The paper conducts an experimental research on inter bank operating market rate by using the theory of expectation of interest maturity structure.It also explains the results of the experimental research.
Using the method of Event study and market model modified by GARCH which takes volatility cluster into consideration,this paper investigates how the market would react to the news of “put in ST” and “cancel ST”,te...Using the method of Event study and market model modified by GARCH which takes volatility cluster into consideration,this paper investigates how the market would react to the news of “put in ST” and “cancel ST”,tests the semi-strong efficiency of China stock market and summarizes the market reaction pattern of such kind of news.Our results show that the semi-strong form of the EMH does not hold in China stock market.Meanwhile,there is delay reaction and converse reaction to good news and overreaction to bad news.These phenomena show the existence of leverage effect.展开更多
文摘The paper conducts an experimental research on inter bank operating market rate by using the theory of expectation of interest maturity structure.It also explains the results of the experimental research.
文摘Using the method of Event study and market model modified by GARCH which takes volatility cluster into consideration,this paper investigates how the market would react to the news of “put in ST” and “cancel ST”,tests the semi-strong efficiency of China stock market and summarizes the market reaction pattern of such kind of news.Our results show that the semi-strong form of the EMH does not hold in China stock market.Meanwhile,there is delay reaction and converse reaction to good news and overreaction to bad news.These phenomena show the existence of leverage effect.
