共查询到20条相似文献,搜索用时 15 毫秒
1.
Michael D. McKenzie 《The Economic record》2001,77(239):393-406
The standard complement of statistical techniques used to identify predictable market structure is only capable of identifying regular periodic cycles and assumes that the data are independent and identically distributed (i.i.d.). Yet, financial returns data are not independent and cycles are most probably not periodic. Rescaled range analysis is a nonparametric technique that can distinguish the average cycle length of irregular cycles. Using Australian stock market data, this paper finds evidence of long memory in the returns generating process and non-periodic cycles of approximately 3, 6 and 12 years in average duration. 相似文献
2.
This paper analyzes the relationship between Australian stock returns and inflation over the period 1965-79. The effects of inflation in a ‘rational investor’ valuation framework are discussed. Empirical tests suggest that nominal stock returns and inflation are related in a significantly negative fashion, implying that stocks have been extremely poor inflationary hedges for the investor over the period. In addition, Granger-Sims tests of causality indicate a mainly unidirectional relationship between inflation and stock returns, with price level charges leading the equity index in time. 相似文献
3.
This paper investigates the volatility of monthly Australian stock returns over the period 1875–1987. There has been extensive work on this question in the United States, but little with data outside that country. Our analysis centres upon whether the 'stylized facts' regarding returns in the US also hold true for Australia. We find that there are both similarities and differences. There is little evidence for asymmetry in Australian returns but strong persistence of shocks into volatility. What is particularly interesting in the Australian series is the large volatility of the last two decades, an experience not matched in the US data 相似文献
4.
5.
This paper studies the All Ordinaries Index in Australia, and its futures contract known as the Share Price Index. We use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent interest in the effects of market automation on price discovery, we focus on how the nonlinear properties of the basis and returns have changed, now that floor trading in the futures contract has been replaced by electronic trading. 相似文献
6.
This paper empirically examines the impact of the US stock market on Australian economic activity as one explanation of the strong correlation in the Australian and US business cycles. It is found that both the US and Australian share markets appear to have a significant impact on Australian activity. 相似文献
7.
This paper identifies and describes the key features of Australian business cycles during the period 1959–2002. In particular, we identify the chronologies in Australia's classical cycle (expansions and contractions in the level of output) and growth cycle (periods of above-trend and below-trend rates of economic growth). We find that while there are large asymmetries in the duration and amplitude of phases in Australia's classical cycle, on both measures the Australian growth cycle is much more symmetric. Further, our results indicate that over the sample period Australian (filtered) output and prices have moved in a counter-cyclical fashion, suggesting a dominance of shocks to aggregate supply affecting the Australian economy. 相似文献
8.
股票市场中的政府行为 总被引:1,自引:0,他引:1
从经济学的角度来分析,股票市场中的政府行为旨在于规范市场行为,规避市场风险,提高市场效率;同时,不适当的政府行为也会造成巨额成本,影响市场的健康运作。在我国股票市场的高速发展进程中,政府在多重角色的压力下行为扭曲,造成市场偏离自身运营规律。政府的正确定位及其规范的行为,是我国股票市场长期健康发展的保障 相似文献
9.
10.
《Journal of Behavioral Finance》2013,14(1):10-23
The evolutionary epidemiology of ideas, or thought contagion theory, is introduced and applied to possible examples in the stock market. It is suggested that differences in transmissivity, receptivity, and longevity of belief may contribute numerous irrational influences on the stock market, generating sources of inefficiency. These include a wide variety of mechanisms that may generate both positive and negative market overreactions. The soaring prices of Internet stocks during 1998-1999 are used as an example of how investment ideas correlating with new communication behaviors may affect share prices, and how contagion effects in general can affect the broader market. New avenues of empirical investigation are proposed to test the types of hypotheses presented. 相似文献
11.
中国股票市场交易型的价格操纵研究 总被引:16,自引:0,他引:16
本文研究中国股票市场的交易型价格操纵问题。我们推广了Mei、Wu和Zhou(2005)的模型,研究在市场不允许卖空的条件下,交易型价格操纵发生的条件。我们的主要结果有:(1)非充分理性投资者的存在和有限套利的制约是交易型价格操纵获利的重要原因,投机者套利能力越弱,操纵者的价格操纵越容易获利;(2)当市场中投机者的总禀赋大于0时,即使不允许卖空,价格操纵者依然可以操纵价格来获得利润;(3)如果市场监管者无法杜绝操纵者通过对敲等手段来拉抬股价,则在市场中引入卖空机制反而可以减小股价对基本面的偏离程度,从而在某种程度上限制操纵者操纵股价的空间;(4)在股价被操纵的过程中,存在一个建仓期和抛盘期;操纵期内换手率更高、股价波动更大;在建仓期,回报率与换手率,换手率与回报波动率之间存在正相关关系;(5)我们利用中国股市的数据检验了我们的结论,发现理论结果和实证数据非常吻合。 相似文献
12.
《Journal of Economic Theory》2001,96(1-2):13-39
Market booms are often followed by dramatic falls. To explain this requires an asymmetry in the underlying shocks. A straightforward model of technological progress generates asymmetries that are also the source of growth cycles. Assuming a representative consumer, we show that the stock market generally rises, punctuated by occasional dramatic falls. With high risk aversion, bad news causes dramatic increases in prices. Bad news does not correspond to a contraction of existing production possibilities, but to a slowdown in its expansion. This economy provides a model of endogenous growth cycles in which recoveries and recessions are dictated by the adoption of innovations. Journal of Economic Literature Classification Numbers: O40, G12, O41, O30. 相似文献
13.
14.
15.
本文从股票市场的客观现实和投资者的主观动机两方面出发分析了投机盛行的原因,认为投资者自然有投机的倾向,但股市的客观状况及由此而引起的一连串后果才是股市投机的真正根源,从而提出了为减少股市投机成分、促进股市成熟应采取的一些措施. 相似文献
16.
17.
《经济纵横》2017,(8)
运用基于结构向量自回归模型的溢出指数,检验我国沪深300股指期货与沪深300指数收益率间静态和动态的波动溢出效应和信息溢出效应。结果表明,在股指期货市场未限制交易前,我国沪深300股指期货收益率波动对沪深300指数收益率波动具有显著正向净溢出效应,沪深300股指期货成交量对沪深300指数收益率波动也具有显著正向净溢出效应;在股票市场剧烈波动时,波动溢出效应和信息溢出效应均会增加,沪深300股指期货成交量的增加会放大股指期货对现货的波动溢出效应。因此,在我国股票市场持续不稳定波动的背景下,对股指期货成交量和波动进行合理的管制,可降低期货市场对股票市场的波动溢出效应,进而有效防范资本市场风险。 相似文献
18.
We analyze a problem à la Rogoff where incumbents can distort fiscal policy to signal their competency, but where fiscal policy can be centralized or decentralized. Our main focus is on how the equilibrium probability that fiscal policy is distorted in any region (the political budget cycle, PBC) differs across fiscal regimes. With centralization, there are generally two effects that change the probability of a PBC. One is the possibility of selective distortion: the incumbent can be reelected with the support of just a majority of regions. The other is a cost diversification effect, which is present unless costs are perfectly correlated across regions. Both these effects work in the same direction, with the general result that the PBC probability is lower under centralization when decentralization also involves PBC. Welfare analysis shows that voters tend to be better off when the PBC probability is lower, so voters prefer centralization when decentralization involves PBC. Our results are robust to a number of changes in the specification of the model. 相似文献
19.
主要运用套利定价理论和建立因素模型研究我国股票回报率及相关因素,为股市的分析提供一个新的工具.通过验证发现:股票价格、市盈率、成交量、流通市值分别在检验的总时间段内不同时期表现出了对股票回报率的显著影响. 相似文献
20.
本文以证监会处罚的147个样本为研究对象,实证检验了声誉机制在我国股票市场中的作用。我们发现,上市公司违法、违规行为导致股东价值明显下降,其中声誉价值损失占股东价值损失的比例达到52.92%。在控制其他变量影响的条件下,声誉价值损失与支持性政府管制之间存在显著的正相关关系。研究结果表明,声誉机制能够在我国股票市场发挥作用,支持性政府管制可以降低市场信息不对称程度,从而提高声誉机制的自我实施效果。 相似文献