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 Behavioral finance in Chinese stock market written by Ni Gu and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Decision Making written by Ning Zhu and published by Routledge. This book was released on 2017-05-12 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book sheds light on financial decision making and lays down the major biases in human behavioral decision making, such as over-confidence, naive extrapolation, attention, and risk aversion, and how they lead investors and corporations to make considerable mistakes in investment. It draws on a large body of literature, from psychology and social psychology to, most importantly, behavioral economics and behavioral finance. It also looks at the progress in behavioral finance research over recent decades and includes research outputs based on retail and institutional investors from the United States, China, and many other international financial markets. The book focuses on China’s financial reforms and economic transition and includes many cases from that country to highlight the importance of behavioral finance and investor education. It therefore provides much needed in-depth understanding of the Chinese capital market.

Download or read book Bubble Creating Stock Market Attacks written by Ziyang Geng and published by . This book was released on 2017 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In existing behavioral finance literature on stock mispricing, rational investors largely play a passive role in tolerating mispricing due to limits to arbitrage. In this paper, we show that rational speculators sometimes proactively and intentionally create mispricing by driving up stock prices away from their fundamental values through synchronized attacks with explosive trading volumes. The inflated stock price is subsequently supported by new rounds of irrational buyers who are subject to extrapolation bias and by existing stockholders who are reluctant to sell due to the disposition effect. This paper develops a simple model to illustrate how bubble-creating attacks can succeed in equilibrium under certain limits-to-arbitrage conditions, and provides consistent empirical evidence in the Chinese stock market using investors' trading data from a large brokerage company in China.

Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Behavioral Finance written by Ziyang Geng and published by . This book was released on 2013 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Chapter 1, we study the trading pattern of rich individual investors. To the contrary of the current literature that individual investors trade excessively, and that trading is hazardous to their wealth, we find that in the Chinese stock market, individual investors with stock holdings over 5 million RMB benefit from trading. Our results show that these super rich individual investors trade far more extensively than the market average. Yet they manage to beat the performance of the market portfolio in China by a large margin. Further investigation attributes their persistent excess returns to informational advantages. We find evidence that they trade against behavioral investors around good news announcements. In Chapter 2, we study a puzzling phenomenon in the Chinese stock market, that is a stock's price and its trading volume rise significantly after public news, unrelated to a concrete change in the firm's value. We propose a model of trade-based manipulation to explain this phenomenon. In this model, a large number of speculative manipulators coordinate implicitly after public news events to exploit investors with behavioral biases. We provide empirical evidence that is consistent with the prediction of the model. Stocks that have low institutional investor holdings or that have experienced a recent decline in value are more likely to be manipulated. Manipulated stocks experience price reversals after the manipulation. We suspect that speculative manipulators are investors with more than five million RMB in stocks' value. These investors accumulate shares to pump up the stock price initially and then dump them after the significant increase in price. Their accounts also realize abnormally high returns during the event days. In Chapter 3, we study the cross-sectional differences in IPO pricing under sentiment and disagreement influences in the Chinese stock market. We find that the first-day returns of IPOs are positively related to market sentiment and disagreement over their offer prices. Hard-to-value IPO stocks earn higher first-day returns when investor sentiment is higher. Issuers in the Chinese stock market are not able to time the market for regulatory reasons, making our results less affected by the endogenous issue between market sentiment and IPO underpricing observed in the US market. A unique data set containing analysts' forecasts about IPO offer prices allows us to measure the disagreement over the IPO valuations directly, which is also not available for the US market.

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 The Chinese Stock Market written by Nicolaas Groenewold and published by Edward Elgar Publishing. This book was released on 2004 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. The authors address a variety of critical topics to assess the efficiency, predictability and profitability of the Chinese stock-market. They carefully examine the evolution and performance of the market over the past ten years and measure its level of efficiency using an array of empirical studies. The results reveal that not only is the stock market far from efficient but that it has also failed to properly integrate with other regional markets. Thus, the authors propose further reforms which they argue are necessary for the stock market to realize its full potential contribution to the operation of China's financial markets and to its continuing economic development. The stock market in China will undoubtedly grow in importance and international influence during the next ten years. As such, this valuable new book will be required reading for economic researchers, business economists and market analysts, as well as academics with an interest in Chinese business and Asian finance.

Download or read book Behavioural Finance written by Shiya Liu and published by . This book was released on 2012 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Securities Markets and Corporate Governance written by Yuwa Wei and published by Routledge. This book was released on 2016-04-01 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the rationalities and functions of securities markets and takeover activities. Focusing on the Chinese experience of utilizing the securities market as an effective mechanism of corporate control, this volume analyses the future development of China's financial market in the era of economic globalization. Providing an overview of the historical development of the securities market and a literature review of the economic functions of stock markets, Securities Markets and Corporate Governance also examines the legal regimes governing securities markets and takeovers in some leading corporate economies including the US, Germany, Japan and the UK. This volume then focuses on the Chinese experience, proposing a model which balances internal corporate governance and external market control for China.

Download or read book Stock market Psychology written by Karl Erik W‹rneryd and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Stock-Market Psychology gives an excellent overview of the state-of-the-art literature on this subject in the fields of economics, psychology and finance. . . a comprehensive overview of the behavior of investors in the stock market. As such, this book is valuable for the classroom. . . Stock-Market Psychology provides researchers with numerous ideas for future research and readers with useful and fun tips without taking away our hopes of ever becoming rich from investing in stocks. What more is there to ask from a book?' - Joost M.E. Pennings, Journal of Economic Psychology 'George Goodman (Adam Smith) once wrote, "you can find out who you are by investing in the stock market, but it will be an expensive lesson". It is far smarter and cheaper to read Wärneryd's book instead. At a time when global stock markets are driven by emotions and passions, and are highly volatile, Chapter Six will tell you why, far better than a hundred analysts' reports.' - Shlomo Maital, TIM-Technion Institute of Management and the Samuel Neaman Institute for Advanced Studies in Science and Technology, Israel The rationale behind how people value and trade stocks is of unparalleled interest to governments, companies and other participants in stock markets. The book focuses on the way in which investors process information and form expectations about future gains. It argues that humans fall short of the perfect information processing required by theory, and that their expectations are based on more than just future company earnings.

Download or read book Demystifying China s Stock Market written by Eric Girardin and published by Springer Nature. This book was released on 2019-09-13 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mainstream research has rationalized China’s stock market on the basis of paradigms such as the institutional approach, the efficient market hypothesis, and corporate valuation principles. The deviations from such paradigms have been analyzed as puzzles of China’s stock market. Girardin and Liu explore to what extent, in the perspective of Chinese cultural and historical characteristics, far from being puzzles, these 'deviations’ are rather the symptoms of a consistent strategy for the design, development and regulation of a government-dominated financial system. This book will help investors, observers and researchers understand the hidden logic of the design and functioning of China’s modern stock market, taking a political economy view.

Download or read book Three Papers on Behavioral Finance and Market Inefficiencies written by Xiaomeng Lu and published by . This book was released on 2015 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three chapters in this dissertation provide new evidence on inefficiencies in the stock market, and offer some novel explanations for the cause of these inefficiencies due to the existence of investors' behavioral biases and market frictions. In the first chapter (joint with Ziyang Geng), we study the active role of rational investors in creating mispricing in the Chinese stock market. In existing behavioral finance literature on stock mispricing, rational investors largely play a passive role in tolerating mispricing due to limits to arbitrage. In this essay, we show that rational speculators sometimes proactively and intentionally create mispricing by driving up stock prices away from their fundamental values through synchronized attacks with explosive trading volumes. The inflated stock price is subsequently supported by new rounds of irrational buyers who are subject to extrapolation bias and by existing stockholders who are reluctant to sell due to the disposition effect. This paper develops a simple model to illustrate how bubble-creating attacks can succeed in equilibrium under certain limits-to-arbitrage conditions, and provides consistent empirical evidence in the Chinese stock market using investors' trading data from a large brokerage company in China. In Chapter 2 of my dissertation, motivated by existing evidence that individual investors have a preference for stocks with low nominal prices, I investigate the importance of nominal stock price in the cross-sectional pricing of stocks in the Chinese stock market. Portfolio-level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between nominal prices and subsequent returns for stocks with low tradable market capitalization. Average raw and risk-adjusted return differences between the lowest and highest nominal price deciles exceed 1% per month for stocks in the lowest tercile of tradable market capitalization. The return difference between high-priced and low-priced stocks is not explained by existing predictors of expected returns, such as size, book-to-market ratio, momentum, short-term reversal, liquidity, and skewness. The magnitude of this low nominal price premium is influenced by incremental participation of new individual investors. I also provide additional evidence consistent with the hypothesis that rational speculators induce investors with a preference for low-priced stocks to trade in a way that exacerbates this anomaly. In the third chapter (joint with Peng Liu and Ke Tang), we study the economic linkage between homebuilder stock market performance and commodity futures market information on a major component of building materialslumber. The price of lumber plays a dual role in determining homebuilder prots: it represents a production input cost and serves as a future housing demand indicator. Using all US publicly listed homebuilder stocks, we show that the housing demand effect dominates the builderlumber relationship. This effect is robust even after we control for the Federal Housing Finance Association (FHFA) housing price index (HPI). Our results further indicate that the slope of the lumber futures curve serves as a cross-market signal of future housing demand and thus of homebuilder stock market performance.

Download or read book Behavioral Finance The Coming Of Age written by Venezia Itzhak and published by World Scientific. This book was released on 2019-04-18 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: The area of behavioral finance, though relatively young, has matured and spread beyond its initial objectives: to demonstrate the fallibility of the efficient market hypothesis, to shake the belief in the ubiquity of rational decision making, and to convince the finance world of the importance of psychological biases in decision making. The success of the field in meeting its goals, however, has called into question its continued relevance. Behavioral finance is thus currently at a crossroads, and researchers need to decide which way they should turn for the area to continue to thrive and to meaningfully contribute to financial knowledge.This collection of papers deals with rarely-explored topics to point at new directions that behavioral finance should explore to maintain its viability, along with contributions to traditional topics. Some of these topics include innovations, the psychology of policy-makers, biases of peer-to-peer market participants, the behavior and motivation behind corporate social responsibility, and the design of exchanges. Additionally, well-known topics such as the disposition effect, slow and fast decisions and the availability heuristic are revisited, and surprising new findings are presented.By opening the field to novel avenues of discussion, this book addresses the future of behavioral finance and its transition into a new era.

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 The Threshold of One Year written by Damu Wang and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: On account of that China is more close to retake its seat in the WTO, it is necessary that the adaptation to the international justified rules of the Chinese financial market of the securities and stocks could be on the effect and at the same time, the international challenge will be on the way in to be met with. The critical problem at the present is about the level of maturity of the Chinese investors at the financial market, especially at the stock market - this is of the most important signal of the maturity or not, concerning the financial market of a country - that is preoccupied. On one hand, the institutional investors, who are of the principal subject of investment at the West financial market, occupy a minimum of proportion in China about the operational scope and they can't function correctly to develop and stabilize the Chinese financial market; on the other hand, the scope of the individual investors (diversified accountants) is more large at the Chinese financial market (e.g. the Two Stock exchanges of Shanghai and Shenzhen...) and they turn into as the dominant subject of investment. Because of the different qualities and being too far away from the maturity about the behavior of investment, the individual investors always run after the short-term benefice and it makes the financial market be full of volatilities to the extent. "The characteristics of the diversified market are of one important reason to explain the amplitude of volatility of the Chinese financial market." In this way, it is obliged to know of that how to guide the Chinese individual investors to make their rational decisions on investment but the speculation. In my works here, we will together discuss some probabilities: if the behavior of the Chinese stock holders on the investment is mature and if theirs investments are rational and comprehensive by the contrast between the Chinese financial market as one emerging one and the developed ones on some fields. The motivation of the presentation of these possibilities is to understand more clearly the popular strategy for the moment at the Chinese financial market and its consequences: the threshold of one-year is only specific at the Chinese stock market about the stock exchange.