Chinese Market Indices Research Articles

The Empirical Study on the Relationship Between Market Indices Against the Chinese Market Index with the EPU as the Intervening Variable

This study aimed to explore the empirical study on the relationship between the foreign market indices against the Chinese market index with the EPU as the intervening variable where the study is targeted to provide the significant contribution to the academic as well as the investors to understand the movement of the stock market index. The previous study posed the strong suggestion on the potential positive correlation exist between the performance of the market indices with the economic policy uncertainty (EPU) being the effective intervening variable that will draw the expected of the result in the study forming the hypothesis for the study. The research methodology of quantitative method observes the application of the SPSS to analyze the data input for the secondary data collected for the market indices and EPU from 2012 to 2021 to be used to sum up the findings and result for the study. The outcome of the research findings had pointed out that the lack of suggestion with the previous study where the hypothesis is not accepted showing the opposite output had been achieved from the outcome of the study. With this, the study is summarized with the reflection on the literature review against the current findings before proceeding to draw the contribution of study as well as the suggestion for the future study that open opportunities for the future researchers

Impacts of environmental uncertainty on investment stocks perception under the holiday effect.

This study explored how the holiday effect impacts the fluctuations in various scale indexes. Using differential and double-difference methods, the researchers of this study analyzed the impact of the lockdown in Wuhan, China on the holiday effect during the COVID-19 pandemic. The research objects used in this study include CSI All Share, CNI1000, CNI 2000, CNI Large Cap., CNI Mid-Cap., and CNI Small Cap. This study found that on behalf of the Chinese market index and the large, medium, and small-scale index, stock volatility is evident on the next day following successive holidays. Meanwhile, greater volatility is observed in small stocks' 4-day vacation (May 1, 11) than in a two-day vacation. The researchers discovered that the sealing effect causes investors to feel uncertain about the increased stock volatility. In terms of size, the net impact of the pandemic on the stock holiday effect is also greater for small stocks than for large stocks. This study's main contribution is the GARCH+DID hybrid method.

The impact of trading restrictions and margin requirements on stock index futures

AbstractStock index futures in Chinese market have consistently diverged from their theoretical values. In this paper, we try to provide some explanations by proposing an equilibrium model. Although the model itself does not provide analytical solutions, it enables us to conduct extensive numerical studies and compare them with our empirical results on two major Chinese market indices, CSI300 and SSE50. Our results show that the divergence of stock index futures prices from their theoretical values may be due to various trading and regulatory constraints, such as position limits and margin requirements, which play significant roles in Chinese market.

The Impact of Trading Restrictions and Margin Requirements on Stock Index Futures

Under the assumption of no arbitrage opportunity, the price of stock index futures should be equal to the spot price of the underlying stock index, excluding capital costs, dividends, and trading costs. However, since stock index futures have been introduced to the Chinese market in 2010, their prices have consistently diverged from their theoretical values in a very significant way. By using an analytical model, we try to provide some explanations as to why this may happen. Our model shows that the divergence of stock index futures prices from their theoretical values may be due to various trading and regulatory constraints, such as position limits and margin requirements, which play significant roles in Chinese markets. This is also consistent with the common belief that the more restrictive trading and regulatory constraints are, the less liquidity and efficient financial markets are, hence the more likely it is that asset prices would deviate from their true values. Our empirical results on two major Chinese market indices, CSI300 and SSE50, validate the results obtained from our analytical model.

IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS

The present study addresses one of the most problematic phenomena: Bitcoin price. We explore the Granger causality for two relationships (Bitcoin price and trade transactions; Bitcoin price and investors' attractiveness) from a frequency domain perspective-based on unconditional and conditional data analysis. Accurately, this research empirically assesses the causal links between these variables unconditionally on the one hand and conditioning upon relevant control variables (recorded in literature) on the other hand. The observed outcomes reveal some differences with respect to the frequencies involved, highlighting the difficulty to reach clearer insights and better paths into this nascent crypto-currency. Beyond the nuances of short-, medium- and long-run frequencies, this paper confirms the extremely speculative nature of Bitcoin without overlooking its usefulness in economic reasons. The consideration of the Chinese market index, the hash rate, the monetary velocity and the estimated output volume has led to solid and meaningful findings connecting further Bitcoin to speculation.

Time Travel Through Asian and Chinese Market Indices

Since the early days of Dow Jones Averages indexing has raised complexity. The lack of standard theoretical framework for index building, and the heterogeneity of empirical studies regarding their statistical properties, make comparisons an issue. The scenario remains the same in Asian-Pacific-Chinese (APC) markets, and literature regarding their statistical properties is scarce. This article aims to contribute that literature in two ways: first, analyzing the complete historical evolution of 20 APC stock markets, shedding light on their statistical properties in three periods; second, it compares these results and risk adjusted return performance within APC market indices and with the most important developed markets. According to our findings, generally higher risk is rewarded with higher returns, three groups of risk can be established, and Chinese markets are found to be exceptional, with very high kurtosis and positive skewness.

Long memory volatility in Chinese stock markets

In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B. From the results of our analysis, we can conclude that the volatility of Chinese stock markets exhibits long memory features, and that the assumption of non-normality provides better specifications regarding long memory volatility processes.

SAD effect on the return volatility and dynamic relevance analysis among the unexpected returns in China's market indices

Many studies on stock return volatility have been done, but the literature about unexpected returns and their conditional variance has been scarce so far. This paper examines the effect of the medical phenomenon Seasonal Affective Disorder (SAD) on Chinese market indices' unexpected return volatility under the control of weekend effect and January effect by using the GARCH models, further analysing dynamic relevance relationships of the unexpected return among China's stock indices by constructing the near-VAR model. The results obtained indicate that the SAD effect on the unexpected return volatility of Chinese market indices is very significant for Chinese stock indices and the Shanghai composite index plays a most influential role among the other stock markets.