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IPO (Initial Public Offerings) pricing is a systematic and complicated task that directly determines whether the capital market is able to function in a healthy way. As China's stock market goes through ups and downs, China Securities Regulatory Commission generally adopts a positive strategy. Therefore, to weaken the policy factors, 48 cases of IPO companies dated from January 2014 to February 2014...
IPO secondary offerings have been widely concerned by people. The purpose of this paper is to study the effect of IPO secondary offerings on IPO underpricing in China's capital market. The data about IPO secondary offerings and IPO underpricing in the Shanghai and Shenzhen A stock market listed companies from December 2013 to April 2016 are used for empirical analysis. The study finds that the IPO...
This study proposes a causal network construction method based on Granger causality test rather than correlation coefficient to investigate the inherent structure of the stock market. We analyze the characteristics, community structure and nodes' influence of the network formed following our method. Furthermore, this study investigates the reasons why the stock market performs a certain relationship...
From the perspective of the credit risk, this paper discusses the factors affecting credit spreads of different credit risk corporate bonds. The study chooses the credit rating as the standard to measure the credit risk of corporate bonds. The sample of daily data covers the period from August 2013 to December 2015 and we use Merton model to analyze the different influencing factors. The empirical...
This study examines the impact of a selected macroeconomic variables on the New Zealand stock market(S&P/NZX 50) index. We use exchange rate, interest rate, inflation rate and foreign stock market index (S&P 500 index) to evaluate their influence on the New Zealand stock market (S&P/NZX 50) index. Daily data from January 2014 to September 2016 are evaluated. Unit root tests, cointegration...
In order to explain the reason of the high underpricing rate of IPO and to judge whether there exists IPO underpricing, combined with China's specific policy system, this paper classified the IPO first-day underpricing or discount and constructed a classifier by using the decision tree modeling under the multiple influence factors. The numbers listed in this article refer to the data of initial public...
In an earlier paper, we introduced the distinction between a `model-structure' (consisting of the system components and lines connecting components) and a `model-ontology' (consisting of the measurement methodology in the model and the translation of information to another model). Here we apply this distinction to the methodological challenge of measurement and integration of economic models. The...
In this paper, we study the problem of pricing American Parisian options based on the forward shooting grid method. We verify the validity of forward shooting grid method by exploiting the relationships among option values of American cumulative Parisian option, American moving window Parisian option and American consecutive Parisian option. We also consider the effects of the trigger conditions and...
This paper research the financial market pricing mechanism with characteristic of chaos by a financial market model which be applied in fitting market pricing process in short term. As a proof-test, results of chaos forecast shows that the financial market model can be utilized for decision-making on chaos market system.
This paper discusses the liquidity premium based on three-moment capital asset pricing model. The study sample is A-share listed in Shanghai and Shenzhen stock exchanges before January 1997. The study is to test whether the three-moment model is able to explain the liquidity risk completely, and whether there is illiquidity premium in China's stock market. The empirical results indicate that three-moment...
With the daily data and monthly data of stock market for January 1, 2000 to March 31, 2011 as research sample, use Fama-French three factor regression and EGARCH(1,1) model to estimate idiosyncratic risk, the relationship between idiosyncratic risk and the return of stocks is analyzed based on the cross-sectional regression analysis method. Using Fama-French three factor regression to estimate idiosyncratic...
Internal control level directly affects the quality of financial report of a firm and CPA's audit input and risk. Do CPAs take such a relation into account when they decide the level of audit fees charged to firms? In this paper, the author conducts an empirical study on the relationship between the internal control quality, audit risk and audit fees, using a sample of 1395 companies listed on Shanghai...
In order to distinguish the different influence of investors' sentiment on stock return and its volatility, the states of stock market are divided to bull market and bear market, and the noise trade model of Delong, Shleifer, Summers and Waldmann is expanded. Based on the expanded model, the influence of investors' sentiment on stock return and its volatility under the different stock market states...
The US equity exchange market is organized as a National Market System, enforcing price priority across exchanges, but otherwise allowing competition for order flow among exchanges. This flexibility has naturally evolved to a market where exchanges have varying quality and cost of execution. To meet the obligation for best execution, a broker must employ a strategy for selecting the exchange to which...
Technology of system simulation has become the important tool in studying various systems, particularly the complex systems. In this paper the method is applied to the construct an artificial stock market system and simulates the evolution of traders combined with genetic algorithm (GA). Then we can observe the macroscopic behavior of the artificial stock market from bottom to up and the impact to...
At first, this paper deduces that European call option price equals the sum of total loss discounted to time 0 which is brought about by adjusting the share of stock in order to make the portfolio which includes the option and a certain number of underlying stock to be a risk-free portfolio at any time during the valid period. Based on this theory, whether Black-Scholes Option Pricing formula is suitable...
Through the analysis of the already existed financial innovation in China's capital market, this paper did a research on the mechanism financial innovation promoting China's capital market. On basis of the above, the paper proposed that the financial innovation is the driving force of China's capital market and the development of China's capital market needs the support of innovation in financial...
IPO under-pricing phenomenon is popular widely in various capital markets in the world. Which is always regarded as one difficult area in financial research. So far, many researchers contribute and draw conclusions based on different theories. Furthermore, based on behavioral finance theory, the explanations become further persuasive. But more evidences are also be needed to support them. This paper,...
As a very important popular public trust and investment tool, Open-end Fund offers a credible choice of investment to investor. With the development of Open-end Fund, the marketing level is enhanced greatly. But, with increasing competition and the existence of purchase and redemption mechanism, fund management companies are facing a lot of marketing pressures. The traditional 4Ps of marketing strategy...
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