10 results
Search Results
2. Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region.
- Author
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Shahzad, Farrukh
- Subjects
- *
HAZE , *STOCK exchanges , *CAPITAL market , *INVESTORS , *AIR pressure , *ECONOMETRIC models - Abstract
This paper evaluates the relationships between weather variables like humidity, temperature, air pressure, wind speed and status (clear, cloud, rain, haze and snow) with stock returns and volatility in the Greater China region's stock market. The study focuses on four stock exchanges; Shanghai and Shenzhen stock exchanges from mainland China, Hong Kong stock exchange and Taiwan stock exchange from Hong Kong and Taiwan respectively. Using the robust approach the best peer econometric model for each market was chosen. The results of the study depict that weather variables have a significant effect on Greater China's capital markets. We are able to analyze that in some cases the variable affects returns as well as volatility • Prior studies have proved that weather has emotional effects. • Finance scholars have shown that emotions related to investor decisions. • I provide evidence that local weather affects stock returns. • I also explore which weather variable most liable for said effect. • I find that said effect is at least fall in every stock market of Greater China region. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF
3. A Fuzzy Asymmetric GARCH model applied to stock markets
- Author
-
Hung, Jui-Chung
- Subjects
- *
MATHEMATICAL models , *ANALYSIS of variance , *STOCK exchanges , *FUZZY sets , *INFORMATION asymmetry , *TIME series analysis , *MATHEMATICAL analysis - Abstract
Abstract: In this paper, we derive a new class of flexible threshold asymmetric Generalized Autoregression Conditional Heteroskedasticity (GARCH) models. We use this tool for analysis and modeling of the properties that are apparent in many financial time series. In general, the transmission of volatility in the stock market is time-varying, nonlinear, and asymmetric with respect to both positive and negative results. Given this fact, we adopt the method of fuzzy logic systems to modify the threshold values for an asymmetric GARCH model. Our simulations use stock market data from the Taiwan weighted index (Taiwan), the Nikkei 225 index (Japan), and the Hang Seng index (Hong Kong) to illustrate the performance of our proposed method. From the simulation results, we have determined that the forecasting of volatility performance is significantly improved if the leverage effect of clustering is considered along with the use of expert knowledge enabled by the GARCH model. [Copyright &y& Elsevier]
- Published
- 2009
- Full Text
- View/download PDF
4. Assessing the impact of the economic crises in 1997 and 2008 on suicides in Hong Kong, Taiwan and South Korea using a strata-bootstrap algorithm.
- Author
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Soleymani, Mehdi and Yip, Paul S. F.
- Subjects
FINANCIAL crises ,GREAT Recession, 2008-2013 ,ECONOMIC impact ,STOCK exchanges ,SUICIDE statistics ,RECESSIONS - Abstract
The Asian economic crises of 1997 and the 2008 Global Financial Crisis (GFC) had far-reaching impacts on Asian and other global economies. Turmoil in the banking and finance sectors led to downturns in stock markets, resulting in bankruptcies, house repossessions and high unemployment. These crises have been shown to be correlated with a deterioration in mental health and an increase in suicides, and it is important to understand the implication of these impacts and how such recessions affect the health of affected populations. With the benefit of hindsight, did lessons learned from the negative effects of the 1997 Asian economic recession impact the aftermath of the 2008 GFC in Asian countries? Utilising a framework based on a simple strata-bootstrap algorithm using daily data – where available – we investigate the trend in suicide rates over time in three different populations (Hong Kong, Taiwan and South Korea), and examine whether there were any changes in the pattern of suicide rates in each country subsequent to both the 1997 Asian and 2008. We find that each country responded differently to each of the crises and the suicide rates for certain age-gender specific groups in each country were more affected. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
5. Chinese family business, stock market and the Haiwankong financial network.
- Author
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Zheng, Victor
- Subjects
FAMILY-owned business enterprises ,STOCK exchanges ,ECONOMIC competition - Abstract
This article attempts to examine the development of family businesses and stock markets in three greater China locations: Shanghai, Taiwan and Hong Kong. Of particular interest are the effects of public listing on the transformation of family businesses and the growth of economies through opening markets to private enterprises. First, a short history of the Shanghai, Taiwan and Hong Kong stock markets will be given. Then, their similarities and differences will be analysed. As the three markets have different characteristics, specializations and comparative advantages, a collaborative financial network of these three places – Haiwankong – is proposed that may further enhance their competitiveness on the global economic stage with special reference to the development of Europe from a highly divisive collection of states to a European Union under a single currency. [ABSTRACT FROM PUBLISHER]
- Published
- 2012
- Full Text
- View/download PDF
6. Types of Shares and Idiosyncratic Risk.
- Author
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Lee, Jen-Sin and Wei, Chu-Yun
- Subjects
IDIOSYNCRATIC risk (Securities) ,MARKET volatility ,PORTFOLIO diversification ,STOCK exchanges - Abstract
This study seeks to examine whether being listed as a particular type of share (H share, red-chip stock, Taiwan-based stock, or Hong Kong local stock) on the main board of the Hong Kong Exchange will affect the idiosyncratic risks and market risks. The findings are as follows: (1) different political connections mainly affect idiosyncratic risk, (2) the hypothesis of big size with high market risk is supported, (3) the idiosyncratic risks of all the companies in each category taken by category are negatively correlated with expected short-run returns. These results mean that investors should hold the stocks with previous low idiosyncratic risk to earn high expected returns. [ABSTRACT FROM AUTHOR]
- Published
- 2012
- Full Text
- View/download PDF
7. Relationships between oil price shocks and stock market: an empirical analysis from Greater China.
- Author
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Lin, Chu-Chia, Fang, Chung-Rou, and Cheng, Hui-Pei
- Subjects
PETROLEUM product sales & prices ,STOCK exchanges ,RATE of return on stocks ,STOCK prices ,EMPIRICAL research - Abstract
Although a lot of empirical research has studied the relationship between changes in oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong and Taiwan). Therefore, the main goal of this article is to apply detailed monthly data from 1997/7 to 2008/9 to fill this gap. Compared to the effect of US stock market returns described by Kilian (2009) and Kilian and Park (2009), we found that the impact of oil price shocks on stock prices in Greater China has been mixed. First, the impact of oil price shocks on Taiwan's stock market is very similar to that on the US stock market. Additionally, all three shocks have had significantly positive impacts on Hong Kong's stocks, partially in contrast to the effects on the US stock market. However, in contrast to the effect in the US stock market, we found that only global oil supply shock has a significantly positive impact on China's stock returns, but global oil demand shock and the oil specific demand shock have no significant impacts. The reason for the lack of significant impacts is that the positive expectation effect of China's fast economic growth may be just offset by the negative effect of a precautionary demand-driven effect. This result is also consistent with the previous empirical findings that the segmented and integrated China stock market is mixed, and it implies that the China stock market is 'partially integrated' with the other stock markets and oil price shocks. [ABSTRACT FROM AUTHOR]
- Published
- 2010
- Full Text
- View/download PDF
8. Using chaos measures to examine international capital market integration.
- Author
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Sewell, Susan P., Stansell, Stanley R., Lee, Insup, and Below, Scott D.
- Subjects
STOCK exchanges ,FOREIGN exchange rates - Abstract
Weekly changes for the period 1980 to 1994 in six major stock indices (the US, Korea, Taiwan, Japan, Singapore and Hong Kong) and the World Index are examined. Also examined are the corresponding foreign exchange rates between the US and these five countries. Using spectral analysis, techniques of nonlinear dynamics and ordinary least squares regression, evidence of varying levels of market integration are documented. Some of the time series examined exhibit nonlinear dependencies [ABSTRACT FROM AUTHOR]
- Published
- 1996
- Full Text
- View/download PDF
9. Day-of-the-week effects: evidence from developing stock markets.
- Author
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Wong, Kie Ann, Tak Kee Hui, and Choy Yin Chan
- Subjects
STOCK exchanges ,MARKETS ,FINANCIAL markets - Abstract
An extension of the research on the day-of-the-week effect to the stock markets of Singapore, Malaysia, Hong Kong, Thailand and Taiwan is presented. These small-sized markets are still much neglected. We find that there is a day-of-the-week effect in all these markets except Taiwan. These four markets have negative mean returns on Monday or Tuesday and high positive returns on Friday. Further analysis with four subperiods of data reveals that the weekly seasonal patterns appear to be period specific. The US stock market has little contribution to the day-of-the-week effect in these four markets. Thin trading does not seem to have a significant impact on the day-of-the-week effect in the Singapore market. [ABSTRACT FROM AUTHOR]
- Published
- 1992
- Full Text
- View/download PDF
10. DIVERSE PATHS TO PROSPERITY.
- Author
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Forbes Jr., M.S.
- Subjects
ECONOMIC conditions in Asia ,ECONOMIC development ,ECONOMICS ,TAIWANESE economy, 1975- ,PUBLIC housing ,STOCK exchanges ,ECONOMIC history - Abstract
Comments on the extraordinary economic growth stories of Taiwan, Hong Kong and Singapore, along with South Korea. Hong Kong's almost anything goes economy, and of fear when starting businesses; Singapore's sharp character contrast, and governmentcontrolled companies; Taiwan as the Asian version of Italy, with its numerous restriction on setting up businesses; Taiwan's art of tax avoidance; All three countries are investing heavily outside their borders.
- Published
- 1991
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