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Growth Tilt of Chinese Stock Mutual Funds
Chi, Yeguang - 2018
We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...
Persistent link: https://www.econbiz.de/10012915752
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
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Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment
Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia - 2021
This paper examines how different categories of COVID–19 news sentiment differentially impact the behavior of cryptocurrency returns. A nonlinear technique of transfer entropy is applied to investigate the relationship between the top 30 cryptocurrencies by market capitalization and COVID–19...
Persistent link: https://www.econbiz.de/10013212657
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One Country, Two Calendars : Lunar January Effect in China’s A-share Stock Market
Liang, Xiaobo; Liu, Qianqiu; Zebedee, Allan A. - 2022
In this paper, we examine the January effect in China’s A-share stock market from January 1995 to December 2019 using …-of-the-year effect in China. Instead, the turn-of-the-year effect in trading volume and buy orders help to explain the strong lunar …
Persistent link: https://www.econbiz.de/10014236909
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The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns
Lambertides, Neophytos - 2017
This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...
Persistent link: https://www.econbiz.de/10012959469
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New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023
Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...
Persistent link: https://www.econbiz.de/10014254878
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The Asymmetric Positive Feedback Trading in Individual Stocks : China's Evidences
Wan, Die - 2015
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
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A Risk-Return Analysis of the Chinese Stock Market
Nandha, Mohan - 2013
This study examines the risk-return characteristics of the Chinese A and H B-shares from domestic and foreign investors' perspective over the period January 1995 to June 2012. On average, H B-shares appear to offer a better risk-adjusted return irrespective of whether the returns are measured in...
Persistent link: https://www.econbiz.de/10013088569
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The Fundamental-to-Market Ratio and the Value Premium Decline
Gonçalves, Andrei - 2020
Recent evidence indicates the value premium declined over time. In this paper, we argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, FE, defined as the equity value originating purely from expected cash flows (i.e., no discount rate differences...
Persistent link: https://www.econbiz.de/10012837291