This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coeffi...This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process.For empirical purposes,the Sharpe ratio can be formulated with a monotonic increasing function of R-squared if the sample size is large enough.One can utilize the Sharpe ratio to compare weak-form efficiency among different markets.The results of stochastic simulation demonstrate the validity of the proposed method.The author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index.展开更多
Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a datase...Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.展开更多
The price in an efficient market can adjust to new information instantaneously to eliminate any arbitrage opportunities. Such a phenomenon is not always observed in the real estate market because of its unique charact...The price in an efficient market can adjust to new information instantaneously to eliminate any arbitrage opportunities. Such a phenomenon is not always observed in the real estate market because of its unique characteristics, which include fixed location, heterogeneity and low transaction frequency. Using housing and office market data of some major cities in China, this paper examines the return and risk characteristics in these markets and assesses market efficiency. It finds that a number of instruments, including lagged quarterly and annual excess returns and, to some extent, the measure of the deviation of price from the intrinsic value, predict future returns. Therefore, weak form and semi-strong form efficiency can both be rejected in these real estate markets. These empirical findings suggest that there is slow price adjustment in real estate markets in China, which may be attributed to inefficient information transmission systems and long searching time in the markets.展开更多
Unlike the European Union emission trade system(EU ETS), China s pilot ETSs implemented diversified policy designs instead of using a uniform framework. Variance ratio test is used to evaluate the Efficient Market Hyp...Unlike the European Union emission trade system(EU ETS), China s pilot ETSs implemented diversified policy designs instead of using a uniform framework. Variance ratio test is used to evaluate the Efficient Market Hypothesis(EMH) in China's carbon trading markets. The results of two versions of variance ratio tests indicate that the carbon trading market in Hubei is considered weak form efficient, and the socialist market economy does not necessarily lead to market inefficiency in carbon trading markets. Thin trading activities generate market frictions and bias the Efficient Market Hypothesis(EMH) tests.展开更多
This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies(Bitcoin,Ethereum,and Ripple),gold,and West Texas Intermediate(WTI)crude oil.The data cov...This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies(Bitcoin,Ethereum,and Ripple),gold,and West Texas Intermediate(WTI)crude oil.The data coverage of daily returns was from August 2015 to April 2019.We applied two alternative tests to examine linear and nonlinear dependency,i.e.,automatic portmanteau and generalized spectral tests.The analysis of observed results validated the adaptive market hypothesis(AMH)in all markets,but the degree of adaptability between the data was different.In this study,we also analyzed the existence of evolutionary behavior in the market.To achieve this goal,we checked the results by applying the rolling-window method with three different window lengths(50,100,and 150 days)on the test statistics,which was consistent with the findings of AMH.展开更多
This study examines the impact of futures trading on market efficiency and price discovery in the U.S.real estate investment trusts(REITs)market.First,we present inconclusive evidence regarding efficiency improvement ...This study examines the impact of futures trading on market efficiency and price discovery in the U.S.real estate investment trusts(REITs)market.First,we present inconclusive evidence regarding efficiency improvement in the U.S.REIT spot market following the introduction of futures trading.To investigate the interplay between spot and futures markets,we analyze their respective roles in price discovery and find that,unlike in stock and bond markets,the spot market predominantly exhibits price leadership in the U.S.REITs market,despite the growing market size of futures.We find evidence that the limited role of futures in price discovery is associated with an increase in speculative demand,which outweighs hedging pressure.These findings suggest that policymakers should carefully monitor investor trading motives in the U.S.REITs market and consider revising market regulations to enhance liquidity,ensuring that increased liquidity does not primarily result from heightened speculative demand.展开更多
In a deregulated Var market, market power issue is more serious than in an energy market since reactive power cannot be transmitted over long distances. This letter designs a multi-timescale Var market framework, wher...In a deregulated Var market, market power issue is more serious than in an energy market since reactive power cannot be transmitted over long distances. This letter designs a multi-timescale Var market framework, where market power that may arise in the hourly-ahead Var support service market due to system configuration deficiency and market structure flaws can be eliminated by day-ahead contract-based Var reserve service market. Settlement of day-ahead Var reserve contract is formulated as a two-stage robust optimization (TSRO) model considering worst case of uncertainty realization and potential market power that may arise in hourly-ahead market. TSRO with integer recourses is then solved by a new column and constraint generation algorithm. Results show a robust Var reserve contract can fully eliminate market power, and prevent suppliers from manipulating market prices.展开更多
A well-developed financial market system is crucial for supporting high-quality development in the new era.Initial Public Offerings(IPOs)are essential for enabling financial markets to facilitate new industrialization...A well-developed financial market system is crucial for supporting high-quality development in the new era.Initial Public Offerings(IPOs)are essential for enabling financial markets to facilitate new industrialization while accelerating the development of a manufacturing powerhouse.Therefore,research on IPO mechanism reform holds significant practical implications.This paper examines the impact of China’s IPO mechanism reform by studying the equilibrium relationship between the primary market and the lending market.Using empirical analysis,we compare the average return on online subscriptions for newly listed shares using the risk-free rate before and after China’s 2015 IPO mechanism reform,as well as analyze the underlying mechanisms driving excess returns during both periods.Our findings indicate a gradual alignment of returns in the primary and lending markets,with institutional arbitrage opportunities between them diminishing.The reforms have effectively enhanced market mechanisms,improved pricing capabilities,rationalized participant behavior,and optimized the securities market ecosystem.These improvements have contributed to the market’s equilibrium and enhanced the market’s ability to interpret information.However,further improvements to the IPO mechanism are necessary,including deeper market-oriented reforms,standardization of participant behavior,acceleration of a comprehensive registration system,and stronger information disclosure and quality management.展开更多
The specific concepts of Islamic capital market are based on transparency, accountability, and no asymmetric information. A capital market is said to be efficient with respect to an information item if the prices of s...The specific concepts of Islamic capital market are based on transparency, accountability, and no asymmetric information. A capital market is said to be efficient with respect to an information item if the prices of securities fully impound the return implication of that item. This study has two main objectives. Firstly, for testing the efficiency of Islamic capital market which focuses on Jakarta Islamic Index （JII）. Secondly, by this research finding the regulator can make a good solution to create the real Islamic capital market. This study concludes that the Islamic capital market is not efficient in information. This is proved by test, where the result for both mean adjusted model and market adjusted model shows not significant, which means that the stock price that occurred has not been able to reflect a strong relationship with the real conditions that exist within the company. The second conclusion is the magnitude of abnormal return suggests that the market still has asymmetric information that will cause the occurrence of abnormal return. This is very unfortunate because Islamic capital market should be efficient in reflecting information transparency that could create a fair price in accordance with the real condition of the company＇s stock issuance.展开更多
The efficient Market Hypothesis divided the stock market into three parts： weak-form efficiency, semi-strong-form efficiency, and strong-form efficiency. There are so many scholars have conducted researches on whethe...The efficient Market Hypothesis divided the stock market into three parts： weak-form efficiency, semi-strong-form efficiency, and strong-form efficiency. There are so many scholars have conducted researches on whether China＇ s stock market has reached weak-form efficiency. The author of this literature review summaries the results of these researches and makes a systematic induction. This article attempts to show the achievements of these researches and ~ive readers new ideas about how to improve China＇ s stock market efficiency.展开更多
Market efficiency is based on efficient market hypothesis(EMH).EMH claims that market totally contains the available information.In case of EMH,valid investors who take position will not gain abnormal profits.If the e...Market efficiency is based on efficient market hypothesis(EMH).EMH claims that market totally contains the available information.In case of EMH,valid investors who take position will not gain abnormal profits.If the efficiency can not be established,that is,if markets are not efficient,investors will have the opportunity of abnormal profits.This paper investigates the causality relations to determine validity of EMH among G7(Canada,France,Germany,Italy,Japan,United Kingdom,and United States)countries'stock exchange markets for the period from July 2003 to October 2014.To find out whether the variables cause each other or not provides knowledge about the market efficiency.The implication of this analysis is twofold.One implication is that if the markets are informationally efficient,the possibility of abnormal returns through arbitrage is ruled out and investors can reduce the risk of their investment for the same expected returns,if they establish portfolios that consist of both markets rather than consisting of only one market.Based on this,Hacker-Hatemi-J.bootstrap causality test that is newer and has many advantages contrary to other tests was used.Results showed that EMH is valid among each G7 countries'stock exchange markets.Also portfolio diversification benefits exist among these markets.展开更多
A knowledge based company is the microcosmic foundation of the knowledge economy, the design of its organization structure should amplify the company competence to be agile to the knowledge elements. This paper expoun...A knowledge based company is the microcosmic foundation of the knowledge economy, the design of its organization structure should amplify the company competence to be agile to the knowledge elements. This paper expounds an interior market network structure which is fit for the company intellectual capital operation, and analyses this organization pattern about the reasons of existence, the effectiveness of growing up in scale, the economies of knowledge distribution and the efficiency of operation, and it will provide some beneficial theoretical guidance about how can a company improve its competition competence in the knowledge environment through organization innovation.展开更多
On March 31,2010,China formally introduced a margin trading system,which announced that China's capital market has completed the transformation from a unilateral transaction model to a bilateral transaction model ...On March 31,2010,China formally introduced a margin trading system,which announced that China's capital market has completed the transformation from a unilateral transaction model to a bilateral transaction model with a short-selling mechanism.However,the current development of China's margin trading and securities lending businesses is seriously unbalanced,and the scale of financing far exceeds the scale of securities lending.The short selling effect of securities lending exchanges is extremely limited,which to some extent violates the original intention of introducing the system.In order to help margin trading and securities lending to correct a healthy and sustainable development path,this article uses stock price synchronicity as a proxy indicator to measure the information efficiency of the capital market,explores the impact of the margin trading system on the information efficiency of the capital market,and study the detailed characteristics and economic consequences of the margin trading system.Aiming at this topic,this article analyzes the relationship between margin financing and securities lending and stock price synchronicity.Finally,it analyzes the influence of margin financing and securities lending system on stock price synchronicity from three dimensions of corporate governance,external supervision,and institutional environment mechanism.In terms of empirical research,this article takes advantage of the“quasi-natural experiment”provided by the gradual opening of margin trading and securities lending in China’s securities market,and selects listed companies on the Shanghai and Shenzhen stock exchanges from 2007 to 2019 as the research objects,starting from the perspective of stock price synchronicity,and passing The DID-FE model studies the impact of the margin trading and securities lending system on the information efficiency of the capital market.It uses three methods:parallel trend and dynamic testing,PSM-DID analysis,and placebo testing for robustness testing to solve the endogeneity problem of the experiment.This article also conducts deeper research on the subject based on the two dimensions of the impact mechanism of margin financing and securities lending and the size of the company,and finally discusses the economic impact of margin financing and securities lending on the level of company innovation.展开更多
Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibilit...Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.展开更多
In this paper, we study day-of-the-week effects in stock retums across different industry sectors in the New Zealand market. Unlike other studies on this market, we examine weekday seasonality using daily stock return...In this paper, we study day-of-the-week effects in stock retums across different industry sectors in the New Zealand market. Unlike other studies on this market, we examine weekday seasonality using daily stock return data of four market indexes and 16 industry sectors for the period from October 1, 1997 to April 16, 2009. We do not find significant Monday anomalies of the market index, large capitalization stock index and all industry sectors except for the property sector. Our finding is inconsistent with the literature on the New Zealand stock market. However, we find that the mid and small capitalization stocks have significant negative returns on Mondays than on other weekdays, which is consistent with the previous studies in some other markets.展开更多
This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies.Specifically,the correlation dimension(CD),Lyapunov Exponent(LE),and approximate entropy(AE)were estimated bef...This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies.Specifically,the correlation dimension(CD),Lyapunov Exponent(LE),and approximate entropy(AE)were estimated before and during the COVID-19 pandemic.Then,we applied Student’s t-test and F-test to check whether the estimated nonlinear features differ across periods.The empirical results show that(i)the COVID-19 pandemic has not affected the means of CD,LE,and AE in prices,(ii)the variances of CD,LE,and AE estimated from prices are different across pre-pandemic and during pandemic periods,and specifically(iii)the variance of CD decreased during the pandemic;however,the variance of LE and the variance of AE increased during the pandemic period.Furthermore,the pandemic has not affected all three features estimated from the volume series.Our findings suggest that investing in cryptocurrencies is advantageous during a pandemic because their prices become more regular and stable,and the latter has not affected the volume of transactions.展开更多
This paper explores whether the level of stock price informativeness about listed companies’future earnings is influenced by investor sentiment.In prior studies,investor sentiment,which can be regarded as the mood of...This paper explores whether the level of stock price informativeness about listed companies’future earnings is influenced by investor sentiment.In prior studies,investor sentiment,which can be regarded as the mood of the market,is defined as a belief about unjustified firms’future cash flow,investment returns and risks in capital markets.At the same time,stock price informativeness indicates how much information about a firm’s future earnings is reflected by stock prices.Higher price informativeness indicates a higher market efficiency level.Using linear regression analysis based on panel data from China’s stock market and listed companies,this research documents how stock price informativeness can be reduced by investor sentiment during market pessimism.However,although the explanatory power of future earnings over stock returns is strengthened by positive sentiment,it is not certain that positive sentiment increases price informativeness since the asset price bubble exists with extreme market optimism.Furthermore,the effect of sentiment on price informativeness would be weakened by higher state-owned shareholding.These empirical results imply that sentiment,to a certain degree,causes the investors’ignorance during pessimism and exaggeration during optimism over firms’earning prospects.Moreover,investors usually lack favour for state-owned enterprises during optimism,even though these companies actually have considerable earning prospects.While during pessimism,which usually happens after a crisis,the profitability and reliability of these state-owned enterprises are again emphasised by investors.展开更多
The efficient market theory is a central point in finance. If the capital market is competitive, the investors cannot expect superior gains from their investment strategies with respect to the risk profile. Event stud...The efficient market theory is a central point in finance. If the capital market is competitive, the investors cannot expect superior gains from their investment strategies with respect to the risk profile. Event studies are an approach to verify the impact of the information on the stock prices. In an efficient market, stock prices should fully, promptly, and quickly capture all the information. Instead, the market shows phenomena of an under-reaction and over-reaction for both the short and the long run. The mergers and acquisitions （M＆As） are examples of anomalies. Often, the bidder companies record the negative abnormal returns for both the short and the long run. In contrast to the efficient market theory, the empirical evidence shows that this phenomenon is widespread in all （or most of） the countries of the world. This work examines the long-run performance in M＆As. For this purpose, 40 bidders were observed in Italy during the period of 1994-2008 among listed companies. The buy and hold abnormal returns （BHARs） methodology was used, with which it was possible to observe the returns for three years following the deal.展开更多
In this paper,using data for the Bist 100 index,we investigate the presence of nonlinearities by employing several nonlinearity tests.The Brock,Dechert,and Scheinkman(BDS)and runs tests were first applied to the serie...In this paper,using data for the Bist 100 index,we investigate the presence of nonlinearities by employing several nonlinearity tests.The Brock,Dechert,and Scheinkman(BDS)and runs tests were first applied to the series to show an initial indication of nonlinearity.The findings for the BDS and runs test of randomness were followed by other sets of direct nonlinearity tests developed by White(1989),Terasvirta(1993),Keenan(1985),and Tsay(1986).Also,the Threshold Autoregression(TAR)test is employed as a final test to confirm the existence of nonlinearity in the Turkish stock exchange market.From the results of the nonlinearity test,it is concluded that the Bist 100 index is characterised by the presence of nonlinearities and cycles.This finding is in contrast with the efficient market hypothesis(EMH)implying that the Turkish stock exchange market is inefficient.展开更多
文摘This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process.For empirical purposes,the Sharpe ratio can be formulated with a monotonic increasing function of R-squared if the sample size is large enough.One can utilize the Sharpe ratio to compare weak-form efficiency among different markets.The results of stochastic simulation demonstrate the validity of the proposed method.The author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index.
基金funded by the China Scholarship Council(CSC Grant No.202108360133)the Social Science Foundation of Jiangxi Province(No.22GL13&22GL43)the Science and Technology Research Project of Jiangxi Province Education Department(No.GJJ210537).
文摘Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.
文摘The price in an efficient market can adjust to new information instantaneously to eliminate any arbitrage opportunities. Such a phenomenon is not always observed in the real estate market because of its unique characteristics, which include fixed location, heterogeneity and low transaction frequency. Using housing and office market data of some major cities in China, this paper examines the return and risk characteristics in these markets and assesses market efficiency. It finds that a number of instruments, including lagged quarterly and annual excess returns and, to some extent, the measure of the deviation of price from the intrinsic value, predict future returns. Therefore, weak form and semi-strong form efficiency can both be rejected in these real estate markets. These empirical findings suggest that there is slow price adjustment in real estate markets in China, which may be attributed to inefficient information transmission systems and long searching time in the markets.
基金supported by National Social Science Fund Project[grant Number:15ZDA015]Ministry of Education Research Project[grant Number:16JJD790018]
文摘Unlike the European Union emission trade system(EU ETS), China s pilot ETSs implemented diversified policy designs instead of using a uniform framework. Variance ratio test is used to evaluate the Efficient Market Hypothesis(EMH) in China's carbon trading markets. The results of two versions of variance ratio tests indicate that the carbon trading market in Hubei is considered weak form efficient, and the socialist market economy does not necessarily lead to market inefficiency in carbon trading markets. Thin trading activities generate market frictions and bias the Efficient Market Hypothesis(EMH) tests.
文摘This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies(Bitcoin,Ethereum,and Ripple),gold,and West Texas Intermediate(WTI)crude oil.The data coverage of daily returns was from August 2015 to April 2019.We applied two alternative tests to examine linear and nonlinear dependency,i.e.,automatic portmanteau and generalized spectral tests.The analysis of observed results validated the adaptive market hypothesis(AMH)in all markets,but the degree of adaptability between the data was different.In this study,we also analyzed the existence of evolutionary behavior in the market.To achieve this goal,we checked the results by applying the rolling-window method with three different window lengths(50,100,and 150 days)on the test statistics,which was consistent with the findings of AMH.
基金supported by the National Research Foundation of Korea funded by the Ministry of Science and ICT(2022R1A2C1004258:Kwangwon Ahn)the Sogang University Research Grant of 2023(No.202310016.01:Sungbin Sohn).
文摘This study examines the impact of futures trading on market efficiency and price discovery in the U.S.real estate investment trusts(REITs)market.First,we present inconclusive evidence regarding efficiency improvement in the U.S.REIT spot market following the introduction of futures trading.To investigate the interplay between spot and futures markets,we analyze their respective roles in price discovery and find that,unlike in stock and bond markets,the spot market predominantly exhibits price leadership in the U.S.REITs market,despite the growing market size of futures.We find evidence that the limited role of futures in price discovery is associated with an increase in speculative demand,which outweighs hedging pressure.These findings suggest that policymakers should carefully monitor investor trading motives in the U.S.REITs market and consider revising market regulations to enhance liquidity,ensuring that increased liquidity does not primarily result from heightened speculative demand.
文摘In a deregulated Var market, market power issue is more serious than in an energy market since reactive power cannot be transmitted over long distances. This letter designs a multi-timescale Var market framework, where market power that may arise in the hourly-ahead Var support service market due to system configuration deficiency and market structure flaws can be eliminated by day-ahead contract-based Var reserve service market. Settlement of day-ahead Var reserve contract is formulated as a two-stage robust optimization (TSRO) model considering worst case of uncertainty realization and potential market power that may arise in hourly-ahead market. TSRO with integer recourses is then solved by a new column and constraint generation algorithm. Results show a robust Var reserve contract can fully eliminate market power, and prevent suppliers from manipulating market prices.
基金funded by the Shanghai Planning Office of Philosophy and Social Science under the project“Evaluation of Shanghai’s Practices in Modernizing the National Economic Governance System and Governance Capacity”(No.2020BJB020)。
文摘A well-developed financial market system is crucial for supporting high-quality development in the new era.Initial Public Offerings(IPOs)are essential for enabling financial markets to facilitate new industrialization while accelerating the development of a manufacturing powerhouse.Therefore,research on IPO mechanism reform holds significant practical implications.This paper examines the impact of China’s IPO mechanism reform by studying the equilibrium relationship between the primary market and the lending market.Using empirical analysis,we compare the average return on online subscriptions for newly listed shares using the risk-free rate before and after China’s 2015 IPO mechanism reform,as well as analyze the underlying mechanisms driving excess returns during both periods.Our findings indicate a gradual alignment of returns in the primary and lending markets,with institutional arbitrage opportunities between them diminishing.The reforms have effectively enhanced market mechanisms,improved pricing capabilities,rationalized participant behavior,and optimized the securities market ecosystem.These improvements have contributed to the market’s equilibrium and enhanced the market’s ability to interpret information.However,further improvements to the IPO mechanism are necessary,including deeper market-oriented reforms,standardization of participant behavior,acceleration of a comprehensive registration system,and stronger information disclosure and quality management.
文摘The specific concepts of Islamic capital market are based on transparency, accountability, and no asymmetric information. A capital market is said to be efficient with respect to an information item if the prices of securities fully impound the return implication of that item. This study has two main objectives. Firstly, for testing the efficiency of Islamic capital market which focuses on Jakarta Islamic Index （JII）. Secondly, by this research finding the regulator can make a good solution to create the real Islamic capital market. This study concludes that the Islamic capital market is not efficient in information. This is proved by test, where the result for both mean adjusted model and market adjusted model shows not significant, which means that the stock price that occurred has not been able to reflect a strong relationship with the real conditions that exist within the company. The second conclusion is the magnitude of abnormal return suggests that the market still has asymmetric information that will cause the occurrence of abnormal return. This is very unfortunate because Islamic capital market should be efficient in reflecting information transparency that could create a fair price in accordance with the real condition of the company＇s stock issuance.
文摘The efficient Market Hypothesis divided the stock market into three parts： weak-form efficiency, semi-strong-form efficiency, and strong-form efficiency. There are so many scholars have conducted researches on whether China＇ s stock market has reached weak-form efficiency. The author of this literature review summaries the results of these researches and makes a systematic induction. This article attempts to show the achievements of these researches and ~ive readers new ideas about how to improve China＇ s stock market efficiency.
文摘Market efficiency is based on efficient market hypothesis(EMH).EMH claims that market totally contains the available information.In case of EMH,valid investors who take position will not gain abnormal profits.If the efficiency can not be established,that is,if markets are not efficient,investors will have the opportunity of abnormal profits.This paper investigates the causality relations to determine validity of EMH among G7(Canada,France,Germany,Italy,Japan,United Kingdom,and United States)countries'stock exchange markets for the period from July 2003 to October 2014.To find out whether the variables cause each other or not provides knowledge about the market efficiency.The implication of this analysis is twofold.One implication is that if the markets are informationally efficient,the possibility of abnormal returns through arbitrage is ruled out and investors can reduce the risk of their investment for the same expected returns,if they establish portfolios that consist of both markets rather than consisting of only one market.Based on this,Hacker-Hatemi-J.bootstrap causality test that is newer and has many advantages contrary to other tests was used.Results showed that EMH is valid among each G7 countries'stock exchange markets.Also portfolio diversification benefits exist among these markets.
基金This paper is supported by the Philosophy and Social Science Foundation ofGuangxi （No.05FJY034）.
文摘A knowledge based company is the microcosmic foundation of the knowledge economy, the design of its organization structure should amplify the company competence to be agile to the knowledge elements. This paper expounds an interior market network structure which is fit for the company intellectual capital operation, and analyses this organization pattern about the reasons of existence, the effectiveness of growing up in scale, the economies of knowledge distribution and the efficiency of operation, and it will provide some beneficial theoretical guidance about how can a company improve its competition competence in the knowledge environment through organization innovation.
文摘On March 31,2010,China formally introduced a margin trading system,which announced that China's capital market has completed the transformation from a unilateral transaction model to a bilateral transaction model with a short-selling mechanism.However,the current development of China's margin trading and securities lending businesses is seriously unbalanced,and the scale of financing far exceeds the scale of securities lending.The short selling effect of securities lending exchanges is extremely limited,which to some extent violates the original intention of introducing the system.In order to help margin trading and securities lending to correct a healthy and sustainable development path,this article uses stock price synchronicity as a proxy indicator to measure the information efficiency of the capital market,explores the impact of the margin trading system on the information efficiency of the capital market,and study the detailed characteristics and economic consequences of the margin trading system.Aiming at this topic,this article analyzes the relationship between margin financing and securities lending and stock price synchronicity.Finally,it analyzes the influence of margin financing and securities lending system on stock price synchronicity from three dimensions of corporate governance,external supervision,and institutional environment mechanism.In terms of empirical research,this article takes advantage of the“quasi-natural experiment”provided by the gradual opening of margin trading and securities lending in China’s securities market,and selects listed companies on the Shanghai and Shenzhen stock exchanges from 2007 to 2019 as the research objects,starting from the perspective of stock price synchronicity,and passing The DID-FE model studies the impact of the margin trading and securities lending system on the information efficiency of the capital market.It uses three methods:parallel trend and dynamic testing,PSM-DID analysis,and placebo testing for robustness testing to solve the endogeneity problem of the experiment.This article also conducts deeper research on the subject based on the two dimensions of the impact mechanism of margin financing and securities lending and the size of the company,and finally discusses the economic impact of margin financing and securities lending on the level of company innovation.
文摘Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.
文摘In this paper, we study day-of-the-week effects in stock retums across different industry sectors in the New Zealand market. Unlike other studies on this market, we examine weekday seasonality using daily stock return data of four market indexes and 16 industry sectors for the period from October 1, 1997 to April 16, 2009. We do not find significant Monday anomalies of the market index, large capitalization stock index and all industry sectors except for the property sector. Our finding is inconsistent with the literature on the New Zealand stock market. However, we find that the mid and small capitalization stocks have significant negative returns on Mondays than on other weekdays, which is consistent with the previous studies in some other markets.
文摘This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies.Specifically,the correlation dimension(CD),Lyapunov Exponent(LE),and approximate entropy(AE)were estimated before and during the COVID-19 pandemic.Then,we applied Student’s t-test and F-test to check whether the estimated nonlinear features differ across periods.The empirical results show that(i)the COVID-19 pandemic has not affected the means of CD,LE,and AE in prices,(ii)the variances of CD,LE,and AE estimated from prices are different across pre-pandemic and during pandemic periods,and specifically(iii)the variance of CD decreased during the pandemic;however,the variance of LE and the variance of AE increased during the pandemic period.Furthermore,the pandemic has not affected all three features estimated from the volume series.Our findings suggest that investing in cryptocurrencies is advantageous during a pandemic because their prices become more regular and stable,and the latter has not affected the volume of transactions.
文摘This paper explores whether the level of stock price informativeness about listed companies’future earnings is influenced by investor sentiment.In prior studies,investor sentiment,which can be regarded as the mood of the market,is defined as a belief about unjustified firms’future cash flow,investment returns and risks in capital markets.At the same time,stock price informativeness indicates how much information about a firm’s future earnings is reflected by stock prices.Higher price informativeness indicates a higher market efficiency level.Using linear regression analysis based on panel data from China’s stock market and listed companies,this research documents how stock price informativeness can be reduced by investor sentiment during market pessimism.However,although the explanatory power of future earnings over stock returns is strengthened by positive sentiment,it is not certain that positive sentiment increases price informativeness since the asset price bubble exists with extreme market optimism.Furthermore,the effect of sentiment on price informativeness would be weakened by higher state-owned shareholding.These empirical results imply that sentiment,to a certain degree,causes the investors’ignorance during pessimism and exaggeration during optimism over firms’earning prospects.Moreover,investors usually lack favour for state-owned enterprises during optimism,even though these companies actually have considerable earning prospects.While during pessimism,which usually happens after a crisis,the profitability and reliability of these state-owned enterprises are again emphasised by investors.
文摘The efficient market theory is a central point in finance. If the capital market is competitive, the investors cannot expect superior gains from their investment strategies with respect to the risk profile. Event studies are an approach to verify the impact of the information on the stock prices. In an efficient market, stock prices should fully, promptly, and quickly capture all the information. Instead, the market shows phenomena of an under-reaction and over-reaction for both the short and the long run. The mergers and acquisitions （M＆As） are examples of anomalies. Often, the bidder companies record the negative abnormal returns for both the short and the long run. In contrast to the efficient market theory, the empirical evidence shows that this phenomenon is widespread in all （or most of） the countries of the world. This work examines the long-run performance in M＆As. For this purpose, 40 bidders were observed in Italy during the period of 1994-2008 among listed companies. The buy and hold abnormal returns （BHARs） methodology was used, with which it was possible to observe the returns for three years following the deal.
文摘In this paper,using data for the Bist 100 index,we investigate the presence of nonlinearities by employing several nonlinearity tests.The Brock,Dechert,and Scheinkman(BDS)and runs tests were first applied to the series to show an initial indication of nonlinearity.The findings for the BDS and runs test of randomness were followed by other sets of direct nonlinearity tests developed by White(1989),Terasvirta(1993),Keenan(1985),and Tsay(1986).Also,the Threshold Autoregression(TAR)test is employed as a final test to confirm the existence of nonlinearity in the Turkish stock exchange market.From the results of the nonlinearity test,it is concluded that the Bist 100 index is characterised by the presence of nonlinearities and cycles.This finding is in contrast with the efficient market hypothesis(EMH)implying that the Turkish stock exchange market is inefficient.
