The mechanism of price limit impacts on informed traders’ behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed. Comprehensive method of event study and compar...The mechanism of price limit impacts on informed traders’ behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed. Comprehensive method of event study and comparative grouping is used to test the performance of price limit in Chinese stock market. The result of test indicates that price limit policy impedes fulfillment of traders and delays the discovery of stock price so it should be abolished.展开更多
This paper proposes a long memory analysis based on wavelet transform of financial data. This method treats return series and volatility series in the stock market as a fractional differenced noise process, and analyz...This paper proposes a long memory analysis based on wavelet transform of financial data. This method treats return series and volatility series in the stock market as a fractional differenced noise process, and analyzes it by MODWT（maximal overlap discrete wavelet transform）. The result shows there is a lineal relationship between wavelet variance logarithm and scale logarithm, so a long memory parameter can be obtained by using the relationship. This method is proved to be effective and feasible by analyzing the return series and volatility series of composite indexes of Shanghai and Shenzhen stock market.展开更多
The study in the past shows that the listed companies in China have the actions of manipulating profit to cater for the requirement of the Chinese Securities Regulatory Commission, manage earnings by means of dealings...The study in the past shows that the listed companies in China have the actions of manipulating profit to cater for the requirement of the Chinese Securities Regulatory Commission, manage earnings by means of dealings or managing the accrued profit items, so as to acquire the competence of rights issue, or lessen the risk of being suspended or canceled of trading. In this paper, the case analysis on earnings management based on rights issue right of listed companies is carded out with the samples of data from the listed companies of A-share from 1996 to 2001 and by means of earnings distributing, so as to prove the listed companies＇ response to the policies of rights issue and the existence of earnings management conducted by the rights issue companies for the purpose of rights issue, and observe the effectiveness of the securities market in China.展开更多
基金National Nature Science Foundation (04104007,60323043,60293061)
文摘The mechanism of price limit impacts on informed traders’ behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed. Comprehensive method of event study and comparative grouping is used to test the performance of price limit in Chinese stock market. The result of test indicates that price limit policy impedes fulfillment of traders and delays the discovery of stock price so it should be abolished.
文摘This paper proposes a long memory analysis based on wavelet transform of financial data. This method treats return series and volatility series in the stock market as a fractional differenced noise process, and analyzes it by MODWT（maximal overlap discrete wavelet transform）. The result shows there is a lineal relationship between wavelet variance logarithm and scale logarithm, so a long memory parameter can be obtained by using the relationship. This method is proved to be effective and feasible by analyzing the return series and volatility series of composite indexes of Shanghai and Shenzhen stock market.
文摘The study in the past shows that the listed companies in China have the actions of manipulating profit to cater for the requirement of the Chinese Securities Regulatory Commission, manage earnings by means of dealings or managing the accrued profit items, so as to acquire the competence of rights issue, or lessen the risk of being suspended or canceled of trading. In this paper, the case analysis on earnings management based on rights issue right of listed companies is carded out with the samples of data from the listed companies of A-share from 1996 to 2001 and by means of earnings distributing, so as to prove the listed companies＇ response to the policies of rights issue and the existence of earnings management conducted by the rights issue companies for the purpose of rights issue, and observe the effectiveness of the securities market in China.
