Cross‐shareholding networks and stock price synchronicity: Evidence from China

Wen, Fenghua; Yuan, Yujie; Zhou, Wei‐Xing

doi:10.1002/ijfe.1828

Cited by 24 publications

(10 citation statements)

References 96 publications

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“…The linkage between energy markets and stock markets has been extensively investigated to gain a better understanding of the price fluctuations and investment attributes of energy markets ( Batten, Kinateder, Szilagyi, & Wagner, 2019 ; Lin & Su, 2020 ; Peng, Wen, & Gong, 2020 ). The nexus between energy prices and the stock index was significantly altered during the global financial crisis (GFC), the European debt crisis (EDC), and the Great Crash of the stock market (GCS) ( Aromi & Clements, 2019 ; Wen, Xu, Ouyang, & Kou, 2019 ; Wen, Yuan, & Zhou, 2020 ). Recently, energy and stock markets have experienced a huge shock as a result of COVID-19.…”

Section: Introductionmentioning

confidence: 99%

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Zhang

2021

International Review of Financial Analysis

121

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Section: Introductionmentioning

confidence: 99%

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Zhang

2021

International Review of Financial Analysis

121

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“…We measured commodity market synchronization using the minimum spanning tree length (MSTL). Following the standard procedure described by [ 24 , 27 , 28 , 32 , 33 , 34 ], we calculated the correlations between commodities and built the asset trees based on commodity returns. The closing commodities prices

at time date

.…”

Section: Methodsmentioning

confidence: 99%

Forecasting Commodity Market Synchronization with Commodity Currencies: A Network-Based Approach

Magner

Hardy

Lavín

et al. 2023

Entropy

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This paper shows that some commodity currencies (from Chile, Iceland, Norway, South Africa, Australia, Canada, and New Zealand) predict the synchronization of metals and energy commodities. This relationship links the present-value theory for exchange rates and its connection with commodity export economies’ fundamentals, where prospective commodity price fluctuations affect exchange rates. Predicting commodity market return synchronization is critical for dealing with systemic risk, market efficiency, and financial stability since synchronization reduces the benefits of diversification and increases the probability of contagion in financial markets during economic and financial crises. Using network methods coupled with in-sample and out-of-sample econometrics models, we find evidence that a fall in the return of commodity-currencies (dollar appreciation) predicts an increase in commodity market synchronization and, consequently, in commodity market systemic risk. This discovery is consistent with a transitive capacity phenomenon, suggesting that commodity currencies have a predictive ability over commodities that extend beyond the commodity bundle that a country produces. The latter behavior would be exacerbated by the high financialization of commodities and strong co-movement of commodity markets. Our paper is part of a vigorously growing literature that has recently measured and predicted systemic risk caused by synchronization, combining a complex systems perspective and financial network analysis.

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“…High quality audit improves governance, reduces information asymmetry between insiders and investors, and enhances the impact of enterprise specific information on stock price [ 12 ]. Cross shareholding can promote price synchronization and reduce price delay through noise reduction process [ 13 ]. State owned property rights play an important role in stock price information.…”

Section: Relevant Theories and The Hypothesis Of This Studymentioning

confidence: 99%

An Empirical Study on the Relationship between Stock Price Information and Enterprise Innovation Management Based on Information Learning Mechanism

Bai

2022

Computational Intelligence and Neuroscience

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The capital market economy had created a good environment for the development of enterprises, and innovation had brought great impetus to the sustainable development of enterprises. However, the research on the relationship between stock market and enterprise innovation was not deep enough. Therefore, this paper proposed an empirical study on the relationship between stock price information and enterprise innovation management based on information learning mechanism, in order to provide reference for enterprise innovation and development. Firstly, taking the A-share listed enterprises from 2005 to 2020 as the research sample, this paper analyzed the factors that may affect the innovation behavior of enterprises, such as enterprise stock price information, peer stock price information, and IPO, and put forward relevant assumptions. Secondly, according to various factors that restrict the innovation behavior of enterprises, this paper defined relevant indicators to reflect the change law of enterprise stock price information, peer stock price information, and IPO and described the restrictive relationship between exploratory innovation and developmental innovation with different influencing factors by constructing a correlation regression model. Finally, through empirical analysis, the results show that exploratory innovation and developmental innovation are not affected by the enterprise’s own stock price information, but with the increase of peer stock price information, enterprise exploratory innovation becomes more sensitive to peer stock price information. Although the share price information of peers has no significant impact on enterprise development and innovation, after IPO, enterprises are more sensitive to the share price information of peers in exploratory innovation and developmental innovation. However, with the passage of time, the impact of peer stock price information on enterprise developmental innovation is gradually weakened.

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Cross‐shareholding networks and stock price synchronicity: Evidence from China

Cited by 24 publications

References 96 publications

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19

Forecasting Commodity Market Synchronization with Commodity Currencies: A Network-Based Approach

An Empirical Study on the Relationship between Stock Price Information and Enterprise Innovation Management Based on Information Learning Mechanism

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