Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns
Wang, Yingli1,2; Lu, Chang1; Yang, Xiaoguang1,3; Zhang, Qingpeng4
AbstractThe 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.
Keywordasymmetric response Chinese stock market economic period individual investors PMI announcements rise-chasing and down-freezing
Indexed BySCI
Funding ProjectNational Science Foundation of China[71850008] ; National Science Foundation of China[71532013]
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000672962900001
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Document Type期刊论文
Corresponding AuthorYang, Xiaoguang
Affiliation1.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
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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.
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