Coal Enterprise Management and Asynchronism of Return

TL;DR

This study investigates the relationship between management quality and stock return timing in coal enterprises, revealing that larger firms with better management tend to lead in stock return sequences, using novel time series and ranking methods.

Contribution

It introduces a combined approach of time difference relevance and PageRank to analyze stock return asynchronism and its relation to firm management and size.

Findings

Large coal firms with good management lead stock returns.

Positive correlation between company size and PageRank score.

Hierarchical structure observed in return asynchronism.

Abstract

For researching the association between coal enterprise management and return in financial market, this paper applies the method of time difference relevance and PageRank method to seek the leader-index of a stock set containing 21 coal enterprises in A-share market and score those stocks. Based on the return in 2011, the asynchronism of the return series is revealed and presents a hierarchical structure of our stock set. Finally, we compare the result with the firm-level variables and discuss the relation between them. The results show that those large coal enterprises with a good management condition always present an antecedence of stock return; there is a significant positive association between company scale and the score given by PageRank method.