介绍了 Va R的含义及计算方法。说明了从持续性角度来讨论 Va R的意义和理论依据 ,指出对 σt的建模是研究 Va R持续性的可行途径。将 TSGARCH模型扩展为 FITSGARCH模型 ,并结合该模型 ,从脉冲响应函数角度定义了 σt的持续性。最后 ,...介绍了 Va R的含义及计算方法。说明了从持续性角度来讨论 Va R的意义和理论依据 ,指出对 σt的建模是研究 Va R持续性的可行途径。将 TSGARCH模型扩展为 FITSGARCH模型 ,并结合该模型 ,从脉冲响应函数角度定义了 σt的持续性。最后 ,利用中国深沪股市数据给出实证研究。展开更多
The successive changes of asset prices are the most visible manifestation of financial markets dynamics. There exist different views about factors generating these changes, but many researchers and practitioners agree...The successive changes of asset prices are the most visible manifestation of financial markets dynamics. There exist different views about factors generating these changes, but many researchers and practitioners agree that the most important among them is the impact of information flow. According to the market microstructure theories, it depends mainly on the behavior of informed and uniformed traders. In the paper, we investigate dependencies between the possible proxies of information process： price duration and corresponding to it volume change and return. Our main objective is to answer the question about the most important factor in the process of discovering information by uniformed traders. We apply a set of models for volatility, volume and duration data. Our analysis is performed for selected equities listed on the Warsaw Stock Exchange and uses tick-by-tick data. The obtained results show that the stock liquidity on this leading stock market in Central and Eastern Europe is the most important factor influencing the process of discovering information by uninformed traders.展开更多
文摘The successive changes of asset prices are the most visible manifestation of financial markets dynamics. There exist different views about factors generating these changes, but many researchers and practitioners agree that the most important among them is the impact of information flow. According to the market microstructure theories, it depends mainly on the behavior of informed and uniformed traders. In the paper, we investigate dependencies between the possible proxies of information process： price duration and corresponding to it volume change and return. Our main objective is to answer the question about the most important factor in the process of discovering information by uniformed traders. We apply a set of models for volatility, volume and duration data. Our analysis is performed for selected equities listed on the Warsaw Stock Exchange and uses tick-by-tick data. The obtained results show that the stock liquidity on this leading stock market in Central and Eastern Europe is the most important factor influencing the process of discovering information by uninformed traders.
