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Barra risk model based idiosyncratic momentum for the Chinese equity market
Lu, Sean; Lu, Cindy - In: Multinational finance journal 24 (2020) 1/2, pp. 1-37
Persistent link: https://www.econbiz.de/10012590992
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Institutional investors' involuntary trading behaviors, commonality in liquidity change and stock price fragility
Chen, Guojin; Xu, Aihuan; Zhao, Xiangqin - In: China Finance Review International 3 (2013) February, pp. 90-110
Purpose – The aim of this paper is to empirically analyze the source of commonality in liquidity change in China's stock market. Design/methodology/approach – This paper used two-step test method in Coughenour and Saad and empirically tested the relationship between institutional investors'...
Persistent link: https://www.econbiz.de/10010610515
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The empirical relationship between intraday volatility and trading volume : evidence from Chinese Stocks
Tian, Gary G.; Guo, Mingyuan; Daly, Kevin James; … - University of Western Sydney; University of Western Sydney; … - 2005
thirty-nine stocks from the Shanghai Stock Exchange 180 Index. Taking in consideration the excess kurtosis in high …
Persistent link: https://www.econbiz.de/10009482105
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Behaviors of liquidity patterns in a limit order-driven market, an evidence from Chinese stock markets
Guo, Mingyuan; Tian, Gary G.; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005
This Paper examines the intraday behaviors of bid/ask spreads, depths and their determinants on an order-driven market in the Shanghai Stock Exchange. Our analysis shows that the intraday 5-minute bid/ask spreads display an L-shaped pattern and the depths exhibit an inverted L-shaped pattern....
Persistent link: https://www.econbiz.de/10009482106
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Intraday data and volatility models : evidence from Chinese stocks
Tian, Gary G.; Guo, Mingyuan; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005
thirty-nine stocks from the Shanghai Stock Exchange 180 Index. Taking in consideration the excess kurtosis in high …
Persistent link: https://www.econbiz.de/10009482212
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A (partial) resolution of the Chinese discount puzzle: The 2001 deregulation of the B-share market
Karolyi, G Andrew; Li, Lianfa; Liao, Rose - In: Journal of Financial Economic Policy 1 (2009) April, pp. 80-106
Purpose – The purpose of this paper is to examine the changes in B-share discounts across 76 Chinese stocks around an … important regulatory event to understand the importance of political risk in pricing stocks in emerging markets. Design … own B-share classes of stocks traded on both the Shanghai and Shenzhen stock markets. These share classes were previously …
Persistent link: https://www.econbiz.de/10008493729
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Government incentives and financial intermediaries : the case of Chinese sell-side analysts
Cao, Sheng; He, Xianjie; Wang, Charles C. Y.; Yin, Huifang - 2018
During times when the Chinese government wished to prop up the market, sell-side analysts from brokerages with significant government ownership issued relatively less pessimistic (or more optimistic) earnings forecasts, earnings-forecast revisions, and stock recommendations; they were also...
Persistent link: https://www.econbiz.de/10011931362
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China's grain reserves, price support and import policies : examining the medium-term market impacts of alternative policy scenarios
Deuss, Annelies; Adenäuer, Marcel - 2020
wheat and reduce its public stocks of these two commodities. The analysis examines domestic and international market impacts … stocks are depleted, with strong drops in domestic prices and reduced production. Over the medium term, domestic prices are … projected to recover but will remain below baseline levels. The analysis also shows that even though the actual size of stocks …
Persistent link: https://www.econbiz.de/10012249036
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Becoming your own China stock guru : the ultimate investor's guide to profiting from China's economic boom
Trippon, James - 2008
Persistent link: https://www.econbiz.de/10004909183
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Corporate governance and China's H-share market
De Jonge, Alice - 2008
Persistent link: https://www.econbiz.de/10004914091