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CN 34-1054/N

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2024 Vol. 54, No. 2

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2024-2 Contents
2024, 54(2): 1-2.
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2024-2 Abstract
2024, 54(2): 1-2.
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Management
Attention: The impact of media attention on market reaction to corporate violations
Chenxi Wang, Lei Zhou
2024, 54(2): 0201. doi: 10.52396/JUSTC-2023-0037
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Reducing market volatility and achieving high-quality development are important tasks for the Chinese capital market at the present stage. Based on the asset pricing role of media, this study used the event study to empirically examine the impact, as well as the heterogeneity from type and emotional tendency, of media attention on the market reaction to corporate violations from the perspective of limited attention. The results showed that the media’s prior attention to the listed company has a significantly negative impact on the market reaction after the company’s violation. The attention of network media and policy-oriented media has a significantly negative correlation with the market reaction after the company’s violation, while market-oriented media has no significant impact. Compared with neutral media attention, negative and positive media attention trigger more severe negative market reaction after company violations. Furthermore, the negative impact of media attention on the market reaction after corporate violations is mainly manifested in non-state-owned enterprises. The results demonstrate the important role of media attention in asset pricing and have important practical significance for better playing the role of the media, protecting the rights and interests of investors and achieving high-quality development of the capital market.
Typhoons’ effect, stock returns, and firms’ response: Insights from China
Lixiang Shao, Zhi Zheng
2024, 54(2): 0202. doi: 10.52396/JUSTC-2022-0157
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This paper examines the impact of typhoons in China on the stock returns of Chinese A-share listed firms and the responses of their managers. Based on a sample of Chinese A-share listed companies from 2003 to 2018, we find that the occurrence of typhoons causes significant negative effects on the Chinese stock market, both economically and statistically. We use an event study approach to test the impact of typhoons directly, and we sort the stocks into different portfolios to examine the sensitivity of the typhoons’ effect to different factors. We also investigate the responses of firms’ management to damaging disasters using a difference-in-differences method with multiple time periods. We discover that firms in the neighborhood area are willing to take precautions, including decreasing the current debt to total debt ratio and increasing the ratio of long-term borrowing financing to total assets. Furthermore, firms’ overreactions will disappear as the number of attacks increases, and the rationality of this overreaction needs further research.
The impact of macroprudential cross-border capital flow management on the linkage of domestic and foreign bond markets
Pengwei Zhao, Xiao Wang
2024, 54(2): 0203. doi: 10.52396/JUSTC-2023-0050
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Cross-border financing activities in China have increased significantly in recent years, and the inflow of capital may lead to accumulated financial risks. To mitigate financial risks and promote the opening of financial markets, macroprudential management policies for cross-border financing have been implemented since 2016. This paper examines the effectiveness of macroprudential management policies in opening financial markets and managing foreign financial risks. We employ a time-varying parameter vector autoregressive (TVP-VAR) model to quantitatively analyze changes in the spillover effects between Chinese bond market and foreign bond markets under different implementation stages of cross-border financing macroprudential policies. Our analysis reveals that the implementation of macroprudential management of cross-border financing has increased the total spillover effect between different bond markets, as well as the spillover effect from other bond indices to the Chinese RMB Bond Index and the spillover effect from other indices to the Chinese USD index. Moreover, our findings indicate that macroprudential management has reduced the total volatility spillover effect and the volatility spillover effect from other indices to the Chinese RMB Bond Index. These results highlight the importance of preventing external risk transmission when China’s financial market is opening to the world.
A novel CBAMs-BiLSTM model for Chinese stock market forecasting
Chenhao Cui, Yong Li
2024, 54(2): 0204. doi: 10.52396/JUSTC-2023-0066
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The convolutional block attention module (CBAM) has demonstrated its superiority in various prediction problems, as it effectively enhances the prediction accuracy of deep learning models. However, there has been limited research testing the effectiveness of CBAM in predicting stock indexes. To fill this gap and improve the prediction accuracy of stock indexes, we propose a novel model called CBAMs-BiLSTM, which combines multiple CBAM modules with a bidirectional long short-term memory network (BiLSTM). In this study, we employ the standard metric evaluation method (SME) and the model confidence set test (MCS) to comprehensively evaluate the superiority and robustness of our model. We utilize two representative Chinese stock index data sets, namely, the SSE Composite Index and the SZSE Composite Index, as our experimental data. The numerical results demonstrate that CBAMs-BiLSTM outperforms BiLSTM alone, achieving average reductions of 13.06%, 13.39%, and 12.48% in MAE, RMSE, and MAPE, respectively. These findings confirm that CBAM can effectively enhance the prediction accuracy of BiLSTM. Furthermore, we compare our proposed model with other popular models and examine the impact of changing data sets, prediction methods, and the size of the training set. The results consistently demonstrate the superiority and robustness of our proposed model in terms of prediction accuracy and investment returns.

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