Premium Essay

Investment

In: Business and Management

Submitted By photer
Words 2602
Pages 11
中国股市收益波动性过程的长期记忆性实证分析

摘 要

本文介绍了如何利用长期记忆性的理论对中国股市收益波动性进行实证分析。股票市场充满不确定性。股价波动是股票市场的常态,适度的股价波动有益于提高市场的流动性与活跃度,但是剧烈的波动则会破坏市场的稳定性与投资者的信心。我国股票市场是一个新兴的市场,市场波动的高风险特征尤为突出。因此对我国股票市场的波动特征进行分析有助于稳定我国金融市场,促进经济发展。
本文从研究背景与意义出发,回顾了长记忆性理论的发展以及前辈研究的成果。在第二章中阐释了全文的理论基础,如:股票市场波动性理论,长记忆方面的研究成果包括其发展过程,主要包括长期记忆性的定义、特征、检验方法、长记忆性产生的原因分析及长记忆性的理论基础,包括介绍了分形市场理论与有效市场理论。而后着重介绍了本文使用的分析方法:R/S分析法。在论文的最后选取了04年到12年上证综指收益率和深证成指收益率进行实证分析。实证结果显示:Hurst指数均大于随即游走时的0.5,分别为0.66和0.65。这表明选取的序列存在长期记忆性,因此基于实证结论得出我国股票市场并不是有效的。由此政府应该为减小金融市场波动,促进市场有效和稳定而加强规范信息的披露,对市场参与者教育,政府的监管等。

关键词: 股票市场;Hurst指数;长期记忆性;R/S分析

Abstract

This paper introduces how to use the long memory theory on China's stock market return volatility analysis. The stock market is full of uncertainty. The stock market volatility is normal, moderate price wave motion is beneficial to improve market liquidity and activity, but the acuteness wave motion will destroy the market stability and investor confidence. China's stock market is an emerging market, the market fluctuation characteristic of high risk is particularly prominent. Therefore, to our country stock market fluctuation characteristic analysis contributes to the stability of our financial market, to promote economic development.
This article from the research background and significance, reviews the long memory theory development as well as the predecessors research results. In the second chapter explains the theoretical base, such as: the volatility of stock market theory, long memory in terms of research includes its development process, including the long-term memory of the definition, characteristics, test method, long memory analysis of the causes and long memory theory basis, including the introduction of the fractal market theory and the efficient market theory. It emphatically introduced in this paper the analysis methods: R/S analysis. At the end of the thesis selects…...

Similar Documents

Premium Essay

Investment

...The investor is aware of the risks involved and may be willing to invest in these bonds if there is an attractive coupon rate or high yield-to-maturity. Convertible bonds give the investor the option to convert the bonds into shares of common stock. The conditions, time frame, and price must all be set down at the time the bonds are issued. Risk Tolerance and the Security of Bonds Bonds are favored by investors seeking current income. Some of these investors are willing to take more investment risk to get higher returns than others. Depending upon your level of risk tolerance, you may choose bonds that are unsecured to obtain higher current income. Conversely, you may not be able to take much risk with your income. In this case, you would look for bonds that are backed by more than the good faith and credit of the issuers. As a bond investor, you should become familiar with the different ways in which bonds are secured. This will help you choose bond investments best suited to your investment objectives and risk tolerance. AYALA LAND- 10B Ayala 6.875% Bonds due 2027 -date of prospectus April 27, 2012...

Words: 811 - Pages: 4

Premium Essay

Investment

...INVESTMENT APPRAISAL HANDOUT Example The capital investment committee of a state owned corporation is currently considering two projects. The estimated income from operations and net cash flows expected from each operation are as follows: | PROJECT A | PROJECT B | Year | Income from operations$ | Net Cash Flow$ | Income fromOperations$ | Net Cash Flow$ | 1 | 12,000 | 44,000 | 26,000 | 58,000 | 2 | 18,000 | 50,000 | 20,000 | 52,000 | 3 | 20,000 | 52,000 | 16,000 | 48,000 | 4 | 16,000 | 48,000 | 16,000 | 48,000 | 5 | 22,000 | 54,000 | 6,000 | 38,000 | | 88,000 | 248,000 | 84,000 | 244,000 | Each project requires an investment of $160,000. Straight line depreciation will be used, and no residual value is expected. The committee has selected a rate of 15% for purposes of the net present value analysis Required 1. Calculate the following: a) The average rate of return for each project b) The net present value for each project. Use the present value of $1 table available on the internet http://highered.mcgraw-hill.com/sites/0072994029/student_view0/present_and_future_value_tables.html 2. Why is the present value of Project B greater than Project A even though its average rate of return is less? 3. Prepare a summary for the capita; investment committee, advising it on the relative merits of the two projects SOLUTION 1. a ) Average rate of return for Project A $88,000 /5 = 22% ($160,000 +$0) /2 b) )......

Words: 480 - Pages: 2

Premium Essay

Investment

...covariance between shares, so that I can know if the share is good or not. If the covariance is positive, then it means the share is bad, when the covariance is +1, we never select this share; if the covariance is negative, then it means the share is good, when it equals to -1, we must select the share. I am using arbitrage pricing theory because there are many factors that could influence the fair return, including macroeconomic index such as GDP surprise, inflation surprise, investors’ investment trend etc. APT theory takes those factors into account then multiplies each factor’s sensitivity. The formula is: APT return = [E(r) +( F1*F1Beta +F2*F2Beta+F3*F3Beta)]+ ei Sharpe measure tells how well the return of an asset compensates the investor for the risk taken. When the result is positive, it means that the increasing rate excess risk free rate so is good to investment. When the result is negative, it means that the increasing rate is lower than risk free rate. It’s better to investment in treasury bills. Treynor measure gives excess return per unit of risk. It estimates when the risk increases per unit, how much the return is moving. When Tp is positive, the higher the result is, the higher the risk premium is, so it means the better the performance of this asset/portfolio is. When the result is negative, there is no meaning of ranking. Jensen’s alpha is similar to CAPM, Jensen’s measure is the portfolio’s alpha value. When the result is bigger than......

Words: 1947 - Pages: 8

Premium Essay

Investment

...[pic] TERM PAPER ON INVESTMENT THEORY Submitted To Rafiqul Matin Course Instructor Investment Theory East West University Submitted By A. K. M. Mamunur Rashid ID # 2011-2-90-005 Md.Reza-E- Mostafa ID # 2011-3-90-010 Md. Rakibul Islam ID # 2011-1-90-011 Sabiqun Nahar ID # 2011-1-90-005 Date of Submission: 11th December, 2012 LETTER OF TRANSMITTAL December 11, 2012 Md. Rafiqul Matin Course Instructor Investment Theory East West University Dear sir, The term paper writing in the assigned topic by you is a part if the course, Investment Theory to judge our understanding. In response to that our group prepared this report. As you will see this report tries to find out the term paper on the of the analysis of Investment Theory & Market Investment you asked us to conduct. Our study reveals some specific trends of how DSE basically operates it’s functions. Based on annual report and website of DSE, we have tried to find out the security trade functionality of 10 individual stocks regarding different category & sectors. According to it’s process, It will help you to understand the prevailing perception of how the securities are traded considering all factors & what steps DSE usually takes to maintain the whole trade functions. Thanks for giving us the opportunity to work on this report. It’s been a real education for us. If you have any question to ask us,......

Words: 3398 - Pages: 14

Premium Essay

Investments

...complete portfolio to Tbills versus the risky portfolio: it depends on personal preferences (risk aversion) -The R-square of the regression: the portion of the variation in IBM excess returns that is explained by the variation in the market index - The standard error of the regression: the standard deviation of the residual (influence of the firm-specific factor) The alpha of a security helps determine whether it is a good or bad buy The Information Ratio measures the extra return we obtain from security analysis per unit of firm specific risk we are exposed to if we under or overweight securities relative to the market index CAPM Investors are price takers: individual trades do not affect prices - Single-period investment horizon - Investments are limited to traded assets - No taxes or transaction costs - All investors are rational mean-variance optimizers - Information is costless and available to all - Investors have homogenous expectations The mutual fund theorem (the separation property): - All investors choose to hold a market index mutual fund - The allocation between the mutual fund and the riskfree asset depends on individual investor’s risk aversion The CAPM predicts that alpha should be zero The CAPM fails the tests of the expected return-beta relationship: - Low-beta securities have generally positive alphas, high-beta securities tend to have negative alphas Black’s zero-beta model - Absence of a risk-free asset (i.e.......

Words: 2387 - Pages: 10

Premium Essay

Investment

...Chapter 01 The Investment Environment Multiple Choice Questions 11. The material wealth of a society is equal to the sum of _________. A. all financial assets B. all real assets C. all financial and real assets D. all physical assets E. none of the above Financial assets do not directly contribute the productive capacity of the economy. 13. _______ are financial assets. A. Bonds B. Machines C. Stocks D. A and C E. A, B and C Machines are real assets; stocks and bonds are financial assets. Difficulty: Easy 14. An example of a derivative security is ______. A. a common share of General Motors B. a call option on Mobil stock C. a commodity futures contract D. B and C E. A and B The values of B and C are derived from that of an underlying financial asset; the value of A is based on the value of the firm only. 17. An example of a primitive security is __________. A. a common share of General Motors B. a call option on Mobil stock C. a call option on a stock of a firm based in a Third World country D. a U.S. government bond E. A and D A primitive security's return is based only upon the earning power of the issuing agency, such as stock in General Motors and the U.S. government. Difficulty: Easy 19. _________ financial asset(s). A. Buildings are B. Land is a C. Derivatives are D. U.S. Agency bonds are E. C and D A and B are real assets. Difficulty: Easy 20. The value of a derivative security _______. A. depends on the value of the related......

Words: 1247 - Pages: 5

Premium Essay

Investment

...Advisors is a boutique investment banking firm that provides start-ups and small and medium enterprises with financial advisory services such as capital syndication. My internship experience with CreedCap Asia Advisors gave me firsthand experience on deal transactions. I worked on live equity and debt deal transactions. I learnt how to create financial models, analyze it and pitching for debt deals. My responsibilities during the period were as follows: I built and assisted in making financial models for equity and debt financing deals. As part of the financial modeling, I developed, analyzed and benchmarked the assumptions, and tested the feasibility of the model. Questioning each plugged in variable that will drive model and getting all the details right from the client was the process adopted to create a solid model. Followed by, projection of free cash flow of a company and using financial metrics like turnover, EBITDA, PAT, gross profit margin, ROCE, etc. to analyze the financial strength and operational efficiency of the firm over the projected period. I assisted in investor meets for debt deal. I assisted in financial ratio analysis for debt deal and routine task that helped them save time. I helped the firm in business development. I gathered information and assisted them in screening and evaluating companies that can be potential clients. I did research on health care industry, profiling the industry, the trends in private equity investment, assessing and......

Words: 277 - Pages: 2

Premium Essay

Investment

...Part of income that is invested monthly or yearly in some well managed plans to gener­ate some additional income is called invest­ment. Money can be invested in number of ways. For proper investment of money one should have detailed knowledge of the schemes. Following are the main means of investment: Bank Bank is an organised institution which deals with money matters. A person can de­posit his savings in the bank and can with-draw when he requires it. Bank pays inter at a fixed rate on the deposits. There are two main functions of a bank: (i) Deposits the money of people (ii) Gives back the demanded money cheque, draft, etc. Advantages of bank account Following are the advantages of a bank account: 1. There is no possibility of theft of t money kept in a bank. 2. Bank pays interest on deposits where the money kept at home fetches no in­terest. 3. A person spends economically in ord to deposit maximum amount in the bar 4. One can avail the facility of bank lock by having a bank account. Valuables jewellery, share certificates, other important documents, etc. can be kept safe in the locker. 5. Transaction of money from different places is possible through bank. 6. Small amount deposited at regular in­tervals becomes a considerable amount after sometime. This money can be invested in business, etc. Depositing money in a bank There are three main types of bank]' accounts for depositing money: 1. Fixed Deposit Account 2. Savings......

Words: 513 - Pages: 3

Premium Essay

Investment

...Chapter 1 UNDERSTANDING INVESTMENTS Multiple Choice Questions Establishing a Framework for Investors 1. Which of the following is the best definition of wealth? a. the sum of all current and future income b. the total of all assets and all income c. the total of assets and income less any liabilities. d. the sum of current income and the present value of future income. (d, moderate) 2. Stocks and bonds would be classified as: a. real assets b. indirect assets c. personal assets d. financial assets (d, easy) 3. Technically, investments include: a. only financial assets. b. only marketable assets. c. financial and real assets that are marketable or non-marketable. d. only financial and real assets that are marketable. (c, easy) 4. The retirement plans that guarantee retirees a set amount of money each month are known as: a. 401(k) plans b. self-directed plans c. defined-benefit plans d. defined-contribution plans (c, moderate) The Importance of Studying Investments 5. The investment professionals that arrange the sale of new securities are called: a. arbitragers b. traders c. investment bankers d. specialists (c, moderate) 6. Another name for stockbrokers is: a.......

Words: 1615 - Pages: 7

Free Essay

Investment

...market capitalization of the S&P 500.Then, to calculate the value of the S&P 500 Index, the sum of the adjusted market capitalization of all 500 stocks is divided by a factor, usually referred to as the Divisor. For. The Divisor is considered to be proprietary to the firm. However, the Divisor's value is approximately 8.9 billion. The formula to calculate the S&P 500 Index value is: Problem 2. a) It is assumed that initial margin percentage is 50 and rate on margin loan is 0 .current price of Google stock price is 541.5 assume that after 6 month the price of Google stock it will be 560.Then, the return of investment will be % 4.99 .If we do not buy on margin the return on investment will be % 2.49 which is half. However, if the price drop to 520 the return on investment will be -7.94 while if we do not buy on margin, the return of investment will be -3.97. Leverage is a double-edged sword, amplifying losses and gains to the same degree. In fact, one of the definitions of risk is the degree that an asset swings in price. Because leverage amplifies these swings then, by definition, it increases the risk of your portfolio. b) A short sale allows an investor borrows a share of stock from a broker and sell it. Later, the short-seller must purchase a share of same stock in order to replace the share that was borrowed. This is called covering the short position. Example: Profitable covered trade Shares in C & Company currently trade at $10 per......

Words: 2208 - Pages: 9

Premium Essay

Investment

...whether it is a gain or a loss. _ _ _ _ _ _ _ _ _ _ 5. A trader sells 100 European put options (i.e., one contract) with a strike price of $50 and a time to maturity of six months. The price received for each option is $4. The price of the underlying asset is $41 in six months. What is the trader’s gain or loss? Show a dollar amount and indicate whether it is a gain or a loss. _ _ _ _ _ _ _ _ _ _ 6. The price of a stock is $36 and the price of a three-month call option on the stock with a strike price of $36 is $3.60. Suppose a trader has $3,600 to invest and is trying to choose between buying 1,000 options and 100 shares of stock. How high does the stock price have to rise for an investment in options to lead to the same profit as an investment in the stock? _ _ _ _ _ _ 7. A one-year call option on a stock with a strike price of $30 costs $3; a one-year put option on the stock with a strike price of $30 costs $4. Suppose that a trader buys two call options and one put option. i) What is the breakeven stock price, above which the trader makes a profit? _ _ _ _ _ _ ii) What is the breakeven stock price below which the trader makes a profit? _ _ _ _ _ _...

Words: 510 - Pages: 3

Premium Essay

Investment

... Investment Banking Giuliano Iannotta Investment Banking A Guide to Underwriting and Advisory Services Professor Giuliano Iannotta Department of Finance ` Universita Bocconi via Roentgen 1 20136 Milano Italy giuliano.iannotta@unibocconi.it ISBN: 978-3-540-93764-7 e-ISBN: 978-3-540-93765-4 DOI 10.1007/978-3-540-93765-4 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2009943831 # Springer-Verlag Berlin Heidelberg 2010 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg, Germany Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com) To my......

Words: 86170 - Pages: 345

Premium Essay

Investment

...Investment Report Jane & Douglas Breighton Investment Report Jane & Douglas Breighton Best Choice Investment Solutions | FINM3008 Best Choice Investment Solutions | FINM3008 Minggang Gu|u5108473 Kejie Wang|u5133766 Tutorial Thursday 4pm Suggested Asset Allocation Breighton Holdings 14% Australian Equities 0% World Equities, Unhedged 0% World Equities, Hedged 11% Emerging Markets 13% EQUITIES 38% Australian Fixed Income 13% World Fixed Income, Hedged 19% Australian Index-Linked Bonds 0% Australian Cash 1% FIXED INCOME 33% Australian Listed Property 8% Australian Direct Property 9% PROPERTY 17% Hedge Funds 9% Commodities 1% US Private Equity 2% ALTERNATIVES 12% TOTAL 100% Contents Some critical assumption……………………………2 Asset Class Considerations………………………….2 Equities…………………………………………………..2 Fixed Income………………………………………….3 Alternatives and Property………………………4 Analysis Mothod………………………………………….5 Historical 3 Year Rolling Returns…………….5 Bootstrap Analysis………………………………….5 Mean-Variance Optimizer……………………..6 Results…………………………………………………………7 Final Recommendation……………………………….8 Building a Concrete Portfolio for Jane and Douglas Breighton………………………………….8 Appendices………………………………………………….9 References………………………………………………..13 Minggang Gu|u5108473 Kejie......

Words: 6636 - Pages: 27

Premium Essay

Investment

...CHAPTER 1 THE INVESTMENT SETTING Answers to Questions 1. When an individual’s current money income exceeds his current consumption desires, he saves the excess. Rather than keep these savings in his possession, the individual may consider it worthwhile to forego immediate possession of the money for a larger future amount of consumption. This trade-off of present consumption for a higher level of future consumption is the essence of investment. An investment is the current commitment of funds for a period of time in order to derive a future flow of funds that will compensate the investor for the time value of money, the expected rate of inflation over the life of the investment, and provide a premium for the uncertainty associated with this future flow of funds. 2. Students in general tend to be borrowers because they are typically not employed so have no income, but obviously consume and have expenses. The usual intent is to invest the money borrowed in order to increase their future income stream from employment - i.e., students expect to receive a better job and higher income due to their investment in education. 3. In the 20-30 year segment an individual would tend to be a net borrower since he is in a relatively low-income bracket and has several expenditures - automobile, durable goods, etc. In the 30-40 segment again the individual would likely dissave, or borrow, since his expenditures would increase with the advent of family life, and......

Words: 2675 - Pages: 11

Premium Essay

Investment

...Investment Memorandum FIN 3300 Step 1: Asset Allocation From the forecast provided by the Congressional Budget Office (CBO) and the Federal Reserve the economy is growing. According to the Federal Reserve, policy makers have raised the new forecast to 3.4 up to 3.9 percent growth in output and services. Real GDP is projected to increase by 3.1% this year and by 2.8% next year due to the continued strong growth in business, investment, and a modest increase in consumer spending. This also will reflect the impact of the Tax Relief, Unemployment Insurance, Reauthorization, and Job Creation Act of 2010. These four components not only will provide a short-term boost to the economy by reducing some taxes but also extend unemployment benefits. Inflation will remain very low in 2011 and 2012 and will average no more than 2.0% a year between 2013 and 2016. With job creation, the unemployment rate will gradually fall to 9.2% in the fourth quarter of 2011. Due to the current growth of the economy, low inflation rates, and a growing GDP, the majority of our investments will be allocated in stocks or higher risk securities that could potentially provide a higher yield. Therefore we are taking a Bullish strategy because we expect the underlying stock price to move upwards. We want higher expected returns, so we are willing to pay the price in terms of accepting higher investment risk. With the economic forecast reflecting a brighter growth prospectus this year, our......

Words: 1458 - Pages: 6