Diagnosing Shocks in Stock Market Returns of Greater China

Lo, Wai-Chung; Chan, Wai-Sum

doi:10.17578/4-3/4-7

Cited by 9 publications

(8 citation statements)

References 13 publications

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“…2 Event studies on macro issues include market efficiency (Kim & Singal, 2000), co-integration across markets (Zhu, Lu, Wang, & Soofi, 2004), and the Asian currency crisis (Lo & Chan, 2000). 3 The strong form argues that information and trading costs are zero, so that inside information is incorporated into securities prices and not useful to a trading strategy.…”

Section: Discussionmentioning

confidence: 99%

Insider trading and the valuation of international strategic alliances in emerging stock markets

Miller

Eden

et al. 2007

J Int Bus Stud

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Because stock markets in emerging economies are relatively new, under-regulated, and often segmented, investors' responses to public announcements by firms in these economies may differ from responses in developed economies' stock markets. We draw on the institutional and corporate governance literatures to explain investor reactions to announcements of international strategic alliances (ISAs) between foreign and emerging-market firms. We argue that emerging economies' stock markets positively value ISAs; however, information leakages due to weak regulatory environments siphon off the “good news” before the ISA announcement date. The level of state ownership of publicly traded firms and the nationality of foreign partners both affect the size and timing of market reactions. Journal of International Business Studies (2008) 39, 102–117. doi:10.1057/palgrave.jibs.8400322

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Section: Discussionmentioning

confidence: 99%

Insider trading and the valuation of international strategic alliances in emerging stock markets

Miller

Eden

et al. 2007

J Int Bus Stud

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“…. AsLo and Chan (2000) document, Chinese stock market exhibited higher return reaction to shocks in the 1997-98 financial crisis and contained more outlier stocks than other markets in the impacted area.…”

mentioning

confidence: 83%

“…Abundant literature examines whether the Chinese stock market is efficient, and if not, how the market values and stock returns are influenced by factors from investor sentiment. Lo and Chan (2000) and Tian (2008) both document Hong Kong stock market overreaction during the 1997-1998 Asian financial crisis. Furthermore, Tian (2008) establishes bi-directional causality between Shanghai and Shenzhen Exchanges, indicating artificially high correlation.…”

Section: Literature Reviewmentioning

confidence: 99%

Do Investors See Through Accounting Profitability and Recognize Efficiency? Evidence from Chinese Listed Companies

Xie

2013

MFJ

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This paper studies the accounting performance measure, profit efficiency and investor valuation of 1,262 Chinese firms listed in Shanghai and Shenzhen Stock Exchanges from 2001 to 2010. Profit efficiency is defined as the ratio of actual profit realized to the optimal profit described by stochastic frontier approach. An estimation of robust ordinary least square model for accounting performance measures (ROA) controlling for industry effect results in negative skewness of the residuals, indicating the existence of profit inefficiency. A year-by-year cross-section stochastic frontier analysis documents a declining pattern of accounting performance and a contrastive increasing tendency of profit efficiency. Linking the market valuation ratios to profit efficiency illustrates a significant empirical relationship that Chinese investors reward firms of higher efficiency with higher market valuation. The over-time improvement of efficiency is also associated with increased market valuation. The empirical results are robust to alternative distributional assumptions of the efficiency term, different measures of accounting profitability and market valuation, and various sets of control variables.

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“…1 Furthermore, traders generally are not permitted to sell short or trade on margin. 2 Lo and Chan (2000) demonstrate that Chinese security markets tend to be characterized by large shocks and more extreme, or outlier, observations than most international markets. Darrat and Zhong (2000) contend that Chinese stock market returns do not follow a random walk.…”

Section: Operational Mechanism and Characteristics Of China's Stock Mmentioning

confidence: 99%

Return Characteristics of State-Owned and Non-State-Owned Chinese A Shares

et al. 2005

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This study examines and compares stock returns and volatilities between state-owned (SO) and non-state-owned (NSO) firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower-order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second-order stochastic dominance. Copyright 2005 by the Eastern Finance Association.

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Diagnosing Shocks in Stock Market Returns of Greater China

Cited by 9 publications

References 13 publications

Insider trading and the valuation of international strategic alliances in emerging stock markets

Insider trading and the valuation of international strategic alliances in emerging stock markets

Do Investors See Through Accounting Profitability and Recognize Efficiency? Evidence from Chinese Listed Companies

Return Characteristics of State-Owned and Non-State-Owned Chinese A Shares

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