Research on the Daily Volatility Measure Considering the Impact of Overnight Variance and Time Segment in Chinese Stock Market

The outbreak of the COVID-19 epidemic has had an adverse effect on China's economy. This paper uses the event study method to test and measure the impact of the open market reverse repo (OMRR) operation on the Chinese stock market. The results show that the OMRR operation generates a positive daily abnormal return and a positive daily cumulative abnormal return on average for all stocks. The impact is larger for non-state-owned enterprise (non-SOE) firms than for SOE firms, stocks of non-Hubei provinces than those of the Hubei province, and for stocks of the information transmission and technology industry than those of other industries. We suggest that our government implement more prudent monetary policies and more proactive fiscal policies.

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The Impact of COVID-19 on the Dependence of Chinese Stock Market

Discrete Dynamics in Nature and Society ◽

10.1155/2021/5588562 ◽

2021 ◽

Vol 2021 ◽

pp. 1-11

Author(s):

Xianbo Wu ◽

Xiaofeng Hui

Keyword(s):

Stock Market ◽

Strong Dependence ◽

Sliding Window ◽

Dependence Structure ◽

Chinese Stock Market ◽

Telecommunication Services ◽

Window Method ◽

Dependence Relationship ◽

Stock Indexes ◽

The Impact

By calculating the mutual information of stock indexes of 10 primary industry sectors in China, this paper analyzes the dependence relationship among Chinese stock sectors during the COVID-19 and the dynamic evolution of the relationship by using the sliding window method. According to the actual situation of the development of COVID-19 in China, the samples were divided into three stages, namely, calm period, pandemic period, and post-pandemic period. The results show that the dependence relationship among Chinese stock sectors is significantly enhanced in the pandemic period, but it decreases in the post-pandemic period and the dependence structure is similar to that in the calm period. The industrials sector is most closely connected with other sectors in the pandemic period. The information technology sector and telecommunication services sector maintain strong dependence in the three periods and share little contact with other sectors. In the pandemic period, the dependence between the consumer staples sector and other sectors is significantly enhanced, and consumer staples sector and health care sector maintain a strong dependence. From the results of the sliding window, the Chinese stock market is sensitive to the impact of COVID-19, but the duration of the impact on the dependence among the stock sectors is not long.

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Analysis on the Impact of Short-Term International Capital Flows on Chinese Stock Market on the Basis of VAR Model

International Journal of Economics and Finance ◽

10.5539/ijef.v10n8p77 ◽

2018 ◽

Vol 10 (8) ◽

pp. 77

Author(s):

Ning Wu

Keyword(s):

Stock Market ◽

Capital Flows ◽

Composite Index ◽

International Capital Flows ◽

Capital Inflows ◽

Var Model ◽

Chinese Stock Market ◽

International Capital ◽

Short Term ◽

The Impact

With the continuous development of global economic integration and financial markets, international capital flows more and more frequently, the frequent flow of international capital will inevitably affect the yield of Chinese stock market. This article uses short-term international capital inflows SS and Shanghai composite index R as research objects. Based on monthly data from January 2002 to October 2017, VAR model was constructed using Eviews8.0 to study the impact of short-term international capital flows on Chinese stock market. Empirical studies have found that short-term international capital flow is the granger cause of changes in the Shanghai composite index yield, while the yield of Chinese stock market will not affect short-term international capital flows. At the end of this paper, relevant suggestions are put forward according to the conclusions.

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The impact of initial public offering lockup expirations on liquidity: Evidence from Chinese stock market

Journal of Shanghai Jiaotong University (Science) ◽

10.1007/s12204-016-1702-7 ◽

2016 ◽

Vol 21 (1) ◽

pp. 81-89

Author(s):

Xiaojun Chu

Keyword(s):

Stock Market ◽

Initial Public Offering ◽

Chinese Stock Market ◽

Public Offering ◽

The Impact

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Does investor personality moderate the relationship between information sources and trading behavior? Evidence from Chinese stock market

Managerial Finance ◽

10.1108/mf-08-2015-0231 ◽

2017 ◽

Vol 43 (5) ◽

pp. 545-566 ◽

Cited By ~ 6

Author(s):

Muhammad Zubair Tauni ◽

Zia-ur-Rehman Rao ◽

Hong-Xing Fang ◽

Minghao Gao

Keyword(s):

Stock Market ◽

Personality Traits ◽

Chinese Stock Market ◽

Sources Of Information ◽

Trading Behavior ◽

Content Type ◽

Trading Frequency ◽

Word Of Mouth Communication ◽

The Impact ◽

The Relationship

Purpose The purpose of this paper is to investigate the impact of the key sources of information, namely, financial advice, word-of-mouth communication and specialized press, on trading behavior of Chinese stock investors. The study also analyzed if the association between the key sources of information and trading behavior is influenced by investor personality. Design/methodology/approach The authors adopted the Big Five personality framework and examined the survey results of individual stock investors (n=541) in China. Personality traits of investors were measured by the NEO-Five Factor Inventory (Costa and McCrae, 1989). The authors performed probit regression analysis to evaluate the moderating influence of investor personality traits on the association between sources of information and stock trading behavior. Findings The results of the study confirm the previous findings that the key sources of information used by investors as a foundation of their financial choices have a significant influence on their trading behavior. The study also provides empirical evidence that investor personality traits moderate the relationship between the key sources of information and trading behavior. Financial advisors tend to increase the frequency of trading in investors with openness, extraversion, neuroticism and agreeableness personality traits, and tend to decrease the intensity of trading in investors with conscientiousness trait. On the other hand, financial information acquired from word-of-mouth communication is more likely to enhance trading frequency in extraverted and agreeable investors, and is more likely to reduce trading frequency in investors with openness, conscientiousness and neuroticism traits. Finally, the use of specialized press leads to more adjustment in portfolios of the investors with openness and conscientiousness traits than those with other personality traits. An alternative mediated model was not supported. Originality/value This research contributes to information search literature and behavioral finance literature and provides empirical evidence that the psychological characteristics of investors are significant predictors of the variations in information-trading link. The study offers new theoretical insights of investors’ behavior due to the characteristics of Chinese stock market which are unique from other stock markets in the world. To the authors’ best knowledge, no previous study has been conducted so far in Chinese stock market to explore variations with regards to the impact of the key sources of information on trading behavior by the Big Five investor personality and this paper seeks to fill this gap.

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

Journal of Mathematics ◽

10.1155/2021/6806304 ◽

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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Mutual fund herding behavior and investment strategies in Chinese stock market

Investment Management and Financial Innovations ◽

10.21511/imfi.15(2).2018.08 ◽

2018 ◽

Vol 15 (2) ◽

pp. 87-95 ◽

Cited By ~ 2

Author(s):

John Wei-Shan Hu ◽

Yen-Hsien Lee ◽

Ying-Chuang Chen

Keyword(s):

Stock Market ◽

Mutual Fund ◽

Investment Strategies ◽

Chinese Stock Market ◽

Contrarian Strategy ◽

Contrarian Strategies ◽

Low Degree ◽

High Degree ◽

The Impact ◽

The Relationship

This investigation studies the impact of mutual fund herding on the returns achieved by contrarian strategy from 1990 to 2015 in the Chinese stock market. The relationship between the profit gained by the contrarian strategy and the macroeconomic environment is also examined. First, the returns of the contrarian strategy in China’s stock market are found to be significant. Second, most loser stocks with a high degree of mutual fund herding outperform loser stocks with a low degree of mutual fund herding, revealing that the profitability of an investment portfolio depends on the degree of mutual fund herding. Third, investors should buy loser stocks with a high degree of herding and sell winner stocks with a low degree of herding during a two-year formation period, over which zero-cost contrarian strategies yield the significantly highest return. Finally, the payoff of contrarian strategies is positively related to the herding effect and negatively related to macroeconomic variables.

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Lessons for Euro markets from the first wave of COVID-19

Investment Management and Financial Innovations ◽

10.21511/imfi.18(1).2021.24 ◽

2021 ◽

Vol 18 (1) ◽

pp. 285-298

Author(s):

Costas Siriopoulos ◽

Argyro Svingou ◽

Jagadish Dandu

Keyword(s):

Stock Market ◽

Stock Markets ◽

Impulse Response Function ◽

Decomposition Methods ◽

Var Model ◽

Stock Exchanges ◽

Panel Var ◽

Chinese Stock Market ◽

European Stock Markets ◽

The Impact

Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

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Impact persistence of stock market risks in commodity markets: Evidence from China

PLoS ONE ◽

10.1371/journal.pone.0259308 ◽

2021 ◽

Vol 16 (11) ◽

pp. e0259308

Author(s):

Shusheng Ding ◽

Zhipan Yuan ◽

Fan Chen ◽

Xihan Xiong ◽

Zheng Lu ◽

...

Keyword(s):

Stock Market ◽

Financial Markets ◽

Market Risk ◽

Commodity Markets ◽

Chinese Stock Market ◽

Stock Market Volatility ◽

Gold Market ◽

Shock Impact ◽

Market Shocks ◽

The Impact

The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.

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