新西兰论文代价格:脉冲响应函数检验

新西兰论文代价格:脉冲响应函数检验

脉冲响应函数是另一个可以被认为是重要的函数,因为它在一个简短的输入信号存在时给出输出(Whitelaw, 1994)。因此,脉冲响应可以指任何一种动力系统对一种或另一种外部变化的响应。因此,脉冲响应将特定系统的反应描述为时间的函数。为了检验合理的假设量并对协整方程进行分析,将对脉冲响应函数进行检验。

根据目前的文献,中国概念股波动较大。因此,有必要借助生姜因果检验、方差分解分析和脉冲响应函数检验来了解中国概念股及其与投资者关注的关系。因此,研究假设可以为:

中国概念股的波动性及其与投资者关注的关系

实证分析面临的主要挑战之一是缺乏对外国投资者关注度的直接衡量。可能有一些间接的代理变量,如极端回报,概念股的成交量,标题和广告费用。为了进行研究,我们使用了东方财富论坛提供的信息。这是中国最受欢迎的股票论坛。从2009年1月到2013年12月,沪深300指数收集了大量样本股票。用于比较的另一个数据是来自CSMAR相同范围的上证综合指数。

从上图中,我们分析了投资者关注程度与上证综合指数之间的关系。可以看出,这两个变量正在广泛地一起运动。此外,每当职位数目增加时,概念股票价格就会上升。以2009年每月职位数目为190997个(峰值指数为3412)计算,2012年10月的职位数目只有46101个。

格兰杰因果关系检验可以定义为统计假设检验,用于确定时间序列中的一个。当学者们对概念股票进行研究时,最常用的是时间序列模型。这是因为股票价格波动和市场投资高度依赖于波动的持续时间,并考虑了不同的时间序列模型。Engle和Victor K. Ng(1993)使用了不同的时间序列模型来研究新闻在股票市场中产生的波动。根据Eun和Shim(1989),可以认识到概念股票可能在不同的时区运行,每个时区有不同的开盘和收盘时间。正因为如此,才引起了投资者的极大关注(Hiemstra et al ., 1994)。


新西兰论文代价格 :脉冲响应函数检验

Impulse response function is a yet another function which can be considered important, as it gives the output in the presence of a brief input signal (Whitelaw, 1994). Thus an impulse response may refer to the reaction of any kind of dynamic system in response to one or another kind of external change. Thus, the impulse response describes the reaction of a specific system as a function of time. Impulse response function test will be done in order to examine the reasonable amount of assumption and to do the analysis of the co-integration equation.
According to the current literature, the Chinese concept stocks are volatile. Thus, it is necessary to understand the Chinese concept stocks and its relationship with the investors’ attention with the help of the ginger causality test, variance decomposition analysis and the impulse response function test. Thus the research hypothesis can be:
The volatility associated with the Chinese concept stocks and its relationship with the investors’ attention
One of the major challenges which has to be faced in the empirical analysis is the lack of a direct measurement of the foreign investor attention. There may be a few indirect proxy variables such as extreme returns, turnover of the concept stocks, the headlines and the advertising expenses. In order to do the research, the information available in Oriental Fortune Forum has been used. This is the most popular stock forum in China. A number of sample stocks have been collected in CSI 300 Index from January 2009 to December 2013. Another data used for comparison is from SSE Composite index from CSMAR of the same scope.
In the above figure, the relationship between the investor’s attention and the SSE Composite index has been analyzed. It can be observed that the two variables are moving broadly together. Also, whenever there is an increase in the number of posts, there is a rise in the concept stock price. On the basis of the monthly number of posts which were 190997 in the year 2009 where the value of the peak index is 3412, the corresponding number of posts was only 46101 in October 2012.

The granger causality test may be defined as the statistical hypothesis test for the purpose of determination of one of the time series. When the scholars are doing the investigation related to the concept stocks, the time series models are most commonly adopted ones. This is because the stock price fluctuations and the investments in the markets are highly dependent on the time duration of the fluctuation and different time series models have been taken into consideration. Engle and Victor K. Ng (1993) have use different kinds of time sequence models in order to study the fluctuation which is created by the news in the stock markets. According to Eun and Shim (1989), it can be recognized that the concept stocks may operate in different time zones, each having different opening and closing hours. Because of this, there is a huge investor’s attention (Hiemstra et al, 1994).

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