Crash and jackpot probability anomalies in the Chinese stock market

IF 13.1 1区化学 Q1 CHEMISTRY, PHYSICAL ACS Catalysis Pub Date : 2024-07-22 DOI:10.1108/cfri-12-2023-0348

Yi Fang, Hui Niu

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Abstract

PurposeInvestigation of the anomalies associated with crashes and jackpots in the Chinese stock market.Design/methodology/approachWe propose a logit model to predict the events of crashes and jackpots in the Chinese stock market. The model introduces a new variable of the price-to-sales ratio and takes into account the market states, Up and Down.FindingsThe anomalies associated with crashes and jackpots are not related to variations in economic conditions, but are associated with limits to arbitrage. High-liquidity stocks have strong mispricing effects. The institutions’ speculative trading will push liquid stock prices further away from their fundamentals but avoid buying illiquid stocks with a higher probability of price crashes and jackpots.Originality/valueWe propose a logit model to predict the extreme events of both crash and jackpot in the Chinese stock market. Our model effectively disentangles from CRASHP and JACKP. Compared with the traditional model, it substantially enhances in-sample and out-sample predictions. Based on the predictions of the extreme events, we find two strong and robust pricing effects associated with ex ante CRASHP and JACKP in the Chinese stock market.

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中国股市的崩盘和中奖概率异常现象

设计/方法/途径我们提出了一个逻辑模型来预测中国股市的崩盘和头奖事件。该模型引入了市销率这一新变量，并考虑了涨跌两种市场状态。研究结果与股灾和巨额利润相关的异常现象与经济条件的变化无关，而是与套利的限制有关。高流动性股票具有强烈的错误定价效应。机构的投机性交易将推动流动性股票价格进一步偏离其基本面，但会避免买入流动性较差的股票，从而更有可能出现股价暴跌和头奖。我们的模型有效地从 CRASHP 和 JACKP 中分离出来。与传统模型相比，它大大提高了样本内和样本外的预测能力。基于对极端事件的预测，我们发现在中国股市中，事前的 CRASHP 和 JACKP 具有两种强烈而稳健的定价效应。

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来源期刊

ACS Catalysis CHEMISTRY, PHYSICAL-

CiteScore

20.80

自引率

6.20%

发文量

1253

审稿时长

1.5 months

期刊介绍： ACS Catalysis is an esteemed journal that publishes original research in the fields of heterogeneous catalysis, molecular catalysis, and biocatalysis. It offers broad coverage across diverse areas such as life sciences, organometallics and synthesis, photochemistry and electrochemistry, drug discovery and synthesis, materials science, environmental protection, polymer discovery and synthesis, and energy and fuels. The scope of the journal is to showcase innovative work in various aspects of catalysis. This includes new reactions and novel synthetic approaches utilizing known catalysts, the discovery or modification of new catalysts, elucidation of catalytic mechanisms through cutting-edge investigations, practical enhancements of existing processes, as well as conceptual advances in the field. Contributions to ACS Catalysis can encompass both experimental and theoretical research focused on catalytic molecules, macromolecules, and materials that exhibit catalytic turnover.