a r t i c l e i n f o JEL classification: C22 E44 F31 Keywords: Monetary shocks Asymmetric effects MSVAR–EGARCH In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and m...

In this paper we investigate the complex relationship between tweet board literature (like bullishness, volume, agreement etc) with the financial market instruments (like volatility, trading volume and stock prices). We have analyzed sentiments for more than 4 million tweets between June 2010 to July 2011 for DJIA, NASDAQ-100 and 13 other big cap technological stocks. Our results show high corr...

This paper examines a panel sample of Chinese firms with and without foreign Bshare listings over a nine-year period from 1998 to 2006 to address the changing role of cross-listing in shaping corporate earnings management, stock price informativeness, and firm value, contingent upon increased market integration. In line with the “bonding hypothesis” of Coffee (1999, 2002) and Stulz (1999), we f...

We examine total, market and idiosyncratic risk and correlation dynamics using daily data from 1993 to 2001 on the 6 largest euro-zone stock market indices and 42 firms from the Dow Jones Eurostoxx50 index. We also estimate conditional correlations using the asymmetric DCC-MVGARCH model. Comparing our results with those of Campbell, Lettau, Malkiel and Xu (2001), stock correlations are higher a...

Jiang and and Tian (2010) have estimated an ARFIMA model for stock return volatility. We argue that this result does not imply actual 'long memory' in such time series -as any kind of instability in the population mean yields apparent fractional integration as a statistical artifact. Alternative high-pass filters for studying stock market volatility data are suggested.