Investors’ behaviour in the Chinese Stock Exchanges: Empirical Evidence in a Systemic Approach

This paper investigates the Chinese mainland Stock Exchanges and their following interconnecting features: savers’ attitude towards stock investments, investors’ trading behaviour and stock returns explanations. We evaluate the effectiveness of the recent efforts made by the Chinese authorities to improve the level of legal protections for shareholders and the opening-up of the Chinese Stock Markets to foreign investors. The whole analysis is carried out through a system of simultaneous equations. The main results are that Chinese shareholders and stock markets are mostly driven by emotional behaviour. Stock market returns are barely influenced by the overall Chinese economic booming, but reveal the presence of speculative influences. Investors’ behaviour, as well as general trading activities, hardly seems to be affected by the legal framework introduced by the national Authorities.Chinese Stock Exchanges, shareholders’ rights, corporate governance, investors’ behaviour, system of simultaneous equations

Classification of Sustainable Activities: EU Taxonomy and Scientific Literature

none4openLucarelli, Caterina; Mazzoli, Camilla; Rancan, Michela; Severini, SabrinaLucarelli, Caterina; Mazzoli, Camilla; Rancan, Michela; Severini, Sabrin

Investors’ behaviour in the Chinese Stock Exchanges: Empirical Evidence in a Systemic Approach

This paper investigates the Chinese mainland Stock Exchanges and their following interconnecting features: savers’ attitude towards stock investments, investors’ trading behaviour and stock returns explanations. We evaluate the effectiveness of the recent efforts made by the Chinese authorities to improve the level of legal protections for shareholders and the opening-up of the Chinese Stock Markets to foreign investors. The whole analysis is carried out through a system of simultaneous equations. The main results are that Chinese shareholders and stock markets are mostly driven by emotional behaviour. Stock market returns are barely influenced by the overall Chinese economic booming, but reveal the presence of speculative influences. Investors’ behaviour, as well as general trading activities, hardly seems to be affected by the legal framework introduced by the national Authorities

Pre-trade transparency on the Italian Stock Exchange: a trade size model on panel data

The purpose of this study was to analyze the effects that have been caused by changes in pre-trade transparency upon the behavior of stock traders. We used a trade size model and tested it before, during and after the period when the Italian Stock Exchange introduced a 20-level order book with disaggregated orders. Tick by tick data of the whole set of stocks (up to 277) listed on the Italian Stock Exchange were studied through fixed-effects panel models, within intra day (every 30 minutes and 150 minutes) and daily time frames. Our results indicate that order flows, bidask spreads, levels of risk and some information events differentially affect trade sizes when investors receive better information prior to negotiation. Both (intra day) informed and uninformed traders perating in a more transparent market became more reticent, with reduced trades sizes and higher orders’ cancellations. Moreover, it appears that the higher degree of order book disclosure permits traders to downsize their level of risk aversion; i.e. it reduces the ’uncertainty’ that would otherwise result in disrupted trading activity under conditions of information opacity

In-situ estimation of ice crystal properties at the South Pole using LED calibration data from the IceCube Neutrino Observatory

The IceCube Neutrino Observatory instruments about 1 km3 of deep, glacial ice at the geographic South Pole using 5160 photomultipliers to detect Cherenkov light emitted by charged relativistic particles. A unexpected light propagation effect observed by the experiment is an anisotropic attenuation, which is aligned with the local flow direction of the ice. Birefringent light propagation has been examined as a possible explanation for this effect. The predictions of a first-principles birefringence model developed for this purpose, in particular curved light trajectories resulting from asymmetric diffusion, provide a qualitatively good match to the main features of the data. This in turn allows us to deduce ice crystal properties. Since the wavelength of the detected light is short compared to the crystal size, these crystal properties do not only include the crystal orientation fabric, but also the average crystal size and shape, as a function of depth. By adding small empirical corrections to this first-principles model, a quantitatively accurate description of the optical properties of the IceCube glacial ice is obtained. In this paper, we present the experimental signature of ice optical anisotropy observed in IceCube LED calibration data, the theory and parametrization of the birefringence effect, the fitting procedures of these parameterizations to experimental data as well as the inferred crystal properties.</p

In situ estimation of ice crystal properties at the South Pole using LED calibration data from the IceCube Neutrino Observatory

The IceCube Neutrino Observatory instruments about 1 km3 of deep, glacial ice at the geographic South Pole. It uses 5160 photomultipliers to detect Cherenkov light emitted by charged relativistic particles. An unexpected light propagation effect observed by the experiment is an anisotropic attenuation, which is aligned with the local flow direction of the ice. We examine birefringent light propagation through the polycrystalline ice microstructure as a possible explanation for this effect. The predictions of a first-principles model developed for this purpose, in particular curved light trajectories resulting from asymmetric diffusion, provide a qualitatively good match to the main features of the data. This in turn allows us to deduce ice crystal properties. Since the wavelength of the detected light is short compared to the crystal size, these crystal properties include not only the crystal orientation fabric, but also the average crystal size and shape, as a function of depth. By adding small empirical corrections to this first-principles model, a quantitatively accurate description of the optical properties of the IceCube glacial ice is obtained. In this paper, we present the experimental signature of ice optical anisotropy observed in IceCube light-emitting diode (LED) calibration data, the theory and parameterization of the birefringence effect, the fitting procedures of these parameterizations to experimental data, and the inferred crystal properties.Peer Reviewe

TXS 0506+056 with Updated IceCube Data

Past results from the IceCube Collaboration have suggested that the blazar TXS 0506+056 is a potential source of astrophysical neutrinos. However, in the years since there have been numerous updates to event processing and reconstruction, as well as improvements to the statistical methods used to search for astrophysical neutrino sources. These improvements in combination with additional years of data have resulted in the identification of NGC 1068 as a second neutrino source candidate. This talk will re-examine time-dependent neutrino emission from TXS 0506+056 using the most recent northern-sky data sample that was used in the analysis of NGC 1068. The results of using this updated data sample to obtain a significance and flux fit for the 2014 TXS 0506+056 "untriggered" neutrino flare are reported