A-share Market Research Articles

Divergent Investor Perspectives and Volatility Risk -- Research Based on Stock Bar Public Opinion Data

Retail investors are the primary participants in the A-share market, with a large number, large differences in economic levels, and uneven accumulation of financial professions, so it is manifested in the large differences in opinion and investment behavior of individual investors, which influence the risk of stock market volatility. Due to the rise in popularity of mobile clients, browsing stock bar post content has become an essential way for retail investors to get investment trend. This paper analyzes the impact of public opinion on the fluctuation of Oriental Wealth Internet Stocks by focusing on micro-level individual stocks. In addition, the paper supplements empirical studies on stock volatility from the micro level of differences in investor opinion, providing market regulators with a reference for better understanding investor psychology and managing network public opinion. The empirical results show that: (1) Stock volatility is positively correlated with divergent investor opinions;(2) Post sentiment value is positively correlated with post comment volume;(3) Investor sentiment in different sectors affects stock prices to varying degrees.

How Competitive are Generalist CEOs in an Emerging Economy?

By evaluating the generalist indexes of 2,683 CEOs from 1,954 listed firms in the Chinese A-share market from 2015 to 2019, this study used regressions and two-stage least squares regression to investigate how competitive generalist CEOs are in China. Generalist CEOs are more competitive than specialist CEOs in the majority of sectors, particularly in the construction, retail, and wholesale sectors. This study also showed that generalists receive more compensation. Moreover, senior generalist CEOs are more competitive than young CEOs, and male managers receive more compensation than females. Meanwhile, this research uncovered a significant relationship between generalist CEOs and their income in state-owned enterprises (SOEs) but not in non-SOEs. These findings help us to understand CEO compensation spillovers in the Chinese employment market.

Financing Structure and Corporate Innovation of Science and Technology Enterprises—Empirical Evidence from China’s Listed Companies

Science and technology innovation boosts the enterprises’ development and also contributes to enhancing national comprehensive strength. This paper mainly discusses the relationship between financing structure and corporate innovation. We select science and technology enterprises in the Chinese A-share market from 2016-2020 as research samples and empirically test the impact of corporate financing structure on innovation inputs. The results of the multiple linear regression reveal that equity financing significantly promotes enterprises' investment in R&D innovation, while debt financing presents a significant inhibitory effect. This paper may have theoretical value and practical significance for science and technology enterprises to conduct R&D innovation.

Research on Prediction and Early Warning of A-Share Market Volatility Based on HAR-Type Models

Research on Prediction and Early Warning of A-Share Market Volatility Based on HAR-Type Models

Investors Learning and the Cross-Section of Expected Returns: Evidence from China A-Share Market

Investors Learning and the Cross-Section of Expected Returns: Evidence from China A-Share Market

Impact of Multiple Directorship and Supervisory on ESG Performance: Evidence from Chinese A-Share Market

Impact of Multiple Directorship and Supervisory on ESG Performance: Evidence from Chinese A-Share Market

Economic Policy Uncertainty and ESG Performance: Evidence from China

Using the data of listed companies in Chinese A-share market from 2011 to 2020, this paper investigates the effect of the economic policy uncertainty (EPU) on corporate environmental, social, and governance (ESG). The results show that during periods of high economic policy uncertainty, firms increase their overall ESG performance, corporate environmental performance, social performance and governance performance. Heterogeneous analyses show that the positive effect of EPU on ESG performance is more pronounced for state-owned enterprises, for firms with better corporate governance, for firms with more institutional investors, and for firms with less financing constraints. This study contributes to the literature on the determinants of ESG and provides implications for both practitioners and academics.

The Idiosyncratic Volatility Gap and Return Predictability

This paper studies the predictability of the idiosyncratic volatility GAP to the strategic returns of idiosyncratic volatility. Based on the data of A-share listed companies from 2001 to 2021, this paper uses single-factor and multi-factor models to empirically analyze the predictive effect of the idiosyncratic volatility GAP on idiosyncratic volatility strategies. The results show that the puzzle of idiosyncratic volatility does exist in China A-share market, and the idiosyncratic volatility GAP can positively predict the return of the idiosyncratic volatility strategy.

Replicating and Digesting Anomalies in the Chinese A-share Market

Replicating and Digesting Anomalies in the Chinese A-share Market

Stock Selection Strategy and Model Test in A-share Market

Fama and French put forward the famous three-factor model in 1992, book-to-market ratio and market capitalization are added to the market combination factor of CAPM single factor mode to explain the value effect and scale effect, and then proposed the five-factor model in 2015. Based on this background, this paper wants to do regression experiments on these models in A-shares to validate their explanatory ability on stock returns. All the data include the actual data of all non-ST stocks in the A-share market from January 2006 to December 2019, the book-to-market ratio data of all listed companies in the A-share market (non-ST), the return on equity data of all listed companies in the A-share market (non-ST), and the change rate of total assets of all listed companies in the A-share market (non-ST). Using the three-factor model and five-factor model to explain China's A-share market, it is found that these two-factor models have a relatively poor ability to explain the A-share market, and the R-square fitting fluctuates greatly. The three-factor interpretation is better, the R-square fitting has a small fluctuation, and the five-factor R-square fitting has the smallest fluctuation and the largest fit. CAPM single factor model has been proposed for a long time, but the factor model still can explain, and it is still very good. This is because alpha is almost always insignificant. However, the fitting fluctuates greatly and the explanatory power is inferior to Fama-French three-factor model and the Fama-French five-factor model.

Research on the investment efficiency of each factor in A-share market——Take CAPM, FF three factor and FF five factor models as examples

This paper mainly studies the effectiveness of factor investment represented by CAPM, FF three factor model and FF five factor model in A-share market. Since the birth of factor investment in the middle of the last century, it is fashionable and short. When focusing on China, the superiority of each model is controversial. In this paper, we took the stock reform limit board as the boundary, we selected the data from 1997 to 2020 to study the significance of CAPM, FF three factor, FF three factor and profit factor (RMW) or investment factor (CMA), FF five factor models. Through the redundancy factor test, it is concluded that each factor plays an important role, and the role of investment factor (CMA) is relatively small. In addition, in the case of univariate grouping and bivariate grouping, different factor models are used to adjust the excess return. It is found that CAPM, FF three factor model and FF five factor model are applicable to China's A-share market. FF three factor model and FF five factor model are continuous supplements to CAPM model, making it more comprehensive and effective. And the market factor is the most significant, representative and dominant. Compared with the FF three factor model, the addition of the profit factor (RMW) and the investment factor (CMA) in the FF five factor model will weaken the significance of the market value factor (SMB) in the original FF three factor model.

Comparative Analysis on Fama-French Five-factor Model and Three-factor Model adopted in various Industries in A-share Market of China

Asset pricing has always been a hot issue in the financial industry. The cutting-edge research achievements of Capital Asset Pricing Models are the Fama-French three-factor model and the Fama-French five-factor model. Although many scholars have studied the performance of Fama-French three-factor model and five-factor model in China's A-share market, there is still controversy about the explanatory power of these two model in the A-share market. This thesis discusses the applicability of Fama-French three-factor and five-factor models adopted in various industries. This thesis chooses A shares in terms of performances, with 14 years commencing from August 2007 to August 2021 as the samples, and utilizes the data of monthly transactions of listed companies in the market for calculation. The thesis has divided the samples into 18 industries. The Fama-French three-factor and five-factor models are used for regression to verify the model's applicability in China's stock market. Through the empirical test, this thesis found that the Fama-French three-factor and five-factor models have strong explanatory powers regarding the excess returns of 15 industries. The research obtained in the thesis has enriched and broadened the study of the Asset Pricing Theory in China, providing theoretical guidance for various investment entities in acts conducted in the market.

Construction and Analysis of Individual Stock Sentiment Anomalies in the A-share Market

Behavioral finance heralds investor sentiment as an anomaly in traditional asset pricing models, and the financing and financing business is an important indicator of individual stock sentiment. In this paper, this paper try to use the growth rate of monthly balance of financing and financing securities as a factor SEN to explain stock returns in the context of Chinese A-share market. This paper finds that market capitalization and SEN have a significant inverse monotonicity, and their information crosses to a large extent to make SEN redundant. This paper argues that the reason for the redundancy of SEN due to market capitalization is that the A-share stock market has set a high margin for financing and financing business, which leads to a weaker liquidity of market transactions and limits the investment choices of rational investors to stocks with relatively small market capitalization. Based on the conclusion, this paper suggests that small investors adopt a strategy of going long on small-cap stocks and short on large-cap stocks.

Research on Asset Division and Evaluation Methods

With the deepening of globalization in the world, the economies of various countries are also pouring into the international financial market. Against this background, China's securities market is also coming into the opening. China's inclusion in MSCI China Index has made it more attractive for global funds. However, since its inception in the early 1990s, China's stock market has been viewed as highly speculative always, which will interfere with investors' investment behavior. To allocate funds reasonably in the A-share market better, investors need to classify assets and formulate different stock selection strategies for different types of assets. Therefore, this topic is focused on how to select stock and how to evaluate assets from different views. We analyze different stock selection strategies through accounting, mutual funds managers, stock market and traditional views with various calculating methods. Through summarizing several related research, we found that the effectiveness of the Fama-French three-factors model in the Chinese stock market is poor and the investors' sentiment and the number of retailers both make a difference in investors' stock selection strategies. To evaluate assets, we discussed the evaluation of tangible and intangible assets separately. We conclude that it's easy to process data for intangible assets and this calculation method will perform better in the Chinese future market.

Returns and Volatility in Chinese and U.S. Stock Markets in Uncertain Markets: Evidence from Fed’s Monetary Policy

The Federal Reserve announced a 75-basis point rate hike to raise the benchmark rate to a range of 2.25%-2.50% to curb another spike in inflation on July 28. Since 2022, the Fed has announced four rate hikes, with the cumulative increase reaching 150 basis points in June-July alone, the largest since Volcker took the helm of the Fed in the early 1980s, which might be reflected in the volatility of stock prices in China and the U.S. market. This paper assesses the impact of fed rate hikes on the Chinese A-share market, specifically the Shanghai Stock Exchange (SSEC) and Standard and Poor's 500 (S&P 500), a stock market index that reflects the U.S. stock market. A VAR model and an ARMA-GARCH model were established to analyze the variations in stock prices caused by changes in foreign exchange rate between CNY (China Yuan) and USD (US dollars). As a result, this paper asserts that a more elevated exchange rate has a relatively negative net effect on the Chinese stock market and a negligible influence on the U.S. stock market.

Soccer Match Results and Sponsor Stock Returns - An Analysis Based on Behavioral Economics Perspective

Using the event study method, the impact of Chinese Super League match results on title sponsors' share prices was empirically analysed from a behavioral economics perspective. The main section considers the impact of variables such as win-loss relationship, home and away factors, Friday's important match day and the last five rounds on the A-share market and the H-share market respectively, and draws conclusions. The article aims to explore the possible patterns of fluctuations in the market capitalization and share price of sponsors following sponsorship of football clubs in the context of gold-dollar football, influenced by the results of matches. Can the outcome of a Chinese Super League match affect the value of a sponsor's shares? If so, what kind of investor sentiment is reflected behind the fluctuations in share price? What can be done to improve the effectiveness of corporate sponsorship? To this end, this paper analyses the issue from the perspective of behavioral economics, combined with the event study method, in order to provide theoretical references for the study of Chinese football sponsorship.

Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? Evidence from China

Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and for portfolios that are under-diversified, this study investigates the relation between expected idiosyncratic skewness of firms' profit (EISP) and cross-sectional stock returns, using samples from the Chinese A-share market. Portfolio-level analyses and firm-level cross-sectional regressions suggest that firms with higher EISP have lower expected returns than those with lower EISP. A long-short value-weighted portfolio can earn an annualized risk-adjusted excess return (i.e., Fama-French five-factor alpha) of 11.3% when sorting by the EISP. The negative effect of EISP on the cross-sectional stock returns is robust to controlling for well-documented firm characteristics and risk factors, rather than being subsumed by firms' profit instability or accounting-based downside risk. Of particular interest, the effect is more pronounced among stocks with more lottery-like characteristics, indicating that the immaturity of investors is an underlying driver of the mispricing in the effect.

A Revised Comparison between Fama and French Five-Factor Model and Three-Factor Model——Based on China's A-Share Market

In allusion to some contradicting results in existing research, this paper selects China's latest stock data from 2005 to 2020 for empirical analysis. In this paper, the redundant factors (HML, CMA) are orthogonalized, and the regression analysis of the 5*5 portfolio of Size-B/M and Size-Inv is carried out with these two orthogonalized factors. It found that the HML and the CMA are still significant in many portfolios, indicating that they have a strong explanatory ability, which is also consistent with the results of GRS test. All these show that the five-factor model has a better ability to explain the excess return rate. Then, we analyze the possible reasons for the strong explanatory ability of the HML, CMA, and RMW from the aspects of price-to-book ratio, turnover rate, and correlation coefficient. We also explain the results and analyze China's stock market policy changes and investors' investment style in recent years.

Yield Forecasting by Machine Learning Algorithm: Evidence from China’s A-share Market

ABSTRACT This study uses five machine learning algorithms (Stochastic gradient descent (SGD), Decision tree, Random forest, Gradient boosting decision tree (GBDT), and Convolutional neural networks (CNN)) to explore their prediction effects on China’s stock market. It constructs a monthly rolling model for stock return prediction. Selecting stocks of the CSI 300 index from January to June 2021 as specific monthly samples and classifying three factors – fundamentals, volatility(risk) and technical indicators, the results demonstrate that (1) machine learning brings favorable investment returns in simulated quantitative trading of China’s A-share market (2) the technical indicator factor is the most valuable, with the momentum technical factor having greatest influence, followed by the volatility (risk) factor and fundamental factors. Therefore, this study has a critical reference value and is significant in guiding yield forecasting in intricate stock markets.

The Moderating Role of Foreign Institutional Investors on Stock Market Volatility: Evidence from China

ABSTRACT Foreign shareholding can result in stock market volatility, especially in immature financial markets. With quarterly data from 1,348 listed companies held by Qualified Foreign Institutional Investors (QFIIs) from 2006 (Q1) to 2020 (Q4), we investigate the dynamic time-varying impact of QFII ownership on China A-share market volatility using an online support vector quantile regression. Our results indicate that QFIIs have an unsystematically destabilizing effect. This effect is asymmetric under different market conditions. QFIIs demonstrate more procyclicality during normal times, and less procyclicality during times of financial stress. The results of network density analysis confirm that volatility risk will stabilize as risk spill-over will decrease when QFIIs gradually expand their shareholdings and strengthen their interconnections in the China A-share market.