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This paper selects the trading volume data from January 2010 to December 2014 to study investor sentiment and regards the market daily earnings ratio of Shanghai Stock Exchange A-shares index as stock return. Using ARMA model to research its own characteristics of investor sentiment, then use VAR model and Granger causality test, impulse response function and variance decomposition to research the...
In this paper fuzzy linear regression method have been used to reduce the forecasting error. Traditional methods of forecasting (e.g. simple moving average, single exponential smoothing, regression analysis etc.) consider only past historical data. On the other hand this method takes into consideration the parameters impacting the demand along with past data. Two parameters-temperature and number...
This work is the first to utilize big data of American depository receipt (ADRs) to conduct economic analysis. Foreign tax liability is the minimums of the taxation imposed on ADR dividend income. Identical foreign tax rates enable ADR investors to engage in transactions during ex-dividend days. This study is the first in utilizing 5,424 ex-dividend events to simulate the impact of tax on the ADR...
In this paper, we investigate the risk dependence structure problem of the rate of return series in China stock market between Shanghai Shenzhen 300 index and the portfolio index of ETFs using mixture copula approach. The portfolio index of ETFs is formulated through a combination of Shanghai 180 ETF, Shanghai 50 ETF and Shenzhen 100 ETF. Five elementary copulas family are used to construct the mixture...
The working process of high power hydraumatic reciprocating compressor which is widely used in natural gas fueling station is introduced. The main fault forms, reasons, the present situation and methods of fault diagnosis hydraulic system in natural gas compressor are summarized. The developing direction of fault diagnosis in natural gas compressor is pointed out finally.
In recent years, the land and housing prices continue to rise, and has become an important livelihood issue of social concern and the focal point of government's macro-control. Almost all the media and public will blame the excessive growth of house prices on the supply of real estate. Besides, there are sudden huge profits in real estate. However, the increasing price of land is the main reason of...
Beside the influence of information flow on stock price volatility, to study whether disposition effect, a kind of investor's different decision-making behavior, also has some important influence on stock price volatility, this paper introduces capital gains overhang to GARCH-V model and establishes GARCH-V-G Model, chooses stock index on developed market and emerging market respectively as samples...
This overview paper reviews covariance estimation problems and related issues arising in the context of portfolio optimization. Given several assets, a portfolio optimizer seeks to allocate a fixed amount of capital among these assets so as to optimize some cost function. For example, the classical Markowitz portfolio optimization framework defines portfolio risk as the variance of the portfolio return,...
There have been number of studies discussing the optimal level of capital structure since the seminal work of Modigliani and Miller (1958). In this study, we examine whether an optimal level of debt exist at which a firm could maximize its value. An advanced panel threshold regression model by Hansen (1999) is employed to test the effect of debt ratio on the firm value among Malaysian listed firms...
The fractionally integrated asymmetric power autoregressive conditional heteroscedasticity model has successfully captured the empirical stylized facts such as the leverage effect, volatility power transformation and long memory in the foreign exchange markets. This study further explores the applicability of this model in the Asian equity markets. The findings of this empirical study are important...
In this paper, we analyze the effect of new electronic money on money supply from the perspective of velocity of money circulation. By estimating multivariate time series econometric methods, we give the prediction and evaluation of the long-term and short-term trend for this influence. Finally, We conclude that new electronic currency mainly substitute cash, saving deposits and other low-level monetary...
This paper attempts to reveal the predictability of candlestick analysis to future price and volatility. We find that high and low price series are more sensitive to price volatility than close prices. Difference of high and low price series is more effective to forecast volatility. More importantly, we find that there exists cointegration relationship among high, low and close price series. In the...
This paper established a tunneling model to maximize the Market Capitalization of listed companies from the angle of propping and tunneling, and investigates the tunneling in relaxing the ban allowing purchases of restricted stock. It was found that, control right and separation of ownership and control rights aggravate tunneling, but ownership right can restrain tunneling.
Based on partial adjustment model, this paper suggests an empirical framework to examine the adjustment speed of capital structure with a specific adjustment approach, including commercial credit, short-term debt, long-term debt, stock and retained earnings. The main findings are followed. Most capital structure adjustments of Chinese listed companies occur by external finances. Issuing stock is the...
This paper investigates the determinants and roles of trade credit (informal financing channel) and traditional credit (formal financing channel) based on a sample of 674 listed firms from the manufacturing sector in China during monetary policy transmissions over 2001–2007. Our evidence supports that trade credit likely plays a complementary role to traditional credit, and that the imperfect credit...
The purpose of this paper is to investigate whether the stock market efficiency improved in the past twenty years based on the information reaction changes. We found Chinese stock market has an obvious different characteristic of news reaction with developed market after market condition dividend. Market reacts to good news more and leverages only to be significant in downward periods. But the asymmetry...
Based on the model of Duffie & Singleton (1999), this paper constructs a simpler reduced-form model of credit risk pricing. The result shows that, the model largely simplifies the calculation process of the traditional reduced-form model without affecting calculation accuracy. Lastly, empirical studies on credit spreads of risk bonds are made using the data of the Chinese bond market, which fairly...
This paper examines the structure of dependence in Europe and in Asia international exchange rate markets using extreme value theory and copula functions. We nest copula function to construct the joint distribution so that the linear correlation coefficient, which is the far most used measure to test dependence in financial community, can be well represented by nonlinear dependent construction. And...
Housing provident fund, as the main part of China urban housing security system, provides the housing security mainly by drawing and loans. This paper estimates the total difference, regional difference and area inner difference through the estimation and decomposion of theil index. The results show that there exists very big difference in housing security development of Jiangsu housing provident...
Modern portfolio theory dates back to a seminal 1952 paper by H. Markowitz and has been very influential both in academic finance and among practitioners in the financial industry. Given a set of assets, the theory can be used to compute the amount to be invested in each asset in order to construct an optimally diversified portfolio. One of the parameters required in this calculation is the covariance...
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