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摘要翻译：
制造业采购经理人指数(PMI)被视为一项重要的宏观经济指标，通常假设PMI的公布将对股市产生影响。国际经验表明，股市会对负面PMI消息做出反应。在本研究中，我们实证研究了中国股票市场对PMI的反应。PMI公布对股票市场的非对称效应被观察到：负面的PMI公布不会产生市场反应，而正面的PMI消息通常会产生积极的反应。我们进一步发现，对积极的PMI消息的积极反应发生在公布前1天，并持续近3天，而且这种积极反应是在经济条件扩张的背景下观察到的。相反，对于低市值、低机构持股比例或高市盈率的股票，在经济下行的情况下，对负面PMI消息的负面反应是普遍的。本文的研究表明，由于我国个人投资者数量众多，我国股票市场存在一定程度的风险偏好，市场中可能存在信息泄露。
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英文标题：
《Asymmetric response to PMI announcements in China's stock returns》
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作者：
Yingli Wang and Xiaoguang Yang
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最新提交年份：
2018
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets react to negative PMI news. In this research, we empirically investigate the stock market reaction towards PMI in China. The asymmetric effects of PMI announcements on the stock market are observed: no market reaction is generated towards negative PMI announcements, while a positive reaction is generally generated for positive PMI news. We further find that the positive reaction towards the positive PMI news occurs 1 day before the announcement and lasts for nearly 3 days, and the positive reaction is observed in the context of expanding economic conditions. By contrast, the negative reaction towards negative PMI news is prevalent during downward economic conditions for stocks with low market value, low institutional shareholding ratios or high price earnings. Our study implies that China's stock market favors risk to a certain extent given the vast number of individual investors in the country, and there may exist information leakage in the market.
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PDF链接：
https://arxiv.org/pdf/1806.04347
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