This paper examines stockreturns, volatility, and cointegration among three Chinese stock marketsbeforeand afterHong Kong’sreturn to China. Theaverage daily returnsaremuch higherduring the first sub-period (from Apri...This paper examines stockreturns, volatility, and cointegration among three Chinese stock marketsbeforeand afterHong Kong’sreturn to China. Theaverage daily returnsaremuch higherduring the first sub-period (from April1991 to June1997)and significantlyloweror even negativeduring the second sub-period (from July1997 to December2002). The mean adjusted changein volatilityis negativelyand significantly correlated with thelagged returns. This negative relation is mainly caused by a contemporaneous and significantly positive correlation between returnsand volatilityinthe firstsub-period. Thissignificant relationship disappears forthe Shanghai and Shenzhen Stock Exchanges and is even negative for the Hong Kong Stock Exchange during the second sub-period. Three Chinese stock markets arecointegrated over the entiresampleperiod and becomemore closelyrelated after Hong Kong’s return to China. Our results have important implications for both policy makers and individual investors.展开更多
This paper studics thc optimal pairs trading stratcgy of the mcan-variance(MV)objective function under a continuous-time cointegration model with a common stochastic factor.Although this common stochastic factor is no...This paper studics thc optimal pairs trading stratcgy of the mcan-variance(MV)objective function under a continuous-time cointegration model with a common stochastic factor.Although this common stochastic factor is not directly tradable,it significantly impacts asset prices.We first provide a semiclosed-form solution under a general model.We then specify the common factor model to be a mean-reverting process with time-varying parameters and provide closed-form optimal strategies for pairs trading with fixed and flexible ratios,respectively.Empirical analysis based on historical data from Chinese sccuritics markcts shows thc cffcctivencss of both optimal stratcgics.The optimal flcxiblc-ratio strategy outperforms the optimal fixed-ratio strategy in terms of both profit and risk.展开更多
The article adopts the quarterly data of the monetary and macroeconomics variables from 1978～1999, applies the asymmetrical information game analysis, the regression and cointegration error-correction model, to inves...The article adopts the quarterly data of the monetary and macroeconomics variables from 1978～1999, applies the asymmetrical information game analysis, the regression and cointegration error-correction model, to investigate on the decision-making mechanism of money supply and money regulation project. It suggests the regulation process which central bank controls with instruments of the monetary policy and the mode detail of its operation.展开更多
文摘This paper examines stockreturns, volatility, and cointegration among three Chinese stock marketsbeforeand afterHong Kong’sreturn to China. Theaverage daily returnsaremuch higherduring the first sub-period (from April1991 to June1997)and significantlyloweror even negativeduring the second sub-period (from July1997 to December2002). The mean adjusted changein volatilityis negativelyand significantly correlated with thelagged returns. This negative relation is mainly caused by a contemporaneous and significantly positive correlation between returnsand volatilityinthe firstsub-period. Thissignificant relationship disappears forthe Shanghai and Shenzhen Stock Exchanges and is even negative for the Hong Kong Stock Exchange during the second sub-period. Three Chinese stock markets arecointegrated over the entiresampleperiod and becomemore closelyrelated after Hong Kong’s return to China. Our results have important implications for both policy makers and individual investors.
文摘This paper studics thc optimal pairs trading stratcgy of the mcan-variance(MV)objective function under a continuous-time cointegration model with a common stochastic factor.Although this common stochastic factor is not directly tradable,it significantly impacts asset prices.We first provide a semiclosed-form solution under a general model.We then specify the common factor model to be a mean-reverting process with time-varying parameters and provide closed-form optimal strategies for pairs trading with fixed and flexible ratios,respectively.Empirical analysis based on historical data from Chinese sccuritics markcts shows thc cffcctivencss of both optimal stratcgics.The optimal flcxiblc-ratio strategy outperforms the optimal fixed-ratio strategy in terms of both profit and risk.
基金This work is supported by National Natural Science Foundation of China (No.70 12 10 0 1)
文摘The article adopts the quarterly data of the monetary and macroeconomics variables from 1978～1999, applies the asymmetrical information game analysis, the regression and cointegration error-correction model, to investigate on the decision-making mechanism of money supply and money regulation project. It suggests the regulation process which central bank controls with instruments of the monetary policy and the mode detail of its operation.
