scholarly journals Taming the Factor Zoo: New Evidence from China

2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Dongxu Chen ◽  
Xieyang Shen ◽  
Tao Liu
Keyword(s):  
Stock Market ◽  
Significant Role ◽  
Factor Model ◽  
Chinese Stock Market ◽  
Cross Sectional ◽  
Pricing Factors ◽  
New Evidence ◽  
A Share

We address the well-known “factor zoo” problem in the Chinese stock market. By replicating a generation of pricing factors, we verify the Liu–Stambaugh–Yuan four-factor model which subsumes other counterparts in the Chinese A-share market. We further construct a characteristic library and apply the double-selection LASSO approach to explore whether significant anomalies contribute to current pricing factors. We find that some anomalies indeed play a significant role in pricing cross-sectional returns, but the improvement to the Liu–Stambaugh–Yuan four-factor model is limited.

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.

scholarly journals An Anecdote of Investor Anxiety and Momentum in China

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-21
Author(s):  
Hung-Wen Lin ◽  
Kun-Ben Lin ◽  
Jing-Bo Huang ◽  
Xia-Ping Cao
Keyword(s):  
Stock Market ◽  
Daily Basis ◽  
Single Market ◽  
Chinese Stock Market ◽  
Essential Factor ◽  
Price Momentum ◽  
Momentum Profits ◽  
Retail Investors ◽  
A Share

We show the effect of investor anxiety on momentum in the Chinese stock market. In this market dominated by retail investors, we examine the momentum profits in 900 types of daily testing periods. We find prevalent price reversals in the long formation and holding periods in the Chinese A-share market. Compared to Goyal and Wahal (2015), Wang and Xie (2010), and Kang et al. (2002) who found no momentum, our novel finding from a daily basis is that the A-share market presents price momentum within the short formation and holding periods. We first test the momentum profits under different strengths of anxiety in the A-share market. The stocks held by the least anxious investors elicit the strongest price momentum, whereas the stocks held by the most anxious investors encounter much weaker price momentum in the A-share market. According to our empirical outcomes, the A-share market overall exhibits higher anxiety and weaker momentum, whereas the B-share market embodies milder anxiety and stronger momentum. From the results of single market and cross-market comparisons, the intrinsic anxiety of retail investors is an essential factor stimulating the Chinese stock market to be prone to price reversals.

Initial value sensitivity of the Chinese stock market and its relationship with the investment psychology

2015 ◽  
Vol 26 (11) ◽  
pp. 1550128
Author(s):  
Shangjun Ying ◽  
Xiaojun Li ◽  
Xiuqin Zhong
Keyword(s):  
Stock Market ◽  
Cellular Automaton ◽  
Initial Conditions ◽  
Chinese Stock Market ◽  
Initial Value ◽  
The Government ◽  
Evolving Model ◽  
The Relationship ◽  
Evolving Models ◽  
A Share

This paper discusses the initial value sensitivity (IVS) of Chinese stock market, including the single stock market and the Chinese A-share stock market, with respect to real markets and evolving models. The aim is to explore the relationship between IVS of the Chinese A-share stock market and the investment psychology based on the evolving model of genetic cellular automaton (GCA). We find: (1) The Chinese stock market is sensitively dependent on the initial conditions. (2) The GCA model provides a considerable reliability in complexity simulation (e.g. the IVS). (3) The IVS of stock market is positively correlated with the imitation probability when the intensity of the imitation psychology reaches a certain threshold. The paper suggests that the government should seek to keep the imitation psychology under a certain level, otherwise it may induce severe fluctuation to the market.

Momentum phenomenon in the Chinese Class A and B share markets

2015 ◽  
Vol 7 (2) ◽  
pp. 116-133 ◽  
Author(s):  
Taufiq Choudhry ◽  
Yuan Wu
Keyword(s):  
Stock Market ◽  
Driving Forces ◽  
Chinese Stock Market ◽  
Market Segments ◽  
Content Type ◽  
Share Ownership ◽  
Comprehensive View ◽  
Class A ◽  
Class B ◽  
A Share

Purpose – The purpose of this paper is to investigate the momentum phenomenon in two market segments of the Chinese stock market – the Class A share market and Class B share market over time period spanning from January 1996 to December 2010. Design/methodology/approach – The authors largely follow Jegadeesh and Titman (1993) paper; the authors decompose the momentum returns following the procedure first proposed by Jegadeesh and Titman (1995). In addition, a liquidity factor (Pastor and Stambaugh, 2003) and a share ownership factor (Wang and Xu, 2004) are incorporated in the procedure to gauge the contribution of liquidity and the dynamics of share ownership towards the momentum returns, respectively in the two segments of the Chinese stock market. Findings – The authors find compelling evidence showing distinctively different momentum phenomena exist in the two market segments of the Chinese stock market. Specifically, the momentum phenomenon is more pronounced in the Chinese Class A share market compared to those found in the Chinese Class B share market. Through decomposing the momentum returns, the authors find evidence showing the dismal momentum returns observed in the Class B share market can be attributed to markedly weakened contributions of the liquidity factor and the share ownership factor. Research limitations/implications – Relatively short sample time horizon compared to the most of major financial markets such as USA and UK. The number of B shares has been rather limited. Practical implications – Subsequent to the opening of the Chinese Class B share market to domestic investors in 2001 and the opening of the Chinese Class A share market to qualified foreign institutional investors (QFII) in 2003, the empirical evidence found in this study provides a crucial reference point for domestic and foreign portfolio strategists in guiding them to form suitable portfolio strategies concerning investments in a nascent financial market such as the Chinese stock market, fraught with volatility and speculative trading behaviour. Social implications – It offers a comprehensive view of the momentum phenomenon in the Chinese Class A and B share markets over the sample period from January 1996 to December 2010. Second, the reasons behind the dichotomy of the momentum returns found in the two market segments were investigated through decomposing the momentum returns based on Jegdeesh and Titman’s (1995) method while incorporating three new explanatory factors – the liquidity factor, share ownership factor and the under reaction towards firm-specific news factor. Originality/value – A couple of extant papers have visited the topic before. yet this paper offers more comprehensive view on the existence of momentum premium in both Chinese Class A and B share markets and investigates the driving forces behind the subdued momentum returns observed in the B share market.

scholarly journals MULTIFACTOR ASSET PRICING ANALYSIS OF THE BALTIC STOCK MARKET

Ekonomika ◽  
2010 ◽  
Vol 89 (4) ◽  
pp. 85-95 ◽  
Author(s):  
Raimonds Lieksnis
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Factor Model ◽  
Stock Market Index ◽  
Cross Sectional ◽  
Economic Significance ◽  
Market Index ◽  
Fama And French ◽  
The Baltic ◽  
Three Factor

This study investigates whether the Fama–French three-factor asset pricing model is applicable for explaining cross-sectional returns of stocks listed in the Baltic stock exchanges. Findings confirm the validity and economic significance of the three-factor model for the Baltic stock market: only investors who chose to invest in value stocks during the reference period achieved positive returns by matching or beating the returns of the stock market index. The monthly returns of 8 Latvian, 13 Estonian and 27 Lithuanian company stocks are analyzed for the time period from June 2002 till February 2010 by the methodology presented in Davis, Fama, and French (2000). Cross-sectional multivariate regression is calculated with stock portfolios representing the book-to-market and capitalization of companies as independent variables along with the stock market index. The study concludes that these three factors in the three-factor model are statistically significant, but, in line with earlier studies, regression intercepts are significantly different from zero and the model is not statistically confirmed.p>

scholarly journals Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Binghui Wu ◽  
Yuanman Cai ◽  
Mengjiao Zhang
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Crash Risk ◽  
Research Approach ◽  
Chinese Stock Market ◽  
The Impact ◽  
A Share

This paper uses the partial least squares method to construct the investor sentiment index in Chinese stock market. The Shanghai Stock Exchange 180 Index and the Shenzhen Stock Exchange 100 Index are used as samples. From the perspectives of holistic sentiment and heterogeneous sentiment, this paper studies the impact of investor sentiment on stock price crash risk. The results show that investor sentiment can significantly affect stock price crash risk in Shanghai and Shenzhen A-share markets, especially in the Shenzhen A-share market no matter from which perspective. And investor pessimism has a greater impact on stock price crash risk in the Shenzhen A-share market from the perspective of heterogeneous sentiment. Compared with the available researches, this paper makes two contributions: (i) the comparative analysis is adopted to discuss the differences between Shanghai and Shenzhen A-share markets, abandoning the research approach that takes the two markets as a whole in existing literature, and (ii) this paper not only studies the impact of investor holistic sentiment on stock price crash risk from a macro perspective, but also adds a more micro heterogeneous sentiment and conducts a comparative analysis.

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