Demonstrating theoretically the possibility that the financial market, albeit incomplete, has equilibrium and that this equilibrium is efficient and has been an important topic at the frontier of the research on gener...Demonstrating theoretically the possibility that the financial market, albeit incomplete, has equilibrium and that this equilibrium is efficient and has been an important topic at the frontier of the research on general equilibrium for financial markets. The paper examines the asymptotic properties of incomplete financial markets taking into accounting the asset structure. The paper deals with a case in which a structure of securities relates to the asymptotic inefficiency.展开更多
In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump ...In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.展开更多
The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market....The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market. The authors use data on five developed countries and five emerging countries as well as data on the Tunis Stock Exchange （TSE） after the reforms. The results show that the correlations between emerging markets returns and developed markets returns are very low and sometimes negative. Conditional arbitrage pricing theory （APT） as well as conditional CAPM has low predictive power for emerging markets than that for developed markets. Finally, following the financial reforms, Tunisian financial markets have became more and more integrated into the international market （excess returns and unconditional beta consistent with predictions）. However, conditional APT does not accurately explain Tunisian market returns. This study confirms the unavailability of an accurate modelling technique of the TSE structure.展开更多
SME share transfer system financing has become the main theme of a new three-panel market.The efficiency of the new board of corporate finance and has become the core focus, more controversial aspects.SMEs in SME shar...SME share transfer system financing has become the main theme of a new three-panel market.The efficiency of the new board of corporate finance and has become the core focus, more controversial aspects.SMEs in SME share transfer system market mainly private placement financing, equity financing pledge, and Transfer of Listing and mergers and acquisitions.This paper will be discussed by comparing the SMEs through SME share transfer system market financing, the use of a single sample T-test （One-Sample T Test） to verify the efficiency of the new board of corporate finance assets problem.展开更多
Investment helps companies achieve innovation. Efficient investments often do more with less. Manufacturing enterprises should pay more attention to the issue of investment efficiency, seize investment opportunities a...Investment helps companies achieve innovation. Efficient investments often do more with less. Manufacturing enterprises should pay more attention to the issue of investment efficiency, seize investment opportunities and achieve efficient investment. Due to the continuous increase of borrowing costs in the financial markets, enterprises are getting more and more difficult to raise funds from the outside, so more and more enterprises are turning their attention to the financially redundant resources within the enterprises. Making good use of financially redundant resources will help enterprises solve the financing difficulties and enable them to have sufficient funds for investment activities and lay the foundation for sustainable development.展开更多
文摘Demonstrating theoretically the possibility that the financial market, albeit incomplete, has equilibrium and that this equilibrium is efficient and has been an important topic at the frontier of the research on general equilibrium for financial markets. The paper examines the asymptotic properties of incomplete financial markets taking into accounting the asset structure. The paper deals with a case in which a structure of securities relates to the asymptotic inefficiency.
基金Projects(71271215,71221061) supported by the National Natural Science Foundation of ChinaProject(2011DFA10440) supported by the International Science&Technology Cooperation Program of ChinaProject(CX2012B067) supported by Hunan Provincial Innovation Foundation for Postgraduate,China
文摘In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.
文摘The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market. The authors use data on five developed countries and five emerging countries as well as data on the Tunis Stock Exchange （TSE） after the reforms. The results show that the correlations between emerging markets returns and developed markets returns are very low and sometimes negative. Conditional arbitrage pricing theory （APT） as well as conditional CAPM has low predictive power for emerging markets than that for developed markets. Finally, following the financial reforms, Tunisian financial markets have became more and more integrated into the international market （excess returns and unconditional beta consistent with predictions）. However, conditional APT does not accurately explain Tunisian market returns. This study confirms the unavailability of an accurate modelling technique of the TSE structure.
文摘SME share transfer system financing has become the main theme of a new three-panel market.The efficiency of the new board of corporate finance and has become the core focus, more controversial aspects.SMEs in SME share transfer system market mainly private placement financing, equity financing pledge, and Transfer of Listing and mergers and acquisitions.This paper will be discussed by comparing the SMEs through SME share transfer system market financing, the use of a single sample T-test （One-Sample T Test） to verify the efficiency of the new board of corporate finance assets problem.
文摘Investment helps companies achieve innovation. Efficient investments often do more with less. Manufacturing enterprises should pay more attention to the issue of investment efficiency, seize investment opportunities and achieve efficient investment. Due to the continuous increase of borrowing costs in the financial markets, enterprises are getting more and more difficult to raise funds from the outside, so more and more enterprises are turning their attention to the financially redundant resources within the enterprises. Making good use of financially redundant resources will help enterprises solve the financing difficulties and enable them to have sufficient funds for investment activities and lay the foundation for sustainable development.
