Showing 1 - 10 of 3,986
We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014....
Persistent link: https://www.econbiz.de/10012902072
Using comprehensive financial and accounting data on China's listed firms from 1998 to 2002, augmented by unique data … listing suspension mechanism, i.e., the ST designation, adopted by China's securities regulatory agency appears to be … literature on economic transition, our findings suggest that any fundamental improvement in China's corporate governance will …
Persistent link: https://www.econbiz.de/10010274393
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10010326245
China has become the world's biggest consumer of gold in recent years. After only several years of operation, the …
Persistent link: https://www.econbiz.de/10013005267
In China, a large proportion of companies are state owned, and this factor is a likely important driver of assets … & MacBeth (1973) regressions, we show that the SOE factor is critical in explaining cross section returns in China's domestic … pricing mechanism in China. While accounting for the SOE impact improves explanatory power of the asset pricing model, further …
Persistent link: https://www.econbiz.de/10012953152
Based on 4 years data of individual stocks in SZ300P index, the paper investigates the positive feedback trading behavior and its asymmetry. Regressions with heterogeneous belief terms show the presence of positive feedback trading in Chinese market. The traders who react to daily, weekly or...
Persistent link: https://www.econbiz.de/10013023211
This paper analyzes return spillovers from the US to stock markets in Asia by means of quantile regressions. Traditional studies consider spillovers as effects of the conditional means of foreign returns onto the conditional means of chronologically succeeding domestic markets' returns. We, by...
Persistent link: https://www.econbiz.de/10013029609
This paper examines the magnet effect of market-wide circuit breaker by investigating the circuit breaker triggering event in the Chinese stock market in 2016. We propose a difference-in-differences AR(3)-GARCH (1,1) model to separate the magnet effect from the effect of investors' overreaction....
Persistent link: https://www.econbiz.de/10012980503
which factors have worked and which have not over the last two decades since the opening of China's stock markets. We find … while a number of traditional factors like value and size appear to work well in China, other factors are less effective … of China's evolving investing landscape, including issues related to regulation, financial reporting standards …
Persistent link: https://www.econbiz.de/10012902005
Predicting stock market crashes and corrections is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly on mature financial markets. In this paper, we investigate whether fundamental crash predictors, the price-to-earnings ratio, the...
Persistent link: https://www.econbiz.de/10012903786