scholarly journals Short-term market reaction after trading halts in Chinese stock market

2014 ◽  
Vol 401 ◽  
pp. 103-111 ◽  
Author(s):  
Hai-Chuan Xu ◽  
Wei Zhang ◽  
Yi-Fang Liu
Keyword(s):  
Stock Market ◽  
Market Reaction ◽  
Chinese Stock Market ◽  
Short Term ◽  
Trading Halts

scholarly journals Analysis on the Impact of Short-Term International Capital Flows on Chinese Stock Market on the Basis of VAR Model

2018 ◽  
Vol 10 (8) ◽  
pp. 77
Author(s):  
Ning Wu
Keyword(s):  
Stock Market ◽  
Capital Flows ◽  
Composite Index ◽  
International Capital Flows ◽  
Capital Inflows ◽  
Var Model ◽  
Chinese Stock Market ◽  
International Capital ◽  
Short Term ◽  
The Impact

With the continuous development of global economic integration and financial markets, international capital flows more and more frequently, the frequent flow of international capital will inevitably affect the yield of Chinese stock market. This article uses short-term international capital inflows SS and Shanghai composite index R as research objects. Based on monthly data from January 2002 to October 2017, VAR model was constructed using Eviews8.0 to study the impact of short-term international capital flows on Chinese stock market. Empirical studies have found that short-term international capital flow is the granger cause of changes in the Shanghai composite index yield, while the yield of Chinese stock market will not affect short-term international capital flows. At the end of this paper, relevant suggestions are put forward according to the conclusions.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

Commentary on the Enigma of Chinese Performance: Do Chinese Investors’ Reactions to Merger Announcements Accurately Reflect Prospects for Success?

2016 ◽  
Vol 12 (2) ◽  
pp. 249-257 ◽  
Author(s):  
Michael N. Young
Keyword(s):  
United States ◽  
Stock Market ◽  
Organizational Development ◽  
The United States ◽  
Chinese Stock Market ◽  
Short Term ◽  
Market Reactions ◽  
Event Study Method ◽  
Stock Market Reactions ◽  
Merger Announcements

Although McCarthy, Dolfsma, and Weitzel (2016) cover much ground in their study, in this commentary I focus on alternative explanations for the empirical results indicating that Chinese acquirers outperformed acquirers from other countries – particularly acquirers from the United States. First, based on research I have done with colleagues (e.g., Chen & Young, 2010; Young & McGuinness, 2001) and that of a doctoral student (Tang, 2016), I suggest that comparison of Chinese stock market reactions to merger announcements with stock market reactions to merger announcements from more mature markets, such as the United States, may create some misleading results. The Event Study Method (ESM) used in this study is a measure of investors’ short-term reactions to unanticipated events and it assumes that investors are capable of accurately evaluating such events (MacKinlay, 1997; McWilliams & Siegel, 1997). I suggest that, given the relative newness of Chinese stock markets, Chinese investors may have reacted more positively to merger announcements regardless of the mergers’ prospects for success. Second, similar to Shapiro and Li (2016), I suggest that stages of industry and organizational development better explain the actual motivation and success of Chinese acquirers than does a general theory of culture or corporate governance traditions.

The stock market reaction to dividend reductions and omissions in China

2019 ◽  
Vol 45 (3) ◽  
pp. 381-398
Author(s):  
Jing Dong ◽  
Hui Li ◽  
Kerry Liu ◽  
Xiaohui Wu
Keyword(s):  
Stock Market ◽  
Market Reaction ◽  
Factor Model ◽  
Abnormal Returns ◽  
Chinese Stock Market ◽  
Government Ownership ◽  
Chinese Market ◽  
Content Type ◽  
Stock Market Reaction ◽  
The Government

Purpose The purpose of this paper is to investigate Chinese stock market reaction to the announcements of dividend reductions and omissions. Design/methodology/approach The data sets cover the period from 1990 to 2009. A rolling portfolio approach is performed and the Fama–French three-factor model is used to calculate the post-announcement long-term abnormal returns. The matching method and the sub-sample tests are used to examine the robustness. Findings After controlling for firm size, the unexpected earnings and government ownership, no evidence of the dividend announcement drift is found. The results also show that the government ownership and the large trading play a role in explaining the post-announcement abnormal returns. Originality/value This is the first study concerning the Chinese market that examines the Chinese stock market reaction to dividend cut and omission using a long-time period of data.

scholarly journals Monetary policy and stock market reaction: developed market and emerging market comparison

2021 ◽  
Vol 13 (2) ◽  
pp. 135
Author(s):  
Buddi Wibowo
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Financial Management ◽  
Market Reaction ◽  
Emerging Market ◽  
Common Factors ◽  
Short Term ◽  
Stock Market Reaction

This research examines the correlation between monetary policy and stock market reaction. Monetary policy is represented by short term interest rate and exchange rate to USD. This quantitative research uses OLS Regression, SUR, and Panel Regression Method. The results suggest that monetary policy affects the movement of the stock market return. Using OLS and SUR, this study finds that short-term interest rates have a significant negative correlation to return, and exchange rates positively correlate with returning. Using the Panel Data Model, this study finds that short-term interest rates have significant correlations in G7 and emerging countries. Still, the exchange rate is only significant in the emerging market. With SUR, there are common factors that affect the global return to move together. Domestic monetary policy is not an effective tool to influence the stock market because there are common factors in a region. From a financial management perspective, this result gives a practical reason for an investor to create an optimal portfolio through regional stock market diversification. Considering monetary policy in a country as a crucial factor in rebalancing the portfolio, standard regional monetary policy becomes an appropriate strategy.

scholarly journals THE SHORT-TERM AND LONG-TERM TRADE-OFF BETWEEN RISK AND RETURN: CHAOS VS RATIONALITY

2019 ◽  
Vol 21 (1) ◽  
pp. 23-43
Author(s):  
Chang Liu ◽  
Haoming Shi ◽  
Liang Wu ◽  
Min Guo
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Rank Test ◽  
Chinese Stock Market ◽  
Short Term ◽  
Risk And Return ◽  
Long Run ◽  
Short Run ◽  
A Share

This paper used the composite construction method proposed by Haugen (1999) and its application by Zhao and Wang (2010) for the Chinese stock market. Utilizing the Shanghai A-share market stocks data, this paper first selected the shares listed on the Shanghai Stock Exchange during January 1, 1997 to December 31, 2017. A portfolio was then built according to the mean variance model of portfolio structure, and simulation results were analysed using the Wilcoxon Signed Rank Test. The relationship between risk and return in the long and short term was explored. Results indicated no significant relationship between the risk and return of the stock portfolio in the short run, which reflects the complexity of the Chinese stock market. However, in the long run, the risk and return of the stock portfolios are positively correlated, which means that high returns are accompanied by high risks, indicating that the stock market will eventually return to rationality. In other words, the A-share stock market will eventually return to be value-driven and the short-term speculators would be outweighed by long-term value investors.

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