ترغب بنشر مسار تعليمي؟ اضغط هنا

Cross-shareholding networks and stock price synchronicity: Evidence from China

131   0   0.0 ( 0 )
 نشر من قبل Wei-Xing Zhou
 تاريخ النشر 2019
  مجال البحث مالية
والبحث باللغة English
 تأليف Fenghua Wen




اسأل ChatGPT حول البحث

This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms levels of cross-shareholdings in terms of centrality in the cross-shareholding network. It is confirmed that it is through a noise-reducing process that cross-shareholding promotes price synchronicity and reduces price delay. More importantly, this effect on price informativeness is pronounced for large firms and in the periods of market downturns. Overall, our analyses provide insights into the relation between the ownership structure and price informativeness.



قيم البحث

اقرأ أيضاً

In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, whereas news tend on average to be followed by lower volatility levels. The shape of the volatility relaxation is also markedly different in the two cases. Finally, we provide direct evidence that large transaction volumes are_not_ responsible for large price jumps. We conjecture that most price jumps are induced by order flow fluctuations close to the point of vanishing liquidity.
This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (E MH) in terms of the information of past price changes. The prediction power corresponds to the hit-rate, which is the rate of the consistency between the direction of actual price change and that of predicted one, calculated by the nearest neighbor prediction method (NN method) using the out-of-sample. In this manuscript, the Hurst exponent and the approximate entropy (ApEn) are used as the quantitative measurements of the degree of efficiency. The relationship between the Hurst exponent, reflecting the various time correlation property, and the ApEn value, reflecting the randomness in the time series, shows negative correlation. However, the average prediction power on the direction of future price change has the strongly positive correlation with the Hurst exponent, and the negative correlation with the ApEn. Therefore, the market index with less market efficiency has higher prediction power for future price change than one with higher market efficiency when we analyze the market using the past price change pattern. Furthermore, we show that the Hurst exponent, a measurement of the long-term memory property, provides more significant information in terms of prediction of future price changes than the ApEn and the NN method.
59 - Damien Challet 2018
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price change magnit ude decreases, favoring underdiffusion, while the rate of these events increases, potentially leading to overdiffusion. A third mechanism, caused by the strategic behavior of traders, is needed to produce nearly diffusive prices: waiting to submit buy orders until sell orders have decreased the indicative price and vice-versa.
93 - Ming-Xia Li 2013
Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relation ships, but also have potential impacts on market dynamics. Here, we present a detailed analysis on how the market behaviors are correlated with the structures of traders in trading networks based on audit trail data for the Baosteel stock and its warrant at the transaction level from 22 August 2005 to 23 August 2006. In our investigation, we divide each trade day into 48 time windows with a length of five minutes, construct a trading network within each window, and obtain a time series of over 1,100 trading networks. We find that there are strongly simultaneous correlations between the topological metrics (including network centralization, assortative index, and average path length) of trading networks that characterize the patterns of order execution and the financial variables (including return, volatility, intertrade duration, and trading volume) for the stock and its warrant. Our analysis may shed new lights on how the microscopic interactions between elements within complex system affect the systems performance.
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in the market in the formation of stock networks, using the arbitrage pricing model reflecting essential properties of common economic factors. We find that the degree of consistency between real and model stock networks increases as additional common economic factors are incorporated into our model. Furthermore, we find that individual stocks with a large number of links to other stocks in a network are more highly correlated with common economic factors than those with a small number of links. This suggests that common economic factors in the stock market can be understood in terms of deterministic factors.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا