دانلود رایگان مقاله انگلیسی قابل پیش بینی بودن بازده سهام و بی ثباتی مدل: شواهدی از سرزمین اصلی چین و هنگ کنگ - الزویر 2017

Abstract

This study examines the predictability of the Shanghai Composite, Shenzhen Composite and the Hang Seng China Enterprise index returns during the period 1993 to 2010, with emphasis on whether considering structural breaks in model parameters improves the stock return predictability. Results indicate higher linear stock return predictability for the Hong Kong market than for the Chinese markets. However, the results differ when model instability is considering. Specifically, using Bai and Perron’s (1998, 2003) approach, the results indicate the presence of structural breaks particularly for the Shenzhen market, which appear to coincide with major economic events or political and institutional changes. The predictable component in stock returns is also time-varying when re-estimating the model over different subsamples defined by the break. Overall, results highlight the importance of considering breaks in forecasting stock returns, and suggest that the Hong Kong market is a relatively ideal haven to park wealth for risk-averse investors whereas the Shenzhen market offers enhanced opportunities for risk-seeking investors.

5. Conclusion

This paper examines stock return forecastability using the SHCI, SZCI and the HSCEI from 1993 to 2010 as the study sample, with an emphasis on whether considering structural breaks in the model parameters improves forecasting performance using the Bai and Perron (1998, 2003) approach. Results based on a constant model indicate greater predictability for the Hong Kong market whereas a non-constant model gains support for the Shenzhen market. This is unsurprising given that the listed companies in the SZSE are mostly smaller joint ventures that are more susceptible to changes in economic conditions. In addition, despite difficulty in timing these breaks, their occurrences appear to coincide with major market events or changes in policies and institutions. More specifically, the break dates for the SZCI return model can be attributed to the Asian financial crisis, the Dot.com bubble and the bull market period in Mainland China. Overall, we show that the relationships between the predictor variables and stock returns change substantially following a break. That is, the stock market predictability varies overtime, with the predictability being weaker after both the Asian financial crisis (April 1997) and the Dot.com bubble (March 2001) but stronger after the bull market period (June 2006).

Important implications are provided. The results highlight the much higher risks associated with predictive models when investing in the Shenzhen market relative to the Shanghai and the Hong Kong markets as the Shenzhen market is most affected by changes in economic conditions. Hence, such investors when seeking to invest in the Shenzhen market should be more aware of international events as this market appears to be more integrated with the world market. By contrast, the presented results highlight the relative security of forecasting models in the Hong Kong market given the higher predictability than the Shanghai market. In sum, for risk-averse investors, the Hong Kong market is seen as more appropriate market through which to channel their investment. For risk-takers, the Shenzhen market offers a clearer opportunity to gain additional returns if the investor can intelligently time their trades.