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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...
By using daily data of India market, an effort has been made to investigate the possible volatility and price-discovery relationships between the NIFTY spot index and index futures market with techniques of ARCH/GARCH model, Johansen's Cointegration test and Granger Causality test. The main conclusions of this paper are as follows: firstly, the introduction of stock index future (SIF) helps reduce...
Absorbing exchange rate as exogenous disturbance, a mixed GARCH-jump model is proposed to compare return series fluctuation of Shanghai composite index with that of Dow Johns Index. It also incorporates properties of asymmetry, clustering, leptokurtosis and fat-tail of index series fluctuation into an integrated analytic frame of so-called diffusion-jump. Fitness test of GARCH-jump model proves that...
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