China Stock Research Articles

Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy.

This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of the sampled countries. The results indicate that the signing of the RCEP has strengthened the interconnectedness of member countries' stock markets, with an overall upward trend in volatility spillover effects, which become even more pronounced during periods of financial turbulence. Within the structure of RCEP member stock markets, China is identified as a net risk receiver, while countries like Japan and South Korea act as net risk spillover contributors. This highlights the current "fragility" of China's stock market, making it susceptible to risk shocks from the stock markets of economically developed RCEP member countries. This analysis suggests that significant changes in bidirectional risk spillover relationships between China's stock market and those of other RCEP members coincided with the signing and implementation of the RCEP agreement.

Analysis of Problems and Countermeasures in China's Stock Market

As an important part of the global financial system, China's stock market has unique characteristics and challenges, such as high market volatility, information asymmetry, policy risks, and market mechanism defects. This paper aims to analyze these major problems facing the Chinese stock market and propose practical solutions. By studying the challenges of market volatility, information asymmetry, policy risks, insufficient investor education, and imperfect legal framework, this paper proposes countermeasures to improve the stability and efficiency of China's stock market. These countermeasures include improving policy transparency, promoting institutional investor participation, strengthening investor education, improving information disclosure mechanisms, and strengthening market supervision. The results show that by implementing these measures, market volatility can be effectively reduced, information transparency can be improved, market efficiency can be enhanced, and support can be provided for the sustainable development of China's stock market. This study provides valuable insights for policymakers, investors, and scholars to promote the healthy and stable development of China's stock market.

Invention Patent’s Capability for Differentiating Stock Return Rates - Patent Informatics on Manufacturing Industries

Abstract More than 25 thousand Chinese listed companies in top ten manufacturing industry sectors from 2017 to 2021 were selected to explore the industry differences via the tool of analysis of variation (ANOVA) on China invention grant patents including the patent quantity, the varying trend of patent counts, and the capability for differentiating the stock return rate. The patent count of invention grants well showed the capability of differentiating the stock return rate for one industry sector, preferably showed the capability for two industry sectors, fairly showed the capability for three industry sectors, and partially showed the capability for four industry sectors. The manufacturing industry sectors with significantly increased invention grant’s patent count means since 2017 showed higher relevance to the capability. The manufacturing industry sectors of higher patent count means also showed higher relevance to the capability. The manufacturing industry sectors of higher/lower stock return rate means did not show relevance to the capability. However, every manufacturing industry sector had its particularity. The industry difference on the invention grant patents among ten manufacturing industry sectors in China stock market was distinct. JEL classification numbers: C38, C46, G11, G12. Keywords: Invention grant patent, ANOVA, Stock return rate, Manufacturing industry.

How does environmental protection tax affect corporate technological innovation? - Perspective of corporate governance

ABSTRACT This study examines the effects of China’s Environmental Protection Tax (EPT) on technological innovation in heavily polluting industries across taxed provinces from 2013 to 2021, focusing on the influence of executives’ green cognition. The dataset comprises 14,582 observations from 1,276 listed companies in the China Stock Market & Accounting Research Database. The results of regression analyses, using the difference-in-differences and triple-differences methods, reveal that the EPT positively affects technological innovation within enterprises. This effect is particularly pronounced in heavily polluting industries and provinces where tax amounts have been adjusted. Notably, the effects are more significant in non-state-owned enterprises and in firms where the roles of chairman and general manager are separate. These findings demonstrate the effectiveness of environmental policies in promoting technological advancement and offer vital insights for the development of future policy measures.

Buyer–supplier TMT background misalignment and green innovation performance: the moderating roles of TMT tenure and incentives

PurposeWhile top management teams (TMTs) play an important role in shaping firms’ strategic choices and performance outcomes, studies on green innovation have rarely considered the influence of the TMT demographics of firms and their suppliers. Drawing upon upper echelon theory, this study investigates the impact of buyer–supplier TMT misalignment on green innovation performance, along with potential moderators of this effect.Design/methodology/approachThe empirical setting is Chinese-listed manufacturing firms that are present in both the Chinese Research Data Services Platform (CNRDS) database and the China Stock Market and Accounting Research (CSMAR) database. The study employs panel data regression methods on a dyadic dataset of 530 paired buyer–supplier firm-year observations over the period 2008–2019.FindingsBuyer–supplier TMT misalignment in terms of functional background and educational level is negatively associated with buyer green innovation performance. This negative effect can, however, be mitigated by TMT tenure and long-term incentives in buyer firms.Originality/valueBy introducing the notion of TMT background misalignment to the supply chain, this study advances the understanding of relational TMT demographics in predicting organizational performance and extends upper echelon theory.

The short-term predictability pockets in China

Previous studies by Farmer et al. (2023, 2024) identified local pockets of predictability in the U.S. market using a non-parametric method: the FST algorithm. We applied this algorithm to China's A-share market, which is characterized by a large proportion of retail investors and pronounced behavioral biases. To adapt to China's unique context, we incorporated three sentiment-driven variables while retaining the original ones. Our findings confirm the presence of predictability pockets in China, with IPO first-day returns and realized variance demonstrating significant predictive power. Although the original FST algorithm requires localized adjustments, we confirm the existence of these predictability pockets in China's stock market. Overall, our research indicates potential for practical trading strategies based on the FST algorithm in retail-dominated markets.

Has the carbon emission trading scheme induced investment leakage in China? Firm-level evidence from China's stock market

This study investigates the causal relationship between the Emission Trading Scheme (ETS) and investment leakage in China, using firm-level subsidiary data for 4480 A-share listed companies with the Two-Way Fixed Effects (TWFE) Difference-in-Differences (DID) method under staggered treatment adoption. The results indicate that the ETS has significantly induced regulated firms to increase the share of investment in the non-pilot area by 2.5 %, and the number of subsidiaries in the non-pilot by 2.035, suggesting that the policy has caused investment leakage. The rising operating cost due to ETS compliance may explain why regulated firms expand their outward investment. Furthermore, regulation intensity and social responsibility moderate the investment leakage effect. This study provides the first direct empirical evidence on the domestic investment leakage associated with the gradual ETS rollout in China and enriches the theory of the pollution haven effect by illuminating how the policy drives investment from the pilot area towards the non-pilot area.

Research on the correlation between CSI 300 stock index futures and spot

This paper mainly focuses on the correlation between China's stock index futures and spot markets, and the selected products are CSI 300 stock index futures and spot. This paper takes CSI 300 as the research object, and based on the daily data from 2010 to date, uses the E-G cointegration test method and the error correction model method to verify the existence of a long-term equilibrium relationship between the period and the spot market, as well as the repair mechanism when the short-term deviation from equilibrium occurs. The results show that there is a long-term equilibrium relationship between stock index futures and the spot market, and there is a repair mechanism when the short-term deviation from equilibrium occurs. As the policy range moves forward, the signal role of the futures market in pricing gradually increases, and more investors begin to refer to the futures market trend to make decisions in the spot market.

Correlation and Impact of SSEC and SZI Empirical evidence based on VAR model

Today, the world economy is experiencing globalization and diversification, and China's economy is also developing rapidly, also the development speed of the capital market has been significantly improved. Among them, the impact of the development of the securities industry on China's capital market cannot be ignored. As the two major stock exchanges in China, the Shanghai Stock Exchange and the Shenzhen Stock Exchange are not to be underestimated in the securities market. Therefore, the Shanghai Securities Composite Index (SSEC) and the Shenzhen Securities Component Index (SZI) represent the direction of China's stock market to a certain extent. Therefore, this paper will start from the perspective of SSEC and SZI, select the data for a total of 10 years from 2009-2018, and try to construct the VAR model, and finally draw the impulse response function graphs of both of them. The basic conclusions of the study are the SSEC has a relatively large impact on the capital market, while the SZI has a relatively small impact on the capital market. Therefore, the inspiration for investors is that the SSEC is more informative and useful when making investments.

Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Impact of policy uncertainty on stock market volatility in the China’s low-carbon economy

High speculation and volatility in China's stock market make enhancing volatility estimation and prediction in green and low-carbon sectors essential to meet the financing demands of the carbon-neutral industry and ensure sustainable development. In this study, we first introduce the CBOE Volatility Index (VIX) into the DAGM model to construct an improved model, DAGM-VIX, to explore the impact of China's Economic Policy Uncertainty (CEPU) and Climate Policy Uncertainty (CPU) on the stock market volatility of China's low-carbon economy. In addition, economic policy uncertainty is further decomposed into related uncertainties such as fiscal policy, monetary policy, trade policy, and exchange rate and capital account policy to explore in depth the heterogeneity of their impacts on stock market volatility of low-carbon economy. The results show that CEPU and CPU have a significant impact on the long-term volatility of China's green and low-carbon industries, and there are differences in the impact of uncertainty on stock market volatility in different policy areas. Compared with original DAGM and GM models, the DAGM-VIX model is superior in its predictive ability, and the DAGM-VIX-CEPU model, in particular, performs particularly well in predicting the volatility of green and low-carbon transition industries.

Who cares about environmental, social and governance performance? Family versus non-family firms

Purpose This paper aims to explore the nexus between family involvement and environmental, social and governance (ESG) performance based on socioemotional wealth theory, and it also analyzes the potential influence mechanism. Design/methodology/approach Based on the categorization of China Stock Market & Accounting Research database, this study divides the Chinese listed firms into family and nonfamily firms and applies multiple regression methods to test the theoretical hypotheses. Findings Family involvement can incentivize corporations to enhance corporate transparency, which can in turn enhance their ESG performance. The role of family involvement in bolstering corporate ESG performance is negatively contingent on external financing constraints. Originality/value There are insufficient studies on the nexus between family ownership and ESG performance. The findings provide insights into helping policymakers formulate targeted measures to encourage corporations to be more active in promoting ESG initiatives.

Retail and Institutional Investor Trading Behaviors: Evidence from China

We study two important questions regarding trading dynamics in China: How do retail and institutional investors trade, and what are the underlying factors for these behaviors? Different from the United States, China's stock market has two prominent features: dominance of retail investors and active participation by the government. After reviewing nearly 100 previous studies, we reach three conclusions. First, there is substantial heterogeneity in retail investors. Small retail investors have low financial literacy, exhibit behavioral biases, and not surprisingly, negatively predict future returns, whereas large retail investors and institutions are capable of processing information and positively predict future returns. Second, the macro- and firm-level information environment in China is slowly but gradually improving, which greatly affects trading behaviors of different investors, especially the more sophisticated institutional investors and large retail investors. Finally, the Chinese government actively adjusts their regulations on the stock market to serve the dual goals of growth and stability. Many regulations are effective, while some may generate unintended consequences.

Growing biomass carbon stock in China driven by expansion and conservation of woody areas

Growing biomass carbon stock in China driven by expansion and conservation of woody areas

The Signalling Effect of Corporate Social Responsibility Reporting: Evidence From Short Selling

Using exogenous regulatory changes that have gradually removed short‐sale restrictions in China's stock exchanges, we examine how such deregulation influences firms’ corporate social responsibility (CSR) reporting. Our findings indicate a significant improvement in the calibre of CSR reporting among firms designated as qualified for short selling in a deregulation pilot program (pilot firms) compared to non‐pilot firms. Moreover, our empirical evidence shows that the improvement in CSR reporting practices is greater for pilot firms experiencing stronger downward price pressure, negative earning news, higher bankruptcy risk, greater ownership concentration, and those classified as state‐owned enterprises. These results demonstrate that firms susceptible to price declines from short selling utilize CSR reporting as a visible and credible signal to safeguard and enhance corporate reputation, garnering increased stakeholder support.

The Research on the Investment Portfolio of New Energy Sector Based on Markowitz Model and the Index Model

Abstract: New energy sector stocks in the Chinese market continue to grow at a high rate for two years in 2020 and 2021, but start to retrace in 2022. In order to investigate whether the new energy sector is still worth investing in and to find the optimal portfolio for the new energy industry, this paper analyzes fifteen stocks in the new energy sector using the Markowitz model and the index model. The following conclusions are drawn: 1. Under the constraint that shorting is not allowed in China's stock market, the index model is still advantageous. 2.Investors are more inclined to invest in the Shanghai Composite Index when seeking minimum risk. 3. Under the condition of maximum Sharpe ratio, investors are more willing to invest in the BYD Company Limited, Contemporary Amperex Technology, and EVE Energy. There are many methods of portfolio model construction at this stage, but this paper only analyzes only the Markowitz model and the index model in depth. In the future, other models can be compared and analyzed in depth to get the most suitable portfolio model for the new energy industry.

The Respective Relationship Between Environmental, Social, Governance and Financial Performance

Based on data from most A-listed Chinese corporations from the China Stock Market & Accounting Research (CSMAR) database in 2023, this study examines the respective influence of Environmental, Social, and Governance (ESG) performance on a corporations financial performance. By utilizing Ordinary Least Squares (OLS) regression models, the study regards return on equity (ROE) as the dependent variable and E, S, and G scores as the independent variable. It delves into the individual contributions of each ESG category to provide investors with a more detailed framework for making investment decisions and offer corporate executors insights into policy implementation to improve profitability. Ultimately, aiming to support both investors and corporate leaders in their efforts to improve financial outcomes through targeted ESG initiatives, this research indicates that among three factors, the governance performance of a corporation can, to the most extent, enhance financial performance, and thereby encourages corporations to prioritize governance in their ESG strategies.

The impact of digital transformation on ESG performance

This paper constructs an analytical framework of digital transformation affecting enterprise ESG performance based on the investment perspective. And empirical analyses are conducted using firm-level panel data of Chinese A-share listed companies from 2009 to 2020 in the China's Stock Markets. It is found that digital transformation significantly improves enterprise ESG performance. Digital transformation improves enterprise ESG performance by enhancing risk-taking capacity, mitigating agency conflicts, and suppressing management overconfidence. Heterogeneity analyses show that the effects of digital transformation on capital investment efficiency and firms' ESG performance are more pronounced among firms in mature and declining stages. Digital transformation has a significant impact on capital investment efficiency and corporate ESG performance in both technology-intensive and capital-intensive firms. These findings are crucial for understanding the key role of digital transformation in shaping long-term economic growth potential and sustainability from an investment perspective.

Two-tier corporate board structure, corporate governance reforms and financial performance of firms listed on the China stock market

Two-tier corporate board structure, corporate governance reforms and financial performance of firms listed on the China stock market

Impact of Equity Liquidity on Corporate Value—— Based on The Empirical Analysis of China's A-Share Listed Companies

Since the establishment of the Shanghai and Shenzhen Stock Exchange, China's stock market has experienced a development process from scratch, from small to large, and from weak to strong. During this period, the liquidity of China's stock market has increased significantly. The stock market can affect the real economy by changing the motivation and influencing the behavior of enterprises, which is crucial to economic development. Many scholars at home and abroad have studied the impact of stock liquidity on enterprise value from different perspectives. This paper finds that the stock liquidity has a significant positive impact on the value of enterprises. The higher the level of stock liquidity, the higher the enterprise value, and the company's equity structure can play a role as an intermediary variable in the process of stock liquidity affecting the enterprise value.