Chinese stock markets news
Does Herding Matter in the Chinese Stock Markets?
https://openjournals.uwaterloo.ca/index.php/rofea/article/download/4068/5649/24661
3.2 Methodology. In the study, we employ both the CH and CCK methods to examine the herd behavior in the Chinese stock markets by using individual stock returns and market returns. In the CH method, the herd behaviors can be examined with the following specification: CSSDt = α0 + β1DU,t + β2DL,t + εt. (2) 67.
[PDF File] Efficiency of Chinese Stock Markets
http://www.la.utexas.edu/hinich/files/Economics/Efficiency%20of%20Chinese%20Stock%20Markets.pdf
Methodologically, in examining the efficiency of stock market, the research. framework adopted should: (1) mitigate the confounding effect of thin trading on. autocorrelation; (2) detect both linear and nonlinear serial dependencies; (3) capture the. persistence of deviation from a random walk over time.
[PDF File] Diamond Cuts Diamond: News Co-mention Momentum
https://econ.pku.edu.cn/docs/2023-10/20231024184240325906.pdf
September 30, 2023. Abstract. ive study on momentum spill. vers in the Chinese stock market using varioustypes of economic linkages. B. Chinese business news articles, we find that the news co-mention momentumspillove. is significantly st. s, we further show that the news co-mention momentum spillover unifies a.
[PDF File] The Effect of Annual Earnings Announcements on the …
https://link.springer.com/content/pdf/10.1007/s11294-006-9020-8.pdf
changes. In the European and the U.S. markets, most such news announcements affect stock prices on the days of the information disclosure and the effect would not continue after the day of disclosure. This means that the European and American markets are basically semi-strong-form efficient stock markets. In contrast, we will show that the
[PDF File] The influence of the spillover between futures and spot …
https://www.researchgate.net/publication/375476315_The_influence_of_the_spillover_between_futures_and_spot_markets_on_hedging_policy_evidence_from_Chinese_stock_markets/fulltext/654b856d3fa26f66f4e73618/The-influence-of-the-spillover-between-futures-and-spot-markets-on-hedging-policy-evidence-from-Chinese-stock-markets.pdf
Chinese stock markets Kai Shi and Junlian Gong* ... spot more effectively when extreme unusual news arrives. Magkonis et al. (2017) found a time-varying risk spillover effect between oil spot
[PDF File] Chinese Companies Listed on Major U.S. Stock Exchanges
https://www.uscc.gov/sites/default/files/2023-01/Chinese_Companies_Listed_on_US_Stock_Exchanges_01_2023.pdf
Chinese Companies Listed on Major U.S. Stock Exchanges. This table includes Chinese companies listed on the New York Stock Exchange (NYSE), Nasdaq, and NYSE American, the three largest U.S. exchanges.*. As of January 9, 2023, there were 252 Chinese companies listed on these U.S. exchanges with a total market capitalization of $1.03 trillion.
Economic policy uncertainty of China and investment …
https://www.emerald.com/insight/content/doi/10.1108/JEFAS-04-2021-0032/full/pdf?title=economic-policy-uncertainty-of-china-and-investment-opportunities-a-tale-of-asean-stock-markets
To measure the degree of China’s EPU, we use the ’ news-based index in Baker et al. (2013) and Baker et al. (2016). The index was designed based on a scaled frequency count of news articles related to China’s economic and financial matters such as monetary, taxation, regulatory, political issue, economic reformation and fiscal.
[PDF File] The Puzzling Media Effect in the Chinese Stock Market
https://www.sfm.url.tw/php/Papers/CompletePaper/011-1731617195.pdf
markets. In contrast to earlier findings, however, this study focuses on Chinese stock markets and reports a different media effect on stock returns. Empirical results show that stocks frequently reported in the news yield higher stock returns than those less covered by the media. Stocks with much media coverage also exhibit significantly
[PDF File] Financial risk, uncertainty and expected returns: evidence …
https://www.researchgate.net/profile/Thomas-Chiang-3/publication/334511276_Financial_risk_uncertainty_and_expected_returns_evidence_from_Chinese_equity_markets/links/5e239f0a92851cafc38fd6c8/Financial-risk-uncertainty-and-expected-returns-evidence-from-Chinese-equity-markets.pdf
the world financial crisis in 2008–2009, the Eurozone debt crisis in 2012, the Chinese stock market crash in 2015 and Trump’s announcement of tariff increases in 2018. All of these
[PDF File] What Drives the Tail Risk Effect in the Chinese Stock Market?
https://cirforum.org/cirf2022/forum_files/papers/CIRF-205.pdf
Compared with the stock markets of the developed countries, however, the Chinese stock market has its unique features in investor composition, information environment, and institutional arrangement (Zhang and Yang, 2014; Cui and Hong, 2017; Song and Xiong, 2018; Ma and Tian, 2020). For instance, first, the Chinese stock market is an
Liquidity and Asset Pricing: Evidence from the Chinese Stock …
https://dr.lib.iastate.edu/bitstreams/fbfab1de-e8d1-4f4e-9cc0-d6a256d7fc6d/download
$4.0 and $2.5 trillion. At the country level, the Chinese stock market is the second-largest in the world (Liu et al. 2019). Given their explosive growth and their increasing global relevance, it is not surprising that the Chinese stock markets have been the object of numerous studies. For example, research
Reaction of US and Chinese Stock Markets to COVID-19 News
https://mdpi-res.com/d_attachment/ijfs/ijfs-11-00059/article_deploy/ijfs-11-00059.pdf?version=1680226457
While the correlation among stock market risks is the focus ofZhang et al.(2020), the current study attempts to examine the impact of the pandemic on stock markets’ returns. Specifically, this study aims to address the research question regard-ing whether COVID-19 caused abnormal returns in the US and the Chinese stock markets
[PDF File] Investor Sentiment in the Chinese Stock Market
https://research.nottingham.edu.cn/files/979639549/Phd_thesis_Zhijiao_Yang_20219273_.pdf
in Chinese stock markets. In Chapter 2, we focus on market-, survey-, text- and search-based investor sentiment proxies and the impact of aggregate sentiment extracted from them in the Chinese stock market. Using data from 2008 to 2019, we find that individual sentiment proxies have limited return predictability, while the aggregate sentiment
[PDF File] The impact of crude oil prices on Chinese stock markets and …
https://link.springer.com/content/pdf/10.1007/s11356-022-19573-5.pdf
the subsequent volatility of Chinese stock market prices will, in turn, inuence the volatility spillover of Brent crude oil prices on the indexes. The result is an ongoing back and forth of changes in price volatilities. Keywords Oil prices · Chinese stock markets · Impulse response · VAR-DCC-GARCH Introduction
[PDF File] The Asymmetric Overnight Return Anomaly in the Chinese …
https://www.researchgate.net/publication/365453933_The_Asymmetric_Overnight_Return_Anomaly_in_the_Chinese_Stock_Market/fulltext/63766d2a2f4bca7fd06b015f/365453933_The_Asymmetric_Overnight_Return_Anomaly_in_the_Chinese_Stock_Market.pdf
The Chinese stock market has a large number of individual investors, and the investment strategies and market behaviors of individual investors are different from those of institutional investors ...
[PDF File] The Real Value of China's Stock Market - NBER
https://www.nber.org/system/files/working_papers/w20957/w20957.pdf
44 West 4th Street, Suite 9-190 New York, NY 10012-1126 and NBER rwhitela@stern.nyu.edu. China became the world’s largest investor in 2010 and will remain so for many years. In 2014, China made $4.9 trillion of total fixed-asset investment, compared with $3.4 trillion in the US and $1.1 trillion in Japan.
[PDF File] Asymmetry Effects in Chinese Stock Markets Volatility: A …
https://daisyaijun.com/papers/NPgam1_final_0511.pdf
The results from this paper suggest that the leverage effect exists in the Chinese stock markets: Bad news does affect return volatility more than good news. However, as implied by the news impact curve (NIC) from the GAM NP model, a small amount of good news is needed to keep the market
ESG Premium in Chinese Stock Markets - ResearchGate
https://www.researchgate.net/profile/Yinan-Ni-2/publication/363650718_Environmental_Social_and_Governance_Premium_in_Chinese_Stock_Markets/links/6327b7c80a70852150038c34/Environmental-Social-and-Governance-Premium-in-Chinese-Stock-Markets.pdf?origin=publication_detail
Before major ESG shocks (2011 -2015), state-owned firms have an average ESG score of 0.3218, which is. significantly higher than the 0.1759 of private firms. The largest advantage is in the S ...
[PDF File] Environmental, Social, and Governance Premium in Chinese …
https://www.researchgate.net/profile/Yinan-Ni-2/publication/367271796_Environmental_Social_and_Governance_Premium_in_Chinese_Stock_Markets/links/63c99323d9fb5967c2ecd0e9/Environmental-Social-and-Governance-Premium-in-Chinese-Stock-Markets.pdf
financial markets developed rapidly in recent decades, ranking as the second-largest stock market in the world as of 2021. 6 We highlight the need for an empirical study that clarifies the ...
On Chinese stock markets: How have they evolved over …
https://link.springer.com/content/pdf/10.1007/s10479-017-2602-4.pdf?pdf=button
Therefore, this design allowed Chinese stock markets a lighter development, reducing possible risk spillovers and financial contagion from international markets. Beside the configuration of Chinese stock markets, one of the most attractive fields of study is the behaviour of local investors. According to Kang et al. (2002), national investors
[PDF File] Effects of investor sentiment on stock volatility: new …
https://jfin-swufe.springeropen.com/track/pdf/10.1186/s40854-022-00381-2.pdf
Eects of investor sentiment on stock volatility: new evidences from multi‑source data in China’s green stock markets Yang Gao1, Chengjie Zhao1, Bianxia Sun2* and Wandi Zhao3 Introduction Along with the “carbon neutral and carbon peak” proposal by the Chinese government, green nance in China has recently attracted more attention.
An Empirical Analysis of Industry Momentum in Chinese …
https://www.jstor.org/stable/23047431
returns from Chinese stock markets.1 Specifically, this paper investigates the magnitude and source of momentum profits for various industry portfolios formed in proportion to their performance relative to the value-weighted market index. It contributes to the lit erature in three ways. First, the paper documents significant industry momentum ...
[PDF File] US economic policy uncertainty and co-movements between …
https://isiarticles.com/bundles/Article/pre/pdf/100802.pdf
This paper investigates the impact of innovations in US economic policy uncertainty on the co-movements of China's A/B stock markets with the US stock market. We show that it is the absolute changes in the US economic policy uncertainty index that have a negative impact on the co-movements. The finding is robust to the asymmetric …
[PDF File] Dynamic information spillover between Chinese carbon and …
https://www.nature.com/articles/s41599-023-02134-7.pdf
Chinese carbon and stock markets, as well as the impact of extreme weather shocks exerted on this relationship. The method adopted is the least absolute shrinkage and selection
Diagnosis and Prediction of the 2015 Chinese Stock Market …
https://arxiv.org/pdf/1905.09633
In the past three decades, the Chinese economy has seen a tremendous growth accompanied by a roller coaster ride of the Chinese stock markets, with three large bubbles bursting respectively from May 2005 to October 2007, from November 2008 to August 2009 and from mid-2014 to June 2015 (Sornette et al., 2015).
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