Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach

2011 ◽  
Vol 40 (3) ◽  
pp. 251-267 ◽  
Author(s):  
Zhuo Qiao ◽  
Weiwei Qiao ◽  
Wing-Keung Wong
Keyword(s):  
Stochastic Dominance ◽  
Stock Markets ◽  
Day Of The Week ◽  
Chinese Stock Markets ◽  
New Evidence

Seasonalities in Stock Markets: The Day of the Week Effect

2007 ◽  
Author(s):  
George Drogalas ◽  
Athianos Stergios ◽  
George Bakas ◽  
Elekidis George
Keyword(s):  
Stock Markets ◽  
Day Of The Week

POWER LAW AND STRETCHED EXPONENTIAL EFFECTS OF EXTREME EVENTS IN CHINESE STOCK MARKETS

2010 ◽  
Vol 09 (02) ◽  
pp. 203-217 ◽  
Author(s):  
XIAOJUN ZHAO ◽  
PENGJIAN SHANG ◽  
YULEI PANG
Keyword(s):  
Correlation Analysis ◽  
Power Law ◽  
Extreme Events ◽  
Stock Markets ◽  
Cross Correlation ◽  
Extreme Values ◽  
Cumulative Distribution ◽  
Stretched Exponential ◽  
Cross Correlation Analysis ◽  
Chinese Stock Markets

This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.

Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency

2007 ◽  
Vol 10 (03) ◽  
pp. 309-328 ◽  
Author(s):  
Changjiang Lu ◽  
Kemin Wang ◽  
Haiwei Chen ◽  
James Chong
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Detrimental Effect ◽  
Regulatory Policy ◽  
International Markets ◽  
Policy Changes ◽  
Foreign Investors ◽  
Price Differential ◽  
Chinese Stock Markets ◽  
A Share

We investigate the effectiveness of two recent regulatory policy changes on market efficiency in the Chinese A- and B-share markets. Overall, the opening of the B-share market to domestic Chinese investors and the limited opening of the A-share market to foreign investors increase market efficiency. The opening of the B-share market significantly reduces the price differential between A- and B-shares. Furthermore, there is no longer feedback in returns between the two markets in recent years. Our results provide evidence that there is no detrimental effect to market efficiency by integrating Chinese investors to international markets and foreign investors to the Chinese stock markets.

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