Detections Of Changes In Return By A Wavelet Smoother With Conditional Heteroscedastic Volatility

In this paper, we propose two estimators, an integral estimator and a discretized estimator, for the wavelet coefficient of regression functions in nonparametric regression models with heteroscedastic variance. These estimators can be used to test the jumps of the regression function. The model allows for lagged-dependent variables and other mixing regressors. The asymptotic distributions of the statistics are established, and the asymptotic critical values are analytically obtained from the asymptotic distribution. We also use the test to determine consistent estimators for the locations of change points. The jump sizes and locations of change points can be consistently estimated using wavelet coefficients, and the convergency rates of these estimators are derived. We perform some Monte Carlo simulations to check the powers and sizes of the test statistics. Finally, we give practical examples in finance and economics to detect changes in stock returns and short-term interest rates using the empirical wavelet method. © 2007 Elsevier B.V. All rights reserved

Does the type of ownership control matter? Evidence from China's listed companies

By tracing the identity of large shareholders, we group China's listed companies into those controlled by state asset management bureaus (SAMBs), state owned enterprises (SOEs) affiliated to the central government (SOECGs), SOEs affiliated to the local government (SOELGs), and Private investors. We argue that these distinct types of owners have different objectives and motivations and this will affect how they exercise their control rights over the firms they invest in. In particular, we contend that private ownership of listed firms in China is not necessarily superior to certain types of state ownership. To test our arguments we investigate the relative efficiency of state versus private ownership of listed firms and the efficiency of various forms of state ownership. The empirical results indicate that the operating efficiency of Chinese listed companies varies across the type of controlling shareholder. SOECG controlled firms perform best and SAMB and Private controlled firms perform worst. SOELG controlled firms are in the middle. The results are consistent with our predictions.State versus private ownership Large shareholders Ownership structure

Understanding the Closed-end Fund Puzzle from the Chinese Experience

Although many characteristics of Chinese closed-end funds resemble those of the U.S. funds, investors and environment are different. For example, institutions such as insurance companies hold a substantial amount in closed-end funds, there are no capital gains taxes, and there is no private investment by the funds. These differences allow us find that the discounts are negatively related to liquidity, percentage of stock holdings, and past risk-adjusted performance. Discounts are also positively influenced by the R2 from a market model applied to the underlying asset returns, managerial ownership, and the size of the fund. We further show that “investor overconfidence” and liquidity are major factors that affect the dynamics of discounts

The Price-Volume Relationship in China's Commodity Futures Markets

This study examines the relationship between returns and trading volume of four actively traded commodity futures contracts in China. Correlation analyses and Granger causality tests are used to investigate contemporaneous and lead-lag relationships between trading volume and both signed and absolute return. We find that the contemporaneous correlations between return and trading volume are not significantly different from zero, and there is no linearly significant causality following from trading volume to return or from return to trading volume. However, the contemporaneous correlations between absolute return and trading volume are significantly positive in all futures markets, and there is a significant relationship of causality following from absolute return to trading volume, which contradicts the mixture of distributions hypothesis and supports the sequential information arrival hypothesis in all of the futures markets examined except for aluminum futures. We also find a significant causality following from trading volume to absolute settlement-to-settlement return in the copper (subsample 1) futures market, but not in the copper (subsample 2) futures market.

Corporate governance determinants on Australian resource companies' financial instrument disclosure practices

Purpose – In the mid-1990s, China introduced the Modern Enterprise System (MES) to selected state-owned enterprises (SOE). The paper aims to examine whether this reform led to improved efficiency and profitability. Design/methodology approach – The efficiency and performance of enterprises before and after the economic restructuring are examined. Univariate and multivariate (regression) analyses are used to investigate whether there has been a significant change in an enterprise's performance. Findings – The paper finds there is no improvement in efficiency and profitability after the restructuring. This can be attributed the lack of improvement to the state's ownership of enterprises, bureaucratic management, and poor corporate governance. These things have to change in order to improve corporate efficiency and performance. Originality/value – China's reform of SOEs is very important to the economic well-being of the country. This paper is the first to investigate the MES as applied to wholly state-owned enterprises.China, Organizational performance, Organizational restructuring, Public ownership