Chinese Market Returns Research Articles

Investigating Impact of US, Europe, Frontier and BRIC Stock Markets on Indian Financial Stress Index

The emerging markets are slowly opening up their respective financial markets to foreign investments, thereby making the latter markets more sensitive to cross-market information transmissions. There are different transmission mechanisms ranging from trade related to financial linkages. However, statistically, both price discovery and conditional volatility act as transmission mechanisms, whereby information in one stock market has an impact on another. In this regard, the present study attempts to empirically analyse the impact of global information transmissions, i.e., stock market returns and conditional volatility on overall Indian financial stress and its various sub-components by employing different econometric models comprising Johanson Cointegration, Vector Autoregression and its various counterparts, Component GARCH (1,1) model and multivariate OLS regression models ranging from October 2003 to October 2014. The study firstly constructed Indian financial stress index owing to non-existence of a standardised index. The results reported that the one month lagged returns in the BRIC stock markets have an impact on the financial stress index of India. The stress in the Indian financial system responds statistically signifi cantly to the Brazilian and Chinese market returns, with a greater degree of integration after two months. A statistically signifi cant impact of the shortrun volatility has also been observed running from the European markets to the Indian financial system contemporaneously. Furthermore, unexpected volatility in the BRIC markets also has an impact on the Indian financial stress contemporaneously as well as dynamically. The present study provides an insight to the international investors regarding the response of Indian financial system and its sub-components toward global information transmissions.

Modeling the Main Determinants of Movie Sales: An Econometric Study of Chinese Marketplace

This paper investigates the financial performance of movies in China, a fast-growing commercial exhibition marketplace. Movie sales and Chinese market returns, movie characteristics and cultural contexts are operationalized in ordinary least squares (OLS) regression and quantile regression models to explain the highly varied acceptance across different products released since 2009. The samples comprise most of the widely released motion pictures in China. We posit that production budgets, sequels, audience ratings, cultural contexts and movie genres can significantly account for the variation in box office (BO) revenue and sales-revenue-to-cost (SRTC) within the Chinese market. Movies produced in countries with similar cultural contexts capture more audiences measured by box office proceeds, but it is noteworthy that SRTC falls at a decreasing rate as cultural differences increase. An increase in production budget generates more sales in China, but reduces the SRTC ratios with other factors controlled. Although aggregate cinema attendance may fluctuate with releasing date, this is not always true for an individual movie's financial success. Quantile regressions provide us with a richer characterization of the relationship, enabling us to analyze the entire distribution of box office proceeds and SRTC ratios, as well as their determinants at key quantiles.

Stock prices and the location of trade: Evidence from China-backed ADRs

This study examines whether the trading location affects equity returns of China-backed American Depository Receipts (ADRs) traded in the US. If International Financial Markets are integrated, stock prices should be affected only by their fundamentals; otherwise, stock prices may also be affected by their trading locations/investor sentiment. We find that China ADRs’ returns are affected more by the US market fluctuations than by Chinese market returns. We interpret the results as suggesting that International Financial Markets are at least partially segmented and country-specific investor sentiment affects stock prices.