Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions, and spillovers in variance to run from Asia to the US. Trading volume, especially on the Asian markets, depends on shocks in domestic and foreign returns as well as on variance, especially those shocks originating in the US. However, only weak evidence is found for trading volume influencing other variables. --Financial spillovers,trading volume,Asian crisis

Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions, and spillovers in variance to run from Asia to the US. Trading volume, especially on the Asian markets, depends on shocks in domestic and foreign returns as well as on variance, especially those shocks originating in the US. However, only weak evidence is found for trading volume influencing other variables

The benefits of combining seasonal anomalies and technical trading rules

Although many seasonal anomalies and technical trading rules have been shown to have predictive ability, investigations have focused only on them operating individually. We study the benefits of trading based on combinations of three of the best known effects: the moving average rule, the turn of the month effect, and the Halloween effect. We show that the rules can be combined effectively, giving significant levels of returns predictability with low risk and offering the possibility of profitable trading. This new investment approach is especially beneficial for a typical individual investor, who faces high transaction costs and is poorly diversified

Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies

© 2018 Elsevier B.V. The contribution of this paper is to enable solid conclusions to be drawn about the existence of momentum effects in China as the current evidence is unsatisfactory. We review and analyse the existing empirical studies on momentum and contrarian strategies in China and show that many of the findings in these studies appear inconsistent, if not actually contradictory. To clarify this confused situation we initially identify common findings in the diverse and seemingly contradictory body of existing empirical evidence. Subsequently, we systematically assess how the design of empirical studies affects the results of investigations in this area. We do this by conducting an empirical analysis of monthly data on Chinese A shares, varying one factor in the research design at a time (sample period, equally or value-weighed portfolios, skipping a period between portfolio formation and holding periods, and exclusion of post-IPO observations). This allows us to pinpoint directly how each of these factors affects momentum profits and thus when these profits are likely to be observed. It also indicates why studies using different designs might have arrived at seemingly inconsistent conclusions. Overall, we draw a number of conclusions: there appear to exist medium- and longer-term reversals in the pre-2001 period and short-term reversals and longer-term momentum effects thereafter; there is substantial time-variation in the profits to momentum strategies; small stocks exhibit stronger reversals than their larger counterparts; a large fraction of portfolio returns occur in the first month after formation; there is evidence of post-IPO price drifts. In summary, this study reconciles and explains the inconsistent evidence on the existence of momentum and contrarian effects in China allowing clear conclusions to be drawn

Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index

This paper analyses the predictive power of the DJIA index returns, measured at different quantiles of its distribution, for future return distribution. The returns measured at quantile 0.75 have predictive power for most quantiles of future returns, except for their median. This result prevails after controlling for the predictive power of the lagged first four moments of returns and of other economic predictors used in the literature. Furthermore, this finding is stable over time. Forecasts of future mean returns based on predicted return quantiles have positive economic value, as do forecasts of future volatility, the latter especially for investors with low risk aversion. The predictive power of quantile 0.75 DJIA returns is shown to be the result of their ability to forecast shocks to future investment and consumption

The transition from COVID-19 infections to deaths: Do governance quality and corruption affect it?

We investigate the impact of governance quality and corruption on the propensity of COVID-19 infections to result in deaths, while controlling for a wide range of socio-economic country characteristics, for 139 countries. Governance quality is negatively associated with mortality from COVID-19, for a given number of infections. This result holds for the aggregate governance index and for most of its components, in particular government effectiveness, rule of law, and control of corruption. Corruption among business executives, judges and magistrates, the legislature, and among government officials exerts the largest impact on COVID-induced deaths. We propose directions for future policy initiatives

The predictive power of the yield spread for future economic expansions: Evidence from a new approach

We investigate the predictive power of the yield spread for future economic growth. The novel approach adopted here is to utilise its predictive ability for the whole distribution of future growth, rather than predicting the center of this distribution directly. Our results confirm previous findings that the yield spread does contain additional information about the future GDP growth, which varies over time. Most importantly, utilising the information contained in the whole conditional distribution of predicted GDP growth, rather than concentrating on the center of it, provides additional forecasting power for shorter (3–9 months) horizons. This approach is also superior in forecasting future expansionary phases, notably a more common phenomenon than recessions for which the traditional, OLS-based forecasts seem to perform better

Numerological Superstitions and Market-Wide Herding: Evidence from China

We empirically investigate the effect of traditional Chinese numerological superstitions over market-wide herding in the Shanghai and Shenzhen stock exchanges for the 2000–2020 period, based on a classification of stocks as lucky/unlucky contingent on the presence of digits deemed numerologically lucky/unlucky in their tickers. We find no compelling evidence that herding is more pronounced in those superstitious stocks, as compared to the rest of the stock market. Both superstitious stock-types herd exclusively on high-volatility days and exhibit some pronounced patterns in up vs down markets; these effects are not significantly different from the behaviour of non-superstitious stocks, however. Similarly, herding in both superstitious stock-types is largely noise-driven, but the same effect is observed for non-superstitious stocks. The similarities in herding between superstitious and non-superstitious stocks suggest that numerological superstitions do not motivate significantly stronger herding in Chinese markets

Diffusion of web technologies and practices:a longitudinal study

Our research objective was to undertake a longitudinally study of how technologies and practices used in web development diffuse over time and whether the diffusion patterns are affected by the regions or the industries in which they take place. The diffusion of web technologies is of interest as, they are highly visible and accessible across the globe and industries by their very nature, which makes it possible to potential adopters to trial them and experience first-hand their relative advantage, compatibility and complexity. Three different cases were chosen, in order to test our hypotheses based on the Diffusion of Innovations Theory. A system was built to collect data using the Wayback Machine. The data collected covered a period of 13 years. Our findings suggest that web innovations may diffuse differently when compared to each other, but also when regions and sectors are considered. Beyond testing the ecological validity of Diffusion of Innovations Theory in web-related technologies, our findings have practical implications which can inform the diffusion of technologies and standards