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Financial Innovation 2023年第1期9卷 2042-2075页

作者： Monica Martinez‑Blasco Vanessa Serrano Francesc Prior Jordi Cuadros IQS School of Management-Universitat Ramon Llull Via Augusta 39008017 BarcelonaSpain IQS School of Engineering-Universitat Ramon Llull Via Augusta 39008017 BarcelonaSpain

The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and ***,only a limited number of free tools are available for this *** this lack of tools,the present study provides two approaches to facilitate the implementa-tion of an event *** first approach consists of a set of MS Excel files based on the Fama–French five-factor model,which allows the application of the event study methodology in a semi-automatic *** second approach is an open-source R-programmed tool through which results can be obtained in the context of an event study without the need for programming *** tool widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama–French five-factor model but also other models that are common in the finan-cial *** is a user-friendly tool that enables reproducibility of the analysis and ensures that the calculations are free of manipulation *** approaches are freely available and ready-to-use.

关键词： event study Fama–French five-factor model Financial education Teaching innovation Spreadsheet R programming language

Non-tradable Share Reform and Tradable Shareholders＇ Wealth： An event study Analysis

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Chinese Business Review 2006年第7期5卷 45-60页

作者： Licheng Feng Weihe Xu University of International Business and Economics Beijing 100029 China

On April 29, 2005, the reform of non-tradable shares was started. 46 companies were selected as the first and second batches of non-tradable share pilot reform, and among them 45 pilot companies finished their non-tradable share reform. This study examines the abnormal stock returns of the 45 pilot companies finishing their non-tradable share reform to determine whether tradable shareholders gain profits from this non-tradable share reform. By employing event study analysis, we find that tradable shareholders do gain profits from the non-tradable share reform. The average abnormal return of the 45 pilot companies was 10.62% on the resumption trading day after they finished their non-tradable share reform, which was statistically significant. We also find that the average abnormal return of high-compensation package group is significantly higher than that of low-compensation package group.

关键词： abnormal return non-tradable share reform event study China

Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market

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Journal of Systems Science & Complexity 2023年第5期36卷 2001-2025页

作者： LU Fengbin BU Hui Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China School of Economics and Management Beihang UniversityBeijing 100191China

This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures *** event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some ***,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)*** results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk *** study's results coincide with the following lawsuit evidence of market manipulation.

关键词： event study illiquidity risk market risk negative crude oil futures price price-trading relationship

Market reactions to trade friction between China and the United States:Evidence from the soybean futures market

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Journal of Management Science and Engineering 2023年第3期8卷 325-341页

作者： Tian Wen Ping Li Lei Chen Yunbi An University of Electronic Science and Technology of China Chengdu611731China University of Windsor WindsorONN9B 3B4Canada

In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with *** study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United *** indicate that the Sino-US trade friction weakened the return spillover effect between the soybean futures markets in China and the US,and significantly increased market *** the scale of additional tariffs increased,the volatility of the Chinese soybean futures market declined;however,the volatility of the US soybean futures market did not *** addition,expanding the sources of soybean imports helped ease the impact of tariffs on China's soybean futures market,while the decline in US soybean exports to China intensified the volatility of the US soybean futures *** addition,while the release of multiple tariff increases has had a short-termimpact on the returns of soybean futures markets,the impact of trade friction has grad-ually decreased.

关键词： Trade friction Soybean futures markets Volatility event study

Analysing the behavioural finance impact of ‘fake news’phenomena on financial markets:a representative agent model and empirical validation

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Financial Innovation 2021年第1期7卷 1169-1198页

作者： Bryan Fong Faculty of Economics Churchill CollegeUniversity of CambridgeStorey’s WayCambridge CB30DSUK

This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market *** model reconciles empirically-observed price overreactions to fake news with empirically-observed price underreactions to real news,and predicts a novel secondary impact of fake news:that fake news in a security amplifies underreactions to subsequent real news for the *** the model against a large-sample event study of the 2019 Chinese ADR Delisting Threat fake news and debunking event,this paper finds strong qualitative validation for its model’s dynamics and predictions.

关键词： Behavioural finance Fake news Representative agent model event study Bootstrapping

Effect of blockchain technology initiatives on firms’market value

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Financial Innovation 2023年第1期9卷 1349-1383页

作者： Haji Suleman Ali Feiyan Jia Zhiyuan Lou Jingui Xie School of Management University of Science and Technology of ChinaHefeiChina School of Commerce and Accountancy University of Management and TechnologyLahorePakistan College of Business City University of Hong KongKowloon TongHong Kong Center for Digital Transformation School of ManagementTechnical University of MunichHeilbronnGermany

Despite blockchain’s potential to transform corporations by providing new ways of organizing business processes and handling information,extant research pays inadequate attention to how and under what conditions blockchain technology provides additional financial value for *** on the efficient market hypothesis and signaling theory,we examined the relationship between firms’blockchain use,development announcements,and stock market *** used the event study methodology to analyze a sample of blockchain projects initiated by US firms between 2016 and *** sample contains 114 firm-event *** findings show that the average abnormal return over a 2 days event period(including the day of the announcement and the day after the announcement)was *** positive stock market reaction is even more substantial when firms announce blockchain projects that focus on saving cost or *** findings also indicate that blockchain announcements tend to elicit more positive market reactions from smaller *** analyzed 249 firm-event observations containing firms from around the world and conclude that blockchain technology has a non-significant long-term impact on operating *** contingency approach adopted in our research provides advice for selecting the right mix of blockchain investment initiatives that is most suitable for a given organizational context.

关键词： Blockchain Operation efficiency Time and cost saving Stock returns event study

Tourism demand forecasting and tourists’search behavior:evidence from segmented Baidu search volume

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Data Science and Management 2021年第4期4卷 1-9页

作者： Yifan Yang Ju'e Guo Shaolong Sun School of Management Xi'an Jiaotong UniversityXi'an710049China

Given the importance of web search volume for reflecting tourists'preferences for certain tourism services and destinations,incorporating these data into forecasting models can significantly improve forecasting *** study enriches the literature on tourism demand forecasting and tourists'search behavior through segmented Baidu search volume ***,this study divides Baidu search volume data based on volume sources and ***,by analyzing the most relevant keywords in tourism demand in different segments,this study captures the dynamic characteristics of tourist search ***,this study adopts a series of econometric and machine learning models to further improve the performance of tourism demand and *** findings indicate that tourists’search behavior has changed significantly with the prevalence and popularization of 4G technology and suggest that search volume improves forecasting performance,especially search volume on mobile terminals,from 2014M1–2019M12.

关键词： Baidu search volume Tourist search behavior Tourism demand forecasting event study Selection of keywords

The Capital Market Reaction and the Influencing Mechanism of the Establishment of the Data Basic Institutional System

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Social Sciences in China 2024年第1期45卷 134-156页

作者： Liu Bai Zhang Ailian School of Business and Management Jilin University

This study uses a sample of A-share listed companies to investigate the impact of China's Data Basic Institutional System on capital market reactions and the mechanism by which it exerts *** findings reveal that within a 5-day period before and after the policy announcement,listed companies with high data resources experience a significantly higher abnormal return compared to those with low data ***,this difference becomes more pronounced as enterprise technology intensity ***,the policy enhances the capital market's perception of the value of data resources and its potential for generating multiplier *** tests confirm that post-implementation of the policy,the capital market reevaluates the long-term value of enterprises associated with data *** comprehensive examination contributes empirical evidence to support academic research,inform policy formulation,and guide strategic planning in relevantindustries.

关键词： data resources technology intensity market value event study abnormal return

Analysis of the Relation between Interest Rate Policy and the Stock Market in China

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Systems Science and Systems Engineering 1999年第4期9卷 89-107页

作者： WANG Jun\|bo,\ DENG Shu\|hui Laboratory of Management, Decision and Information Systems Institute of System Science, Academia Sinica, Beijing 100080, China

Based on the modern monetary theory, this paper analyze the relation between interest rate policy and Shanghai and Shenzhen Stock Exchange by using event study and co\|integration model method. We point out that the interest rate policy have some abnormal effects on the stock market in short time and have negative effects on the stock market in long run. The influence of the interest rate is different on Shanghai Stock Exchange and Shenzhen Stock Exchange.

关键词： interest rate policy event study co\|integration and error\|correction model stock market

The Impact of the Trade Dispute on Chinese Listed Firms

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The Impact of the Trade Dispute on Chinese Listed Firms

作者： Patrick Gisler 上海交通大学

学位级别：硕士

Until today China and the United States remain engaged in a trade dispute of unprecedented impact on the world economy.A significant amount of tariffs are still in place even after the two countries signed a phase one trade *** full impact of the dispute is still unclear as necessary economic data is not yet *** this point,one reliable measure is stock market data as they are early indicators of how investors responded to the trade dispute in terms of future *** the classical event study,the thesis shows cumulative abnormal returns over different event windows for significant events of the trade dispute during the period of 2018 to *** analysis includes over 3000 listed companies on the Shanghai and Shenzhen Stock Exchange across more than 25 event dates,which are separated into four distinct categories to allow for more detailed analysis: Trade advantageous announcements,trade disadvantageous announcements,trade advantageous implementations and trade disadvantageous *** multivariate analysis further explores the influence of different firm characteristics suggested in the literature on the cumulative abnormal returns.A major focus of the thesis is the influence of the difference in ownership,mainly between state-owned enterprises and private *** results show a relatively high negative impact on trade disadvantageous implementations events compared to the other event categories for the shortterm event window of three days before and after the event *** general,the impact on Chinese listed companies is higher on implementation events compared to announcement *** negative impact of implementation events on private enterprises is higher compared to state-owned enterprises,with private companies in the consumer and service sector experiencing the highest negative cumulative abnormal *** results can provide a preliminary approximation of how Chinese listed companies were impacted duri

关键词： US-China trade dispute event study trade policy firmlevel analysis cumulative abnormal returns