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This paper uses the Chinese GEB IPO data from October 2009 to December 2012 to shed light on the autocorrelation of both initial returns and price update and the relations between the initial returns and price update. We find that both initial returns and price update are cyclical. These two variables are positively related. The equal-weighted average monthly initial returns are significantly positive...
In this paper, we study the cointegration relationship between the U.S. private consumption and Sino-US trade surplus based on the national income accounting identity and the supply and demand relations theory using data from December 2001 to December 2012 by the Johansen cointegration test and Granger causality test in empirical study. American families are accustomed to the lifestyle of excessive...
In order to promote the application value and instruction significance of “structural Keynesian investment multiplier” (abbreviated as SKIM), this paper takes environment consumption and environment input into the second-stage input-output table. It meanwhile proposes a concrete plan of compiling a “second-stage input-output table that incorporates environment factor”, and based on this designs a...
The exchange rate model for the study of the exchange rate theory has very important significance. After analyzing the successful nonlinear model of real exchange rate based on the purchasing power parity (PPP) theory, the nonlinear problem of nominal exchange rate is studied in this paper. Through a research on a period of nominal exchange rate with nonlinear characteristics, a nonlinear statistical...
In this paper, from the perspective of prediction of future optimal portfolio, a method for evaluating investment portfolio quality is proposed. Based on the definition of portfolio quality, after making assumptions on the ‘true’ correlation matrix, we theoretically analyze adverse influence of correlation noise on portfolio quality. The method from random matrix theory (RMT) can be used for denoising...
With the aim of getting more accurate and more reliable stock price predicted results, this paper proposes an effective method which is fuzzy rough set and data mining technology. Firstly, stock prices were classified to some groups according to their different time attribute by using fuzzy set and rough set means. Then we calculated truth values of these groups respectively based on the given fuzzy...
Speculativeness and instability of short-term capital flows would have an enormous impact on a country's financial stability and economic development. The paper summarizes the "push pull" impact of Chinese short-term capital flows mainly is: Domestic and foreign interest-rate spread, expected exchange rate, domestic capital market prices and domestic prices in commodity markets, and gains...
From a new view of financial distress concept drift, this paper attempts to put forward a new method for dynamic financial distress prediction modeling based on slip time window and multiple support vector machines (SVMs). A new algorithm is designed to dynamically select the proper time window to handle concept drift, and then a dynamic classifier selection method is used to build a combined model...
In this paper, we have used the data of some variables affecting current account balance and capital & financial account balance from 1985 to 2005 to generate some results. We have emphasized the Granger causality test and impulse response functions to analyze the dynamic influence of FDI to the capital and financial accounts, as well as the GNP of Pakistan. The results suggest that FDI has a...
Credit scoring has attracted lots of research interests in the literature. The credit scoring manager often evaluates the consumer's credit with intuitive experience. However, with the support of the credit classification model, the manager can accurately evaluate the applicant's credit score. Support Vector Machine (SVM) classification is currently an active research area and successfully solves...
Financial distress prediction is an important research topic in both academic and practical world. This paper puts forward a financial distress prediction model based on multiple reduction ensembles, which employs neighborhood rough set based attribute reduction to generate a set of reducts, then each reduct is used to train a base classifier, and finally their results are combined through simple...
The contagion of the financial crisis became more and more evident since 1990s. Numerous channels make the financial crisis contagion have notable nonlinear features. The traditional research are mostly based on the linear methods, which have limitation to investigate the nonlinear features. The dynamical interdependence analysis method in this paper is better than the linear methods to depict the...
Mature of China's stock market makes value investing theory's application in China possible. The paper aims to decide evaluation indexes set about stocks' investment value in order to serve value investing theory's application in China. Firstly, the paper analyses several influential factors about stocks' investment value thoroughly. Secondly, taking non-financial listed firms in Shanghai and Shenzhen...
We theoretically investigate the effects of the adoption of regulation fair disclosure by the U.S. securities and exchange commission. As a kind of financial innovation by American regulators, it was intended to stop the practice of "selective disclosure". But it also caused a significant reallocation of information, resulting in higher cost of capital to small firms, which was taken as...
In order to examine the risk hedging function of Chinese futures market at different developmental periods, this paper chooses soybean futures as the proxy and divides the series of its spot and futures prices from 1996 to 2005 into three stages based on the principle of ordered sample clustering. Through ADF test, structure break test and cointegration test, ECM model is then successfully established...
The nonlinear local technique is used to test the nonlinearity of RMB/USD exchange rate after the exchange rate reform in 2005, and three models are used to forecast RMB/USD exchange rate. After the exchange rate reform, the exchange rate of RMB/USD is more fluctuant than before, which makes the forecast of the RMB/USD exchange rate more and more important in the research area and in practice. In...
This study considers the efficiency of housing markets in Shanghai, China based on some approaches of fractal theory. Specifically, we examine the housing markets via a test by R/S (rescaled range) analysis and a Hurst exponent computation. With recent housing price indices of Shanghai in China real estate index system (CREIS), we calculate Hurst exponent of housing markets in Shanghai using an R/S...
The relationship between disclosure level and cost of equity capital is an important topic in today's economy. In general, economic theories and anecdotal evidences suggest a negative relationship. Empirical work, however, is confronted with major methodological drawbacks - neither disclosure level nor cost of equity capital can be observed directly - and the relationship is not well established and...
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