Order imbalance and stock returns: New evidence from the Chinese stock market

2020 ◽  
Author(s):  
Ting Zhang ◽  
George J. Jiang ◽  
Wei‐Xing Zhou
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Chinese Stock Market ◽  
Order Imbalance ◽  
New Evidence

Some Hypothesis on Commonality in Liquidity: New Evidence from the Chinese Stock Market

2011 ◽  
Author(s):  
Paresh K. Narayan ◽  
Xinwei Zheng ◽  
Zhichao Zhang
Keyword(s):  
Stock Market ◽  
Chinese Stock Market ◽  
New Evidence

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

The relation between asset growth and the cross-section of stock returns: Evidence from the Chinese stock market

2015 ◽  
Vol 44 ◽  
pp. 59-67 ◽  
Author(s):  
Yifeng Wang ◽  
Cheyuan Liu ◽  
Jen-Sin Lee ◽  
Yanming Wang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Chinese Stock Market ◽  
Asset Growth ◽  
The Cross

Media sentiment and cross-sectional stock returns in the Chinese stock market

2021 ◽  
pp. 101590
Author(s):  
Hanyu Du ◽  
Jing Hao ◽  
Feng He ◽  
Wenze Xi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Chinese Stock Market ◽  
Cross Sectional ◽  
Media Sentiment

The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market

2008 ◽  
Vol 15 (12) ◽  
pp. 959-962 ◽  
Author(s):  
Bing Zhang ◽  
Xindan Li
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Chinese Stock Market ◽  
Asymmetric Behaviour

Order imbalances and market efficiency: New evidence from the Chinese stock market

2019 ◽  
Vol 38 ◽  
pp. 458-467 ◽  
Author(s):  
Ting Zhang ◽  
Gao-Feng Gu ◽  
Wei-Xing Zhou
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Chinese Stock Market ◽  
New Evidence
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