简介:ByusingGARCHandEGARCHmodels,theauthorsexaminetherelationshipbetweenpricevolatilityandnewinformationflow,representedbytradingvolume,andpastinformationflow,representedbytheARCHeffect,intheShanghaiStockMarketforthethreedifferentperiodsfromJuly1998toDecember2002:thesoftperiod,thebullperiod,andthebearperiod.Theempiricalresultsshowthat:(1)thereexistsa'leverageeffect'inthestockmarket;thatis,negativenewshadagreaterimpactonstockpricevolatilitythandidpositivenewsinthesoftperiodandbearperiod,butinthebullperiodthe'leverageeffect'behavesdifferently;(2)thereisasignificantlypositiverelationshipbetweentradingvolumeandstockpricevolatility,andsucharelationshipisevenmoresignificantinthebearperiod;(3)itturnsoutthatinthethreeperiods,therelationshipsbetweenstockpricevolatilityandinformationflow,bothpastandnew,arenotthesame;thatis,inboththesoftandbullperiods,boththeARCHeffect,reflecting'pastinformationflow',andtradingvolume,reflecting'newinformationflow',explainpricevolatilitysimultaneously,butinthebearperiod,theARCHeffectissubstantiallyreduced.Thesefindingsprovidekeyevidenceforunderstanding,explaining,andtrackingthecharacteristicsofpricevolatilityandthechangingrulesofthestockmarketinChinamorecomprehensively.
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简介:Theearningsqualityoflistedcompaniesisanissueofpublicconcern.Thispaperconductsanin-depthandcomprehensiveanalysisofhowtomeasuretheearningsqualityoflistedcompaniesbyusingempiricalmethods.Theindicatorsofearningsqualityusedinthispaperincludenotonlycashflowbutalsoindicatorsthataffectthegrowthoffutureearnings.Wefindthat,firstly,inourstockreturnregressions,bothspecificandcompositeindicatorsofearningsqualityhaveincrementalexplanatorypowerforstockreturnsaftercontrollingforearningspershare,changesinearningspershare,andfirmsize.Secondly,inourfutureearningsregressions,bothspecificandcompositeindicatorsofearningsqualityhaveincrementalexplanatorypowerforfutureearningsaftercontrollingforearningspershare,changesinearningspershare,andfirmsize.Thirdly,listedcompanieswithlower(higher)earningsqualityhavepoorer(better)earningsperformanceinfutureyears.