崩盘与跳跃事件的溢出效应:来自中国市场的证据

IF 9 1区 经济学 Q1 BUSINESS, FINANCE China Finance Review International Pub Date : 2023-06-09 DOI:10.1108/cfri-07-2022-0126
M. Usman, W. Akhter, A. Haque
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引用次数: 1

摘要

目的研究中国非金融企业跳跃和崩溃事件的溢出效应。设计/方法/方法该样本包括1991年至2015年期间对3000多家中国上市公司的150多万次每周观察。作者利用单变量检验来比较匹配的同行和非同行控制公司的事后表现,以及它们的异常回报率/累计异常回报率(ARs/CAR)和资产回报率(ROA)的横截面回归在行业、规模、杠杆率和地理位置上,相同的方向与中国股市中的同行公司相匹配。进一步的测试表明,同行公司对崩溃事件的反应在投资者和公司之间信息不对称程度较高的公司群体中更为明显。研究限制/影响投资组合投资者可以通过在崩盘期间出售匹配对手公司的股票来相应地调整投资组合。政策制定者可以制定政策,以便在市场崩溃时保护小投资者的利益。他们可以通过提高企业信息的透明度来减少企业与投资者之间的信息不对称,从而减少崩溃事件的传染。实际含义本研究对投资组合经理和决策者具有重要意义。独创性/价值据作者所知,这是第一项结合跳跃和暴跌事件并试图评估其对中国股市其他公司的溢出效应的研究。
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Spillover effects of crash and jump events: evidence from Chinese market
PurposeThis paper aims to investigate the spillover effects of jump and crash events among Chinese nonfinancial firms.Design/methodology/approachThis sample consists of more than 1.5 million weekly observations of over 3,000 Chinese listed firms over the period 1991–2015. The authors utilize univariate tests to compare the post-event performance of matched peer and non-peer control firms and cross-sectional regressions of their abnormal returns/cumulative abnormal returns (ARs/CARs) and returns on assets (ROAs).FindingsThe authors find that extreme risk-adjusted abnormal stock returns (stock price crashes and jumps) generate statistically significant ARs/CARs in the same directions in industry, size, leverage, and geographical location matched peer firms in Chinese stock market. Further tests reveal that peer firms' response to the crash event is pronounced more in the group of firms about which the information asymmetry is high between investors and firms.Research limitations/implicationsPortfolio investors can adjust their portfolios accordingly by selling stocks of the matching rival firms during a crash period. Policymakers may develop policies so as to protect the interests of small investors in the events of crashes in the markets. They can reduce the information asymmetry between the firms and the investors by making information about the firms more transparent, so as to reduce the contagion in case of crash event.Practical implicationsThis study has important implications for portfolio investment managers and policymakers.Originality/valueTo the best of authors' knowledge, this is the first study that combines the jump and crash events and attempts to assess their spillover effects on other firms in Chinese stock market.
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来源期刊
CiteScore
12.40
自引率
1.20%
发文量
112
期刊介绍: China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.
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