China Stock Market Research Articles

Time-varying effects of economic policy uncertainty on the volatility of China's stock market: Based on TVP-VAR Model

Time-varying effects of economic policy uncertainty on the volatility of China's stock market: Based on TVP-VAR Model

The impact of the China stock market on global financial markets during COVID-19

The impact of the China stock market on global financial markets during COVID-19

Optimal profit-making strategies in stock market with algorithmic trading

<p>Machine learning (ML) techniques are being increasingly applied to financial markets for analyzing trends and predicting stock prices. In this study, we compared the price prediction and profit-making performance of various ML algorithms embedded into stock trading strategies. The dataset comprised daily data from the CSI 300 Index of the China stock market spanning approximately 17 years (2006–2023). We incorporated investor sentiment indicators and relevant financial elements as features. Our trained models included support vector machines (SVMs), logistic regression, and random forest. The results show that the SVM model outperforms the others, achieving an impressive 60.52% excess return in backtesting. Furthermore, our research compared standard prediction models (such as LASSO and LSTM) with the proposed approach, providing valuable insights for users selecting ML algorithms in quantitative trading strategies. Ultimately, this work serves as a foundation for informed algorithm choice in future financial applications.</p>

내부통제와 미래이익에 대한 주가 정보성

Purpose - This study examines whether internal control has an effect on stock price informativeness about future earnings. High quality internal control provides continuous assurance for the quality of financial reports, and these future earnings-related information is accurately reflected in the current stock price.
 Design/methodology/approach - This study collected 12,862 data from 2006 to 2021 in China to make an empirical analysis using the future earnings response coefficient (FERC) and the multiple regression analysis were hired in order to analyze the data.
 Findings - We find that internal control strengthens the association between current returns and future earnings, indicating that more information about future earnings is reflected in current stock prices. This positive effect exists in both the main board market and the growth enterprise market of China's stock market, especially in the main board market after the implementation of the internal control policy. In addition, we find that the positive effect is weaker for firms that report internal control deficiencies or receives non unqualified internal control audit opinions. The results using earnings persistence yield similar findings, further supporting the results based on the FERC model.
 Research Implications or Originality - Our tests provide strong evidence that the quality of internal control affects FERC in China stock market.

Ecological Interpretation of Regional Elements in the Design of Local and Korean Urban Public Facilities

In the planning and construction of modern city, how to highlight the regional elements of the city and show the ecological design of the city has become the key content. Public facility design is an important part of urban construction. On the one hand, it is directly related to the public life, and on the other hand, it is closely related to the urban context and future development. Based on this, this paper mainly discusses the regional elements and ecological interpretation in the design of urban public facilities in our country and South Korea, aiming to provide reference for the subsequent design. To answer our research question, we begin by constructing a sample of all Chinese non- financial firms listed in the A-share market between 2007 and 2018 (n=29,181). We obtain financial statement data from the China Stock Market and Accounting Research (CSMAR) database. We obtain individual audit partner’s demographic information, such as gender and educational background, from the Chinese Research Data Services CARD database and the China Institute of Certified Public Accountants (CICPA) website. We lose 1,674 observations because we cannot find the signing auditor’s demographic information needed in the Heckman’s model and PSM; we further delete 4,783 observations because they do not have enough firm financial data to compute the variables used in our empirical tests; we exclude 672 observations because the annual reports are signed with three auditor signatures. Our final sample consists of 22,052 firm-year observations.

Cryptic excitement: unveiling market reactions to Facebook's Metaverse and potential manipulation in China's stock market

This study examines the impact of Facebook's rebranding on the Metaverse's renewed interest, revealing potential market manipulation concerns in China. Analyzing Chinese publicly listed firms entering the Metaverse, the research notes a surge in initial disclosures, aligned with Facebook's rebranding and increased investor sentiment. Investors' exaggerated reactions to Metaverse-related announcements are observed, alongside insiders' timed transactions leading to substantial profits during the Metaverse frenzy. The results underscore Chinese regulators' worries, highlighting the susceptibility of investors to companies' initial Metaverse disclosures.

Correction to: Price prediction in China stock market: an integrated method based on time series clustering and image feature extraction

Correction to: Price prediction in China stock market: an integrated method based on time series clustering and image feature extraction

Market return spillover from the US to the Asia-Pacific Countries: The Role of Geopolitical Risk and the Information & Communication Technologies.

This study examines the market return spillovers from the US market to 10 Asia-Pacific stock markets, accounting for approximately 91 per cent of the region's GDP from 1991 to 2022. Our findings indicate an increased return spillover from the US stock market to the Asia-Pacific stock market over time, particularly after major global events such as the 1997 Asian and the 2008 global financial crises, the 2015 China stock market crash, and the COVID-19 pandemic. The 2008 global financial crisis had the most substantial impact on these events. In addition, the findings also indicate that US economic policy uncertainty and US geopolitical risk significantly affect spillovers from the US to the Asia-Pacific markets. In contrast, the geopolitical risk of Asia-Pacific countries reduces these spillovers. The study also highlights the significant impact of information and communication technologies (ICT) on these spillovers. Given the increasing integration of global financial markets, the findings of this research are expected to provide valuable policy implications for investors and policymakers.

Analysis of Influencing Factors of Stock Return Rate

The people who are investors in the Chinese stock market always seek sequences or patterns, like the periodicity of the stock market, to help them for making a better return. Now some of the patterns have been proven. The periodicity of stocks and investor sentiment will affect investors' decisions and have a huge impact on China's stock market. This article aims to find out the influencing factors on different aspects of the stock market’s periocity. The article shows the impacts on China’s stock market caused by the periodicity of factors like the rate of return, investor sentiment, macroeconomic indicators, and economic cycles. From the method of calculating the past five years’ stock index data and comparing the fluctuation every single month can find out the proper time for investment. From other aspects, the firm report has been an example of an impact on investor sentiment. And all in all, these aspects correlate with the return to the stock market. Every factor has been unconsciously altering the stock market to a certain extent.

An Analysis of the Applicability of Pricing Models in the Chinese Stock Market

The stock market in China has an important position in the world, but it has not been able to find a pricing model suitable for the market. This paper reviews the history and development of various pricing models, analyzes relevant research on their application in the Chinese stock market, and discusses the applicability of various pricing models. It is found that the applicability of the capital asset pricing model (CAPM) in China is low; the applicability of the Fama-French three-factor model and the Fama-French five-factor model is better than CAPM, but there is significant controversy over the advantages and disadvantages of the two. It is also found that the applicability of the five-factor model may have regional differences in different markets, and there may be differences in redundant factors in different markets. It is proposed that future research should obtain more accurate market data, explore new influencing factors, and build a pricing model more suitable for the stock market in China by combining the characteristics based on more advanced data analysis technology.

The Impact of ESG Disclosure Quality on Sustainable Growth and Asset Pricing Efficiency in China's Industrial Sector

This research analyzes the impact of Environmental, Social, and Governance (ESG) disclosure quality on listed industrial companies in China's sustainable development potential, stock pricing efficiency, and the moderating effects of firm size and ownership structure. Panel regression and moderating effect models are applied in the research to investigate the links using data from Bloomberg's ESG Disclosure Score and China Stock Market & Accounting Research (CSMAR) from 2010 to 2020. The findings reveal that quality ESG disclosures significantly enhance both sustainable growth and stock pricing efficiency, with larger firms showing a more substantial impact. However, state-owned enterprises demonstrate a weaker impact compared to private firms. These findings suggest that ESG disclosure quality can boost investor confidence in a firm's long-term growth potential, thereby attracting capital and enhancing the accuracy of asset pricing. This work facilitates in the comprehension of the function of ESG disclosures in the monetary markets and offers guidance to Chinese businesses, investors, and regulatory agencies.

Research on the Effect of Investor Sentiment on the Stock Volatility in China Market Based on Asymmetric GARCH-VAR Model

Based on the information processing deviation in Behavioral Finance Theory, this paper, taking China stock market as the research object, discusses the effect of the overall emotional state of Chinese investors affected by information processing deviation on the stock volatility in the composite market of Shanghai and Shenzhen A-shares (SSAS) and the Science and Technology Innovation Board (STIB). Taking the current situation of China stock market into account, this paper selects the monthly comprehensive index of investor sentiment (CICSI_SDR) from March 2013 to March 2023, as well as the monthly stock returns in the composite market of SSAS and STIB. Then the volatility of stock returns is measured by the asymmetric GARCH model, then further combined with the comprehensive index of investor sentiment (CICSI_SDR), the asymmetric GARCH-VAR model is established. The research results found that there is a positive weak correlation between two variables, that is, the investor sentiment would drive the prosperity of financial market if that in the past upsurged and vice versa. Therefore, to better control market anomalies caused by investor sentiment, this paper suggests that the market should establish an evaluation mechanism for investor sentiment and gradually make the investor structure of China stock market be more reasonable.

Empirical study on the impact of tax reduction on the development of Chinese green energy industry.

The implementation of tax reduction policies in China represents a significant and effective strategy. Accordingly, this strategy has been designed to facilitate the development of a green economy by establishing a market-oriented allocation system for environmental and resource elements, while simultaneously invigorating microeconomic entities. As the nation navigates towards the adoption of green, low-carbon production, and lifestyles, the role of clean and green energy emerges as a vital necessity. Therefore, to explain the impact of tax reduction policies on the green energy industry, this study collected and compiled financial indicator data from 100 listed companies in the green energy sector, utilizing the China Stock Market Accounting Research database (CSMAR) as a source for research samples. A Panel Vector Auto Regression (PVAR) model was employed to observe the effects of tax reduction policies on the energy industry, while the dosage effects Difference in Difference (DID) model was utilized to verify and supplement the findings. In summary, the findings of this study can be summarized as follows: firstly, tax reduction policies exert a positive impact on the green energy industry by effectively mitigating the financial cost burden on green energy enterprises, thereby reducing production expenses and amplifying their profitability. Secondly, such policies bolster the capital turnover rate of enterprises in the short term, thereby enabling augmented research and development investments, refining production efficiency, and enhancing competitiveness. Through rigorous analysis and demonstration, the research findings accentuate the stimulative and propulsive impacts of tax reduction policies on the flourishing development of the green energy industry. Furthermore, this study provides relevant fiscal and tax policy recommendations, thoughtfully derived from the research findings.

Are retail investors liquidity providers? Evidence from the STAR and ChiNext markets in China

Liquidity is the cornerstone of capital market. In China's stock market, the highly-placed Science and Technology Innovation Board (STAR) market, relative to the renewed Shenzhen Growth Enterprise (ChiNext) market, has become increasingly illiquid since its launched in 2019. To uncover the reason behind, we use the difference in capital threshold for retail investors between the two boards as a quasi-natural experiment, and explore the role of retail investors on stock liquidity. The results show that: (i) Overall, the stock liquidity in STAR market is significantly poorer than that in ChiNext market. (ii) Retail investors are liquidity providers in the STAR and ChiNext markets. The more retail investors in markets, the more active trading and higher liquidity there are. This relationship is more pronounced in the STAR market than in the ChiNext market. Our findings remain robust to a series of tests, such as alternative sample interval and sample matching. Overall, the findings in this paper deepen our understanding of the role of retail investors and their influence on stock liquidity. It benefits practitioners, scholars and policymakers alike.

Investigating the Influence of Green Technology Innovations on Energy Consumption and Corporate Value: Empirical Evidence from Chemical Industries of China

This study investigates the impact of green technology innovation on energy consumption and corporate value in China's chemical industries, utilizing data from 133 A-share listed enterprises over the period of 2013-2022. Data on green technology innovation are sourced from the Chinese Research Data Services (CNRDS) Platform, while energy consumption data are obtained from listed companies' annual reports, social responsibility reports, and websites. Corporate ESG data is sourced from Huazheng ESG rating, and other data are obtained from China Stock Market & Accounting Research Database (CSMAR) and the National Statistics Bureau. Employing a two-way fixed effects model, this finds that green technology innovation mitigates energy consumption, and boosts corporate value of Chinese A-share listed enterprises of chemical industries. The study ensures the robustness of its findings through 2SLS analysis, using green patent applications as instrumental variables. The moderating effects of ESG disclosure are found significant to strengthen the influence of green technology innovation on energy consumption and corporate value. These findings offer valuable insights for policymakers and stakeholders in shaping strategies to promote sustainability and competitiveness in the chemical industry.

Stock market liberalization and corporate investment revisited: Evidence from China

Recent reform in China has made a subset of Chinese stocks available to foreign investors, partially opening up China's stock market. Our difference-in-differences analysis shows that this liberalization reform boosts investments in investable firms relative to noninvestable ones, with results robust to various sensitivity analyses. Besides capital inflows and risk sharing, a potential but underexplored channel is improved corporate governance due to direct and indirect pressures from foreign investors, which lowers the cost of capital and improves capital allocation efficiency. Consistent with this corporate governance channel, we find that the liberalization reform reduces investable firms’ agency costs, increases their investment efficiency and total factor productivity, and improves their operating performance. Further analysis finds that the positive investment effect from the liberalization reform is stronger among firms that were poorly governed before the reform.

Research on the Anchoring Bias in Stock Investment: Evidence from Chinese Stock Market

Under the influence of factors such as information loss, information asymmetry and personal experience, people can be easily affected by anchoring effect and make wrong decisions. The anchoring effect is a cognitive bias whereby an individual's decisions are influenced by a particular reference point or anchor. This influence can be reflected in many aspects, such as the promotion activities in shopping malls, the choice of insurance products, or the decision to sell or buy in the stock market. In recent years, scholars have gradually found that anchoring effect will influence various decisions made by investors in the stock market to a certain extent, and therefore affect the price of individual stocks in the stock market. Based on previous research experience, the paper summarizes the changes in investors' decisions caused by anchoring deviation in China's stock market and its impact on specific stock prices. Therefore, this study on anchoring bias in the stock market has important implications for investors, traders, and financial analysts. By understanding the ways in which cognitive biases can shape decision-making in the stock market, individuals can take steps to mitigate the effects of these biases and make more rational investment decisions.

Measurement of risk spillover effect based on EV-Copula method

AbstractBased on the extreme value theory, copula function, and conditional value at risk (Abbreviated as CoVaR) model, an extreme value copula CoVaR (EV-Copula CoVaR) model is established. In application, the risk spillover effect of the carbon trading market on the stock market of China is investigated. Firstly, using the index synthesis method, the carbon trading price index is synthesized through the price data of the test area of carbon emission, then the risk spillover effect of the carbon market is measured by the EV-Copula CoVaR, and the dynamic risk spillover ΔCoVaR of the carbon market to each stock market is investigated. Finally, the downside ΔCoVaR under different significance levels is measured, and the relationship between the self-risk and spillover risk of the carbon market is explored, the largest risk spillover effect to the stock market is the electricity market. The smaller the significance level, the greater the carbon market self-risk, and the greater the risk spillover of the carbon market to the stock market, which shows that there is a positive correlation between them.

Corporate social irresponsibility: a contingent social media crisis management perspective

PurposeToday's business world has been tarnished with numerous corporate irresponsible behaviors. It is thus of great importance for firms to carry out crisis management on the condition of corporate social irresponsibility (CSI). Taking a contingent social media crisis management perspective, the authors aim to investigate the relation between CSI and firm value while also examining the moderating effects of being known in social media and generalized favorability in social media on this relation.Design/methodology/approachThe empirical analysis conducted in the authors' research is based on a sample of 203 CSI events that occurred within publicly listed firms in China between 2011 and 2015. During the process of the authors' data collection, the authors initially verified the occurrence of CSI events in publicly listed firms by reviewing reports from reputable sources such as the 21st Century Business Herald and China Securities Journal. Subsequently, the authors collected the information pertaining to media coverage of these CSI events from the China Core Newspapers Full-text Database (CCND). Additionally, the authors obtained the remaining data from reliable sources such as Guba, the China Stock Market and Accounting Research Database (CSMAR) and the Chinese News Analytics Database (CNAD). To test the authors' hypotheses, the event study and multiple-regression analysis methods are adopted.FindingsThe authors find CSI generates a negative impact on firm value. Moreover, while being known in social media strengthens the negative relation between CSI and firm value, generalized favorability in social media weakens such relation.Research limitations/implicationsThere are two streams of limitations that present promising avenues for future studies. Theoretically, the authors explore the mechanisms of CSI affecting firm value from a contingent social media crisis management perspective. Consequently, the authors' study does not encompass other potential mechanisms that may exist in the CSI–firm value linkage. In terms of empirical analysis, three issues arise that provide opportunities for further investigation. First, the authors have not accounted for all potential factors that could influence the link between CSI and firm value. Second, the authors' data are subject to limitation since it comes from manual collection. At last, because the authors confirm the sample based on the actual CSI events of publicly listed firms in China, the authors' sample size is small.Originality/valueThe authors' findings contribute to a more comprehensive understanding of the relation between CSI and firm value, as well as effective strategies for responding to CSI through the utilization of social media. Consequently, the authors' results have the potential to stimulate further research on the implications of CSI and the management of corporate crises through social media platforms.

China stock market liberalization and company ESG performance: The mediating effect of investor attention

As China has begun to promote a high level of opening up of its stock market, ESG indicators have gradually become one of the important decision-making tools for overseas investors to invest in China's stock market. Using the data of Chinese listed companies from 2011 to 2022, this paper examines the impact of stock market opening on the ESG of listed companies and the mediating role of investor attention in this process by using the Difference-in-Differences (DID) and mediating effect models. Research shows that the opening of the stock market improves the ESG performance of listed companies by attracting more investor attention. Investor focus, investor sentiment, and investor interaction all constitute the intermediary channels through which the stock market opening affects ESG. The above mediating effect is established in most industries and is stronger in state-owned enterprises. This mediating effect plays the largest role in improving corporate governance, followed by social and environmental responsibility. The opening of China's stock market provides a model for emerging market countries to improve their ESG performance. Based on the research conclusions, we propose suggestions for addressing the mediating effect of investor attention, expanding the opening of the stock market to provide sufficient channels for investors to fully participate in market transactions, and differentiated ESG information disclosure.