Seasonality In Common Stock Returns Evidence In China S Stock Markets
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Seasonality In Common Stock Returns Evidence In China S Stock Markets
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Author : Qian Hu
language : en
Publisher:
Release Date : 2006
Seasonality In Common Stock Returns Evidence In China S Stock Markets written by Qian Hu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The Efficiency Of China S Stock Market
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Author : Shiguang Ma
language : en
Publisher: Routledge
Release Date : 2017-11-30
The Efficiency Of China S Stock Market written by Shiguang Ma and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-30 with Business & Economics categories.
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.
Seasonalities In China S Stock Markets Cultural Or Structural
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Author : Li L. Ong
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2006-01-01
Seasonalities In China S Stock Markets Cultural Or Structural written by Li L. Ong and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-01 with China categories.
In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.
An Investigation Of Seasonal Effects Of Returns On The Chinese Segmented Stock Markets
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Author : Haiyan Huang
language : en
Publisher:
Release Date : 2002
An Investigation Of Seasonal Effects Of Returns On The Chinese Segmented Stock Markets written by Haiyan Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Stock exchanges categories.
Firm Size Related Anomalies And Stock Return Seasonality In The Hong Kong Stock Market
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Author : Kin-Hung Law
language : en
Publisher:
Release Date : 2017-01-26
Firm Size Related Anomalies And Stock Return Seasonality In The Hong Kong Stock Market written by Kin-Hung Law and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.
This dissertation, "Firm Size Related Anomalies and Stock Return Seasonality in the Hong Kong Stock Market" by Kin-hung, Law, 羅建雄, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3126412 Subjects: Stock exchanges - China - Hong Kong Small business investment companies - China - Hong Kong Rate of return - China - Hong Kong
Seasonality Effects Through Arch And Garch Model
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Author : Rizwan Ahmed
language : en
Publisher:
Release Date : 2016
Seasonality Effects Through Arch And Garch Model written by Rizwan Ahmed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The paper examines three seasonal effects from Shanghai Stock market China: the weekend effect, turn of the month and holiday effect. The evidences of weekend effect observed on Friday along with seasonality effect on alternate days of the week. In terms of monthly effect, we have found February anomaly in place of January which contradicts the theory of Tax-Loss selling hypothesis. Moreover, last quarter of the year showing positive healthy returns. However, the study could not find any trend of returns on holiday effects. The ARCH and GARCH model of all three seasonality effects showing significant results. Based on overall outcomes, the Shanghai Stock market is considered as inefficient weak form of market efficiency.
Efficiency And Anomalies In Stock Markets
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Author : Wing-Keung Wong
language : en
Publisher: Mdpi AG
Release Date : 2022-02-17
Efficiency And Anomalies In Stock Markets written by Wing-Keung Wong and has been published by Mdpi AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-17 with Business & Economics categories.
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.
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets
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Author : Irina Prodan
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2013-06-01
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets written by Irina Prodan and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-01 with Political Science categories.
One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics
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Author : Seungho Jung
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics written by Seungho Jung and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-22 with Business & Economics categories.
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Empirical Asset Pricing
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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-26
Empirical Asset Pricing written by Turan G. Bali and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-26 with Business & Economics categories.
“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.