Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.07.014
Abstract: Abstract Based on methods developed by Bollerslev et al. (2016), we explicitly accounted for the heteroskedasticity in the measurement errors and for the high volatility of Chinese stock prices; we proposed a new model, the LogHARQ… read more here.
Keywords: chinese stock; volatility; stock market; measurement ... See more keywords
Sectoral contributions to systemic risk in the Chinese stock market
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.12.009
Abstract: Abstract This paper investigates the question of how much each sector contributes to systemic risk in the Chinese stock market. Based on two recently developed approaches, namely, Marginal Expected Shortfall (MES) and Component Expected Shortfall… read more here.
Keywords: risk chinese; systemic risk; risk; chinese stock ... See more keywords
COVID-19’s Impact on the Spillover Effect Across the Chinese and U.S. Stock Markets
Sign Up to like & getrecommendations! Published in 2022 at "Finance Research Letters"
DOI: 10.1016/j.frl.2022.102684
Abstract: This paper investigates the cross-market spillover effect between the Chinese and U.S. stock index returns, and the markets’ volatility from the impact of COVID-19′s spread in China. The results reveal that there was an asymmetric… read more here.
Keywords: market; spillover effect; chinese stock; spillover ... See more keywords
Stock selection with random forest: An exploitation of excess return in the Chinese stock market
Sign Up to like & getrecommendations! Published in 2019 at "Heliyon"
DOI: 10.1016/j.heliyon.2019.e02310
Abstract: In recent years, a variety of research fields, including finance, have begun to place great emphasis on machine learning techniques because they exhibit broad abilities to simulate more complicated problems. In contrast to the traditional… read more here.
Keywords: chinese stock; stock selection; market; finance ... See more keywords
Does idiosyncratic volatility matter? — Evidence from Chinese stock market
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.09.184
Abstract: Is idiosyncratic volatility priced? The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. This paper examines the relation between idiosyncratic volatility and expected returns in Chinese Stock Market.… read more here.
Keywords: idiosyncratic volatility; chinese stock; volatility; stock market ... See more keywords
Responsible investment in the Chinese stock market
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2019.101173
Abstract: Abstract This paper provides insights into the current development of responsible investment in the Chinese stock market. We find that responsible investment can bring portfolio benefits to investors, and institutional investors have a holding preference… read more here.
Keywords: chinese stock; investment chinese; investment; trading ... See more keywords
Dynamic causality between the U.S. stock market, the Chinese stock market and the global gold market: implications for individual investors’ diversification strategies
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics"
DOI: 10.1080/00036846.2019.1601156
Abstract: ABSTRACT This paper proposes a generalization of the prior VAR and EGARCH model to explore the linkage between returns and volatility transmissions in the U.S. stock market, the Chinese stock market, and the global gold… read more here.
Keywords: chinese stock; market; market global; stock market ... See more keywords
Improving market timing of time series momentum in the Chinese stock market
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics"
DOI: 10.1080/00036846.2020.1740160
Abstract: ABSTRACT This paper is the first study to present firm-level evidence that the time-series momentum (TSMOM) strategies with look-back-period k of 10 to 200 days outperform the buy-and-hold strategy (BH) on individual stocks in the… read more here.
Keywords: chinese stock; time series; time; series momentum ... See more keywords
Asymmetric effect of advertising on the Chinese stock market
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DOI: 10.1080/13504851.2018.1441506
Abstract: ABSTRACT In this paper, we investigate whether investor attention to advertising has an asymmetric effect on Chinese stock returns by using a multivariate Markov switching model with time-varying regime transition probabilities. Using the Chinese stock… read more here.
Keywords: chinese stock; volatility; market; advertising ... See more keywords
The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2018.1559141
Abstract: ABSTRACT This article studies the effect of the extremely small price limits on market quotation with an agent-based model. Considering the early government intervention in the Chinese stock market as a natural experiment, we provide… read more here.
Keywords: extremely small; price limits; price; small price ... See more keywords
Institutional Information Manipulation and Individual Investors’ Disadvantages: A New Explanation for Momentum Reversal on the Chinese Stock Market
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1593825
Abstract: ABSTRACT In this study, empirical evidence is presented to explain the momentum reversal phenomenon in the Chinese stock market in terms of the manipulation of institutional information. On the institutional “sell” side, we demonstrate that… read more here.
Keywords: momentum reversal; stock market; stock; chinese stock ... See more keywords