scholarly journals Cross-Sectional Variations of Illiquidity on Stock Returns, Idiosyncratic Volatility Biases in the Shanghai A’ Share Stock Market

2018 ◽  
Vol 6 (6) ◽  
Author(s):  
Chen Yang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Idiosyncratic Volatility ◽  
Cross Sectional ◽  
A Share

scholarly journals Research on the Relationship between Trade Volatility, Property Rights and New Energy Stock Returns under the Background of New Energy Industry Development

2021 ◽  
Vol 292 ◽  
pp. 02017
Author(s):  
Qiyuan Peng
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Automobile Industry ◽  
Significant Negative Correlation ◽  
Idiosyncratic Volatility ◽  
Chinese Stock Market ◽  
Cross Sectional ◽  
New Energy ◽  
Trade Volatility ◽  
The Relationship

The research on the relationship between risk and return of new energy stocks is the focus of financial research. Related research focuses more on the relationship between idiosyncratic fluctuation risk and stock returns. In the Chinese stock market, some Chinese investors clearly prefer stocks with high risk characteristics, which leads to overvalued stocks. However, the short-selling restrictions in the Chinese stock market and the heterogeneity of investors have also led to a significant negative correlation between idiosyncratic volatility and cross-sectional yield. There are many studies on the relationship between idiosyncratic volatility and stock returns, but no consistent conclusions have been drawn, and there is a lack of relevant research on new energy stocks. Therefore. This paper collates the data of 70 listed companies in the new energy and new energy automobile industry from 2017 to 2019, tracks the stock returns of sample companies for 3 years (36 months), and conducts in-depth research on the relationship between idiosyncratic fluctuation risks and new energy stock returns. To further verify and supplement the risk-return relationship of China's new energy stock market and provide a certain basis for the company's decision-making behaviour.

Evidence for Some Underlying Time Series Momentum

2014 ◽  
pp. 205-217
Author(s):  
Faten Zoghlami
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Excess Returns ◽  
Momentum Strategy ◽  
Cross Sectional ◽  
Times Series ◽  
Before And After ◽  
Main Driver ◽  
Full Rationality

The chapter documents significant and momentary momentum pattern in stock returns times series. Moreover, the chapter gives evidence that this time series momentum is the main driver of the cross-sectional momentum pattern. The temporary time series momentum pattern is midway between the behavioural and rational financial theories. Given the strong and positive autocorrelation in stock returns time series, the authors argue that investors are temporary under reacting, and they progressively find their full rationality. Using monthly returns inherent to all stocks listed on Tunisian stock market, from January 2000 to December 2009, the authors examine momentum strategy’s excess returns before and after considering time series momentum in stocks returns. Results show that momentum strategy is still profitable, but no longer puzzling. Furthermore, the chapter aims to reconcile between the behavioural and the rational financial theories, through the introduction of the progressive investors rationality.

scholarly journals Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

2018 ◽  
Vol 20 (1) ◽  
pp. 84-104
Author(s):  
Shah Saeed Hassan Chowdhury ◽  
Rashida Sharmin ◽  
M Arifur Rahman
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Common Factor ◽  
Relative Strength ◽  
Specific Information ◽  
Cross Sectional ◽  
Market Sentiment ◽  
Holding Period ◽  
Momentum Profits

This article, using weekly data for the period 2002 through 2013, investigates the presence of both contrarian and momentum profits and their sources in the Bangladesh stock market. It follows the methodology of Lo and MacKinlay ( Review of Financial Studies, 1990, 3(2), 175–205) to form portfolios with a weighted relative strength scheme (WRSS). The methodology of Jegadeesh and Titman ( Review of Financial Studies, 1995, 8(4), 973–993) is used to decompose the contrarian/momentum profits into three elements: compensation for cross-sectional risk, lead–lag effect in time series with respect to the common factor and the time-series pattern of stock returns. Results provide the evidence of significant contrarian profits for the holding period of one through eight weeks. There is a stronger presence of contrarian profits during 2002–2008 sub-period. The time-series pattern is found to be the main source of contrarian profits, suggesting that idiosyncratic (firm-specific) information is the main contributor to contrarian profits. Interestingly, the influence of idiosyncratic information on such profits has gradually decreased since 2008. Contrarian profits are robust to market sentiment and other systematic risk factors.

Stock Market Anomalies

2017 ◽  
Author(s):  
Steve Fan ◽  
Linda Yu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Economic ◽  
Economic Research ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Additional Risk ◽  
Asset Pricing Models ◽  
Stock Market Anomalies

Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value anomalies, momentum and long-term reversal, size, and accruals. Although anomalies are widely accepted, much disagreement exists on the underlying reasons for their predictability. This chapter surveys two competing theories that attempt to explain the presence of stock market anomalies: rational and behavioral. The rational explanation focuses on the improvement of the existing asset pricing models and/or searching for additional risk factors to explain the existence of anomalies. By contrast, the behavioral explanation attributes the predictability to human behavioral biases in collecting and processing financial information, as well as in making investment decisions.

scholarly journals Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

2021 ◽  
Vol 12 ◽  
Author(s):  
Qurat ul Ain ◽  
Tamoor Azam ◽  
Tahir Yousaf ◽  
Muhammad Zeeshan Zafar ◽  
Yasmeen Akhtar
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Excess Returns ◽  
Chinese Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Day Of The Week ◽  
Stock Market Anomalies ◽  
New Evidence ◽  
A Share

This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

Sign in / Sign up

Export Citation Format

Share Document