Download or read book An Evaluation of Market Efficiency in the Chinese Stock Market Using a Behavioural Volatility Model written by Ezra Gentleman and published by . This book was released on 2011 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This study examines the relevance of the efficient markets paradigm in the context of the Chinese market since its inception. Risk characteristics of Chinese stock markets have been evaluated from the traditional volatility (GARCH) models as well as behavioural (STAR GARCH) models. The use of the STAR GARCH model offers perspective into the non-market risks which have been taking place since the stock markets inception and contribute to the literature by creating a greater understanding of the strategic behavior of investors. The study found that strategic behaviour is not static and has undergone dynamic shifts over time as a number of policy changes and structural shifts have taken place. As such Market efficiency has been tested with the findings concluding that the STAR GARCH model has in most cases provided superior results to the conventional GARCH models used. Conclusions regarding market efficiency in China were not strongly supported with empirical evidence in this study."--P. ii.

Download or read book The Efficiency of China s Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.

Download or read book The Chinese Stock Market written by Nicolaas Groenewold and published by Edward Elgar Publishing. This book was released on 2004-01-01 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: '. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Download or read book Empirical Analysis of Chinese Stock Market Behavior written by Lin Tan and published by . This book was released on 2005 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Aspects of Volatility in the Chinese Stock Market written by Wei Chi and published by . This book was released on 2014 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis analyses three sets of issues: 1) the cyclical behaviour of the Chinese stock markets, 2) the fitness of using realized volatility (RV) in the generalized autoregressive conditional heteroskedasticity (GARCH) model, and 3) the volatility spillover between the Chinese and Australian stock markets. After conducting an extensive literature review, the thesis examines the three sets of issues separately.First, a Markov regime switching model is applied to analyse the bull and bear cycles in the Chinese stock market, since the cycles of bull and bear markets can reflect economic development and investor confidence. Specifically, grouping stocks by industry and firm size, the results show the following: 1) Bear cycles between stocks and the index overlap heavily, indicating strong herding effects. A long bear market cycle is found and can be explained by widely diversified stock performance across the markets. 2) Certain shocks to one industry could have different impacts on the Shanghai and Shenzhen stock markets. 3) Firm size can have a significant impact on the performance of stocks in bull or bear cycles.The second topic focuses on estimating the RV of the Chinese stock markets and comparing it with the GARCH model. The actual volatility is inherently unobserved, while the RV could be treated as being directly observable and then be used to study time-varying behaviour and forecasting. Thus, a large number of studies use RV in GARCH models for volatility analysis. However, there is yet no study that discusses the correlation between RV and GARCH while using RV in GARCH models. This could lead to bias in estimation because of the different properties of RV and GARCH. The results show that GARCH models combined with RV could be more suitable for estimating volatility for large firms. When the firms are grouped in terms of positive/negative returns, similar results are found as when firms are grouped by firm size.The third topic estimates the volatility spillover between the Chinese and Australian stock markets, motivated by the lack of attention to spillover between these two markets in the literature. While economic interdependence between Australia and China has soared during the last two decades due to China's tight reliance on Australia's mining and resources, little research attention has been paid to these two countries. This study fills the literature gap and assesses the volatility spillover between the Chinese and Australian stock markets based on the CSI300 and ASX200 industry indices. To the best of my knowledge, this is the first study using Chinese industry data to discuss volatility spillover. The key findings of the thesis are that volatility spillover across these two markets is bidirectional, while there is one-sided or insignificant spillover across industries between these two countries. The findings of the thesis fill the literature gap, help clarify the debate about volatility spillover between the Chinese stock market and the world market, and provide a clearer idea of the channels through which volatility is transmitted across countries.

Download or read book The Efficiency of China s Stock Market with Respect to Monetary Policy written by Caren Yinxia Guo Nielsen and published by LAP Lambert Academic Publishing. This book was released on 2009-08 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the bull stock market from Jun 2005 to 2008 in China and the simultaneous high interest in stocks, resulting in a stream of new private investors into the market, issues about this market have been hot topics in people s daily life and academic circles. One of these is the efficiency of the market. Considering the importance of monetary policy in Chinese economy, I focus on the efficiency of the stock market with respect to monetary policy, which is concerned about by investors for their investment returns and by the government for its governing efficiency of polices. Furthermore, along with the development of the Chinese economy, there is an international focus on whether the market is healthy. I test the Efficient Market Hypothesis using the Vector Autoregressive models, including the monthly macroeconomic variables related to monetary policy. Impulse Responses Functions and Variance Decompositions are generated from the estimated VARs to further evaluate impacts of monetary policy on stock returns. This empirical assessment could be considered as a research on the market efficiency with a different angel, useful for any one doing researches on the Chinese stock market.

Download or read book Behavioral Finance and Chinese Stock Market written by Lei Gao and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses eight issues on behavioral finance and Chinese stock market: the theory of economic agent's self value, Chinese stock market's rapid development and linebreak peculiarities, the momentum and contrarian strategies in Chinese stock market, the highly volatile beta in China's stock market, Chinese stock market's small firm effect and calendar effects, the behavior of Chinese private stock investors, and the relation between the turnover ratio and the market return in Chinese stock market. All these eight issues lie at the current research frontier although some are oriented towards theory and the others towards empirical analysis.

Download or read book The ST Stock Behavior in the Chinese Stock Market written by Xuan Liu and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Chinese Stock Market written by and published by . This book was released on 2011 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book China s Evolving Stock Market Efficiency Reconsidered written by Xiaoming Li and published by . This book was released on 2007 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following recent studies on evolving stock markets in some of the European transition economies, we revisit the weak-form efficiency of China's stock markets by examining its changing behavior over the entire history of the Shanghai and Shenzhen Stock Exchanges for which data are available. The Kalman Filter estimation technique is applied to the system consisting of a time-varying AR(2) model and an asymmetric ARCH equation. The estimates of predictability combined with other non-quantifiable, evolutionary characteristics of the markets are used to infer on their efficiency. Our research shows that, at their initial development stages, both the Shanghai and Shenzhen markets were inefficient, but the latter is less so than the former. However, the past decade clearly saw a steady convergence of the two markets towards efficiency, owing to the improvements in the market infrastructure, market liquidity, regulation enforcement, and so on.

Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Download or read book Manipulation Price Limits and the Weekend Effect written by Wei Lin and published by . This book was released on 2005 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a review of the theory of behavioural finance and the Chinese stock market, which provides background knowledge, this thesis concentrates on three problems: manipulation, price limits and the weekend effect. In the study of manipulation, a new model is developed to investigate the impact of manipulation on stock markets in terms of price formation and market efficiency. The model examines the manipulator's behaviour in two market environments featured by a two-stage game and a three-stage game, respectively. The implications of the model are also examined by cases of convicted manipulators and data from the Chinese stock market. The findings may contribute to the designing of measures to prevent or reduce manipulation in stock markets.

Download or read book Investigating China s Stock Market Efficiency and Forecasting China s Stock Price Volatility written by Yuexian Tang and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

Download or read book Market Efficiency Or Not written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does Index Futures Trading Reduce Volatility in the Chinese Stock Market A Panel Data Evaluation Approach written by Haiqiang Chen and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the effect of introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao et al. 2011) to construct counterfactuals of the spot market volatility, based mainly on cross-sectional correlations between the Chinese and international stock markets. This new method does not need to specify a particular regression or a time series model for the volatility process around the introduction date of index futures trading, and thus avoids the potential omitted variable bias caused by uncontrolled market factors in the existing literature. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market, which is robust to different model selection criteria and various prediction approaches.