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Abstract:
We investigate the profitability of the quantitative market timing technique of candlestick technical analysis in the U.S. equity market. Despite being used for centuries in Japan and now having a wide following amongst market practitioners globally, there is little research documenting its profitability or otherwise. We find that these strategies are not generally profitable when applied to large U.S. stocks. Basing trading decisions solely on these techniques does not seem sensible but we cannot rule out the possibility that they compliment some other market timing techniques.

Market Timing, Candlesticks, Technical Analysis, Quantitative Investment

Abstract:
We consider whether popular technical trading rules are profitable on a subset of U.S. stocks with certain size, liquidity, and industry characteristics. We find these rules are rarely profitable during the 1990 to 2004 period, however there is some evidence they are more profitable for smaller, less liquid stocks. When a rule does produce statistically significant profits on a stock they tend to be considerably higher than reasonable estimates of transactions costs. This may explain why these rules are so popular in spite of their overall underperformance.

Technical Analysis, Size, Liquidity

Abstract:
This paper divides Chinese A-Share IPO initial returns into the initial return of the primary market and of the secondary market. Our empirical evidence shows that the initial abnormal return on the secondary market is significantly positive. This study also finds that 1) the initial return of the primary market is negatively related to the subscription or lottery ratio; 2) the initial return of the secondary market is positively related to the market return, and negatively related to IPO offering prices; 3) the initial turnover is negatively related to the offering size; 4) the initial turnover has no impact on the initial return of the secondary market but the latter has a significantly positive influence on the initial turnover.

Initial return, Chinese primary market, Chinese secondary market

Abstract:
We study the impact of currency shifts on the market value of the four major Australian banks. Specifically we examine the relationship between the value of the Australian dollar against the US dollar, the Sterling Pound, and the New Zealand dollar and the PB ratios of these four banks. We find that the negative impact of a drop in the value of the banks' offshore assets in terms of US dollars and Sterling Pounds is being reflected in the stock price, but this is not the case for the New Zealand dollar. There is also a negative relationship between the level of interest rates and the PB ratios indicating that the present value of future income streams is an important issue for investors investing in bank stocks.

Exchange Rates, Offshore Assets, Banking

Abstract:
Due to the share segmentation system, tender offers in the Chinese stock markets are very rare. We investigate the performance and characteristics of acquiring firms on 1148 M&A on the two Chinese stock markets from 1998 to 2003, where a listed company acquires stocks or assets from another target firm which most often is not listed. Using the market model, the CAPM model and the buy-and-hold method, we find significantly positive abnormal returns before (6 months) and upon M&A announcements, while the long-run abnormal returns (6 months) after M&A are insignificant. Within our sample, cash is the dominant payment method and the competition during M&A is low. The cross-sectional analysis on acquirers' market performance upon announcements shows that 1) the political advantages of acquiring firms (the higher state ownership and stronger government connections) have a significantly positive impact on the acquiring firm's performance, while the economic advantages (acquirers' pre-merger profitability or industry relatedness between acquirers and target firms) do not; 2) cross-province M&A implies more choices on the resource of the merger and possibly stronger government connections (the central government rather than the local government), and therefore creates more value to acquiring firms; 3) the power balance between the second to tenth shareholders and the top shareholder has a significantly positive impact to acquirers' returns, due to the possible better corporate governance; and 4) cash payment impacts positively and regulation development impacts negatively on the value of acquiring firms during M&A, respectively. Finally, although the market reacts positively on the M&A announcements, a quick check on the profitability change of acquiring firms before and after merger indicates that M&A does not improve the fundamentals of acquiring firms, at least not in the short-run.

M&A, acquiring firms, China

Abstract:
We investigate the performance and characteristics of acquiring firms on 1148 M&A on the two Chinese stock markets from 1998 to 2003. Using the market model, the CAPM model and the buy-and-hold methods, we find significantly positive abnormal returns before (6 months) and upon M&A announcements, while the long-run abnormal returns (6 months) after M&A are insignificant. Within our sample, cash is the dominant payment method and the competition during M&A is low. The cross-sectional analysis on acquirers' market performance upon announcements shows that the political advantages of acquiring firms have a significantly positive impact on the acquirers' performance, while the economic advantages do not. Cross-provincial M&A and better corporate governance create value to acquiring firms. Finally, cash payment impacts positively and regulation development impacts negatively the performance of acquiring firms during M&A.

M&A, acquiring firms, China

Abstract:
This paper explores the empirical results of the implementation of an independent director system in China. The results show that firms implement board independence by adding extra members, instead of removing inside directors, except in the case where the board size (before the recruitment of independent directors) has already been too large. It has been identified that large firms prefer a large board with more independent directors on the board. However, the largest shareholders have a strong incentive to organise a small and insider-controlled board. Although there is a negative relationship between board size, board independence and firm performance, Tobin's Q increases in relation to board size and board independence for large firms.

Corporate governance; Board structure; Firm performance; China

Abstract:
Chinese listed firms recruit independent directors in order to build up connections with people who can provide useful sources and/or protection rather than for their monitoring of top managements. It is found that Chinese listed firms particularly prefer two types of Guanxi provided by independent directors: 43.76% of the independent directors are university scholars or researchers; and 13.88% of them are politically connected. Moreover, the relationship between Tobin’s Q and the presence of scholars and politically connected independent directors on boards is significantly negative. Furthermore, scholars, commercial bankers and politically connected independent directors can add value to large and diversified firms, high leveraged firms, and firms without political connections, respectively. Finally, the recruitment of independent directors does not reduce the related party transactions between the listed firms and their controlling shareholders, but instead, firms with politically connected CEOs, and firms with a government bureaucrat as the largest shareholder engage in less related party transactions.

Independent director, Characteristic, Firm performance, China

Abstract:
We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities among different groups of investors reveals that when previous market returns are high, investors with larger (smaller) average trade size increase their buy (sell) volume. Our findings indicate an important role of differing responses to market information among different classes of investors (e.g. different priors) in explaining this recently documented phenomenon.

return volume relation, trading dynamics

Abstract:
This paper examines the degree of financial integration that exists in East Asian equity markets using the International Capital Asset Pricing Model methodology. We employ three market portfolios to test for integration: the weighted average equity index of all sample countries, the Japanese market index and the US market index. The study shows that the level of financial efficiency and the integration of sample countries is high and has improved significantly during 1991 to 2005, and they are more financially integrated within the region and with the Asian leading market (Japan) than with the world leading market (the USA).