Time-Varying Return Predictability in the Chinese Stock Market

Shi, Huai-Long; Jiang, Zhi‐Qiang; Zhou, Wei‐Xing

doi:10.1142/s2424942417400023

Cited by 15 publications

(9 citation statements)

References 61 publications

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“…It was found that RWH is present but varies in line with the AMH. Further, rolling automatic VR and generalised spectra tests are adopted by Shi, Jiang and Zhou [135] in China using daily and weekly data from 1990 to 2015. They found that the return predictability changes through time and high predictability were discovered around 2007 financial crisis.…”

Section: Time Varying Efficiency Studiesmentioning

confidence: 99%

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

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Section: Time Varying Efficiency Studiesmentioning

confidence: 99%

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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“…Firstly, we evaluate the performance of the J − K CSCON portfolios formed by the Chinese A-share individual stocks during the period with both high Table 4: This table reports the performances of the cross-sectional J − K contrarian (CSCON) portfolios during the period with high and low level of different market conditions, including market state (State), market volatility (Volatility), market illiquidity (Illiquidity), and macroeconomic uncertainty (Uncertainty). Estimation period J ∈ {1, 6,12,18,24,30,36,42,48,54, 60} month(s) and holding period K = 1 month, which are presented respectively in first two columns. Monthly average returns of the CSCON portfolios during the whole sample period from 1990 to 2014 are also reported in third column, Raw Return, against which the CSCON profitability for periods with high and low level of each market condition can compare.…”

Section: Context-dependent Csmom and Cscon Effectsmentioning

confidence: 99%

“…As with the samples in studying time-varying risk-premium relation, we take the CSCON portfolios with varying estimation period J and fixed holding period K as samples. J ∈ {1, 6,12,18,24,30,36,42,48,54, 60} month(s) and K = 1 month. We employ several market condition factors that are frequently used in the previous literature [15], including market state, market volatility, market illiquidity, and macroeconomic uncertainty.…”

Section: Statementioning

confidence: 99%

Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets

Shi

Zhou

2017

Physica A: Statistical Mechanics and its Applications

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This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the FrenchFama three factor model. The evolving arbitrage opportunities are also studied by quantifying the performance of time-varying cross-sectional momentum and contrarian effects in the Chinese stock markets. The relation between the contrarian profitability and market condition factors that could characterize the investment context is also investigated. The results reveal that the risk-premium relation varies over time, and the arbitrage opportunities based on the contrarian portfolios wax and wane over time. The performance of contrarian portfolios are highly dependent on several market conditions. The periods with upward trend of market state, higher market volatility and liquidity, lower macroeconomics uncertainty are related to higher contrarian profitability. These findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.

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“…Different phenomena not explained by the EMH can be justified from Adaptive Market Hypothesis (AMH) and the Fractal Market Hypothesis (FMH). Studies like Kim, Lim and Shamsuddin [ 5 ] for the US data, Shi, Jiang, Zhou [ 6 ] for the Chinese market, Árendáš and Chovancová [ 7 ] for the very known group of Brazil, Russia, India and China, studied predictability and concluded consistency with the AMH. In the case of the Nigerian stock market, Adaramola and Obisesan [ 8 ] found out linear and non-linear predictability and unpredictability periods, i.e., they establish that this market is not efficient and follows the concept of Adaptive Market Hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Measuring information flux between social media and stock prices with Transfer Entropy

2021

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Transfer Entropy was applied to analyze the correlations and flow of information between 200,500 tweets and 23 of the largest capitalized companies during 6 years along the period 2013-2018. The set of tweets were obtained applying a text mining algorithm and classified according to daily date and company mentioned. We proposed the construction of a Sentiment Index applying a Natural Processing Language algorithm and structuring the sentiment polarity for each data set. Bootstrapped Simulations of Transfer Entropy were performed between stock prices and Sentiment Indexes. The results of the Transfer Entropy simulations show a clear information flux between general public opinion and companies’ stock prices. There is a considerable amount of information flowing from general opinion to stock prices, even between different Sentiment Indexes. Our results suggest a deep relationship between general public opinion and stock prices. This is important for trading strategies and the information release policies for each company.

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Time-Varying Return Predictability in the Chinese Stock Market

Cited by 15 publications

References 61 publications

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets

Measuring information flux between social media and stock prices with Transfer Entropy

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