Market stability analysis after the circuit breaker for the CSI 300 energy index

Zhou, Wei; Rao, Wanying; Lu, Shuai

doi:10.1016/j.frl.2019.101348

Cited by 5 publications

(2 citation statements)

References 11 publications

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“…Second, China has introduced a number of legislative actions to promote the development of DI in recent years, and policy evaluation is also a direction that deserves attention [77][78][79], but is not discussed in this paper. The existing studies have developed some mature research methods for policy evaluation, such as regression discontinuity design [80,81] and difference-in-differences method [82,83]. Thus, evaluating the impact of these policies' implementation on GTFP represents a potential direction for further research.…”

Section: Conclusion and Policy Recommendationsmentioning

confidence: 99%

Can Digital Innovation Improve Green Total Factor Productivity: Evidence from Digital Patents of China

Rao,

Liu

2024

Sustainability

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Amid intensifying global economic rivalries, China has pinpointed the digital economy and sustainable growth as key accelerators for societal and economic progress. Digital innovation (DI) plays a crucial role in propelling China’s economy towards sustainable growth, by serving as the technological backbone of the digital economy. This study explores how DI influences China’s GTFP through an analysis of panel data covering 30 provinces, municipalities, and autonomous regions from 2005 to 2021. The results indicate that DI greatly contributes to the enhancement of GTFP. DI can also indirectly promote GTFP by increasing the effectiveness of factor allocation efficiency including capital, labor, and technology. Heterogeneity analysis results indicate that the influence of DI on GTFP differs depending on the degree of intellectual property protection (IPP), the development of digital infrastructure construction (DIC), and the geographical location. A higher degree of IPP and developed DIC make areas better suited for the role of DI in advancing GTFP. Furthermore, in the central and eastern areas, the impact of the digital economy on the promotion of GTFP is particularly noticeable. This study offers reliable empirical evidence for the effect of DI on GTFP and contributes to China’s digital economy and sustainable development.

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Section: Conclusion and Policy Recommendationsmentioning

confidence: 99%

Can Digital Innovation Improve Green Total Factor Productivity: Evidence from Digital Patents of China

Rao,

Liu

2024

Sustainability

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“…3 3 Using the CSI 300 energy index, Zhou, Rao, and Lu (2020) study the market stability effect of circuit breakers in the Chinese A‐share stock market. Using 287 component stocks of the CSI 300 Index, Wang, Xu, and Zhang (2019) test the “‘cooling effect”’ of A‐share markets in China.…”

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confidence: 99%

Magnet effects of circuit breakers in electronic order‐driven markets: Evidence from China

Xiang

2021

Int. J Fin Econ

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Since the American stock market crash of 1987, circuit breakers have been used worldwide to protect markets against extreme concentrated volatility. The true effects of circuit breakers, however, remain controversial. We investigate four circuit-breaker triggering events in early 2016 in China's A-share market to examine the magnet effects of market-wide circuit breakers. By performing more than 150,000 logit regressions on more than 30 million observations obtained from firm-level tick-by-tick trading data, we find that the prices of A-shares tend to fall further when the market approaches its downward breaker limits, which is consistent with the magnet effects hypothesis. The second layer of the breaker, which halts all trading for the rest of the day, induces larger magnet effects than the first layer, which suspends trading for 15 minutes. Our results remain robust after controlling for the potential magnet effects of firm-specific price limits and the intraday momentum effects of positive feedback trading. Stocks with higher risk, higher attention, and lower liquidity are significantly more affected by magnet effects, while constituent stocks of the CSI 300, the designated benchmark market index of circuit breakers, are insignificantly less affected.

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The Development of Regression Discontinuity Design and its Application in the Financial Field

Luo¹,

Zhou²

2020

Proceedings of the 4th International Symposium on Business Corporation and Development in South-East and South Asia Under B&

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Regression discontinuity design was proposed by Thistlethwaite and Campbell in 1960, and it was not applied to economic research until the end of the 20th century. With the gradual deepening of scholars' research on regression discontinuity design, its related theory is gradually perfected, and its application norms are becoming more mature. This makes regression discontinuity design gradually become a mainstream empirical research method. But compared to its application in theoretical economics, the literature on finance is still scarce. Therefore, this article intends to briefly introduce the basic regression discontinuity design to lay a certain theoretical foundation for later scholars to apply it to the financial field. Then sort out the literature and present to readers the current application of regression discontinuity design in the financial field so that scholars can grasp the current research hotspot.

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Market stability analysis after the circuit breaker for the CSI 300 energy index

Cited by 5 publications

References 11 publications

Can Digital Innovation Improve Green Total Factor Productivity: Evidence from Digital Patents of China

Can Digital Innovation Improve Green Total Factor Productivity: Evidence from Digital Patents of China

Magnet effects of circuit breakers in electronic order‐driven markets: Evidence from China

The Development of Regression Discontinuity Design and its Application in the Financial Field

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