This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index between before and after the crisis. Little spatial dominance could be found, even consi...

This paper analyzes the stability of the exchange rate in an economy with noise traders. Noise trading is restricted to agents investing in the domestic stock market. The agents pricing foreign exchange hold rational expectations. Monetary policy is affected by the behavior of investors in the domestic stock market and in turn affects fundamental stock evaluations as well as noise trading. We s...

This paper investigates the price adjustment and lead-lag relations between returns on five sizebased portfolios in the Taiwan stock market. It finds evidence that the price adjustment of smallstock portfolios is not slower than that of large-stock portfolios. Additionally, limited evidence supports a positive leading role of large-stock portfolio returns over small-stock portfolio returns. The...

This paper examines the stock return performance of the IPO stocks which are listed on the Growth Enterprise Market (GEM) in Hong Kong. By using several benchmarks, over three years, this paper finds that the results produced are sensitive to the benchmark employed. The two factors causing the underperformance of GEM stocks are the ‘technology boom’ and ‘IPO effects’. This suggests that appropr...

This paper investigates the forecasting ability of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model. The paper also compares the forecasting ability of the non-GARCH model the Kalman method. Forecast errors based on twenty UK company weekly stock return (based on timevary beta) forecasts ...

We document that within industry relative valuations implicit in analyst target prices do provide investors with valuable information although the implied absolute valuations themselves are much less informative. Importantly, our findings are not merely a small stock phenomenon but apply to the sample of S&P 500 stocks and do not rely on trading at the exact time of announcement. Using a large ...

This paper addresses the following issue: given a set of daily observations on an asset (historical opening, closing, high and low prices), how should one go about estimating the asset’s volatility? We use high-frequency data on very liquid assets to construct daily realized volatility series, which enables us to treat volatility as observed rather than latent. We then compare the empirical per...

We propose a novel measure of the amount of arbitrage capital allocated to the momentum strategy to test whether arbitrageurs can have a destabilizing effect in the stock market. Our measure, which we dub comomentum, aims to capture the extent to which momentum trades by arbitrageurs become crowded. Specifically, we define comomentum as the high-frequency abnormal return correlation among stock...

This paper shows a positive relation between analyst forecast dispersion and future aggregate stock returns, significant and robust. The innovations in forecast dispersions are negatively associated with contemporaneous aggregate returns and changes in discount rates. Decomposing forecast dispersion into “uncertainty” and “information asymmetry” components, I find that the “uncertainty” compone...

This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. In the sixteen-year period that has been analyzed the relation between stock returns and the macroeconomic factors is found to be highly unstable: not only are the betas of individual securities virtually uncorrelated over time, but a high perc...