简介:Thispaperinvestigatesthelead-lagrelationshipbetweenthestockindexfutures(knownasFKLI)anditsunderlyingindex,theKualaLumpurCompositeIndex(KLCI)intheemergingMalaysianmarket.Using15-secondintervaldata,cross-correlation,andthepartialadjustmentmodel,wefindabi-directionalasymmetriclead-lagrelationshipandthattheKLCI’sleadoverFKLIismuchstronger.TheevidencealsosuggeststhattheKLCIreturnsover-reacttoinformation,moresooncethintradingeffectsareconsidered.Overall,theevidencessuggestthattradersprefertoexploitstockspecificinformationintheunderlyingmarketdespitetheadvantagesoftradingtheindexfutures.
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简介:Theearningsqualityoflistedcompaniesisanissueofpublicconcern.Thispaperconductsanin-depthandcomprehensiveanalysisofhowtomeasuretheearningsqualityoflistedcompaniesbyusingempiricalmethods.Theindicatorsofearningsqualityusedinthispaperincludenotonlycashflowbutalsoindicatorsthataffectthegrowthoffutureearnings.Wefindthat,firstly,inourstockreturnregressions,bothspecificandcompositeindicatorsofearningsqualityhaveincrementalexplanatorypowerforstockreturnsaftercontrollingforearningspershare,changesinearningspershare,andfirmsize.Secondly,inourfutureearningsregressions,bothspecificandcompositeindicatorsofearningsqualityhaveincrementalexplanatorypowerforfutureearningsaftercontrollingforearningspershare,changesinearningspershare,andfirmsize.Thirdly,listedcompanieswithlower(higher)earningsqualityhavepoorer(better)earningsperformanceinfutureyears.