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This paper mainly utilizes the ARDL model and principal component analysis to investigate the relationship between the volatility of China's Shanghai Composite Index returns and the variables of exchange rate and domestic and foreign bond…
The stock segment of China's time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that…
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous…
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension and dependency between permanent impact…
We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen.…
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as…
This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results…
News items have a significant impact on stock markets but the ways are obscure. Many previous works have aimed at finding accurate stock market forecasting models. In this paper, we use text mining and sentiment analysis on Chinese online…
The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period…
Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading…
Market fluctuations caused by overtrading are important components of systemic market risk. This study examines the effect of investor sentiment on intraday overtrading activities in the Chinese A-share market. Employing high-frequency…
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…
We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected…
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than…
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some…