China Stock Research Articles

Blue carbon accounting to monitor coastal blue carbon ecosystems

In the global context, countries must reduce carbon dioxide emissions to "net zero" by 2050 to limit global warming to 1.5 °C above pre-industrial levels. China's Nationally Determined Contributions (NDCs) are to peak carbon dioxide emissions by 2030 and achieve the carbon neutrality target by 2060. To monitor the achievements of the NDCs, establishing an annual-based accounting mechanism is necessary to record the carbon stocks in China, especially for Blue Carbon. The paper aims to present China's first national-scale systematic Blue Carbon accounting for mangroves, salt marshes, and seagrasses, covering the accounting subjects of physical and monetary assets, as well as relevant indicators for investors. It focuses on the design of the accounting method and system, the selection of data categories applied to this system, and the application of China's Blue Carbon accounting based on this accounting system. Taking Blue Carbon accounting as a starting point, this paper analyses the restoration prospects of these ecosystems and their application potential for NDCs in China compared with the terrestrial ecosystems. The results indicate that mangroves are the most cost-effective type of ecosystem, even compared to terrestrial forests. Thus, the paper provides policymakers with a new perspective on the decision-making of carbon sequestration relevant decisions, aiming to promote the monitoring, restoration, and expansion of China's coastal blue carbon ecosystem through the establishment of a sound Blue Carbon accounting system, and to help achieve the carbon neutrality goal in China's NDCs through regular and systematic monitoring of its national Blue Carbon inventories.

Applicability Analysis of Arbitrage Pricing Model in Chinese Stock Market

This paper presents the fundamentals and benefits of the arbitrage pricing model, emphasizing the significance of utilizing arbitrage pricing theory to the growth of the stock market. Firstly, the thesis analyzes and summarizes the mature research on the arbitrage pricing model abroad. This paper, taking into account the unique circumstances of the Chinese stock market, summarizes and contemplates the empirical examination of the arbitrage pricing model's applicability in the Chinese stock market. Most research lines in the Chinese market have been found to be in agreement with the arbitrage pricing principle, yet some studies have come to the contrary result. The fundamental reason is that the analysis of the model needs to be further improved, and China's stock market needs to be developed. Proposals to foster the growth of China's stock market are finally put forth.

Volatility, Uncertainty, and Option Pricing

Amidst global and Chinese uncertainties, this paper delves into stock market volatility and option pricing within the current economic policy context. Focusing on China's stock market, it calculates returns and volatility changes in key indices, analyzing differences among indices and funds, along with temporal variations. Shared data characteristics and reflections on new market trends emerge. Employing methods such as the GARCH model, Black-Scholes formula, and Monte Carlo algorithm, it analyzes volatility and option pricing using extensive annual and monthly data. Visualizations showcase market change patterns. The study defines volatility as a measure of financial asset price fluctuation extent, reflecting asset risk. Higher volatility indicates pronounced price fluctuations and uncertainty, while lower volatility signifies smoother fluctuations and greater certainty. Merging data with volatility's significance, the study probes China's securities market uncertainty, investigating the link between option pricing and volatility. It concludes by identifying the connection between volatility, uncertainty, and option pricing, pointing to future research directions and challenges. Future work will track the latest market trends to enrich understanding.

Do anti-takeover provisions restrain IPO underpricing? An analysis from the perspective of information asymmetry

PurposeBased on the textual-analyzed data covering 2148 IPO firms in China’s stock market during the 2007–2018 period, the authors’ purpose is to examine the influence of anti-takeover provision (ATP) adoption on initial public offerings (IPO) underpricing and identify the reducing effect of the former.Design/methodology/approachThe authors examine the sample consisting of Chinese A-share listed IPO firms between 2007 and 2018 from China Stock Market Accounting Research and Chinese Research Data Services, with ATP data collected from the IPO firm chapters. Specifically, the authors use text analysis to identify whether there are ATPs in the IPO firm chapters, as well as the number of ATPs. H1: IPO underpricing is less severe for firms adopting ATPs. H2: The effect of ATP adoption on IPO underpricing is more salient for firms in worse information environments.FindingsThe authors examine the influence of ATP adoption on IPO underpricing and identify the reducing effect of the former. This effect can be explained by the fact that adopting ATPs in IPO firm chapters can reduce information asymmetry to a large extent by helping external investors obtain more private information, which alleviates IPO underpricing. The authors also find that the reducing effect is more significant in the worsened information environment. Furthermore, the authors explore the influence of adopting ATPs on other IPO characteristics and find positive effects on IPO over-subscription, funds raised and trading activity and negative effects on listing fees.Originality/valueThis study mainly contributes to the literature from the following two aspects. First, the study enriches the literature about the influencing factors of IPO underpricing. Second, the study also enriches the literature about the economic consequences of ATP adoption. This study also has important policy implications. With the coming of the era of decentralized ownership in China’s capital market, ATP adoption has become more important and attracted more attention. Also, investors focus more on pricing efficiency. The findings in this paper provide a more comprehensive understanding of the relationship between ATP adoption and IPO underpricing.

Unique types and innovation input of family firm CEOs: moderating role of managerial ability in Chinese listed firms

In family firms the role of CEO is highly significant with reference to devise strategic decisions and deciding if it is feasible to invest in innovation input. This study aims to investigate the behaviour analyses of the diverse types of CEOs in family firms towards innovations. This study also analyzes the moderating role of managerial ability in the nexus of CEO types and innovation input. The data are obtained from Chinese A-share listed family firms from Accounting Research and China Stock Exchange in 2012–2020 and analysed using ordinary least squares regression. Tobit and probit regressions are also employed to confirm the results. Results indicate that non-family and family CEOs (with no controlling rights) show identical behaviour concerning their lower intentions to promote innovations in R&D projects than family CEOs with actual controlling rights. In addition, family CEOs with actual controlling rights exert a positive effect on R&D, indicating that they are more willing to invest in innovative projects. Moreover, we observe the significant moderating role of managerial ability in the nexus of CEO types and innovation activities. We find that high managerial ability alters the behaviour of different CEOs. With the moderation of managerial ability, non-family and family CEOs (without actual controlling rights) also show willingness to invest in innovative projects and without managerial ability, CEOs’ willingness to make innovations decline. This study is a pioneer work that investigates the impact of diverse types of CEOs to unlock notable insights regarding the R&D investment behaviour of Chinese family firms with moderating role of managerial ability. This study is useful to all parties involved with the company, including employees, clients, suppliers and customers. The results of this study can also assist board members in selecting and recruiting non-family CEOs or keeping family CEOs (with or without actual controlling rights).

Non-financial sustainability reporting and firm reputation. Evidence from Chinese listed companies

PurposeThis study highlights the influence of non-financial sustainability reporting and firm reputation (FR) on the China Stock Exchange. The study is based on the components of sustainability reporting that influence FR.Design/methodology/approachA simple ordinary least squares (OLS) regression model is initially run to test the hypotheses. Advanced econometric methods are used to detect the presence of heteroskedasticity. The study utilizes fixed-effect, two-stage least squares (2SLS) and two-step generalized method of moments (GMM) regression models to address endogeneity issues.FindingsFindings suggest that NFSR has a negative influence on FR. Conversely, environmental, social and governance (ESG) sustainability reporting exhibited positive associations with a FR in fixed-effect, 2SLS and GMM results.Research limitations/implicationsThis study has limitations, and data collection is restricted to the period from January 2018 to June 2023, limiting the scope of findings due to data constraints. Brand equity measurement is considered only one aspect of a company's activities, and other methods can also be considered for measuring brand equity. Another limitation is a standardized method for measuring NFSR. While this study used the Arianpoor and Salehi (2021) model to measure sustainability reporting in the Chinese market, future research could explore different methods.Practical implicationsThe findings of this study have important practical implications for corporate management, highlighting reputation challenges and the strategic importance of sustainability. Managers are encouraged to use NFSR strategically to enhance their reputation and corporate strategy.Social implicationsThe social implications highlight ownership and regulatory structures, promoting enhanced sustainability reporting in China's business culture. This insight informs policymakers, businesses and stakeholders regarding the importance of sustainability reporting, guiding decisions on corporate reputation and sustainability regulations.Originality/valueThe research indicates the importance of context-specific sustainability reporting for enhancing reputation. It provides insights into sustainability's impact on a company's reputation, promoting responsible practices for a sustainable global economy. To the best of the authors' knowledge, this is the first research that utilizes the NFSR frameworks and a sample of firms in China to discuss sustainability reporting with different guidelines.

CAPM Model and Fama-French Three-Factor Model Test—Based on Manufacturing Stocks in China’s A-Share Market

CAPM Model and Fama-French Three-Factor Model Test—Based on Manufacturing Stocks in China’s A-Share Market

Spillover effects of volatility between the Chinese stock market and selected emerging economies in the middle east: A conditional correlation analysis with portfolio optimization perspective

In recent years, the rapid transmission of information and interconnectedness of global financial markets have amplified the convergence and influence among them. Consequently, the occurrence of spillover effects in one market can significantly impact other markets. Accurately identifying and understanding these spillover effects is crucial for effectively managing and controlling market fluctuations. This research aims to measure and analyze the spillover effects between China's stock market and selected emerging economies in the Middle East, with a focus on exploring diversification opportunities. The analysis encompasses three distinct time periods, including the overall period from May 1, 2005, to May 31, 2023. The sub-periods consist of the first sub-period from May 1, 2005, to October 31, 2009, and the second sub-period from December 1, 2010, to May 31, 2023. Multivariate Generalized Heterogeneous Autoregression (MGARCH) is employed in this study to examine the spillover effects between China's economy and the emerging economies under consideration. The Granger causality analysis reveals a unidirectional causality running from the Chinese stock market to Jordan, as well as from the UAE to China throughout the entire observation period. However, no spillover effects are found between China and Saudi Arabia in either direction during any of the periods. Notably, a two-way causality is detected between the Chinese and UAE markets in the second sub-period. Furthermore, MGARCH results indicate no spillover effects from China to the emerging economies during the overall period, first sub-period, or second sub-period. The findings of this research offer valuable insights for investment portfolio managers in the Chinese economy, who may consider the examined emerging economies as potential destinations for risk diversification.

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

Impacts of geopolitical risk on China stock market: A dynamic resilience analysis

This study investigates the resilience of various industries in China stock market against geopolitical risk (GPR). Using TVP-VAR-SV analysis, time-varying effects of GPR on China stock market is first measured and based on the results, absorption intensity and absorption duration are constructed as indicators for assessing industries’ resilience. Empirical results show that: (1) the impact of GPR on industries in China stock market is time-varying and is more significant in the short and medium run than in the long run. (2) GPR on all the industries turns from positive to negative in both short and medium run, except for coal industry. (3) The absorption intensity and absorption duration of the selected industries show opposite trends, which indicates that these industries can adapt and absorb the larger GPR shocks, while the smaller GPR shocks require more time to be digested. (4) Both absorption intensity and duration show trend mutation when facing with major GPR events. Our findings provide crucial insights to investors and policymakers in China stock markets.

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

How does the central bank stabilize the stock market under macro uncertainty: Evidence from China stock market

This paper establishes mathematical models and PVAR models to verify the micro transmission path and the validity of central bank communication and actual interest rate intervention on China stock market. Through heterogeneity analysis, we further test whether the level of macroeconomic uncertainty affects their effect. We confirmthat both central bank communication and actual interest rate intervention have a significant effect. However, central bank communication is ineffective in the high macroeconomic uncertainty sample while the interest rate intervention can have a greater effect. Overall, the results suggest that central bank communication is a more effective monetary policy tool on stock market in low macroeconomic uncertainty period, while interest rate intervention is a better choice in high macroeconomic uncertainty period.

The impact of intellectual capital strategy on firm value and financial distress

This study aims to examine the effect of intangible assets, on corporate financial performance and financial distress. Intangible assets in this study are explained by human capital efficiency (HCE), relational capital efficiency (RCE), structural capital efficiency (SCE), and capital employed efficiency (CEE). The measurement model often used is the extended value-added intellectual coefficient plus (EVAIC+) model by Ulum (2017), which is a model developed from a comparison of Edvinsson’s (1997) and Pulic’s (2000) models. Financial performance is measured by firm value with price to book value (PBV) proxy, and financial distress with Altman Z-score. This study was conducted using secondary data and sample selection using purposive sampling with samples being listed manufacturing companies in Indonesia, Singapore, Malaysia, Thailand, the Philippines and South Korea, Japan, and China Stock Exchanges for the period 2011–2021. The results of the study on Model 1 found that HCE, RCE, and CEE have a positive effect and significance and SCE have a negative effect and significance on firm value. Model 2 found that HCE, RCE, and CEE have a positive effect and SCE have a negative effect and significant on financial distress. The results of this study can be used as a reference for companies to be able to manage intangible assets, especially intellectual capital disclosure.

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.

The Investigation of China Stock in Fama-French Model Based on High-end Equipment Manufacturing Industry

This study investigates the elements of return and chance in the very good-quality hardware manufacturing sector by directing empirical research and far-reaching analysis. The research centers around building six portfolios considering market esteem scale and book-to-market ratio to explore the relevance of the Fama-French factor analysis model. Our discoveries uncover important patterns, including a backward connection between the book-to-market ratio and rates of return, as well as higher paces of return for bigger scope portfolios, featuring a scale impact. The meaning of positive month-to-month yields across all portfolio blends underlines the business' general profitability from 2015 to 2021. Thorough stationarity tests approve our relapse analysis, where market risk factor(MKT), scale factor (SMB), and book-to-market ratio factor (HML) altogether impact stock portfolio returns. By adjusting our discoveries to past writing and featuring the model's viability in various sectors, our review adds to a more extensive comprehension of asset pricing and illuminates powerful investment methodologies custom-fitted to explicit market elements.

Influence of a wider trading range on stock price efficiency: Evidence from ChiNext stocks in China

We investigate the influence of widening ChiNext stocks’ daily price limit on stock price efficiency in China. Compared with Main Board stocks, following the adjustment in the price limit, ChiNext stocks immediately demonstrate increased price delay and idiosyncratic volatility, with reduced price synchronicity. These results indicate a more significant rise in firm-specific information production and slower assimilation of public information for ChiNext stocks. Although price delay and synchronicity effects fade after one and two years, idiosyncratic volatility effect remains notable. Our further analysis for the immediate influence reveals that, after this event, the liquidity component of price delay decreases more while the information uncertainty component of price delay increases more for ChiNext stocks than for Main Board stocks. Consequently, our findings suggest that heightened information uncertainty outweighs increased stock liquidity, leading to higher increases in stock price delay for ChiNext stocks than for Main Board stocks after the event.

Gridded material stocks in China based on geographical and geometric configurations of the built-environment

Material stocks have created alternative perspectives in many environmental and climate studies. Their significance nonetheless may be under-explored, partially due to scarcity of more precise, timely and higher-resolution information. To address this limitation, our present study developed a gridded material stocks dataset for China in Year 2000 and 2020, by examining the geographical distribution and geometric configurations of the human-made stock-containing environment. The stocks of twelve materials embodied in five end-use sectors and 104 products and constructions were assessed at a resolution of 1 × 1 km grid. Material intensity in each product or construction component was carefully evaluated and tagged with its geometric conformation. The gridded stocks aggregately are consistent with the stock estimation across 337 prefectures and municipalities. The reliability of our assessment was also validated by previous studies from national, regional, to grid levels. This gridded mapping of material stocks may offer insights for urban-rural disparities, urban mining opportunity, and climate and natural disaster resilience.

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.