This paper studies the price behaviors of IPO in China and analyses their causes by multi variable regression models. This paper finds that underpricing of IPO in China is the most serious in the world; there is “hot...This paper studies the price behaviors of IPO in China and analyses their causes by multi variable regression models. This paper finds that underpricing of IPO in China is the most serious in the world; there is “hot issue” market; underpricing of IPO has positive correlation with the market condition and market value, and negative correlation with the amount of raising fund, and no obvious correlation with the price earning ratio in China. This paper draws the conclusion that a marketable IPO system should be set up in China as soon as possible.展开更多
This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted no...This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted normal model usually overestimate the VaR when given probability is 0 04 or 0 05. The historical simulating model and Logistic distribution model are superior to normal model and to weighted nomal model in predicting the VaR.展开更多
文摘This paper studies the price behaviors of IPO in China and analyses their causes by multi variable regression models. This paper finds that underpricing of IPO in China is the most serious in the world; there is “hot issue” market; underpricing of IPO has positive correlation with the market condition and market value, and negative correlation with the amount of raising fund, and no obvious correlation with the price earning ratio in China. This paper draws the conclusion that a marketable IPO system should be set up in China as soon as possible.
文摘This paper compares the models in Predicting the VaR of stock price indexes in China. Our results indicate that the normal model usually underestimate the VaR when given probability is 0 01 or 0 02,and the weighted normal model usually overestimate the VaR when given probability is 0 04 or 0 05. The historical simulating model and Logistic distribution model are superior to normal model and to weighted nomal model in predicting the VaR.
