494 results on '"RATE of return"'
Search Results
102. GE 'The House That Jack Built' Becomes Immelt's 'Global Industrial Fortress'.
- Author
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Le Guyader, Louis P.
- Subjects
BUSINESS enterprises ,RATE of return ,INTERNET marketing - Abstract
Industrial GE has built a fortress balance sheet. Legacy businesses were jettisoned if they were too mature, and declining. The massive finance business's dominance that threatened to overshadow the balance sheet has been reduced, and the associated regulatory burden is being minimized. New industrial businesses have been acquired to deepen the industrial commitment and diversify within it, with major positions in Europe and China. New manageable uncertainties including foreign currency risk have been accepted as part of the 'going global' bargain. An internal hedge against a pure 'brick-and-mortar' strategy has been created in the form of a newly announced 'digital' marketing approach. The purer GE return on equity (ROE) signal should be easier for the market to interpret. The 'upgraded' ROE is engineered to generate a new style of 'GE premium' in the stock price. © 2016 Wiley Periodicals, Inc. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
103. An Evaluation of Chinese Firms' Profitability: 2005–2013.
- Author
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Jing Liu, Ohlson, James A., and Weining Zhang
- Subjects
PROFITABILITY ,RATE of return ,ORGANIZATIONAL performance ,CASH flow ,BUSINESS enterprises ,AMERICAN business enterprises - Abstract
We empirically examine the profitability of leading Chinese firms, benchmarked against comparable U.S. firms, for the period 2005–2013. Return on invested capital (ROIC), which excludes leverage effects on performance, provides the primary metric. Averaged over firms and years, the two sets of firms have similar profitability, about 11 percent annually. Decomposing ROIC into free cash flow yield and invested capital growth, we show that the same ROIC has very different compositions: while the Chinese firms have high growth and negative free cash flows, the U.S. firms have low growth and positive free cash flows. Due to balance sheet conservatism, we infer that Chinese (U.S.) firms' free cash flow yields and the resulting ROICs have been biased downward (upward). After correcting for the bias, we show that Chinese firms have much higher profitability than their U.S. counterparts: 15.1 percent versus 8.1 percent. This result is driven by the abundance of growth opportunities in China in our sample period. When we control for the growth rates, we find U.S. firms have been more ''efficient'' in generating more free cash flows than Chinese firms. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
104. Oil shocks, policy uncertainty and stock returns in China.
- Author
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Kang, Wensheng and Ratti, Ronald A.
- Subjects
RATE of return ,PETROLEUM sales & prices ,ECONOMIC policy ,VALUE at risk - Abstract
This paper examines the interdependence of China's policy uncertainty, the global oil market and stock market returns in China. A structural VAR model is estimated that shows that a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real oil prices and real stock market returns. Shocks to oil market-specific demand significantly raise China's economic policy uncertainty and reduce the real stock market returns. As measured by a spillover index, the interdependence between these variables has been rising since 2003 as China's influence in the oil market has increased. An equivalent spillover index calculated for the US is smaller and has been largely flat over time. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
105. Price Returns Efficiency of the Shanghai A-Shares.
- Author
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Wang Jiang Long, Jaaman, Saiful Hafizah, and Samsudin, Humaida Banu
- Subjects
- *
STOCK prices , *RATE of return , *CAPITAL assets pricing model , *ESTIMATION theory , *BUSINESS enterprises , *RISK assessment - Abstract
Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
106. The retreat of the global company.
- Subjects
- *
INTERNATIONAL business enterprise financing , *CORPORATE profits , *INTERNATIONAL business enterprises , *FOREIGN investments , *RATE of return , *HISTORY - Abstract
The article discusses the decrease in multinational business enterprises' finances from the 1990s through 2017, including decreases in foreign investments and return on equity (ROE) in multinational firms and the American fast food company McDonald's decrease in profits. An overview of multinational firms in China, including their exports and industrial output, is provided.
- Published
- 2017
107. Increasing heterogeneity in the economic returns to higher education in urban China.
- Author
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Hu, Anning and Hibel, Jacob
- Subjects
- *
HIGHER education , *RATE of return , *NONPARAMETRIC estimation , *INCOME inequality , *SOCIAL surveys - Abstract
This study investigates individual heterogeneity in the economic returns to higher education in urban China following large-scale higher education expansion. We draw on data from the urban section of two waves of the Chinese General Social Survey, analyzing a sample of 1022 individuals in total who (1) were aged between 25 and 32; (2) completed high school education; and (3) were currently employed. Individual-level estimates of the distributions of the returns to higher education are obtained using a nonparametric kernel approach. While the average rate of returns to higher education increased for the 2003–2010 period, the extent of heterogeneity in these returns increased as well. Analysis of the heterogeneous returns to higher education across the distribution of income shows that the effects of college education are greatest at the upper end of the income distribution. Moreover, effect heterogeneity across the income distribution increased from 2003 to 2010. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
108. CAN INVESTORS PROFIT BY FOLLOWING ANALYSTS' RECOMMENDATIONS? AN INVESTIGATION OF CHINESE ANALYSTS' TRADING RECOMMENDATIONS ON INDUSTRY.
- Author
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CAI, RONGCHANG and ZILAN CEN
- Subjects
INVESTORS ,SECURITIES analysts ,INVESTMENTS ,STOCK exchanges ,RATE of return - Abstract
This study empirically examines the investment value of security analysts' industry-specific trading recommendations on China's stock market. Two questions are raised: whether investors can profit from the Chinese stock market by following those analyst recommendations; and whether buying (or selling) those recommended stocks could yield a higher return than the market during the same period of time. We conduct this research based on the database from EASTMONEY, which is the most frequently visited website providing professional information regarding market performance and share trading issues in China. We examined the trading history of the market from 2011 to 2013, and identified a total of 32440 recommendations issued by professional Chinese brokerage houses regarding 44 industries. Calendarbased portfolios are set up to evaluate the performance of those industries one day, one week, one month, half a year, and a year after the trading recommendations were released. It is found that industries with favorable recommendations in general outperform those with unfavorable recommendations and this performance discrepancy tends to magnify over time. If following the analysts' recommendations to buy and sell, shareholders are likely to profit in the mid- to long-run, and those stocks pertain to an industry with favorable (unfavorable) recommendations tend to outperform (underperform) the benchmark indices in the mid- to long-run as well. This study provides a novel attempt to assess the characteristics, and to an extent, the institutional efficiency of the share market in the world's largest developing country from an industry-specific perspective. [ABSTRACT FROM AUTHOR]
- Published
- 2015
109. PRE AND POST CHINESE NEW YEAR HOLIDAY EFFECTS: EVIDENCE FROM HONG KONG STOCK MARKET.
- Author
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CHIA, RICKY CHEE JIUN, LIM, SHIOK YE, ONG, PUI KHUAN, and TEH, SIEW FONG
- Subjects
STOCK exchanges ,RATE of return ,BEHAVIORAL economics ,INVESTMENT risk ,GARCH model - Abstract
This paper investigated the existence of pre-Chinese New Year (CNY) and post-CNY holiday effect in the Hong Kong stock market for the period covering January 1988 to July 2012. The generalized autoregressive conditional heteroscedasticity (GARCH)-M model is adopted to examine the average returns and associated with symmetrical behavior. Then, asymmetric effect will be identified by using the Threshold GARCH-M (TGARCH-M) and Exponential GARCH-M (EGARCH-M) models. Results obtained indicate the significant two days pre-CNY and one day post-CNY holiday effects. Results also showed that post-CNY is found to be more volatile than the pre-CNY. Besides, the study found evidence of asymmetrical market reactions towards positive and negative news. The CNY holiday effects can be explained with the arguments drawn from behavioral finance, where the Chinese superstition and tradition cultures can alter investors' attitudes toward risk and affect investors' decision making in stock trading. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
110. An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market.
- Author
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Yang, Chen
- Subjects
LIQUIDITY (Economics) ,RATE of return ,AUTOCORRELATION (Statistics) ,STOCK exchanges ,EMPIRICAL research ,INVESTMENTS - Abstract
We investigate how the Nontradable Share Reform (NTS Reform) affects cross-sectional relations between liquidity and stock return autocorrelations using a new illiquidity measure that measures more precisely the liquidity of the Chinese stock market. We find that winner and loser portfolios exhibit different return autocorrelations before and after the NTS Reform. All return autocorrelations are stronger for high-illiquidity portfolios after controlling for turnover ratio. We use market capitalization to determine the extent of speculative trading and assume that return reversal (continuation) accompanied by high illiquidity occurs in large (small) stocks. Our empirical results are remarkably consistent with our hypothesis after the NTS Reform. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
111. CHINA AND ANGOLA: THE RISKS OF A STRATEGIC PARTNERSHIP.
- Author
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BEGU, Liviu-Stelian, BERGHEZAN, Ramona-Ioana, and PAIU, Mirela
- Subjects
STRATEGIC alliances (Business) ,RISK-return relationships ,RATE of return - Abstract
These days Africa is seen as a large market with high potential for development. Furthermore the resource-rich countries have received increasing attention from the major economic powers in the recent years. China became Africa's largest trading partner after massive investments in many countries' infrastructure. On the other hand these countries supply primary energy which is vital for China's fast-growing economy. This paper focuses on the partnership between China and Angola and follows the evolution of China's investment risk in Angola from 2000 to 2012. This analysis includes factors with impact on recouping China's investment in Angola. These factors are indicators for the economic, social and political situation of Angola and their evolution correlates with the crude oil export to China. [ABSTRACT FROM AUTHOR]
- Published
- 2015
112. Practical Applications of Value, Size, Momentum, Dividend Yield, and Volatility in China's A-Share Market.
- Author
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Mack, Barbara J.
- Subjects
STOCK exchanges ,PORTFOLIO management (Investments) ,RATE of return ,DIVIDENDS ,FINANCIAL markets - Abstract
The article advises investors to exercise caution in applying traditional factor models to the A-share market in China. Topics discussed include the use of factor models to evaluate the drivers of expected security returns, premiums produced by selected factors such as value, size, and momentum. Also considered are the stock's dividend yield, and the volatility of the market.
- Published
- 2015
113. Suggestions for Bancassurance Markets in China: Implications from European Countries.
- Author
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Liang, Hsin-Yu and Ching, Yann Peng
- Subjects
INSURANCE business activities of banks ,BANKING industry ,RATE of return ,INSURANCE companies - Abstract
This study discusses the operational benefits of integration of the banking and insurance sub-sectors in Europe to formulate policy recommendations for the bancassurance markets in an emerging country, China. When the financial integration of banking and insurance services began in European countries in the 1990s, most banks and insurance companies had already been listed for some time. Thus, we use the monthly stock returns of banks and insurance companies that had not yet been integrated as of 2008 to examine efficient frontier portfolio and pairwise combinations in European bancassurance markets. We find that portfolio diversification is an important benefit of banks integrating with different types of insurance companies. Consistent with the literature, we further show that banks strategically involved in non-life insurance will benefit in terms of enhanced returns and reduced risks. Our results present implications for building a bancassurance market in China. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
114. Non-Tradable Share Reform, Liquidity, and Stock Returns in China.
- Author
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Hung, Chi ‐ Hsiou D., Chen, Qiuliang, and Fang, Victor
- Subjects
LIQUIDITY (Economics) ,RATE of return ,NONTRADED goods ,TRANSACTION costs ,BOOK-to-market ratio - Abstract
This article studies the influence of the non-tradable share reform in the cross-section of stock returns in China. Prior research has generally neglected this important development in the Chinese stock market. We find that the firm-specific illiquidity measures that reflect direct transaction costs, price impact and difficulties in trading immediacy, exhibit a positive and significant relationship with stock returns. These effects are particularly pronounced after the non-tradable share reform. Furthermore, in the post-reform era, portfolios with high illiquidity (i.e. high relative bid-ask spread, high Amihud illiquidity, low Amivest liquidity ratio) significantly outperform portfolios with low illiquidity, controlling for size, and book-to-market effects. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
115. EROI Analysis for Direct Coal Liquefaction without and with CCS: The Case of the Shenhua DCL Project in China.
- Author
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Zhaoyang Kong, Xiucheng Dong, Bo Xu, Rui Li, Qiang Yin, and Cuifang Song
- Subjects
- *
RATE of return , *COAL liquefaction , *CARBON sequestration , *EMISSIONS (Air pollution) - Abstract
Currently, there are considerable discrepancies between China's central government and some local governments in attitudes towards coal to liquids (CTL) technology. Energy return on investment (EROI) analysis of CTL could provide new insights that may help solve this dilemma. Unfortunately, there has been little research on this topic; this paper therefore analyses the EROI of China's Shenhua Group Direct Coal Liquefaction (DCL) project, currently the only DCL commercial project in the world. The inclusion or omission of internal energy and by-products is controversial. The results show that the EROIstnd without by-product and with internal energy is 0.68-0.81; the EROIstnd (the standard EROI) without by-product and without internal energy is 3.70-5.53; the EROIstnd with by-product and with internal energy is 0.76-0.90; the EROIstnd with by-product and without internal energy is 4.13-6.14. Furthermore, it is necessary to consider carbon capture and storage (CCS) as a means to control the CO2 emissions. Considering the added energy inputs of CCS at the plant level, the EROIs decrease to 0.65-0.77, 2.87-3.97, 0.72-0.85, and 3.20-4.40, respectively. The extremely low, even negative, net energy, which may be due to high investments in infrastructure and low conversion efficiency, suggests CTL is not a good choice to replace conventional energy sources, and thus, Chinese government should be prudent when developing it. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
116. Impact of exchange rate regime reform on asset returns in China.
- Author
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Hua, Xiuping, Sun, Laixiang, and Wang, Tianyi
- Subjects
FOREIGN exchange rates ,RATE of return ,MARKET volatility ,MONEY supply - Abstract
Employing monthly data over the period 1999–2010, this paper examines the impact of China's exchange rate regime reform in July 2005 on three major asset markets: house, land, and stocks. We test whether the reform, which switches from a fixed exchange rate regime to a managed floating one, has brought forward structural changes to asset return dynamics. The results suggest that the exchange rate regime switch exerted the most significant impact on house and land returns at the national level, in terms of both returns and their volatilities. In contrast, its impact on China's stock market was moderate, with no structural change being detected in its returns and only weak structural change being found in the dynamics of its volatility. We also find that in comparison with other popular explanatory variables, broad money supply and inflation have the largest explanatory power on housing and land returns in China after the policy reform. [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
117. The Initial Return and Its Conditional Return Volatility: Evidence from the Chinese IPO Market.
- Author
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Monica Hussein, M. and Zhou, Zhong-Guo
- Subjects
MARKET volatility ,FINANCIAL markets ,GOING public (Securities) ,GARCH model ,TIME-varying systems ,STOCK prices ,RATE of return - Abstract
This paper investigates the monthly initial return and its conditional return volatility for Chinese IPOs. We find that the mean initial return (IR) and cross-sectional return volatility are highly auto- and cross-correlated, and time-varying. We propose a system of two simultaneous equations: a GARCH-in-mean (GARCH-M) process with an ARMA(1,1) adjustment in the residuals for the IR and an EGARCH process for the conditional return volatility, assuming that the IR and its conditional return volatility are linear functions of the same market, firm- and offer-specific characteristics. We find that the model captures both time-series and cross-sectional correlations at the mean and variance levels. Our findings suggest that the conditional return volatility affects the IR positively and significantly, in addition to the traditional market, firm- and offer-specific characteristics. IPOs with higher conditional return volatility, as a proxy for information asymmetry, tend to be underpriced more. The paper demonstrates the merit of using a conditional variance model, along with time series and cross-sectional analysis to price Chinese IPOs. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
118. The Relationship Between the Intensity of Competition in China’s Real Estate Industry and its Return on Equity.
- Author
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Du, Jiang, Chen, Shaw K., and Jarrett, Jeffrey E.
- Subjects
- *
RATE of return , *REAL estate business , *MONOPOLY capitalism , *MONOPOLIES , *CAPITAL investments - Abstract
Does the rate of return from the Chinese real estate industry correlate with the intensity of competition among real estate firms? If China’s equity market performs efficiently, the rates of return of real estate firms should vary indirectly with their level of monopoly power. Greater monopoly power reduces earnings risk and leads to lower costs of capital. The authors analyze empirical evidence and indicate no relationship exists between returns and competition. Speculation may induce stock prices to deviate from normal values. Because normal values assume no speculation, Chinese markets are not likely to be economically efficient. [ABSTRACT FROM PUBLISHER]
- Published
- 2014
- Full Text
- View/download PDF
119. The price of correlation risk: evidence from Chinese stock market.
- Author
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Deng, Yiwen, Liu, Chen, and Zheng, Zhenlong
- Subjects
STOCK exchanges ,RATE of return ,MARKETING research ,MULTIPLE regression analysis ,LIQUIDITY (Economics) ,INVESTORS - Abstract
Purpose -- The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach -- The authors first examine the relationship between the market correlation and the market return. Then, the authors run formal multiple regressions to see whether correlation risk is priced in security returns. Findings -- The authors find that market correlation increases when the market index falls down. Though market correlation risk is partly influenced by macroeconomic shocks, volatility risk, liquidity risk and higher moment risk, market correlation contains unique information that measures the benefit investors gain from diversification strategies. The market correlation risk is negatively priced. This conclusion remains valid even if the authors have considered the influence of other risk factors and the impact of conditional information. Research limitations/implications -- Subjected to the limited history of the Chinese stock market, the authors cannot use more accurate and specific empirical methodology to fulfill the empirical research. And this renders further study. Originality/value -- This research provides empirical evidence in a new data sample and it sheds lights on correlation strategies for institutional investors in China. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
120. BMI Research: China Real Estate Report: Business Environment.
- Subjects
REAL property ,CONSTRUCTION industry ,FORECASTING ,BUSINESS enterprise ratings ,RATE of return - Abstract
The article presents the real estate and construction business environment ratings (RECBER) for China as of the second quarter of 2011. It reports on the country's RECBER at 72.4 with regards to its real estate market. It also discusses the potential returns in the industry from 2011 to 2014. The project financial rating for Asia Pacific is also forecasted.
- Published
- 2011
121. BMI Research: China Real Estate Report: Business Environment.
- Subjects
REAL estate business ,RATINGS of international business enterprises ,RATINGS of real estate investment trusts ,RISK ,RATE of return - Abstract
The article presents the real estate/construction business environment ratings (RECBER) in China. It outlines the limits of potential returns of the country's real estate market and country structure as well as the risks to realization of returns. It notes that China's RECBER is 72.4 wherein the ratings for the limits of potential returns is at 71.0 which are slightly lower than the ratings for the risks to the realization of returns which is at 73.7.
- Published
- 2010
122. BMI Research: China Food & Drink Report: BMI Methodology.
- Subjects
BUSINESS enterprise ratings ,INDUSTRIES ,FOOD industry ,BEVERAGES ,RATE of return - Abstract
The article discusses the revision of the methodology used by Business Monitor International (BMI) Ltd. in the business environmental ratings which covers the 16 industries in China including food and drinks. It discusses the ratings system which is divided into two, the Limits of Potential Returns and the Risks to Realisation of those Returns. It mentions that there are three subjectively measured indicators and 41 separate indicators/datasets used in the business rating.
- Published
- 2010
123. An Empirical Study of the Impact of Intellectual Capital Performance on Business Performance.
- Author
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Ka Yin Yu, Hing Tai Ng, Wai Kwan Wong, Kai Wah Samuel Chu, and Kin Hang Chan
- Subjects
INTELLECTUAL capital ,FINANCIAL performance ,RETURN on assets ,REGRESSION analysis ,RATE of return - Abstract
This study attempts to shed light on intellectual capital (IC) performance of Hong Kong companies and its possible associations with business performance. Audited accounting data were collected from the constituent companies of Hang Seng Index in Hong Kong Stock Exchange between 2005 - 2008. In order to compute a set of IC efficiency indexes based on VAIC™. Value Added Intellectual Coefficient (VAIC™) is a quantitative IC measurement method which was pioneered by Pulic (2000) of the Austrian IC Research Centre. Four accounting ratios: market-to-book value (MB), return on assets (ROA), asset turnover (ATO) and return on equity (ROE) were used as proxies for measuring business performance. VAIC™ and its associated indexes, and the accounting ratios of sample companies are submitted to regression analysis for the detection of their associations. No conclusive evidence was found to support the associations between VAIC™ and the four financial indicators. However, components of VAIC™ were found to be able to predict a substantial variance in business performance. For example, Capital Employed Efficiency (CEE) has been found to be the key factor in predicting business financial performance. In addition, Structural Capital Efficiency (SCE) has an effect on market valuation as measured by MB as well as profitability as measured by ROE. Interestingly, negative correlations were observed between Human Capital Efficiency (HCE) and the financial indicators which, perhaps, were due to the existence of a gap between the traditional accounting perspective and value creation perspective which is central to the VAIC™ methodology in measuring IC. It is believed that the empirical results of this research have provided some new insights to the stakeholders of Hong Kong companies in utilizing IC, particularly the noted impact of structural capital. While physical and financial assets, still, appears to be taking on an important role as the key resources in delivering business success, IC, or to be exact, structural capital may be silently making headway into the fabric of Hong Kong's economy as illustrated by its impact in delivering return on equity (ROE). [ABSTRACT FROM AUTHOR]
- Published
- 2010
124. BMI Research: China Commercial Banking Report: Commercial Banking Business Environment Rating.
- Subjects
BANKING industry ,FINANCIAL services industry ,RATE of return ,MACROECONOMICS - Abstract
The article provides information on the commercial banking business environment rating of China for the second quarter of 2009. It discusses the crucial limits of potential returns and the banking elements to the realisation of returns in the country. In addition, it highlights the commercial banking business ratings of Asian countries as well as Great Britain and the U.S.
- Published
- 2009
125. Need, Bargaining, or Efficiency Driven? Explaining Central-Local Fiscal Transfers in Post-Reform China.
- Author
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Jing Vivian Zhan
- Subjects
- *
SUBSIDIES , *RATE of return ,REVENUE ,ECONOMIC conditions in China ,CHINESE politics & government - Abstract
An examination of China's central-provincial fiscal transfers in the post-reform era shows a pattern of wild cross-regional variations: some provinces submitted huge amounts of revenue to the center; while other provinces received considerable central subsidies. Why did some provinces enjoy more fiscal power than others? The need-based and bargaining-based theories have provided different hypotheses to explain such cross-regional variations. But in this paper I argue that both theories fall short of telling the whole story about central-local fiscal transfers in China. An alternative explanation is that the Chinese central government tended to make larger fiscal transfers to localities that used their revenues more efficiently and achieved higher economic development level. In this way, fiscal transfer essentially functioned as an investment: By transferring more fiscal revenues to localities where they could be efficiently used to yield high returns, the center could harvest more fiscal revenue in the future. ..PAT.-Unpublished Manuscript [ABSTRACT FROM AUTHOR]
- Published
- 2006
126. SWOT Analysis.
- Subjects
REAL estate management ,RATE of return ,INTEREST rates ,JET fuel - Abstract
The article presents a strengths, weaknesses, opportunities and threats analysis for CITIC Pacific Ltd., a property investment and management company based in Hong Kong, China. Background information on the company is provided. An assessment of the company's return on equity in comparison to its competitors is provided. Potential threats to the company include increasing interest rates and rising jet fuel prices.
- Published
- 2005
127. CITIC Pacific, Ltd. SWOT Analysis.
- Subjects
REAL estate management ,REVENUE ,RATE of return ,INTEREST rates ,JET fuel - Abstract
The book presents a strengths, weaknesses, opportunities and threats analysis for CITIC Pacific Ltd., a property investment and management company based in Hong Kong, China. Background information on the company is provided. Revenue posted during the fiscal year ended December 2004 is revealed. An assessment of the company's return on equity in comparison to its competitors is provided. Potential threats to the company include increasing interest rates and rising jet fuel prices.
- Published
- 2005
128. Socialist Workers in Market Transition: Voluntary and Involuntary Job Mobility and Social Stratification in Urban China.
- Author
-
Xiaogang Wu and Yu Xie
- Subjects
EDUCATION ,EMPLOYEES ,LABOR market ,LABOR mobility ,HUMAN capital ,RATE of return - Abstract
In an early study we developed a typology of workers based on their labor market histories, and proposed a model of selective mobility of workers as an alternative explanation of higher returns to education in the market sector than in the state sector. Compared to workers staying in the state sector, early market entrants no longer enjoyed advantages. The commonly observed higher earnings returns to education in the market sector are only limited to recent market entrants. We have used the former findings to challenge to the claim that market mechanisms per se lead to high returns to human capital, in this paper we provides a further explanation for the higher returns to education for later market entrants, based on the analysis of the sample data collected in 2000 from10 Chinese cities. After disaggregating the two types of later entrants - those who were "pushed" and those who "jumped" into the market sector - and correcting selection biases, we find no significant difference in returns to education among voluntary entrants, involuntary entrants, and workers staying in the state sector. We conclude that higher returns to education in the market sector of a transition economy cannot be construed as caused by marketization per se, and that the sorting process of workers in labor markets helps explain the results. [ABSTRACT FROM AUTHOR]
- Published
- 2005
129. Asymmetric multiscale detrended cross-correlation analysis of financial time series.
- Author
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Yi Yin and Pengjian Shang
- Subjects
- *
STOCK exchanges , *RATE of return , *TIME series analysis , *CROSS correlation - Abstract
We propose the asymmetric multiscale detrended cross-correlation analysis (MS-ADCCA) method and apply MS-ADCCA method to explore the existence of asymmetric cross-correlation for daily price returns in US and Chinese stock markets and to assess the properties of these asym-metric cross-correlations. The results all show the existences of asymmetric cross-correlations, while small asymmetries at small scales and larger asymmetries at larger scales are also displayed. There is a strong similarity between S&P500 and DJI, and we reveal that the asymmetries depend more on the cross-correlations of S&P500 vs. DJI, S&P500 vs. NQCI, DJI vs. NQCI, and ShangZheng vs. ShenCheng when the market is falling than rising, respectively. By comparing the spectra of S&P500 vs. NQCI and DJI vs. NQCI with uptrends and downtrends, we detect some new characteristics which lead to some new conclusions. Likewise, some new conclusions also can be drawn by the new characteristics displayed through the comparison between the spec-tra of ShangZheng vs. HSI and ShenCheng vs. HSI. Obviously, we conclude that although the overall spectra are similar and one market has the same effect when it is rising and falling in the study of asymmetric cross-correlations between it and different markets, the cross-correlations and asymmetries on the trends of the different markets are all different. MS-ADCCA method can detect the differences on the asymmetric cross-correlations by different trends of markets. Moreover, the uniqueness of cross-correlation between NQCI and HSI can be detected in the study of the asymmetric cross-correlations, which confirms that HSI is unique in the Chinese stock mar-kets and NQCI is unique in the US stock markets further. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
130. Chinese State-Owned Enterprises: Are They Inefficient?
- Author
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SHAOMIN LI, YING CHOU LIN, and SELOVER, DAVID D.
- Subjects
GOVERNMENT business enterprises ,RATE of return ,INDUSTRIAL costs ,BUDGET management ,ORGANIZATIONAL performance ,ECONOMICS - Abstract
Using a panel data set of 200,000+ Chinese firms constructed by merging the Chinese census of manufacturing firms for 2000-2005, we compare the performance of Chinese state-owned enterprises (SOE s) and private firms in terms of rates of return, productivity, growth, costs, and investment. Using panel regressions, we find that Chinese industrial state-owned enterprises are, indeed, less efficient than private firms and pay less attention to costs, inventories, accounts receivables, investment, employee welfare, financing, and administration. We find that this adversely affects their performance. The findings are consistent with the soft-budget constraint hypothesis. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
131. Scaling behavior in ranking mobility of Chinese stock market.
- Author
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Wu, Ke, Xiong, Wanting, Weng, Xin, and Wang, Yougui
- Subjects
- *
STOCK exchanges , *SOCIOECONOMIC factors , *STOCKS (Finance) , *RATE of return , *STATISTICAL sampling - Abstract
Abstract: As an aggregate measure of the variations in individuals, the analysis of mobility provides a substantial and comprehensive perspective into the complexity of socio-economic systems. In this paper, we introduced the ranking mobility index to measure the ranking variations of the stocks in Chinese stock market over time. Using the daily data of 837 constituent stocks of the Shanghai A-Stock Composite Index from January 1, 2002 to December 31, 2012, we examined respectively the dependence of ranking mobility with respect to the absolute return, trading volume and turnover ratio on the sampling time interval. The scaling property is observed in all three relations. The fact of long relaxation times gives evidence of long memory property in the stock ranking orders. [Copyright &y& Elsevier]
- Published
- 2014
- Full Text
- View/download PDF
132. Dim Sum Bonds: A Return and Risk Analysis.
- Author
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FUNG, HUNG-GAY, KO, GLENN, and YAU, JOT
- Subjects
BONDS (Finance) ,RATE of return ,CAPITAL market ,PORTFOLIO management (Investments) ,BOND market ,INVESTMENTS ,INSTITUTIONAL investments ,RISK assessment - Abstract
The article presents an overview of the fast-growing dim sum bond market to provide investors an insight on return analysis to evaluate this market for inclusion in their investment portfolios. Topics discussed include trading of dim sum bonds, implementation of the Renminbi Qualified Foreign Institutional Investors (RQFII) program and creditworthiness and credit risk of dim sum bond.
- Published
- 2014
- Full Text
- View/download PDF
133. Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?
- Author
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Kwan, Yum K. and Dong, Jinyue
- Subjects
STOCK prices ,CAPITAL assets pricing model ,RATE of return ,HOUSING ,AUTOREGRESSION (Statistics) - Abstract
We develop and estimate several variants of consumption-based capital asset pricing models (CCAPMs) and compare their capacity in explaining the stock price dynamics of China. We conclude that adding housing to CCAPM and habit formation models yields no significant benefit in predicting stock returns, but adding housing to recursive utility models does improve predictions. Furthermore, the labor income model cannot help reduce pricing errors, but the collateral constraint model outperforms almost all other models. Some models cannot even defeat the simple autoregressive model in stock return prediction. Overall, the H-recursive utility model has the best prediction performance. Directions for future research are discussed. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
134. Realized Jump Risk and Equity Return in China.
- Author
-
Guojin Chen, Xiaoqun Liu, Peilin Hsieh, and Xiangqin Zhao
- Subjects
- *
HIGH-frequency trading (Securities) , *RATE of return , *ROBUST control , *FINANCIAL risk management , *CAPITAL assets pricing model - Abstract
We utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump) risk factor model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate monthly jump size, monthly jump standard deviation, and monthly jump arrival rate and then use those monthly jump factors to explain the return of the following month. Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. Our results remain the same even when we add the size and value factors in the robustness tests. [ABSTRACT FROM AUTHOR]
- Published
- 2014
- Full Text
- View/download PDF
135. What Determines IPO's Initial Abnormal Returns? -- Evidence from Chinese Growth Enterprise Market.
- Author
-
Danfeng Kong, Shao-Na Yang, and Xiao-Rong Li
- Subjects
- *
GOING public (Securities) , *BUSINESS enterprises , *PRICES , *RATE of return , *STOCKHOLDERS , *BANDWAGON effect , *SECONDARY markets - Abstract
This paper empirically analyzes determinants that influence IPO's initial abnormal returns Chinese Growth Enterprise Market (GEM) with the sample of 355 listed companies. The result indicates that there exists unbalanced distribution of listed companies in different regions and industries on GEM and their initial abnormal return is significantly different. Issue price, interval between issuing and listing, issuing size, return on equity, concentration of ownership from the second shareholder to the tenth shareholder, turnover rate, average IPO's initial abnormal return of 5 new stocks and lot winning rate of online issuing can influence IPO's initial abnormal return significantly. The findings can confirm the application of the following hypotheses to Chinese GEM: winners' curse hypothesis, ex ante uncertainty hypothesis, signaling hypothesis, heterogeneous expectation hypothesis, supervision strengthening hypothesis, investor sentiment hypothesis and bandwagon hypothesis. This paper concludes that the impact of the secondary market is significantly larger than the primary market. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
136. Yield of Agricultural Eco-economic System in Dongting Rim.
- Author
-
Maozhang HOU and Yulin ZHU
- Subjects
- *
AGRICULTURAL economics , *AGRICULTURAL productivity , *FISHERIES , *PLANTING , *RATE of return - Abstract
To analyze the efficiency of the agro-ecosystem of Dongting Rim in Hunan Province, this paper adopted the emergy theory to study the agricultural output of this region during 2001 to 2010. The results showed that the value of regional agricultural emergy output increased by 44.68% to (6.50 E) sej, but lower than the growth of non-agricultural industry output. Compared with 2001, the emergy output of planting industry was (4.10E) sej in 2010 which occupied 63.09% of the total agricultural emergy output and got an increase of 2.93 percentage points, while the emergy output of stock farming got a decrease of 2.87 percentage points. The growth of fishery emergy output was not in conformity with the characteristics of Dongting Rim in Hunan. From the contrast between emergy output and economic output, we could find that the economic return ratio of planting industry and fishery industry were lower than those of forestry industry and stock farming industry, which indicated that it is necessary to improve the economic benefits of planting industry and fishery industry which were the traditional industries with advantages of the Dongting Rim in Hunan. [ABSTRACT FROM AUTHOR]
- Published
- 2013
137. Alipay and WeChat Prove That China's Future Is Cashless: Accessible, intuitive mobile platforms have made China an unlikely frontrunner in the race toward becoming a cash-free society.
- Author
-
Chen Ronggang
- Subjects
- *
MOBILE commerce , *ELECTRONIC commerce , *RATE of return - Abstract
The article discusses the benefits of mobile payment platform Alipay and mobile application WeChat to the cashless industry in China. Topics discussed include the rapid rise of mobile payment platforms in the country which is associated to the different services that they offer, the services offered by Alipay's Yu'e Bao account, and the rate of return offered by both Yu’e Bao and WeChat Wallet.
- Published
- 2017
138. The folly of Evergrande.
- Subjects
- *
SYSTEMIC risk (Finance) , *BONDHOLDERS , *BONDS (Finance) , *RATE of return , *DELEVERAGING (Macroeconomics) - Abstract
The article explores the systemic risks from Chinese housing firms in light of the financial crisis facing property developer Evergrande in 2021. According to Evergrande, an agreement was made with bondholders on a coupon payment on an onshore bond. One of the effects of the financial distress on markets around the world is the increase in yields on the dollar bonds of Chinese borrowers outside the sector. Also noted is the implication of the deleveraging campaign of the government.
- Published
- 2021
139. Factors affecting marine ranching risk in China and their hierarchical relationships based on DEMATEL, ISM, and BN.
- Author
-
Qin, Man, Wang, Xinru, and Du, Yuanwei
- Subjects
- *
RANCHING , *HABITAT destruction , *RATE of return , *INVESTMENT risk , *FISHERIES - Abstract
Marine ranching have attracted wide attention in the marine fishery in recent years owing to numerous benefits for sustainable development. However, existing research efforts on marine ranching risk management are very limited, and no prior in-depth research has focused on studying the risk interdependencies in marine ranching from the perspectives of multiple risks. This paper begins by identifying 29 marine ranching risks using a systematic literature review and experts propose. Next, the cause-effect diagram and hierarchical network model of marine ranching are obtained using the combined DEMATEL - ISM method, which clearly confirms the interdependent relationships among various risk factors. It also identifies the most critical factors, which enables the operators of the marine ranching to make decisions to reduce risks. Then the hierarchical network model is mapped to a BN and expert judgments are further transformed into the conditional probability distribution by software Netica, in order to quantify the strength of the interdependent relationships among the marine ranching risk system, and determine main paths resulting in risk occurrence. According to the research results, the risk occurrence probability of marine ranching is high, with a probability of 85.1%,and the most approximate cause path leading to the occurrence of risk are determined—namely, X 27 (Long construction cycle) → X 10 (Financing difficulties) → X 15 (Safety hazards) → X 11 (Investment return risk) → Y(Marine ranching risk) and X 9 (Lack of technical talent) → X 8 (Monitoring failure) → X 2 (Habitat destruction) → X 26 (Large preinvestment) → X 10 → X 15 → X 11 (Investment return risk) → Y. Through the established risk analysis model, the key risk factors in the implementation process of marine ranching can be obtained, which is helpful for in-depth understanding of the risk information of marine ranching and more effective risk management of marine ranching. • The risk factors of marine ranching in China are identified. • DEMATEL, ISM and BN are used in the research of risk assessment of marine ranching. • The hierarchical relationship of risk factors of marine ranching is figured out. • The most approximate cause path leading to the occurrence of risk is determined. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
140. An Empirical Analysis of the Volatility in the Open-End Fund Market: Evidence from China.
- Author
-
Xie, Shiqing and Huang, Xichen
- Subjects
MARKET volatility ,FINANCIAL markets ,RISK premiums ,BOND funds ,RATE of return - Abstract
This paper applies a set of GARCH models to investigate the three characteristics, including time persistence, leverage effect, and risk premium, of the volatilities of the four China Securities Index (CSI) fund indices. This study made the following four findings: (1) a strong ARCH effect exists in the returns; (2) time persistence is significant in all the CSI fund indices, namely, "stock index," "hybrid index," and "bond index" in descending order of significance; (3) the leverage effect is not statistically significant, yet there may be a positive leverage effect on the bond funds; (4) a risk premium effect exists in the open-end fund market, especially in the bond fund market. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
141. Is the Provincial Capital Market Segmented in China?
- Author
-
Chan, Kenneth, Lai, Jennifer, and Yan, Isabel
- Subjects
CAPITAL market ,RATE of return ,SAVINGS ,MATHEMATICAL decomposition ,COMPARATIVE studies ,PRODUCTION (Economic theory) - Abstract
This paper evaluates the degree of provincial capital mobility in China since 1978 by estimating the saving-retention rate in the Feldstein and Horioka framework. It is found that the estimate of the saving retention rate tends to be biased downward if we fail to decompose the investment and saving rates into the private and government components. After the decomposition, we find that the private capital mobility was low prior to the 1990s, but improved notably in the more recent period. We also find that the saving-retention rate for the government sector remains negative throughout the sample, which can partially be explained by the government's reallocation of capital from the more productive regions to the less productive regions. Comparing the results of China with those of Japan shows that Japan had a much higher degree of prefectural capital mobility than China before the 1990s, but the gap gradually closed up afterwards. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
142. Water Footprint Assessment for Wastewater Treatment: Method, Indicator, and Application.
- Author
-
Ling Shao and Chen, G. Q.
- Subjects
- *
SEWAGE disposal plants & the environment , *WATER consumption , *ECOLOGICAL impact , *INPUT-output analysis , *SUPPLY chain management , *WATER purification , *RATE of return , *WATER conservation ,ENVIRONMENTAL aspects - Abstract
The water footprint in terms of the sum of both direct and indirect water cost of wastewater treatment is for the first time accounted in this work. On the basis of the hybrid method as a combination of process analysis and input-output analysis, a detailed water footprint accounting procedure is provided to cover the supply chain of a wastewater treatment plant. A set of indices intending to reveal the efficiency as well as renewability of wastewater treatment systems are devised as parallels of corresponding indicators in net energy analysis for energy supply systems. A case study is carried out for the Beijing Space City wastewater treatment plant as a landmark project. The high WROI (water return on investment) and low WIWP (water investment in water purified) indicate a high efficiency and renewability of the case system, illustrating the fundamental function of wastewater treatment for water reuse. The increasing of the wastewater and sludge treatment rates are revealed in an urgent need to reduce the water footprint of China and to improve the performance of wastewater treatment. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
143. An Analysis of Strategic Equity Stakes Acquisition of Chinese Banks by Foreign Financial Institutions.
- Author
-
Chang, Hui-Lung, Wu, Sou-Shan, and Liao, Szu-Lang
- Subjects
EQUITY stake ,BANKING industry ,FINANCIAL institutions ,RATE of return ,DEBT - Abstract
This paper applies a contingent claim model to examine the risk of and returns to foreign financial institutions after they acquire equity stakes in a Chinese bank. The model considers dynamic factors such as individual asset value and exchange rates in maximizing shareholder value. In addition to analyzing the asset value and factors associated with risk after participation, this paper evaluates the optimal acquisition equity stake ratio using numerical analyses under regulatory capital control. For the Chinese banking sector, we discover that the portfolio risk of foreign financial institution will decrease after acquiring equity stakes when its asset increases, the debt ratio decreases, and the required risk-weighted asset increases. Overall, these foreign financial institutions have well-diversified currency portfolios and enjoy better asset quality and surplus earnings; therefore, they will likely increase their optimal acquisition equity stake ratio if the Chinese banks in which they invest have with good quality assets and are focused on local business. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
144. Change point analysis to high-frequency price-volume quantile dependence of IPOs on listing date in China's growth enterprise market.
- Author
-
WANG Xin-yu, YANG Guang, and SONG Xue-feng
- Subjects
- *
REGRESSION analysis , *BAYESIAN analysis , *MARKOV chain Monte Carlo , *SECURITIES trading volume , *GOING public (Securities) , *COMPOSITE indexes (Finance) , *STOCK exchanges , *RATE of return - Abstract
This paper proposes a new panel quantile regression model with change points at unknown positions, which parameters are estimated by Bayesian inference and MCMC sampling. By an empirical study to explore structural changes in the high-frequency dependence from trading volume and market trend to IPO's initial return in China's growth enterprise market, it is found that: structural change points are near the market opening for higher quantiles of returns, and close to the median trading time for lower quantiles; the IPO's trading volume gives a greater impact on IPO's return before change points than after change points on listing date, while the volume of Shenzhen composite index contributes larger impact on IPO's return after change points than before change points; the separation of return and volume of IPOs is detected both at lower quantiles before the change points and at any quantile after the change points; the volume of Shenzhen composite index is positively correlated to IPO's return through all quantiles before or after change points, moreover, the correlation coefficients after change points are stronger than ones before change points, and the same is true at extreme quantiles than at median quantiles. [ABSTRACT FROM AUTHOR]
- Published
- 2013
145. On the Two Approaches to Thin Capitalization Reform: ACE and CBIT.
- Author
-
NA Li and YE Li-na
- Subjects
TAX research ,TAXATION ,INCOME tax ,CAPITAL ,RATE of return - Abstract
The different tax treatments of debt and equity make thin capitalization more salient and should be brought under control. As two measures of solving these problems, allowance for company equity (ACE) and comprehensive business income tax (CBIT) have been carried out in some countries. ACE treats equity the same as debt, so interest can be deduced before levying tax, while under CBIT, interest can not be deduced before calculating the business income tax. Both of them are for keeping tax neutrality in investment. In terms of their economic impact, ACE leads to narrower tax base, higher tax rate and lower capital cost, while CBIT results in broader tax base, lower tax rate and higher capital cost. As to their impact upon investment, under ACE, the higher tax rate may decrease investors' capital return and push multi-national companies to invest in lower tax rate countries. However, with capital cost decreasing, the return for investment will rise, which may attract more investment. Under CBIT, the increase of capital cost may cause investment to fall. [ABSTRACT FROM AUTHOR]
- Published
- 2013
146. Sectoral Diversification and the Banks’ Return and Risk: Evidence from Chinese Listed Commercial Banks.
- Author
-
Chen, Yibing, Wei, Xianhua, Zhang, Lingling, and Shi, Yong
- Subjects
BANKING industry ,RATE of return ,PORTFOLIO diversification ,FINANCIAL risk ,COMPARATIVE economics ,EMERGING markets - Abstract
Abstract: This paper investigates the effects of sectoral diversification on the Chinese banks’ return and risk using panel data on 16 Chinese listed commercial banks during the 2007-2011 period. We construct another new diversification measure, taking systematic risk of different sectors into consideration by weighting them with their betas and compare the results with those of more conventional measure HHI. We find that sectoral diversification is associated with reduced return and also decreased risk at the same time, which however, contradicts existing findings in developed countries and also in emerging economies. [Copyright &y& Elsevier]
- Published
- 2013
- Full Text
- View/download PDF
147. Volatility, trade size, and order imbalance in China and Japan exchange traded funds.
- Author
-
Martinez, Valeria, Tse, Yiuman, and Kittiakarasakun, Jullavut
- Subjects
MARKET volatility ,PRICES ,ASSETS (Accounting) ,FINANCIAL management ,RATE of return ,STOCK funds ,EXCHANGE traded funds - Abstract
In recent years there have been reports of excessive price volatility and value differences between prices of exchange traded funds (ETFs) and their underlying asset values. The objective of our study is to shed light on these facts by taking a closer look at the relationship between return volatility, trade size, and order imbalance for international ETFs. Even after controlling for order imbalance, volume as represented by number of trades in one of five trade size categories continues to have a significant and predominantly positive impact on volatility. Both trade size and order imbalance are important determinants of the Japan and China ETFs' price volatility. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
148. Expected Rate of Return on the Personal Investment in Education of No-Fee Preservice Students.
- Author
-
Zhang, Xuemin
- Subjects
- *
RATE of return , *TRAINING of student teachers , *COST effectiveness , *EDUCATION & economics , *EDUCATION , *TEACHER education - Abstract
Return on personal investment is an important factor affecting the decision to invest in education. This article analyzes the personal education costs of no-fee preservice students, estimates and forecasts the return on their personal education investment, and compares the costs and benefits of for-fee preservice students and nonteaching students. It finds that the expected return on personal investment in education is higher for no-fee preservice students than for-fee preservice students, but lower for nonteaching students. This finding has reference value for attracting more outstanding students to choose no-fee teacher education. However, given that the expected return on personal investment in education is lower for preservice teaching students than for nonteaching students, we recommend that the Chinese government consider diverse methods to encourage no-fee teacher education. Reducing the personal cost of education and increasing teacher salaries and subsidies, for example, would increase the expected return on personal investment in education, thereby attracting more outstanding students to the teaching profession. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
149. Price–volume cross-correlation analysis of CSI300 index futures
- Author
-
Wang, Dong-Hua, Suo, Yuan-Yuan, Yu, Xiao-Wen, and Lei, Man
- Subjects
- *
PRICES , *RATE of return , *SECURITIES , *STOCK index futures , *DISTRIBUTION (Probability theory) , *CROSS correlation - Abstract
Abstract: We investigate the cross-correlation between price returns and trading volumes for the China Securities Index 300 (CSI300) index futures, which are the only stock index futures traded on the China Financial Futures Exchange (CFFEX). The basic statistics suggest that distributions of these two time series are not normal but exhibit fat tails. Based on the detrended cross-correlation analysis (DCCA), we obtain that returns and trading volumes are long-range cross-correlated. The existence of multifractality in the cross-correlation between returns and trading volumes has been proven with the multifractal detrended cross-correlation analysis (MFDCCA) algorithm. The multifractal analysis also confirms that returns and trading volumes have different degrees of multifractality. We further perform a cross-correlation statistic to verify whether the cross-correlation significantly exists between returns and trading volumes for CSI300 index futures. In addition, results of the test for lead-lag effect demonstrate that contemporaneous cross-correlation of return and trading volume series is stronger than cross-correlations of leaded or lagged series. [Copyright &y& Elsevier]
- Published
- 2013
- Full Text
- View/download PDF
150. Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients.
- Author
-
Wang, Kuan-Min and Nguyen Thi, Thanh-Binh
- Subjects
- *
FINANCIAL crises , *BALANCE of payments , *FOREIGN exchange reserves , *RATE of return - Abstract
Many economists believe that China avoided the so-called Asian flu due to its strong balance of payments position and substantial foreign reserves. This study introduces an improved method for testing financial-crisis contagion and shows that crisis-contagion effects were significant among Thailand and the Chinese economic area (i.e. China, Hong Kong, and Taiwan) stock markets during the Asian financial crisis. The main contribution of this study is its use of a two-step procedure to identify the crisis dates for testing for contagion and data pertaining to a growing triangular economic area during the Asian financial crisis. This result suggests that if investors ignore the economic and financial information within regional markets, they will face an increase in uncertainty vis-à-vis investment returns. [ABSTRACT FROM AUTHOR]
- Published
- 2013
- Full Text
- View/download PDF
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