Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characteriz...Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characterized by four parameters,we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes.Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors,the small investors'parameters of taking profit and stopping loss,the order size of the main fund and the strategies adopted by the main fund.Our work is helpful to explain the financial phenomenon with the characteristics of pyramid schemes in financial markets,design trading rules for regulators and develop trading strategies for investors.展开更多
Unlike prior research that shows climate policy improves enterprise value,this study reveals the negative im‐pact of emission trading schemes(ETSs)on enterprise value under China’s unique institutional backdrop and ...Unlike prior research that shows climate policy improves enterprise value,this study reveals the negative im‐pact of emission trading schemes(ETSs)on enterprise value under China’s unique institutional backdrop and identifies the mechanism through which this impact occurs.Data from a sample of 1267 listed companies in the Chinese stock market from 2005 to 2018 models are analyzed using difference-in-differences(DID)and propensity score matching methods(PSM).The results suggest that ETSs have an average short-term negative impact on enterprise value,which peaks in the second year of the ETS and diminishes from the fourth year.Further analysis reveals that ETSs did not cause significant operating losses for firms but reduced their value through the market response mechanism.ETS enterprises experienced significant declines in their annual stock transaction amounts and in returns on individual shares.This indicates that investors expect ETSs to ad‐versely affect pilot enterprises and accordingly adopt disinvestment strategies.Despite the short-term negative effect,ETSs effectively encourage enterprises to innovate green technologies to mitigate long-term carbon risk.展开更多
基金Project supported by the National Natural Science Foundation of China(Grant Nos.71932008 and 91546201).
文摘Artificial stock market simulation based on agent is an important means to study financial market.Based on the assumption that the investors are composed of a main fund,small trend and contrarian investors characterized by four parameters,we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes.Our simulation results and theoretical analysis reveal the relationships between the rate of return of the main fund and the proportion of the trend investors in all small investors,the small investors'parameters of taking profit and stopping loss,the order size of the main fund and the strategies adopted by the main fund.Our work is helpful to explain the financial phenomenon with the characteristics of pyramid schemes in financial markets,design trading rules for regulators and develop trading strategies for investors.
文摘Unlike prior research that shows climate policy improves enterprise value,this study reveals the negative im‐pact of emission trading schemes(ETSs)on enterprise value under China’s unique institutional backdrop and identifies the mechanism through which this impact occurs.Data from a sample of 1267 listed companies in the Chinese stock market from 2005 to 2018 models are analyzed using difference-in-differences(DID)and propensity score matching methods(PSM).The results suggest that ETSs have an average short-term negative impact on enterprise value,which peaks in the second year of the ETS and diminishes from the fourth year.Further analysis reveals that ETSs did not cause significant operating losses for firms but reduced their value through the market response mechanism.ETS enterprises experienced significant declines in their annual stock transaction amounts and in returns on individual shares.This indicates that investors expect ETSs to ad‐versely affect pilot enterprises and accordingly adopt disinvestment strategies.Despite the short-term negative effect,ETSs effectively encourage enterprises to innovate green technologies to mitigate long-term carbon risk.
