{"title":"中国市场、信息扩散与全球股票收益可预测性","authors":"Yulong Sun","doi":"10.2139/ssrn.3683475","DOIUrl":null,"url":null,"abstract":"We have seen China’s growing role in the past decades, and the world economy has become more exposed to the influence of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns can significantly predict other markets' stock returns, but not vice versa. We augmented the predictive model with Chen, Roll, and Ross (1986)'s macroeconomic risk factors, and find that the macro fundamentals cannot explain the predictive power of the lagged China returns. We also documented that the information diffusion of the US market occurs at the short-horizons (e.g. one-week) while the information diffusion of the China market occurs at the longer-horizons (e.g. one-month). Further evidence shows the lagged China returns during the low investor-attention period have stronger predictability compared to performance during the high attention period, which is in line with the information friction theory that the attention-constrained investors fail to allocate attention to certain economic state variables when making decisions, meanwhile cause the slow information diffusion across markets. Overall, our results indicate that the lagged China returns should be regarded as a global state variable that helps us predict future stock returns.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"China Markets, Information Diffusion, and Global Stock Return Predictability\",\"authors\":\"Yulong Sun\",\"doi\":\"10.2139/ssrn.3683475\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We have seen China’s growing role in the past decades, and the world economy has become more exposed to the influence of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns can significantly predict other markets' stock returns, but not vice versa. We augmented the predictive model with Chen, Roll, and Ross (1986)'s macroeconomic risk factors, and find that the macro fundamentals cannot explain the predictive power of the lagged China returns. We also documented that the information diffusion of the US market occurs at the short-horizons (e.g. one-week) while the information diffusion of the China market occurs at the longer-horizons (e.g. one-month). Further evidence shows the lagged China returns during the low investor-attention period have stronger predictability compared to performance during the high attention period, which is in line with the information friction theory that the attention-constrained investors fail to allocate attention to certain economic state variables when making decisions, meanwhile cause the slow information diffusion across markets. Overall, our results indicate that the lagged China returns should be regarded as a global state variable that helps us predict future stock returns.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3683475\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3683475","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
在过去的几十年里,我们看到中国的作用越来越大,世界经济越来越受到中国的影响。本文从资产定价的角度探讨了新兴中国对全球股票市场的影响。我们研究了中国滞后收益对全球股票收益的预测特性,发现中国滞后收益可以显著预测其他市场的股票收益,反之则不能。我们用Chen, Roll, and Ross(1986)的宏观经济风险因素对预测模型进行了扩充,发现宏观基本面不能解释滞后的中国收益的预测能力。我们还记录了美国市场的信息扩散发生在短期(如一周),而中国市场的信息扩散发生在较长期(如一个月)。进一步的证据表明,相对于高关注度时期的表现,低关注度时期的滞后中国收益具有更强的可预测性,这符合信息摩擦理论,即注意力受限的投资者在决策时未能将注意力分配到某些经济状态变量上,同时导致信息在市场间扩散缓慢。总体而言,我们的结果表明,滞后的中国回报应被视为一个全球性的状态变量,帮助我们预测未来的股票回报。
China Markets, Information Diffusion, and Global Stock Return Predictability
We have seen China’s growing role in the past decades, and the world economy has become more exposed to the influence of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns can significantly predict other markets' stock returns, but not vice versa. We augmented the predictive model with Chen, Roll, and Ross (1986)'s macroeconomic risk factors, and find that the macro fundamentals cannot explain the predictive power of the lagged China returns. We also documented that the information diffusion of the US market occurs at the short-horizons (e.g. one-week) while the information diffusion of the China market occurs at the longer-horizons (e.g. one-month). Further evidence shows the lagged China returns during the low investor-attention period have stronger predictability compared to performance during the high attention period, which is in line with the information friction theory that the attention-constrained investors fail to allocate attention to certain economic state variables when making decisions, meanwhile cause the slow information diffusion across markets. Overall, our results indicate that the lagged China returns should be regarded as a global state variable that helps us predict future stock returns.