China’s stock market. Girardin and Liu explore to what extent, in the perspective of Chinese cultural and historical characteristics, far from being puzzles, these 'deviations’ are rather the symptoms of a consistent strategy for the design, development and regulation of a government-dominated financial system. This book will help investors, observers and researchers understand the hidden logic of the design and functioning of China’s modern stock market, taking a political economy view.
Author: Nicolaas Groenewold Publisher: Edward Elgar Publishing ISBN: Category : Business & Economics Languages : en Pages : 272
Book Description
The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s. The authors address a variety of critical topics to assess the efficiency, predictability and profitability of the Chinese stock-market. They carefully examine the evolution and performance of the market over the past ten years and measure its level of efficiency using an array of empirical studies. The results reveal that not only is the stock market far from efficient but that it has also failed to properly integrate with other regional markets. Thus, the authors propose further reforms which they argue are necessary for the stock market to realize its full potential contribution to the operation of China's financial markets and to its continuing economic development. The stock market in China will undoubtedly grow in importance and international influence during the next ten years. As such, this valuable new book will be required reading for economic researchers, business economists and market analysts, as well as academics with an interest in Chinese business and Asian finance.
Author: Lei Gao Publisher: ISBN: 9783832506490 Category : Languages : en Pages : 0
Book Description
This book addresses eight issues on behavioral finance and Chinese stock market: the theory of economic agent's self value, Chinese stock market's rapid development and linebreak peculiarities, the momentum and contrarian strategies in Chinese stock market, the highly volatile beta in China's stock market, Chinese stock market's small firm effect and calendar effects, the behavior of Chinese private stock investors, and the relation between the turnover ratio and the market return in Chinese stock market. All these eight issues lie at the current research frontier although some are oriented towards theory and the others towards empirical analysis.
Author: Bruce Vanstone Publisher: Harriman House Limited ISBN: 0857191357 Category : Business & Economics Languages : en Pages : 181
Book Description
In Designing Stock Market Trading Systems Bruce Vanstone and Tobias Hahn guide you through their tried and tested methodology for building rule-based stock market trading systems using both fundamental and technical data. This book shows the steps required to design and test a trading system until a trading edge is found, how to use artificial neural networks and soft computing to discover an edge and exploit it fully. Learn how to build trading systems with greater insight and dependability than ever before Most trading systems today fail to incorporate data from existing research into their operation. This is where Vanstone and Hahn's methodology is unique. Designed to integrate the best of past research on the workings of financial markets into the building of new trading systems, this synthesis helps produce stock market trading systems with unrivalled depth and accuracy. This book therefore includes a detailed review of key academic research, showing how to test existing research, how to take advantage of it by developing it into a rule-based trading system, and how to improve it with artificial intelligence techniques. The ideas and methods described in this book have been tried and tested in the heat of the market. They have been used by hedge funds to build their trading systems. Now you can use them too.
Author: Turan G. Bali Publisher: John Wiley & Sons ISBN: 1118589475 Category : Business & Economics Languages : en Pages : 512
Book Description
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Author: Winston Ma Publisher: ISBN: Category : Business & Economics Languages : en Pages : 264
Book Description
A groundbreaking title that explores the new and developing opportunities for foreign investors in China's transforming stock and capital markets, at this critical point in their history. \r\nFrom the foreword:"Winston Ma's remarkably informed study of China's recent stock market developments and the emerging opportunities they are providing to investors is a most welcome contribution to modern financial literature."Richard Sylla, Stern School of Business, New York University
Author: Sutthisit Jamdee
Author: Sutthisit Jamdee
Author: Die Wan
Author: Die Wan
Author: Eric Girardin
Author: Nicolaas Groenewold
Author: Lei Gao
Author: Li Kang
Author: Bruce Vanstone
Author: Turan G. Bali
Author: Winston Ma