scholarly journals Essays on Financial Markets

2022 ◽  
Author(s):  
◽  
Pengfei Liu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
International Market ◽  
Short Selling ◽  
Cost Of Debt ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Momentum Strategy ◽  
The Cost

<p><b>This thesis consists of five chapters. Chapter 1 is the preliminaries. Chapter 2 to chapter 4 are the three main chapters of this thesis, which covers the U.S. market, international market, and the Chinese market, respectively. Chapter 5 is the discussion.</b></p> <p>Chapter 1 is the preliminaries. It introduces the setting and motivations for the three topics covered in this thesis.</p> <p>Chapter 2 investigates how equity exchange-traded fund (ETF) ownership affects the cost of debt. I find that, by facilitating short-selling activities to execute disciplinary effects, equity ETF ownership decreases a firm's cost of debt. This negative association between equity ETF ownership and the cost of debt is more pronounced for firms with weaker information environments and lower bond ratings. The disciplinary effect works through a more active short-selling market provided by equity ETF ownership. However, I fail to establish the corporate governance channel, which is consistent with Schmidt and Fahlenbrach (2017) and Heath, Macciocchi, Michaely, and Ringgenberg (2021).. Those results are also robust to endogeneity.</p> <p>Chapter 3 studies the predictive power of the trend strategy in the international stock market. Using data from 49 markets, I find that a trend signal exploiting the short-,intermediate-, and long-term price information can predict stock returns cross-sectionally in the international market. The significance of the trend strategy is associated with market-level characteristics such as macroeconomic conditions, culture, and the information environment. The trend premium is more pronounced in markets with a more advanced macroeconomic status, a higher level of information uncertainty and individualism, and better accessibility to foreign investors. Nevertheless, the trend strategy only outperforms the momentum strategy in a relatively short horizon.</p> <p>Chapter 4 investigates whether margin-trading in the Chinese stock market reflects information or sentiment. At the aggregate level, I find no evidence of information-driven or sentiment-driven margin-trading behavior. At the individual stock level, both information-driven and sentiment-driven margin-trading exists, which are relevant to firm characteristics. I also find the likelihood of sentiment-driven margin-trading significantly declined after the regulator enforced tighter rules for margin-trading in 2015.</p> <p>Chapter 5 summarizes the main findings of the three topics, discusses the implications of the findings, and points out the future direction for research.</p>

scholarly journals Market coupling: an empirical study of the Sino-Korean game industry

2020 ◽  
Vol 17 (1) ◽  
pp. 291-303
Author(s):  
Jung Woon Park ◽  
Seungho Baek ◽  
Mina Glambosky ◽  
Seok Hee Oh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Composite Index ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Korean Economy ◽  
Game Industry ◽  
Korean Market ◽  
The Impact

This study aims to examine the relationship between the Korean and Chinese game industries, and more broadly, the Chinese stock market. Chinese firms are the most important partners and investors in the Korean game industry, which has emerged as a significant component of a thriving Korean economy. The paper examines the impact of growth in the Chinese game industry on the Korean market and the correlation and cointegration between the stock returns of nineteen Korean game companies, the Chinese stock market, and Chinese game companies. A portfolio constructed from Korean game companies listed on the KOSPI and KOSDAQ is analyzed. Variation in the Shanghai Composite Index is shown to significantly influence the performance of Korean game companies. Further, the Korean game industry is sensitive to changes in the stock price of leading Chinese game publishers. The Korean game industry returns more closely mirror the returns of the Chinese stock markets rather than the Korean markets, evidence of the influence of China. As growth and returns in the Korean game industry are closely related to the performance of the Chinese market, future performance is subject to political and economic changes in China.

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.

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.

Short-Selling and Behavioral Bias in Korean Stock Market

2017 ◽  
Vol 25 (2) ◽  
pp. 255-278
Author(s):  
Sang Buhm Hahn
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Cloud Cover ◽  
Short Selling ◽  
Weather Factors ◽  
Behavioral Bias ◽  
Short Sale ◽  
Sunshine Hours ◽  
Sale Volume

This study investigates whether or not the short-selling behavioral bias of investors exists in the Korean stock market. We analyze how the weather bias related to climate factors affects short-selling traders, commonly known as informed traders. To do this we estimated the dynamic panel model using daily data and examined the relationship between market variables such as stock returns, short sale volume, non-short sale volume, total trading volume, and weather variables consisting of cloud cover and sunshine hours. This study shows that not only returns but also short selling volumes are all affected by weather factors. In the case of stock returns, both cloud cover and sunshine hours have a statistically significant impact on returns, and its sign is estimated to be inversely proportional to both factors. That is, we find that returns decrease on cloud days, but increase on sunny days. In terms of the trading behavior of the market participants, it is interesting to note that the trading volume decreases when the weather is blunted, But did not show any statistical significances. On the other hand, both the original and the seasonally adjusted weather factors of cloud cover have a statistically significant positive effect on the short-sale volume. This means that as the weather worsens, short-selling traders submit more orders, indicating the presence of behavioral bias.

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