The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk m...The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice.展开更多
The problem considered is the correlation between stock exchange and economy growth. Stepwise regression is being used on the following figures： increasing rate of GDP, the volume of stock market, and liquidity. As a...The problem considered is the correlation between stock exchange and economy growth. Stepwise regression is being used on the following figures： increasing rate of GDP, the volume of stock market, and liquidity. As a result, we give .an.equation of national economy and stock market. Then, we use Granger＇s Causality test to prove that the stock market has positive effects on the national economy.展开更多
文摘The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice.
文摘The problem considered is the correlation between stock exchange and economy growth. Stepwise regression is being used on the following figures： increasing rate of GDP, the volume of stock market, and liquidity. As a result, we give .an.equation of national economy and stock market. Then, we use Granger＇s Causality test to prove that the stock market has positive effects on the national economy.
