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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

Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities

Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine … between China and Mexico (SSE/MEX), and China and India (SSE/BSE) were 0.01 and 0.06, respectively. This implies that a $1 …

Persistent link: https://www.econbiz.de/10014500295

Dual State-Space Model of Market Liquidity : The Chinese Experience 2009-2010

Lerner, Peter - 2020

correlations with the yield on bellwether bond of the Bank of China. We did not notice any spike of illiquidity transmitting from … the US Flash Crash in May 2010 to trading in China …

Persistent link: https://www.econbiz.de/10012837735

The Internationalization of China's Equity Markets

Cortina Lorente, Juan Jose; Schmukler, Sergio L.; Xiao, … - 2023

China’s equity markets internationalization process started in the early 2000s but accelerated after 2012, when Chinese …

Persistent link: https://www.econbiz.de/10014254478

Market Integration and Asset Prices : Evidence from the Inclusion of China A-Shares in MSCI Global Indices

Li, Bo; Sun, Qian - 2022

We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital …

Persistent link: https://www.econbiz.de/10013292527

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

Local Bias of Investor Attention : Evidence from China’s Internet Stock Message Boards

Huang, Yuqin - 2013

investor messages posted on China's Internet stock message boards. We find that individual investors pay more attention to the …

Persistent link: https://www.econbiz.de/10013091078

Local Bias in Investor Attention : Evidence from China's Internet Stock Message Boards

Huang, Yuqin - 2018

analyzing messages posted by investors on China's Internet stock message boards. We find that individual investors pay more …

Persistent link: https://www.econbiz.de/10012938594

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

Does gold act as a hedge and a safe haven for China's stock market?

Chen, Ke; Wang, Meng - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-18

This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock … different segments of China’s stock markets for analysis. Our main objective was to examine the time-varying correlations … to the increasing investment demand of gold, the hedging effect of gold on China’s stock market has strengthened …

Persistent link: https://www.econbiz.de/10011759995