Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns

doi:10.1002/ijfe.2576

CSpace

	Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns
	Wang, Yingli 1,2; Lu, Chang 1; Yang, Xiaoguang 1,3; Zhang, Qingpeng 4
	2021-07-13
发表期刊	INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
ISSN	1076-9307
页码	19
摘要	The study empirically analyzes the stock market response to the announcements of China's Manufacturing Purchasing Managers' Index (PMI). Asymmetric effects are observed, as follows: negative PMI announcements do not appear to influence the stock market, whereas positive PMI announcements have a significant effect. Evidence further suggests that negative announcements remain nonsignificant under any economic period (e.g., expansion, contraction, or stability), while the positivity effect observed becomes increasingly significant during both economic expansion and stability periods. Our study is not consistent with international experience, which suggests stock markets are more sensitive to negative news. A test sample of individual stocks was used to further investigate this phenomenon. We observed stocks characterised with lower levels of institutional ownership, smaller firm size, higher liquidity or low stock prices, react to positive news more consistently. These types of stocks are generally favoured by individual investors who are more easily influenced by positive PMI news. Unlike stock markets of America or Europe, individual investors dominate China's stock market. The 'rise-chasing and down-freezing' behaviour of the individual investors may explain why China's market reacts more readily to positive PMI announcements. Note: The 'rise-chasing and down-freezing' phenomenon refers to an investor who buys winning stocks warmly, while keeps the losing stocks at hand.
关键词	asymmetric response Chinese stock market economic period individual investors PMI announcements rise-chasing and down-freezing
DOI	10.1002/ijfe.2576
收录类别	SCI
语种	英语
资助项目	National Science Foundation of China[71850008] ; National Science Foundation of China[71532013]
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:000672962900001
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58936
专题	中国科学院数学与系统科学研究院
通讯作者	Yang, Xiaoguang
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Acad Mil Med Sci, Ctr Assessment & Demonstrat Res, Beijing, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 4.City Univ Hong Kong, Sch Data Sci, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Wang, Yingli,Lu, Chang,Yang, Xiaoguang,et al. Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,2021:19.
APA	Wang, Yingli,Lu, Chang,Yang, Xiaoguang,&Zhang, Qingpeng.(2021).Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns.INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,19.
MLA	Wang, Yingli,et al."Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns".INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2021):19.