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《On Economic Problems》 2018-01
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Causal Analysis of the Maximum Daily Return Effect:A Contrastive Study Based on Stock Market in China and American

DONG Chen-yu;LIU Wei-qi;WANG Ying-jie;School of Economics and Management,Shanxi University;Research Center for Management and Decision Making,Shanxi University;Faculty of Finance and Banking,Shanxi University of Finance and Economics;University of Liverpool,Department of Mathematics;  
The sample includes all China A shares,and NYSE,Amex,NASDAQ ordinary common stocks. We study the causes of the maximum daily return effect in the stock markets of China and America,and study the investment strategy based on the maximum daily return. Using univariate portfolio-level analyses,the maximum daily return effect is also found in Chinese stock market as in American stock market. Portfolio feature analysis and Fama-Mac Beth cross-sectional regressions indicate that the significant maximum daily return premium can be explained by liquidity shock in Chinese stock market,and can be completely captured by the reverse effect of monthly return in American stock market. Based on short and long position of zero cost or long position strategy taking into account short selling restrictions,we find that not only American investors but Chinese investors can gain significant premium through short and long position of zero cost based on maximum daily return when the stock market is in a bear market,and long position strategy have higher returns than zero cost or long position strategy considering short selling restrictions.
【Fund】: 国家自然科学基金资助项目(71371113);; 国家社会科学基金项目(15BJY164)
【CateGory Index】: F831.51
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