China Stock Market Research Articles

Corporate Financialization, ESG Performance and Sustainability Development: Evidence from Chinese-Listed Companies

With changing times as countries pursue sustainable development, traditional profit-driven strategic decisions are no longer sustainable. A well-planned financial investment may improve a business’s capital flow efficiency, but when short-term wealth overrides long-term value, the financialization of companies will inevitably impede their environmental, social, and governance (ESG) performance. This study examined how company financialization was related to its ESG performance by China Listed Companies between 2010 and 2019. According to empirical tests using data from the China Stock Market & Accounting Research database and the Wind Financial Terminal, corporate financialization negatively affects ESG performance. After a series of robustness tests, such as endogenous analysis, the conclusion still holds. Furthermore, financialization dampens ESG performance more in the private sector and in companies with high technology dependence. Mechanistic analysis shows that corporate financialization not only creates long-term value risks through crowding out real capital and appropriation of green resources but also undermines company ESG performance through a lack of balanced development to achieve objectives and capabilities. Lastly, using the green patent data provided by the Chinese Research Data Services Platform database, it is found that improved green technology innovation can mitigate the damage of corporate financialization on ESG performance, and this mitigation is more pronounced in regions with better green development. This study adds to the empirical evidence on the theoretical and controversial role of corporate financialization. It helps to warn of its short-sighted effects on sustainable development and provides implications through the positive effects of green technology innovations.

Behavioural Phenomena of Family Firm Control Diversity and R&D Investment with Moderating Role CEO Compensation.

The novel study describes the behXavioural phenomena of family firm types and explores the relationship between the family firm types of control diversity and Research and Development (R&D) investments. Acquiring controlling rights is a psychological phenomenon for family firm owners. The moderating effect of CEO compensations on R&D investments is investigated. We collected data of listed A-share family firms in China from 2011 to 2020 in the China Stock Market and Accounting Research database. We used Tobit regression for data analysis. The study concludes that lone-controller family firms (LCFFs) are less willing to invest in R&D and multi-controller family firms (MCFFs) have positive behaviour towards R&D. The moderating role of CEO compensation deviates the willingness and behaviour to invest in R&D. To the best of our knowledge, this study is the first to outline the paradoxical empirical evidence on family firms and R&D investments by analysing control diversity and how the moderating role of CEO compensation nexus can alter willingness towards R&D. The study is a novel attempt following De Massis et al's framework to test the willingness and ability of LCFFs and MCFFs. Previous studies based on agency theory have tacitly assumed that ability and willingness exist in family-controlled firms. However, this study challenges this implicit assumption.

Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets

This paper studies cross-country risk spillovers through C-vine copula quantile regression. We find Both China's and the US markets can result in large risk spillovers to East Asian markets. Furthermore, their significant conditional spillovers indicate they can emit risk through an intermediary market. However, their distinctive dependency structures with East Asian markets reflect their differences in spillovers to the markets in magnitude. The risk spillovers from US are stronger than China in magnitude. Moreover, the risk spillover from China's stock market during its high-volatility period is weaker than the whole period, which is contrary to the US market. It may imply Chinese financial influences gradually increase with Chinese financial liberalization and regional integration. Our results have implications for macroprudential regulators adopt the effective supervision and regulation to deal with the cross-border risk spillovers, and for international investors in risk hedging, derivative valuation and investment.

Corporate Innovation Incentive Policy During Business Cycles: Fiscal Subsidies or Tax Incentives?

ABSTRACT This paper empirically tests the incentive effect of fiscal policy on corporate innovation from 2007 to 2019 in China. With data from A-share-listed companies in the China Stock Market & Accounting Research (CSMAR) and Wind databases and GDP data from the National Bureau of Statistics of China (NBSC), the paper uses the Hodrick – Prescott (HP) filter method and a panel fixed effects model to empirically test the incentive effect of fiscal and tax policies on corporate innovation, compares the incentive differences between tax incentives and fiscal subsidies across different business cycles, and conducts heterogeneity analysis. The study finds that although fiscal subsidies and tax incentives promote enterprise innovation, the innovation incentive effect of fiscal subsidies is greater during an economic downturn than during an upturn. In contrast, tax incentives are stronger during an economic upturn than during a downturn. The results of this research may help to develop economic policies and to guide the precise implementation of tax and fee reductions.

Can Enterprises in China Achieve Sustainable Development through Green Investment?

Enterprises have emerged as primary actors in environmental protection owing to the increasingly severe global energy crisis and environmental pollution. Companies can reduce operational costs, achieve environmental social responsibility, and enhance their green image by increasing their green investments. Simultaneously, companies can gain support from investors, governments, and other stakeholders for improving their sustainable development. This study uses fixed-effects regression models to analyze the impact of green investment on corporate sustainability in Chinese listed companies for the period from 2010 to 2020. It also investigates the moderating effects of government environmental subsidies, investor attention, and executives' overseas experience on the relationship between green investment and corporate sustainability. The data used in this study were not only obtained from the China Stock Market & Accounting Research (CSMAR) database but also collected manually from the annual reports and social responsibility reports of listed companies using web crawler technology. And the robustness test was conducted by removing the epidemic year and replacing the range of independent variables and 2SLs. This study uses Stata 17.0 to filter and process the data. The results show that green investment can significantly improve the sustainability of enterprises; besides, government subsidies, investors' attention, and executives' overseas experience all play a positive role in moderating the positive effect of green investment on the sustainable development of enterprises. Further analysis of this study finds that the moderating effect is more significant in non-state-owned enterprises and highly polluting enterprises. This study contributes to broadening the theory related to the green development of enterprises and environmental governance and provides theoretical support for enterprises to make green investment decisions and green transformations.

Detecting corporate financial fraud via two-stage mapping in joint temporal and financial feature domain

Corporate financial fraud (CFF) has great harmful influences on firms, stakeholders, and capital markets. For CFF detection, firm-year or firm-quarter data are frequently utilized to construct financial feature variables and they have been proved to be effective. However, the firm-year or firm-quarter data are sampled at a single time step only, and the information in the temporal domain has not been fully exploited. As such, we model the corporate financial data into a three-dimensional (3-D) data cube that incorporates both temporal and financial feature domain information. This information can be jointly processed by a two-stage mapping scheme. The first stage maps the joint domain data into discrete sparsity patterns, and the second stage learn some high-level low-dimensional feature representation from the first stage output. The proposed two-stage mapping scheme is tested with real financial data obtained from China Stock Market and Accounting Research (CSMAR) database, and is found to work well. We find that the detection performance is dramatically improved when the accumulated number of quarters increased, and a 3-year, i.e., 12-quarter processing interval will be enough for CFF detection. This finding is important because it is intuitive and similar joint processing interval can be found on other data set. We also find out that joint temporal and financial feature domain processing is helpful for CFF detection. Furthermore, the proposed two-stage mapping scheme for joint processing in temporal and financial feature domain is intuitive for developing intelligent CFF detection systems.

A Study on the Regulation of Price Manipulation in the Chinese Stock Market

China's stock market was formally established in late 1990, and the regulation of market manipulation began in 1993. Both the formation of the stock market and the regulation of manipulation have a relatively short history, and there is great room for improvement. In the Chinese stock market, there is a general perception of the existence of main forces, which play a decisive role in the manipulation of stock market prices. Obviously, the existence of the principal phenomenon is extremely detrimental to the healthy development of the Chinese stock market. For the sake of market regulation and market development, market regulators wish to recognise the phenomenon of main force. Therefore, this paper examines market price manipulation and analyses its impact on the stock market so as to make recommendations in improving stock market regulations and restraining market price manipulation.

Estimating optimal hedging ratio and hedging efficiency in China's stock market

This paper examines the risk spillover mechanism between China's stock market and international commodity markets using selected industry data series on soybean copper, gold, silver, sugar, and crude oil. Based on the results of this analysis, a DCC-GARCH model is used to describe the dynamic correlation, build a risk hedging model, calculate the risk hedging efficiency, and evaluate the risk hedging effect. According to the findings, the industrial and optional consumer industries are the primary risk receiving markets, while the energy and finance industries are the primary risk export markets. The stock market crash in 2015 and the COVID-19 epidemic in 2020 made the risk spillover between China’s stock market and international commodity markets surge. On average, the commodity copper is the most efficient hedge, followed by silver, while commodities such as sugar, gold and soybeans are less effective, and copper will continue to be a good hedge for the Chinese stock market in the coming months.

The relationship between personal characteristics of fund managers and fund returns in short-term bull and bear markets

We explore whether the personal characteristics of fund managers significantly affect fund returns during the short bull market and the short bear market. Although the impact of fund managers' personal characteristics on fund performance has always been a research hotspot in the financial sector, there are few articles on the impact of fund managers' personal characteristics on fund performance in short-term bull and bear markets. As we all know, since 2020, the coronavirus epidemic has continued to spread, which had brought significant pressure on economic growth and increased volatility in the stock market. In 2020, China's stock market experienced a wave of short-term bull market, and the stock price rose rapidly in a few months. At the same time, in early 2022, China's stock market experienced a wave of short-term bear market, and the stock price fell rapidly in a few months. This paper selects the fund data of a wave of short-term bull market and a wave of short-term bear market in 2020 and 2022, and uses the single factor ANOVA model to explore whether the five fund managers personal characteristics, including years of securities industry, years of fund managers' service in the fund, years of fund managers' career, gender, and level of education, have a significant impact on fund returns. Results show that the returns of fund managers with longer working years in securities market are higher than those of fund managers with shorter working years in securities market, and the losses of fund managers with longer working years in securities market are lower than those of fund managers with shorter working years in securities market. At the same time, gender and years of fund managers in the securities market significantly affect the performance of fund managers fund managers who have been fund managers for many years can avoid more losses in a bear market.

The effect of interaction between international commodity markets and the Chinese stock market

In light of COVID-19 and the extent of global economic interdependence, it is essential to understand risk spillover effects between China's stock market and international commodity market in order to optimize risk control and management and provide early warning. The aim of this research is to examine the spillover mechanisms between the Chinese stock market and the global commodity market using data from eleven specific industries. The results show that the Risk Spillover index of industrial and optional consumer industries in China's stock market is relatively high. This industry is more vulnerable to fluctuations in the international commodity market and is the main risk spillover industry; The energy and financial industries have great risk spillover effects on the international commodity market. The volatility spillovers between the Chinese stock market and the international commodity market are asymmetric: the Chinese stock market is mainly affected by the risk spillovers from gold and silver, while the international commodity market is mainly affected by the risk spillovers from the real estate, energy, and financial sectors. The results of this analysis can be used in future works to develop a risk hedging model to examine how bulk commodities differ in terms of portfolio weight, hedging ratio, and hedging efficiency.

Portfolio Establishment Based on Fama-French Five-Factor Model in China Stock Market

Portfolio Establishment Based on Fama-French Five-Factor Model in China Stock Market

Blockchain Mania without Bitcoins: Evidence from China Stock Market

Blockchain Mania without Bitcoins: Evidence from China Stock Market

Research on the Application of Mean-Variance Model in Securities Investment Portfolio Planning: Evidence from China Stock Market

Research on the Application of Mean-Variance Model in Securities Investment Portfolio Planning: Evidence from China Stock Market

How Do Sell-Side Analysts Allocate Attention in China's Stock Market?

How Do Sell-Side Analysts Allocate Attention in China's Stock Market?

Empirical Analysis of China Stock Market Based on Grey System

Financial market is the main function of financing, and the number of stock financing is the basic embodiment of the function of financial market. Therefore, it is of important practical significance to study the factors affecting stock financing. Through the analysis of these factors, the role of the stock market can be further fully played. COVID-19-19 is a huge disaster for China's financial markets and also affects equity financing in financial markets. Based on the grey system, the related factors affecting the amount of stock financing are analyzed, we find out the key factors affecting the amount of stock financing, and put forward feasible suggestions.

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.

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.

How does the stock market affect the interest rate corridor system in China?

AbstractExogenous shocks from the stock market may contribute to fluctuations in market‐based interest rates in China. The interaction between the two markets may go beyond an aggregate level to distributional aspects. By using the cross‐quantilogram method, we characterise how China's stock market affects its retail credit market in distribution. Our results show clearly which quantile ranges in the stock market influence tail events in the retail credit market. We also offer practical advice on potential upper and lower bounds of the interest rate corridor. Furthermore, the main results still hold even with the foreign exchange market or the benchmark interest rate being controlled. Based on this, we provide pertinent policy suggestions for China's ongoing transition to the interest rate corridor system.

Static and dynamic linkages between oil, gold and global equity markets in various crisis episodes: Evidence from the Wavelet TVP-VAR

Using the wavelet TVP-VAR approach, this study looks at the static and dynamic connectedness between oil, gold, and global equity markets during several crises episodes, i.e., US subprime crisis of 2007, the global financial crisis of 2008–2009, European debt crisis of 2009–2012, oil crisis of 2014, China stock market crash 2015–16, and the Covid-19. The findings reveal that the connectedness among these markets varies across short vs. long run horizons and across various financial crisis episodes. The connectedness is observed to be high during the crisis's periods. We also perform the portfolio analysis for the pairs of oil, gold, and equity markets and find that gold and/or oil are useful for various equity markets for portfolio diversification and hedging in various market conditions and time horizons. We contend that the results will be valuable to investors, portfolio managers, and policy makers globally.

Does female representation on corporate boards boost the strengthening of internal control in socially responsible firms?

This study examines the relationship between corporate social responsibility and the effectiveness of internal control, while simultaneously examining board gender diversity to check whether female directors contribute to corporate transparency or not. The sample of the study comprises 15,231 firm-year observations of companies listed on the Shanghai and Shenzhen stock exchanges from 2013 to 2018. The raw data for variable calculation come from authoritative and reputable sources, such as China Stock Market and Accounting Research (CSMAR), DIB Internal Control database, and RKS CSR score. The empirical study shows that socially high-performing firms possess a more effective internal control mechanism. However, the paper failed to find a positive association of gender diversity on the board with internal control effectiveness, and failed to attest reinforcing effect of female directors on internal control in socially responsible firms. This study suggests that in China’s institutional environment, female directors are unlikely to contribute to increased corporate transparency. This study is useful for both regulators and company management to establish a master plan and tactics for board composition to improve corporate transparency, taking into account the effect of the investigated phenomena within the jurisdiction under study. AcknowledgmentThis paper is co-funded by the European Union through the European Education and Culture Executive Agency (EACEA) within the project “EMBRACING EU CORPORATE SOCIAL RESPONSIBILITY: CHALLENGES AND OPPORTUNITIES OF BUSINESS-SOCIETY BONDS TRANSFORMATION IN UKRAINE” 101094100 — EECORE — ERASMUS-JMO-2022-HEI-TCH-RSCH-UA-IBA / ERASMUS-JMO-2022-HEI-TCHRSCH https://eecore.snau.edu.ua/