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Industry herding and momentum strategies
Demirer, Rıza; Lien, Da-hsiang Donald; Zhang, Huacheng - In: Pacific-Basin finance journal 32 (2015), pp. 95-110
Persistent link: https://www.econbiz.de/10011471555
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The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks
Bohl, Martin T.; Diesteldorf, Jeanne; Siklos, Pierre L. - Center for Quantitative Economics (CQE), … - 2014
This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with...
Persistent link: https://www.econbiz.de/10010939331
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Size and price-to-book effects: Evidence from the Chinese stock markets
Hilliard, Jitka; Zhang, Haoran - In: Pacific-Basin Finance Journal 32 (2015) C, pp. 40-55
We examine the size and price-to-book effects in Chinese markets. We find strong evidence for the size effect but little evidence for the price-to-book effect. We further examine these effects in the context of the monetary policy of the People's Bank of China. We find that the size effect is...
Persistent link: https://www.econbiz.de/10011263624
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Investor herding behaviour of Chinese stock market
Yao, Juan; Ma, Chuanchan; He, William Peng - In: International Review of Economics & Finance 29 (2014) C, pp. 12-29
This paper examines the existence and prevalence of investor herding behaviour in a segmented market setting, the Chinese A and B stock markets. It is the first study to detail the difference in herding behaviour across A and B markets. The results indicate that investors exhibit different...
Persistent link: https://www.econbiz.de/10010729751
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Do Foreign Institutional Investors Destabilize China’s A-Share Markets?
Schuppli, Michael; Bohl, Martin T. - Center for Quantitative Economics (CQE), … - 2009
This paper investigates the eect of foreign institutional investors on the sta- bility of Chinese stock markets. Previous literature views this investor group as destabilizing feedback traders. We use the abolition of ownership restrictions on A shares as a natural experiment. There is strong...
Persistent link: https://www.econbiz.de/10008471778
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The choice between rights and underwritten equity offerings: Evidence from Chinese stock markets
Dang, Li; Yang, J. Jimmy - In: Journal of Multinational Financial Management 23 (2013) 3, pp. 235-253
We study the choice and valuation effects of alternative flotation methods using a sample of Chinese firms that must meet the return on equity (ROE) thresholds set by the government to raise equity capital. The ROE requirement, although changed over time, seems to play an important role on the...
Persistent link: https://www.econbiz.de/10010664203
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The effect of index futures trading on volatility: Three markets for Chinese stocks
Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos - Department of Economics, School of Business and Economics - 2015
This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with...
Persistent link: https://www.econbiz.de/10011196458
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Momentum strategies and market state in Moroccan industries
Gharaibeh, Omar K.; Kharabsheh, Buthiena; Al-Quran, Ali Z. - In: Cogent Business & Management 9 (2022) 1, pp. 1-15
This study aims to examine whether there is any evidence of momentum in Moroccan industries and whether these momentum … showed that there is ample evidence and statistically significant momentum returns in Moroccan industries. The sub …-sample findings support the evidence of momentum. This study also shows that momentum returns in the Moroccan industry are not …
Persistent link: https://www.econbiz.de/10014505447
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Is Momentum Really Momentum? International Evidence
Gong, Qiang; Liu, Ming; Liu, Qianqiu - Graduate School of International Relations, … - 2011
Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio … whether intermediate horizon past performance is more dominant than 52-week high momentum strategy and recent past performance … 52-week high momentum effects are prevalent in international markets. The intermediate horizon past performance during …
Persistent link: https://www.econbiz.de/10010533612
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Momentum strategies and market state in Moroccan industries
Gharaibeh, Omar K.; Kharabsheh, Buthiena; Al-Quran, Ali … - In: Cogent business & management 9 (2022) 1, pp. 1-15
This study aims to examine whether there is any evidence of momentum in Moroccan industries and whether these momentum … showed that there is ample evidence and statistically significant momentum returns in Moroccan industries. The sub …-sample findings support the evidence of momentum. This study also shows that momentum returns in the Moroccan industry are not …
Persistent link: https://www.econbiz.de/10014443548