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To understand connectivity among companies in financial news, and their overall influence, we define an algorithm for ranking companies in networks of positive, negative and mixed co-occurrences. We collect a homogeneous set of financial articles from crowd sourced news to get a sentiment polarization between positive and negative news. We use this polarization to develop three types of sentiment...
Twitter has transformed from an online platform for communication to a mega content generator for all kinds of topics. The topic of posts (or tweets) generated on Twitter cover diverse topics of interests. For example, politics, public personalities, events and corporate organizations. In this study, we analysed if tweets related to corporate organizations can predict the financial market. Our analysis...
We propose a novel volatility segmentation approach to detect effective trading points from 2679 stocks of NASDAQ. The buy and sell points are derived from dual periods of DMAC based on daily and weekly periods by estimating the amplitude and interval. The proposed approach is very accurate in that only 373 stocks (out of 2679) in NASDAQ have the average rate of profit of overall buy points higher...
Based on the depth, efficiency of financial development and the scale of securities market, through the Unit Root Test, Co-integration Test and Granger Causality Test methods, we analyzed the causality between financial development and economic growth of Fujian Province during the period from 1978 to 2008. We find out that there is a bidirectional causality between the depth of financial development...
One of the major tasks in stock market analysis is the discovery of specific events that give rise to a particular event. In this research we emphasize on temporal data mining with a time dimensional approach. This has led us to the discovery of sequential continuous patterns. The patterns serve as rules that enable us to determine the occurrence of an event on a particular stock-transaction day....
The article does empirical research on the margin level setting of Shanghai and Shenzhen 300 index futures. First of all, through the trend comparison chart of index and simulation index futures in 100 trading days, we obtain the conclusion that index data can instead of index futures. Then, 482 full samples' daily returns is to descriptive statistical analysis and test of normality, we obtain that...
This paper examines whether the level of debt financing affects the equity agency costs between shareholders and management and the one between controlling shareholders and minority shareholders. We use empirical research method to analyze a panel data sample of A share listed companies in Shanghai and Shenzhen Stock Exchange from year 2007 to 2009 and finds that companies with proper financing structure...
The traditional real estate market theories are studied within the frame of neoclassical economics. As the core of neoclassical economics, Efficient Market Hypothesis (EMH) is the foundation of real estate market theory. But the traditional linear paradigm is facing a serious challenge from non-linear paradigm. Using R/S analysis method, which is the classical algorithm of Hurst index based on fractal...
The investment value of the stock in small and medium enterprise(SME) board in China need to be analyzed based on the actual data. The 38 stocks has existed above 5 years when Chinese Small and medium-sized enterprise board was founded in 2004, and their the market data is proper to be analyzed. The long-term investment values of the 38 stocks which are bought at the initial public offering price...
Value at Risk (VaR) is a commonly statistical tool to measure market risk. In this paper, a mixture method of APGARCH-M model and EWMA algorithm is applied to measure VaR of a portfolio. Empirical study using three stock index of shanghai stock market shows the mixture method is advantageous and accurate to calculate VaR of a portfolio.
Suppose the stock returns series has a fat tail distribution characteristics of GED, and select the stock return series of three types of listed companies from 2007 to 2009 as the sample data, empirical analysis credit situation and probability of default of the listed companies in China before and after the financial crisis. Research indicates that the model can be well with the actual economic situation...
Since the non-tradable reform, the private equity placement becomes one of the best popular ways of equity refinancing in China's listed companies. The market and supervision authorities in the multiple expectations place on the private equity placement as an important innovation of the equity refinancing. This paper based on information asymmetry hypothesis examines: Why do listed companies choose...
Agency cost theory is an important branch of capital structural theory. Free cash flow has significant impact on agency cost. The combination of research on these two fields would help to build and extend the theoretical system. Based on agency cost theory, the present study firstly categorized the characteristics of free cash flow as well as the statistical methodologies. Furthermore, the existence...
The purpose of this paper is to explore the relationship between the property rights system and the financial development as well as the property rights system and economic growth in developing counties such as China. The paper uses statistical and econometric methods to analyze the finance data in Asia and Latin America, and economic data in China combined with property rights institutional changes...
Some advanced structural models of default risk have introduced jump component to reflect the abnormal jump risk, but most of them take use of the credit spread, credit default swap (CDS) spread or option price in empirical research. However, the finance derivative market and the bond market in China are undergoing very limited development, which makes it impossible to use the credit spread or CDS...
In financial markets, the state of price is the single most important element to consider, but it has never been an easy task in defining it. This paper studies price deviation in an effort to better define the state of price, it focuses on the analysis of the behavior and psychology of market participants. The evaluation was done on four major indexes across the world, by measuring their price deviation...
In order to observe whether holistic listing improves the efficiency of listed companies in the long term, this paper empirically tests the performance changes of listed companies that have realized holistic listing in 2004-2007 in China's stock market. We use improved FA-DEA method to evaluate the efficiency changes, and then apply Tobit Model to analyze the influence of holistic listing, size, major...
A long-run wealth evolution model with liquidity shocks and bankruptcy consideration is built. While investors are investing in financial markets, they also take part in some kind of risky investment. When the net expenditure is negative, the investor faces a liquidity shock and thus is forced into bankruptcy. By introducing no bankruptcy condition, and the assumption that the state of nature, the...
The real estate industry plays the important role in the development of Chinese economy. In the meantime, the situation of Chinese stock market represents the state of Chinese economy. Thus, it is important to study the co-movement between Chinese stock market and real estate industry. Based on daily data span from January 2003 to January 2009, this paper uses unit-root test, co-integration test and...
The paper makes an empirical study on shock transmission of return between HK and Shanghai equities markets by using methods of SVAR, Bootstrapping and Impulse Response curves on the basis of comparison of synchronous and asynchronous effect,. The author finds that reaction of shanghai equity market to the shock from Hong Kong equity market is 2.69%, while investors in Hong Kong equity market can...
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