{"title":"中国股市的崩盘和中奖概率异常现象","authors":"Yi Fang, Hui Niu","doi":"10.1108/cfri-12-2023-0348","DOIUrl":null,"url":null,"abstract":"PurposeInvestigation of the anomalies associated with crashes and jackpots in the Chinese stock market.Design/methodology/approachWe propose a logit model to predict the events of crashes and jackpots in the Chinese stock market. The model introduces a new variable of the price-to-sales ratio and takes into account the market states, Up and Down.FindingsThe anomalies associated with crashes and jackpots are not related to variations in economic conditions, but are associated with limits to arbitrage. High-liquidity stocks have strong mispricing effects. The institutions’ speculative trading will push liquid stock prices further away from their fundamentals but avoid buying illiquid stocks with a higher probability of price crashes and jackpots.Originality/valueWe propose a logit model to predict the extreme events of both crash and jackpot in the Chinese stock market. Our model effectively disentangles from CRASHP and JACKP. Compared with the traditional model, it substantially enhances in-sample and out-sample predictions. Based on the predictions of the extreme events, we find two strong and robust pricing effects associated with ex ante CRASHP and JACKP in the Chinese stock market.","PeriodicalId":9,"journal":{"name":"ACS Catalysis ","volume":"24 19","pages":""},"PeriodicalIF":11.3000,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Crash and jackpot probability anomalies in the Chinese stock market\",\"authors\":\"Yi Fang, Hui Niu\",\"doi\":\"10.1108/cfri-12-2023-0348\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PurposeInvestigation of the anomalies associated with crashes and jackpots in the Chinese stock market.Design/methodology/approachWe propose a logit model to predict the events of crashes and jackpots in the Chinese stock market. The model introduces a new variable of the price-to-sales ratio and takes into account the market states, Up and Down.FindingsThe anomalies associated with crashes and jackpots are not related to variations in economic conditions, but are associated with limits to arbitrage. High-liquidity stocks have strong mispricing effects. The institutions’ speculative trading will push liquid stock prices further away from their fundamentals but avoid buying illiquid stocks with a higher probability of price crashes and jackpots.Originality/valueWe propose a logit model to predict the extreme events of both crash and jackpot in the Chinese stock market. Our model effectively disentangles from CRASHP and JACKP. Compared with the traditional model, it substantially enhances in-sample and out-sample predictions. Based on the predictions of the extreme events, we find two strong and robust pricing effects associated with ex ante CRASHP and JACKP in the Chinese stock market.\",\"PeriodicalId\":9,\"journal\":{\"name\":\"ACS Catalysis \",\"volume\":\"24 19\",\"pages\":\"\"},\"PeriodicalIF\":11.3000,\"publicationDate\":\"2024-07-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Catalysis \",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1108/cfri-12-2023-0348\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, PHYSICAL\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Catalysis ","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1108/cfri-12-2023-0348","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, PHYSICAL","Score":null,"Total":0}
Crash and jackpot probability anomalies in the Chinese stock market
PurposeInvestigation of the anomalies associated with crashes and jackpots in the Chinese stock market.Design/methodology/approachWe propose a logit model to predict the events of crashes and jackpots in the Chinese stock market. The model introduces a new variable of the price-to-sales ratio and takes into account the market states, Up and Down.FindingsThe anomalies associated with crashes and jackpots are not related to variations in economic conditions, but are associated with limits to arbitrage. High-liquidity stocks have strong mispricing effects. The institutions’ speculative trading will push liquid stock prices further away from their fundamentals but avoid buying illiquid stocks with a higher probability of price crashes and jackpots.Originality/valueWe propose a logit model to predict the extreme events of both crash and jackpot in the Chinese stock market. Our model effectively disentangles from CRASHP and JACKP. Compared with the traditional model, it substantially enhances in-sample and out-sample predictions. Based on the predictions of the extreme events, we find two strong and robust pricing effects associated with ex ante CRASHP and JACKP in the Chinese stock market.
期刊介绍:
ACS Catalysis is an esteemed journal that publishes original research in the fields of heterogeneous catalysis, molecular catalysis, and biocatalysis. It offers broad coverage across diverse areas such as life sciences, organometallics and synthesis, photochemistry and electrochemistry, drug discovery and synthesis, materials science, environmental protection, polymer discovery and synthesis, and energy and fuels.
The scope of the journal is to showcase innovative work in various aspects of catalysis. This includes new reactions and novel synthetic approaches utilizing known catalysts, the discovery or modification of new catalysts, elucidation of catalytic mechanisms through cutting-edge investigations, practical enhancements of existing processes, as well as conceptual advances in the field. Contributions to ACS Catalysis can encompass both experimental and theoretical research focused on catalytic molecules, macromolecules, and materials that exhibit catalytic turnover.