scholarly journals The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Zhenni Jin ◽  
Kun Guo
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Emerging Market ◽  
Chinese Stock Market ◽  
Retail Sales ◽  
Optimal Method ◽  
Macroeconomic Variables ◽  
Market Sentiment ◽  
Leading Role ◽  
Dynamic Relationship

As a most important component of capital market, stock market has always been regarded as the “barometer” of macroeconomy. However, many researchers have found that the stock market is not always in the lead, especially for the emerging markets, and the leading role of different sector indices is also different for the corresponding sectors. From the perspective of a comparison between mature market and emerging market at sectoral level, this paper utilizes the thermal optimal method to examine the dynamic lead-lag relationships between stock sector indices and macroeconomic variables for the USA and China. The results show that, for the US stock market, three sector indices including consumption, industry, and real estate have been leading the corresponding macroeconomic variables since 2013; for the Chinese stock market, the lead-lag relationships are different for these sectors. The real estate sector index and the industry sector index have been leading the corresponding macroeconomic variables since 2010, and the lead-lag relationship between the consumption sector index and the total retail sales is not always positive or negative, which means that the consumption sector index does not always lead the total retail sales. The empirical results confirm that the “barometer function” of immature stock market is still weak and easier to be disabled by factors such as irrational market sentiment.

scholarly journals A Review of Market Segmentation and Inefficiencies of the Chinese Stock Market

2015 ◽  
Vol 4 (4) ◽  
pp. 18-28
Author(s):  
Shuang Feng ◽  
Jon Stewart
Keyword(s):  
Stock Market ◽  
Market Segmentation ◽  
Recent Literature ◽  
Emerging Market ◽  
Chinese Stock Market ◽  
Future Studies ◽  
Calendar Effects ◽  
Market Inefficiencies ◽  
The Past ◽  
Market Inefficiency

The Chinese stock market is an emerging market that has gained much importance over the past few decades. Because of this, it also serves as a great subject for studying market inefficiencies and anomalies. In this paper we provide a review of evidence regarding the development, efficiency and integration of the Chinese stock market. In particular, we review recent literature in the areas of market segmentation, cross-listings and calendar effects. This provides evidence of market inefficiency in China. We also pose questions that can be answered in future studies.

LONG-TERM MEMORY IN EMERGING MARKETS: EVIDENCE FROM THE CHINESE STOCK MARKET

2006 ◽  
Vol 05 (03) ◽  
pp. 495-501 ◽  
Author(s):  
CHAOQUN MA ◽  
HONGQUAN LI ◽  
LIN ZOU ◽  
ZHIJIAN WU
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Emerging Market ◽  
Long Term Memory ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Term Memory ◽  
Rescaled Range Analysis

The notion of long-term memory has received considerable attention in empirical finance. This paper makes two main contributions. First one is, the paper provides evidence of long-term memory dynamics in the equity market of China. An analysis of market patterns in the Chinese market (a typical emerging market) instead of US market (a developed market) will be meaningful because little research on the behaviors of emerging markets has been carried out previously. Second one is, we present a comprehensive research on the long-term memory characteristics in the Chinese stock market returns as well as volatilities. While many empirical results have been obtained on the detection of long-term memory in returns series, very few investigations are focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. By means of using modified rescaled range analysis and Autoregressive Fractally Integrated Moving Average model testing, this study examines the long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significant long-term dependence. It would be beneficial to encompass long-term memory structure to assess the behavior of stock prices and to research on financial market theory.

scholarly journals Dynamic Relationship between Stock Market Returns and Trading Volume: Evidence from Indian Stock Market

2016 ◽  
Vol 12 (2) ◽  
pp. 123-136
Author(s):  
NUPUR GUPTA BHATTACHARYA ◽  
Gopal Zavar
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Information Dissemination ◽  
Emerging Market ◽  
Causality Test ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
Contemporaneous Correlation ◽  
Total Turnover

This paper empirically examines the relationship between the stock returns & the trading volume for Sensex. Three main measures of volume traded namely number of shares traded; total turnover of the shares traded & the no. of transactions are used. Their daily data for a five year period were taken for the study. The contemporaneous correlation between the volume & returns was studied after it was found that there was no unit root in the data. A positive contemporaneous relation between the volume & the returns was found. The results from Granger causality test suggest us that the returns granger causes volume for Sensex. VAR test also suggests that the stock returns are dependent on the returns of the previous days. It can be explained as in an emerging market like India, the market development cause the sequential information dissemination. It can also be concluded that in Sensex, no. of transactions can prove to be a better proxy of information than number of shares traded or turnover.

Relationship between Herd Behavior and Chinese Stock Market Fluctuations during a Bullish Period Based on Complex Networks

2021 ◽  
pp. 1-17
Author(s):  
Yong Shi ◽  
Yuanchun Zheng ◽  
Kun Guo ◽  
Xinyue Ren
Keyword(s):  
Stock Market ◽  
Composite Index ◽  
Big Data Analysis ◽  
Mobile Internet ◽  
Investor Behavior ◽  
Herd Behavior ◽  
Chinese Stock Market ◽  
Pairwise Correlation ◽  
Market Sentiment ◽  
The Relationship

Herding has a great impact on stock market fluctuations, and it is possible for researchers to analyze the herding effect due to the recent popularity of mobile Internet and the development of big data analysis technology. In this paper, we propose both investor-based and stock-based sentiment propagation networks of Chinese stock markets based on the simple pairwise correlation of posts’ sentiment indexes. And the relationship between the herding effect and Chinese stock market fluctuations is studied by comparing the network indicators with the Shanghai Securities Composite Index (SSCI) and the Causeway International Value Index (CIVIX). Through the experimental results, we find that the indicators are indeed ahead of the Chinese stock market. This study is the first attempt to model stock market sentiment by using a complex network, and it proves that investor behavior has a great effect on the stock market.

scholarly journals Sources of liquidity commonality, asymmetric information and ownership structure in emerging markets: evidence from the Chinese stock market

2008 ◽  
Vol 5 (4) ◽  
pp. 233-239
Author(s):  
Xinwei Zheng
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Emerging Markets ◽  
Emerging Economies ◽  
Ownership Structure ◽  
Emerging Market ◽  
Stock Exchanges ◽  
Chinese Stock Market ◽  
Trading System ◽  
The Relationship

This study examines if common factors of liquidity can be determined by ownership structure measured by asymmetric information in an emerging market that has adopted an order-driven trading system. Using China as a case for the study, I select a broad sample of stocks from two separate Chinese stock exchanges to measure and analyse the relationship. My empirical evidence seems significant and pervasive. These findings about the Chinese stock market provide useful pointers for understanding commonality in emerging economies and shed critical light on a new dimension of the working of emerging markets

Sign in / Sign up

Export Citation Format

Share Document