CSpace
Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns
Wang, Yingli1,2; Lu, Chang1; Yang, Xiaoguang1,3; Zhang, Qingpeng4
2021-07-13
Source PublicationINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
ISSN1076-9307
Pages19
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
DOI10.1002/ijfe.2576
Indexed BySCI
Language英语
Funding ProjectNational Science Foundation of China[71850008] ; National Science Foundation of China[71532013]
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000672962900001
PublisherWILEY
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/58936
Collection中国科学院数学与系统科学研究院
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
Recommended Citation
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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Wang, Yingli]'s Articles
[Lu, Chang]'s Articles
[Yang, Xiaoguang]'s Articles
Baidu academic
Similar articles in Baidu academic
[Wang, Yingli]'s Articles
[Lu, Chang]'s Articles
[Yang, Xiaoguang]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Wang, Yingli]'s Articles
[Lu, Chang]'s Articles
[Yang, Xiaoguang]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.