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Since 1995, China's foreign exchange reserve has been growing rapidly, which brought about liquidity problem significantly and stock market volatility sharply. This paper explores both long-term and short-term dynamic effects on China's stock market by changes in China's foreign exchange reserve. Based on a VEC model, empirical results show that, growth of foreign exchange reserve exacerbated stock...
Company real estate (CRE) means the real estate such as land and buildings which owned by non-real estate companies in order to support the operation and development of the enterprise. In this paper, we will see the difference of CRE in different industries through comparative analysis of all the data. We take the empirical analysis methods and build the regression model based on the data from the...
Fractal Market Hypothesis (FMH) was originated in 1960s and formulated in 1990s. As one of the forward theories in mathematical finance, FMH has offered a new prospect and methodology for the nonlinear dynamical capital market. This paper tentatively analyzes the cross-development between EMH and FMH, as well as the application and tendency of FMH. We firstly clarificate that FMH is not a substitution...
Program Trading originates from combination trading technology in 70's in America. It was popular but once it was considered as root of disaster. Nowadays, there are many divergences on program trading risk in international academic world. This essay is to analyze program trading on risk of stock market. The method adopts computational experiment to build artificial stock market under various experimental...
A new view of limited arbitrage is applied in the study of the reasons of stock price synchronicity in China based on the behavioral finance theory. This paper made an explorary study about the relation between limited arbitrage, stock price synchronicity and market efficiency. A conclusion different from the study about cash stock dividends in foreign countries is derived that cash dividends as a...
Since 2006, the Chinese government has implemented the significant historic policy of exempting agricultural taxes comprehensively. The ARMA(k,s)-GARCH(p,q)-GED model is established in this paper, for empirical study on comprehensively exempting agricultural taxes policy effects on the price volatility of wheat, soybean, corn spot and futures markets. The results show that under the action of comprehensively...
Outliers detection has wide application for financial surveillance. The Traditional outlier detection method is based on statistical models, such as ARMA, ARCH and GARCH, which require special hypotheses, and they are inappropriate to apply to complex financial data, such as high frequency data. This paper introduces a new data mining method to detect outliers for analysis of share index fluctuation...
Order driven market, is the main trading mechanism of the most securities markets in the world, including China's securities market. We study the phenomenon of the stock market by computational experiment in limit order model. The typical phenomenon, volatility clustering and fat tail, can be reproduced by our model. Further, after adding the trend of investors and considering various parameters,...
Abstract-Information opacity of small and middle enterprises (SMEs) always leads to great difficulty to identify their credit risk for commercial banks. With the help of combining the results of overseas research, our study introduces the SME credit risks identification technology based on the method for monitoring their cash flow, which takes advantage of banking accounts information. This method...
The fluctuations of capital market mainly originate from the volatility of asset price. How to understand and describe the volatility of asset price is meaningful for both the finance theory and the finance application. The attribute of investor's subjective behavior makes marked effect on asset price. This paper sets the equilibrium price of stock in capital market as a function of subjective discount...
By collecting the economic data of four Chinese commercial banks from 1992 to 2006, we analyze the dynamic credit investment relationship among large, medium and small commercial banks, and quantitative describe how large and medium commercial banks play the role in the fluctuation of investment of small commercial banks with co-integration and VAR model. The results show that it is a long-term equilibrium...
Oil is one of the most important primary energies in the development of world economy at present. As a big country of oil consumption, China is in the heavy industrialization development stage. In recent years, there is an obvious impact on the economic development of China because of international oil price frequent fluctuation at a high level. This paper studies the changeable external factors and...
RMB appreciation and rising real estate market price have become the hot economic issues in China. Do they have any correlations? This paper is trying to analyze these correlations. This paper reviews China's RMB exchange rate and the real estate market price of the relevant circumstances, and Using Co-integration model and Granger-Causality tests the correlations between RMB exchange rate fluctuation...
Based on the Multifractal Detrended Fluctuation Analysis(MF-DFA), this paper investigates the multifractal properties of China's A-share market using the empirical analysis of two indexes (Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index) and three stages (Prior to the Price Limitation Strategy, Prior to the Stock-Liquidity Reform and after the Price Limitation Strategy,...
Firstly, the paper discusses the basic theory and methods on the construction of Real Estate Market Confidence Index, and analyzes the structure of REMC Index system. Then two kinds of Buyer Confidence Indexes for China are constructed by methods of generalized impulse-response functions and factor analysis, which all can effectively reveal the confidence fluctuation of real estate buyers in China...
In this paper, we study the margin of Chinese Stock Index Futures using GARCH-VaR model and Monte Carlo simulation respectively. The result of the empirical study shows that the model of GARCH-VaR is more precise in describing the proper margin level. Furthermore, the average margin level of the long is higher than the short, which means the long is exposed to more risks than the short Moreover, we...
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...
Is there any relationship between the historical volatility and the implied volatility in China's warrant market? Based the price data of 14 warrants in China's stock market, we found the answer is yes somewhat. It suggests that implied volatility can be taken as reference for the prediction of future fluctuation of stock prices. Despite the fact that implied volatility and historical volatility is...
In 2008, the world has experienced a financial crisis. There are many mathematical models for measuring the risk, but now, we know at the very least, they didn't disclosure risks. The efficient market hypothesis postulates that markets tend towards equilibrium. But the efficient market hypothesis is unrealistic. There is systemic risk in the market in addition to the risks most market participants...
Basing on the assumption that of rational managers coexist with the irrational investors, this paper develops a manager's optimal investment decision model including both of catering channel and equity issuance channel, to analyze the asymmetrical effects of investors irrational sentiments on firms investment decision in different period of stock market, and examines the theoretical results using...
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