Asset Float and Stock Prices: Evidence from the Chinese Stock Market

2007 ◽  
Author(s):  
Andrea Beltratti ◽  
Marianna Caccavaio
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Chinese Stock Market

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

Classifying Chinese bull and bear markets: indices and individual stocks

2016 ◽  
Vol 33 (4) ◽  
pp. 509-531 ◽  
Author(s):  
Wei Chi ◽  
Robert Brooks ◽  
Emawtee Bissoondoyal-Bheenick ◽  
Xueli Tang
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Chinese Stock Market ◽  
Markov Switching Model ◽  
Content Type ◽  
Bear Market ◽  
Bear Markets ◽  
Cyclical Behaviour ◽  
Bull And Bear Markets

Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles. Findings This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles. Originality/value This paper fills the literature gap by establishing the cyclical behaviour of stock markets.

scholarly journals Modelling the Behaviour of Technicians and Fundamentalists in the Shanghai Stock Market

2009 ◽  
Author(s):  
Imad A. Moosa ◽  
Larry CF Li
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Formation ◽  
Chinese Stock Market ◽  
Price Effect ◽  
Daily Data ◽  
The Government

This paper provides empirical evidence on the role of fundamentalists and technicians in the Chinese stock market. Three econometric models are used to differentiate the stock price effect between the actions of traders who act on the basis of fundamental analysis and those acting on the basis of technical analysis. The models are estimated using randomly selected monthly and daily data on the stock prices of one hundred companies listed on the Shanghai Stock Exchange. The results reveal that both fundamentalists and technicians have roles to play in stock price formation, although technicians appear to play a more important role. This result holds even if the government intervention is allowed for. Some explanations are presented for the dominance of technicians.  

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