Autocorrelation and Volume in the Chinese Stock Market

2004 ◽  
Vol 07 (02) ◽  
pp. 289-309 ◽  
Author(s):  
Nicolaas Groenewold
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchanges ◽  
Data Sets ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Market Makers ◽  
Using Data ◽  
The 1960S ◽  
The Relationship

This paper reports an empirical analysis of the relationship between return autocorrelation, trading volume and volatility, following the seminal paper by Campbell, Grossman and Wang (1992) using data for A shares traded on the Shanghai and Shenzhen stock exchanges for the period 1992–2002. Campbell et al. argue that autocorrelation of returns will be negatively related to trading volume given that market makers will need to be rewarded with higher returns for accommodating noise traders. For our full sample we find remarkably consistent support for the CGW hypothesis and results — return autocorrelations are negatively but non-linearly related to lagged trading volume and less strongly to volatility. These results are quite robust with respect to different messures of volume and volatility. We argue that this is a striking result in view of the substantial differences between the US market in the 1960s, 1970s and 1980s and the Chinese market of the 1990s. The relationship proves to be unstable over short sub-periods although whether this is due to the relatively short sample we use or to the inherent instability of the Chinese market in its first decade of operation will not be clear until much longer data sets are available for Chinese stock prices.

scholarly journals Hubungan Perilaku Perdagangan Investor Dengan Volume Perdagangan Di Bursa Efek Indonesia

2009 ◽  
Vol 2 (1) ◽  
Author(s):  
Ghazali Syamni
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Time Interval ◽  
Time Intervals ◽  
Using Data ◽  
Changes Over Time ◽  
Relationship Of ◽  
The Relationship ◽  
Order Pattern ◽  
Over Time

This paper examines the relationship of behavior trading investor using data detailed transaction history-corporate edition demand and order history in Indonesia Stock Exchange during period of March, April and May 2005. Peculiarly, behavior placing of investor order at trading volume. The result of this paper indicates that trading volume order pattern to have pattern U shape. The pattern happened that investors have strong desires to places order at the opening and close of compared to in trading periods. While the largest orders are of market at the opening indicates that investor is more conservatively when opening, where many orders when opening has not happened transaction to match. In placing order both of investor does similar strategy. By definition, informed investors’ orders more large than uninformed investors. If comparison of order examined hence both investors behavior relatively changes over time. But, statistically shows there is not ratio significant. This implies behavior trading of informed investors and uninformed investors stable relative over time. The result from regression analysis indicates that informed investors to correlate at trading volume in all time intervals, but not all uninformed investors correlates in every time interval. This imply investor order inform is more can explain trading volume pattern compared to uninformed investor order in Indonesia Stock Exchange. Finally, result of regression also finds that order status match has greater role determines trading volume pattern intraday especially informed buy match and informed sale match. While amend, open and withdraw unable to have role to determine intraday trading volume pattern.

Is disposition related to momentum in Chinese market?

2015 ◽  
Vol 41 (6) ◽  
pp. 600-614 ◽  
Author(s):  
Liu Liu Kong ◽  
Min Bai ◽  
Peiming Wang
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Disposition Effect ◽  
Chinese Stock Market ◽  
Momentum Effect ◽  
Chinese Market ◽  
Firm Level ◽  
Content Type ◽  
Level Data ◽  
The Relationship

Purpose – The purpose of this paper is to examine whether the framework of Prospect Theory and Mental Accounting proposed by Grinblatt and Han (2005) can be applied to analyzing the relationship between the disposition effect and momentum in the Chinese stock market. Design/methodology/approach – The paper applies the methodology proposed by Grinblatt and Han (2005). Findings – Using firm-level data, with a sample period from January 1998 to June 2013, the authors find evidence that the momentum effect in the Chinese stock market is not driven by the disposition effect, contradicting the findings of Grinblatt and Han (2005) concerning the US stock market. The discrepancies in the findings between the Chinese and US stock markets are robust and independent of sample periods. Research limitations/implications – The findings suggest that Grinblatt and Han’s model may not be applicable to the Chinese stock market. This is possibly because of the regulatory differences between the two stock markets and cross-national variation in investor behavior; in particular, the short-selling prohibition in the Chinese stock market and greater reference point adaptation to unrealized gains/losses among Chinese compared to Americans. Originality/value – This study provides evidence of the inapplicability of Grinblatt and Han’s model for the Chinese stock market, and shows the differences in the relationship between disposition effect and momentum between the Chinese and US stock markets.

scholarly journals Relationship between Foreign Exchange Rate and Stock Price of Commercial Joint Stock Banks: Evidence from Vietnam

2016 ◽  
Vol 8 (7) ◽  
pp. 193 ◽  
Author(s):  
Tran Mong Uyen Ngan
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Foreign Exchange Rate ◽  
Series Data ◽  
Causality Test ◽  
Using Data ◽  
The Relationship

The relationship between foreign exchange rate and stock price is one popular topic that is interested by not only board managers of banks but also stock investors. By using data about foreign exchange rate between Vietnam Dong (VND) and United State Dollar (USD), stock prices data of nine commercial joint stock banks in Vietnam from the first day of 2013 to the last day of 2015, this paper try to answer the question “Does foreign exchange rate impact on stock price and vice verse?”. Applying Dickey Fuller test and Var Granger Causality test for the time series data, the results show that there is an impact of foreign exchange rate on stock price. Although the fluctuation in foreign exchange rate VND/USD causes the change in stock prices of commercial joint stock banks in Vietnam, however, the vector of this impact is not clearly. On the opposite way, the change in stock price does not cause the change in foreign exchange rate, this relation is one-way relation.

Heterogeneous beliefs and idiosyncratic volatility puzzle: evidence from China

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mao He ◽  
Juncheng Huang ◽  
Hongquan Zhu
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Factor Model ◽  
Heterogeneous Beliefs ◽  
Idiosyncratic Volatility ◽  
Chinese Stock Market ◽  
Content Type ◽  
Volatility Puzzle ◽  
The Relationship ◽  
Idiosyncratic Volatility Puzzle

PurposeThe purpose of our study is to explore the “idiosyncratic volatility puzzle” in Chinese stock market from the perspective of investors' heterogeneous beliefs. To delve into the relationship between idiosyncratic volatility and investors' heterogeneous beliefs, and uncover the ability of heterogeneous beliefs, as well as to explain the “idiosyncratic volatility puzzle”, we construct our study as follows.Design/methodology/approachOur study adopts the unexpected trading volume as proxies of heterogeneity, the residual of Fama–French three-factor model as proxies of idiosyncratic volatility. Portfolio strategies and Fama–MacBeth regression are used to investigate the relationship between the two proxies and stock returns in Chinese A-share market.FindingsInvestors' heterogeneous beliefs, as an intermediary variable, are positively correlated with idiosyncratic volatility. Meanwhile, it could better demonstrate the negative correlation between the idiosyncratic volatility and future stock returns. It is one of the economic mechanisms linking idiosyncratic volatility to subsequent stock returns, which can account for 11.28% of the puzzle.Originality/valueThe findings indicate that idiosyncratic volatility is significantly and positively correlated with heterogeneous beliefs and that heterogeneous beliefs are effective intervening variables to explain the “idiosyncratic volatility puzzle”.

LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19

2021 ◽  
pp. 2150004
Author(s):  
KHOA DANG DUONG ◽  
QUI NHAT NGUYEN ◽  
TRUONG VINH LE ◽  
DIEP VAN NGUYEN
Keyword(s):  
Transaction Costs ◽  
Stock Returns ◽  
Trading Volume ◽  
Negative Relationship ◽  
Idiosyncratic Volatility ◽  
Individual Investors ◽  
Limits To Arbitrage ◽  
Trading Activities ◽  
Using Data ◽  
The Relationship

This paper examines the impacts of limit-to-arbitrage factors on the returns of the idiosyncratic volatility (IVOL) puzzle in Taiwan before and during the Covid-19 pandemic. Although various studies explore the relationship between stock returns and IVOL, the empirical findings are mixed. We are motivated by unique market microstructures in Taiwan, such as individual investors’ aggressive trading volume and low transaction costs in Taiwan, discouraging arbitrary trading activities. Our empirical results indicate a negative relationship between IVOL and stock returns by using data from the Taiwan stock market. However, the IVOL anomaly does not exist during the Covid-19 pandemic, even in the small stocks sample. Besides, our findings suggest that four proxies of limits-to-arbitrage, such as reversal, transaction costs, turnover and Amihud’s Illiquidity, have statistically significant impacts on the return of IVOL anomaly in Taiwan except for the pandemic period. Finally, our finding suggests that the stock turnover is the only limit-to-arbitrage factor that helps investors earn arbitrary profits during the COVID-19 period.

scholarly journals The Relationship Between Financial Ratios and the Stock Prices of Selected European Food Companies Listed on Stock Exchanges

2019 ◽  
Vol 67 (1) ◽  
pp. 299-307
Author(s):  
Marie Ligocká ◽  
Daniel Stavárek
Keyword(s):  
Method Of Moments ◽  
Stock Prices ◽  
Generalized Method Of Moments ◽  
Individual Characteristics ◽  
Financial Ratios ◽  
Stock Exchanges ◽  
Annual Frequency ◽  
The Individual ◽  
The Relationship ◽  
Profitability Ratios

Stock prices can be influenced by many factors. It is possible to determine two categories of variables that can affect stock prices: macroeconomic and microeconomic variables. The paper is focused on microeconomic factors, specially financial ratios that reflect business activities of the companies. According to the study of Drummen and Zimmermann (1992) the individual characteristics of companies affect up to 50 % of stock prices. The object of this paper is to examine the relationship between selected financial ratios and the stock prices of food companies listed on selected European Stock Exchanges. Time series on annual frequency are used to examine the relationship between stock prices of selected companies and financial ratios with using the Generalized Method of Moments (GMM). Based on previous research we expect to find some linkages especially between stock prices and the profitability ratios.

scholarly journals Monday Effect in the Chinese Stock Market

2017 ◽  
Vol 9 (1) ◽  
pp. 1 ◽  
Author(s):  
Gerardo “Gerry” Alfonso Perez
Keyword(s):  
Stock Returns ◽  
Mainland China ◽  
Equity Market ◽  
Stock Exchanges ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Monday Effect ◽  
The World ◽  
Fundamental Reason ◽  
Market Indexes

The Monday effect is a well know effect in some countries around the world. The Monday effect is the observation that stock returns on Monday are statically significantly lower than for the rest of the days of the week. There is no obvious fundamental reason behind this occurrence and if it actually exists it might be due to human behavioral patterns. This Monday effect observation originated in the U.S. several decades ago and it has since being observed in several other countries. In this article the occurrence of the Monday effect is analyzed in the mainland China equity market. It was found that for the period from 2011 to 2016 there was no statistically significant Monday effect but interestingly there are indications of a possible Thursday effect. This concept was tested with several market indexes covering the two major mainland China stock exchanges (Shanghai and Shenzhen). These indexes covered also a broad spectrum of company sizes. The ChiNext index, which is a Nasdaq like type of index for the Chinese market, was also included. In this article it was also tested and confirmed that the returns on Chinese equities, as expected, do not follow a normal distribution.

scholarly journals Current Core Competencies Trend of Small to Medium Enterprises (SMEs) in China—A Concurrent Comprehensive Evaluation and Active Learning Study of Newly Listed Chinese Stocks from 2015 through 2017

Data ◽  
2018 ◽  
Vol 3 (3) ◽  
pp. 26 ◽  
Author(s):  
Xiaoping Du ◽  
Lelai Deng
Keyword(s):  
Active Learning ◽  
Comprehensive Evaluation ◽  
Stock Exchange ◽  
Core Competencies ◽  
Composite Index ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Equity Financing ◽  
Market Makers ◽  
Medium Enterprises

With plenty of stocks newly listed in the Chinese stock market everyday, it becomes more and more important for managers and governess to examine the trend of core competencies for these companies. Since most companies of newly listed stocks are small to medium-sized enterprises, existing methods are not capable enough to evaluate their competitiveness. To provide an understanding for the trend of core competencies in the Chinese market, this article conducts a concurrent comprehensive evaluation and active learning methodology to analyze the newly listed stocks in SSE (Shanghai Stock Exchange Composite Index) and SZSE (Shenzhen Stock Exchange Component Index) from 2015 through 2017. There is an evidence that Number of Market Makers, Equity Financing Frequency and Executive Replacement Frequency are three main core competencies from 2015 through 2017. Authors contend that their findings in this paper question the quo of core competencies for small to medium-sized enterprises in the Chinese market.

scholarly journals The Relationship between Macro-Economic Variables and Stock Exchange Prices: A Case Study in Dhaka Stock Exchange (DSE) in Bangladesh

2019 ◽  
Vol 3 (3) ◽  
pp. 122-130 ◽  
Author(s):  
Md. M. Rahman
Keyword(s):  
Exchange Rate ◽  
Causal Relationship ◽  
Money Supply ◽  
Industrial Production ◽  
Stock Prices ◽  
Trade Balance ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Macroeconomic Indicators ◽  
The Relationship

Macroeconomic indicators, such as money supply, inflation, exchange rate, trade balance, indicators of industrial production, are the basis for assessing the processes of growth and development of the country. Peculiarities of functioning of the exchange market also play an important role in the analysis of the country’s development. Disclosure of the main purpose of the study involves the study of the relationship between macroeconomic indicators and stock prices on the Dhaka stock exchange (DSE) in Bangladesh. Methodological support of the work includes statistical methods (Granger causality test and Dickie fuller test), which allow to determine the causal relationship between macroeconomic indicators and prices on the stock exchange of Bangladesh. Empirical estimates of the study showed the absence of a causal relationship between macroeconomic indicators (money supply, industrial production index, exchange rate, inflation and trade balance) and stock prices in the form of a General index of all shares on the DAX stock exchange. The obtained results indicate that the macroeconomic evaluation cannot be used to predict prices on the stock exchanges in Bangladesh. The study postulates that the results of exchange activity also do not reflect the peculiarities of macroeconomic movement in the country. The author substantiates recommendations for regulatory authorities in terms of the formation of a set of measures to ensure the claim correlation of macroeconomic indicators of the country’s development with prices on the stock market. It is stated that the results of the study will allow the government to take active measures to: overcome in the future the pressure of international trade, adjust the appropriate monitoring and fiscal policy, reduce any possible negative impact on the country’s economy in the context of its further development. Keywords: macroeconomic variables, money supply, exchange rate, inflation, prices on stock exchanges, Dhaka stock exchange, Bangladesh.

Sign in / Sign up

Export Citation Format

Share Document