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Volatility contagion across the equity markets of developed and emerging market economies
Hattori, Masazumi; Shim, Ilhyock; Sugihara, Yoshihiko - 2016
Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007 - 2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...
Persistent link: https://www.econbiz.de/10011522100
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert …
Persistent link: https://www.econbiz.de/10011646414
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification
Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - 2017
This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between gold and Chinese sectorial stock returns. This means that...
Persistent link: https://www.econbiz.de/10011776995
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Are there spillover effects from Hong Kong and the United States to Chinese stock markets
Diekmann, Katharina - 2011
Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange … segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock …
Persistent link: https://www.econbiz.de/10009660281
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Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10011982404
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How does rising house price influence stock market participation in China? : a micro-household perspective
Chen, Xiaoyu; Ji, Xiaohao - 2016
China Household Finance Survey (CHFS) data in 2011 and 2013 including 36213 sample households. We mainly found that, with an …
Persistent link: https://www.econbiz.de/10011579004
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Consuming dividends
Bräuer, Konstantin; Hackethal, Andreas; Hanspal, Tobin - 2020 - Current version: May 2020
This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...
Persistent link: https://www.econbiz.de/10012223798
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Do gamblers invest in lottery stocks?
Kormanyos, Emily; Hanspal, Tobin; Hackethal, Andreas - 2022
Previous studies document a relationship between gambling at the aggregate level and investments in securities with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records to examine whether gambling and trading act as substitutes or...
Persistent link: https://www.econbiz.de/10013547897
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Do gamblers invest in lottery stocks?
Kormanyos, Emily; Hanspal, Tobin; Hackethal, Andreas - 2022
Previous studies document a relationship between gambling activity at the aggregate level and investments in securities with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records to examine whether gambling and trading act as...
Persistent link: https://www.econbiz.de/10013470234