中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--市场微观结构
工作论文
2009-04-15 第2卷 第4期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Universal price impact functions of individual trades in an order-driven market

Weixing Zhou East China University of Science and TechnologySchool of Business

Liquidity, Information Asymmetry, Divergence of Opinion and Asset Returns: Evidence from Chinese Stock market

Guangchuan Li Beihang UniversityDepartment of Economics and Management

International Stock Correlations and Macro Fluctuations

Yijie Cai Xi’an Jiao Tong University, ChinaJinhe Center for Economic Research
Ray Yeutien Chou Academia Sinica and National Chiao-Tung UniversityInstitute of Economics
Dan Li Xi’an Jiao Tong University, ChinaJinhe Center for Economic Research

The Dark Side of Institutional Shareholders Activism in Emerging Markets: Evidence from China’s Non-Tradable Share Reform

Yamin Zeng Tsinghua UniversitySchool of Economics and Management
Junsheng Zhang Central University of Finance and EconomicsNA

IMPACT OF FINANCIAL LIBERALISATION ON STOCK MARKET LIQUIDITY: EXPERIENCE OF CHINA

Jess Lee Hong Kong Monetary AuthorityResearch Department
Alfred Wong Hong Kong Monetary AuthorityResearch Department


论文摘要

Universal price impact functions of individual trades in an order-driven market

Weixing Zhou East China University of Science and TechnologySchool of Business

The trade size Omega has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization C is included as an argument in the scaling relation. However, the rationale of introducing stock capitalization in the scaling is unclear and the anomalous negative correlation between price change r and trade size Omega for small trades is unexplained. Here we show that these issues can be addressed by taking into account the aggressiveness of orders that result in trades together with a proper normalization technique. Using order book data from the Chinese market, we show that trades from filled and partially filled limit orders have very different price impact. The price impact of trades from partially filled orders is constant when the volume is not too large, while that of filled orders shows power-law behavior r-omega^alpha with alpha=2/3. When returns and volumes are normalized by stock-dependent averages, capitalization-independent scaling laws emerge for both types of trades. However, no scaling relation in terms of stock capitalization can be constructed. In addition, the relation alpha=alpha_omega/alpha_r is verified, where alpha_omega and alpha_r are the tail exponents of trade sizes and returns. These observations also enable us to explain the anomalous negative correlation between r and Omega for small-size trades. We anticipate that these regularities may hold in other order-driven markets.

Liquidity, Information Asymmetry, Divergence of Opinion and Asset Returns: Evidence from Chinese Stock market

Guangchuan Li Beihang UniversityDepartment of Economics and Management

We examine the independent and dominating effects of the liquidity level, the information asymmetry and the divergence of opinion on asset returns in an important emerging market, Chinese stock market. We use the variable ILLIQ from Amihud (2002) to proxy for the liquidity level, the variable PIN from Easley, Hvidkjaer, and O'Hara (2002) to proxy for the information asymmetry and the variable OBS based on Nas and Skjeltorp (2006) to proxy for the divergence of opinion. We find striking evidence that stocks with a higher liquidity level, or a lower information asymmetry, or a higher divergence of opinion, experience significantly lower excess returns. More importantly, the explanatory power of the liquidity level on asset returns may only reflect those from the information asymmetry and the divergence of opinion. Moreover, we find no evidence on the dominating effect between the information asymmetry and the divergence of opinion when examining their impact on asset returns.

International Stock Correlations and Macro Fluctuations

Yijie Cai Xi’an Jiao Tong University, ChinaJinhe Center for Economic Research
Ray Yeutien Chou Academia Sinica and National Chiao-Tung UniversityInstitute of Economics
Dan Li Xi’an Jiao Tong University, ChinaJinhe Center for Economic Research

In this paper, real and financial linkage is to be investigated. We focus on six typical stock markets after time zone effect taken into consideration. We select monthly annual CPI rate as transition variable in Smooth Transition Conditional Correlation CARR (named STCC-CARR for short) model to scrutinize interdependence among international stock markets. As it is testified, correlations among them are fluctuant with different inflation cycles and could not be ignored arbitrarily. The highest correlations come out between countries when both are in contractionary phase, while the lowest correlations do when both are in expansionary phase.

The Dark Side of Institutional Shareholders Activism in Emerging Markets: Evidence from China’s Non-Tradable Share Reform

Yamin Zeng Tsinghua UniversitySchool of Economics and Management
Junsheng Zhang Central University of Finance and EconomicsNA

The study aims to analyze the role of institutional investors in mediating the interest conflicts between blockholders and minority shareholders in emerging markets. China’s Non-tradable Share Reform provides us a perfect research environment. Before the reform, the ownership of Chinese public firms was concentrated in one or several blockholders. This part of block shares was non-tradable, and tradable shares were held by minority shareholders and institutional investors like mutual funds. Chinese government launched Non-tradable Share Reform in 2005, giving non-tradable shares liquidity rights. At the same time, non-tradable share owners had to compensate tradable share owners, such as offering a certain percentage of shares to them. The compensation schemes were advanced by non-tradable share owners and must be supported by two-thirds of votes cast by tradable share owners. Our study finds that institutional investors did actively participate in voting, but their number and holdings were reversely related with the compensation level. Our results suggest that institutional investors played shareholder activism in this reform, but their activism served for blockholder’s interests rather than minority shareholders’.

IMPACT OF FINANCIAL LIBERALISATION ON STOCK MARKET LIQUIDITY: EXPERIENCE OF CHINA

Jess Lee Hong Kong Monetary AuthorityResearch Department
Alfred Wong Hong Kong Monetary AuthorityResearch Department

This paper assesses the impact of the recent financial reforms in China. Following the country’s accession to the World Trade Organization, financial liberalisation has picked up considerable momentum. Measures introduced encompass deregulation in the banking sector and refinements in various financial markets, as well as allowing more freedom for Chinese and foreign investors to participate and interact domestically and overseas. Compared to other studies on financial liberalisation, this study focuses on a relatively narrower aspect of financial reforms namely, the impact on stock market liquidity. Using a panel data set drawn from the Shanghai stock market, we find a positive and significant liquidity impact associated with the recent round of measures, which reflects not only an improvement in capital allocation efficiency in China’s equity market but, from a financial stability point of view, also a reduction in its vulnerability. The finding also provides evidence on one of the important channels in which financial liberalisation can be transformed into economic growth over time.


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