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.

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

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

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.

How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dejun Xie ◽  
Yu Cui ◽  
Yujian Liu
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Chinese Stock Market ◽  
Stock Volatility ◽  
Content Type ◽  
Mixed Frequency ◽  
Frequency Sampling ◽  
The Impact ◽  
New Evidence ◽  
The Relationship

PurposeThe focus of the current research is to examine whether mixed-frequency investor sentiment affects stock volatility in the China A-shares stock market.Design/methodology/approachMixed-frequency sampling models are employed to find the relationship between stock market volatility and mixed-frequency investor sentiment. Principal analysis and MIDAS-GARCH model are used to calibrate the impact of investor sentiment on the large-horizon components of volatility of Shanghai composite stocks.FindingsThe results show that the volatility in Chinese stock market is positively influenced by B–W investor sentiment index, when the sentiment index encompasses weighted mixed frequencies with different horizons. In particular, the impact of mixed-frequency investor sentiment is most significantly on the large-horizon components of volatility. Moreover, it is demonstrated that mixed-frequency sampling model has better explanatory powers than exogenous regression models when accounting for the relationship between investor sentiment and stock volatility.Practical implicationsGiven the various unique features of Chinese stock market and its importance as the major representative of world emerging markets, the findings of the current paper are of particularly scholarly and practical significance by shedding lights to the applicableness GARCH-MIDAS in the focused frontiers.Originality/valueA more accurate and insightful understanding of volatility has always been one of the core scholarly pursuits since the influential structural time series modeling of Engle (1982) and the seminal work of Engle and Rangel (2008) attempting to accommodate macroeconomic factors into volatility models. However, the studies in this regard are so far relatively scarce with mixed conclusions. The current study fills such gaps with improved MIDAS-GARCH approach and new evidence from Shanghai A-share market.

The Day-of-the-Week Effect: New Evidence from the Chinese Stock Market

2006 ◽  
Vol 39 (2) ◽  
pp. 71-88 ◽  
Author(s):  
JINGHAN CAI ◽  
YUMING LI ◽  
YUEHUA QI
Keyword(s):  
Stock Market ◽  
Chinese Stock Market ◽  
Day Of The Week ◽  
New Evidence

Economic policy uncertainty and the Chinese stock market volatility: new evidence

2019 ◽  
Vol 51 (49) ◽  
pp. 5398-5410 ◽  
Author(s):  
Yu Li ◽  
Feng Ma ◽  
Yaojie Zhang ◽  
Zuoping Xiao
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Economic Policy Uncertainty ◽  
New Evidence

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

2020 ◽  
Vol 39 (1) ◽  
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.

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