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Effects of investor sentiment on stock volatility : new evidences from multi-source data in China's green stock markets
Gao, Yang; Zhao, Chengjie; Sun, Bianxia; Zhao, Wandi - In: Financial innovation : FIN 8 (2022), pp. 1-30
The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of … trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are …
Persistent link: https://www.econbiz.de/10013368470
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Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns
Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023
We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....
Persistent link: https://www.econbiz.de/10014258401
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The Predictable Behavior of Security Returns : A Comparative Study Between US and China Markets
Luo, Yue - 2019
Jegadeesh (1990) examines the serial correlation in monthly stock returns and tests its economic significance by designing three trading strategies. In this study, we follow his research design to compare the security return predictability between US market and China market. The findings suggest...
Persistent link: https://www.econbiz.de/10012891713
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Estimating Stock Return Volatility in Indian and Chinese Stock Market
Tripathi, Vanita - 2016
. This paper aims to search the best model to estimate and forecast volatility of Indian and Chinese stock market. The data …, we found the GARCH (1,1) model as the best model to estimate and forecast the volatility of Chinese stock market for both … the daily and weekly return series. For the Indian stock market, the recommended volatility estimation and forecasting …
Persistent link: https://www.econbiz.de/10012984654
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Economic Policy Uncertainty in China and Stock Market Expected Returns
Chen, Jian - 2017
We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...
Persistent link: https://www.econbiz.de/10012968808
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The Role of Analysts : An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market
Gu, Ming - 2020
the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …
Persistent link: https://www.econbiz.de/10012851981
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The Role of Analysts : An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market
Gu, Ming - 2020
the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …
Persistent link: https://www.econbiz.de/10012853009
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Intraday Time-series Momentum : Evidence from China
Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung … - 2023
volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an …
Persistent link: https://www.econbiz.de/10014254125
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MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market
Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...
Persistent link: https://www.econbiz.de/10014500653
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Momentum, Idiosyncratic Volatility and Market Dynamics : Evidence from China
Cheema, Muhammad A. - 2017
Recent evidence on the relation between momentum and idiosyncratic volatility (IV) in the U.S. is mixed. We verify the …
Persistent link: https://www.econbiz.de/10012947155