We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and...

Previous studies find corporate investments negatively predict firm performance and stock returns. Using data from the Chinese A-share stock market, we find firms that substantially increase their investments have higher, rather than lower, subsequent stock returns. This effect persists after...

We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and...

This paper utilizes the daily prices of the market indices in 57 countries across the world from 2nd January 1997 to 30th August 2012 to examine the potential stock market integration structure by applying a network visualization approach (with both MST network and Graph network), we seek to...

Using a novel multivariate microstructure model and time varying estimation framework we analyse the change in the information structure of the segmented Shanghai A and B share listed stocks after a significant set of regulatory reforms in 2001, nicknamed the 'year of regulation' by...