We study the impact of a unique financial anomaly—the simultaneous persistence greater cash holdings and interest-bearing debts (SP-GCHID) on stock price. Due to institutional diversity nature transition economies, high do not always stem from precautionary motive as usually claimed but can be result misappropriation debt manipulation by major shareholders. Analysing data Chinese listed firms 2...

Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic finite-time singularity formula transforms a Gaussian white noise into a rich time series possessing all the stylized facts of empirical prices, as well as acc...

After credit risk, liquidity risk is probably the next most important risk faced by the finance industry; and yet the study of liquidity is far less advanced. This may be in part due to the fact that there is no agreed definition of what liquidity is, even in qualitative terms; everyone would agree that the effect of illiquidity is to make it difficult or costly to trade large volumes of the un...

The carbon market is a vital tool to achieve neutrality. This paper uses daily closing price data of Shenzhen trading market, energy, commodity and financial markets from 18 October 2018 19 August 2021, examining the transmission risk/information perspective volatility spillover tail risk based on quantile spillover. stock crash COVID-19 have increased system substantially. Next, increase in fr...

A government policy aimed at the reduction of state shares in state-owned enterprises (SOE) triggered a crash in China’s stock market. The sustained depression and spillover even after the policy adjustments were over constitute a puzzle— the so-called “state-share paradox”. The empirical study …nds evidence in two dimensions. First, a regime switching model with an absorbing state suggests tha...

This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market ...

Relying on a present value model with time-varying expected returns, and incorporating a quite general class of processes to model bubble-like stock price deviations from the long-run equilibrium, we provide empirical evidence on the U.S. log dividend–price ratio over the 1871:1–2001:9 period, as well as for several sub-periods. The application of a momentum threshold autoregressive technique d...

This study investigates financial contagion among seven international stock markets around the October 19, 1987 crash. Building on a recent advance in vector autoregression analysis by [Swanson, N., Granger, C.W.J., 1997. Impulse response functions based on a causal approach to residual orthogonalization in vector autoregression. Journal of the American Statistical Association 92, 357–367], dat...

This study investigates the interactive effect of ownership structure on relationship between annual board report readability and stock price crash risk in companies listed Tehran Stock Exchange (TSE). The negative skewness model was used to measure prices Fog index for determining directors’ report. is examined institutional ownership, significant managerial family ownership. data TSE from 201...

This paper investigates the impact of insider trading and managerial attributes on future stock price crashes. We conduct a series regressions addressing determinants crashes including gender diversity, CEO age, power (measured by pay disparity, tenure duality). Our empirical results reveal positive association between purchases crash risk. implies that other than compensation career concerns, ...