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This paper investigated how and why abnormal stock returns associate with the announcement of equity issues by Chinese firms. We estimated abnormal return by OLS, using the market model. Then we chose some variables and established an econometric model to verify some hypothesis introduced in previous study. The empirical results indicate that there exist negative abnormal return on China stock market...
This paper constructed GARCH Models to analyze the volatility of term-products of SHIBOR (Shanghai Inter-Bank Offered Rate), and found that short-term and long-term interest rate products have different characteristics of return volatility, non-normality and conditional heteroscedasticity, and GARCH models can fit the volatility of SHIBOR well.
In order to measure the open-ended fund's liquidity risk accurately, the method of non-liquidity and VaR are used in this paper. We measure the liquidity risk of open-ended fund with non-liquidity indicators, fitting these non-liquidity indicators of sample funds with GARCH model under normal distribution, t-distribution and generalized error distribution (GED), then put the fitting parameters into...
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