股票市场的信息扩散
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￥ 31.83 5.4折 ￥ 59 全新
库存3件
广东广州
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作者董驰
出版社知识产权出版社
ISBN9787513063555
出版时间2019-09
装帧其他
开本16开
定价59元
货号1201959180
上书时间2024-08-06
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作者简介
董驰，2016年获马来西亚理科大学金融学博士，现为河北大学经济学院教师、金融专业硕士研究生导师、河北省区域经济发展研究院（HIRED）研究员、《南洋商报》（财经版）“一带一路”特约研究员及亚洲管理学会（Asian Academy of Management）评审。主要从事行为金融、证券投资、金融市场和区域经济的研究，主持和参与省部级课题多项，主编教材《行为金融学》一部，在靠前外非常不错期刊上发表论文多篇。
目录
ContentsChapter 1 Introduction1 Research Background1.1 Efficient Markets Hypothesis and Information1.2 The Process of Information Diffusion1.3 Internal Determinants of the Process of Information Diffusion1.4 External Determinants of the Process of Information Diffusion1.5 Industry Factor and Information Diffusion1.6 Policy Changes in Chinese Stock Market2 Motivation3 Problem Statement4 Research Questions5 Research Objectives6 Significance and Contributions of the Study137 The Organization of the Study15Chapter 2 Chinese Stock Market1 Introduction172 The Stock Exchanges in China 183 The Classification of Stocks in Chinese Stock Market 193.1 The Tradable and Non-tradable Stocks 193.2 Class A and Class B Shares 204 The Market Participants in Chinese Stock Market 214.1 Domestic Individual Investors214.2 Domestic Institutional Investors224.3 Foreign Investors 235 The Distinctive Characteristics of Chinese Stock Market5.1 Price Limit5.2“ T+1” Trading Institution5.3 Low Transaction Cost5.4 Independence from US Market6 Policy Reforms in Chinese Stock Market7 Summary 30Chapter 3 Literature Review1 Introduction312 Overview of Efficient Market Hypothesis3 Gradual Information Diffusion4 Internal Determinants of the Process of Information Diffusion4.1 Firm Size394.2 The Level of Analyst Coverage394.3 The Level of Institutional Ownership404.4 Trading Volume414.5 Book to Market Ratio (B/M)425 External Determinants of the Process of Information Diffusion425.1 Short Sale Restriction and Information Diffusion425.2 Market Conditions and Information Diffusion435.3 Policy Changes and Information Diffusion456 Information Diffusion and Industry Factor 477 Research Framework 498 Research Hypotheses518.1 Intra-industry Information Diffusion and Firms’ Specific Characteristics518.2 Intra-industry Information Diffusion and Market Conditions548.3 Intra-industry Information Diffusion and Policy Changes559 Summary56Chapter 4 Methodology1 Introduction572 Data572.1 Sample Period582.2 Sample Selection583 Sorting Methods604 Measurements of Variables614.1 Stock Return614.2 Market Return624.3 Firm Size624.4 Trading Volume634.5 Book to Market Ratio (B/M)635 Examining Internal Determinants of Intra-industry Information Diffusion635.1 Testing on Vector Auto-regression (VAR)635.2 Testing on Panel Vector Auto-regression (PVAR)675.3 Test of Intra- and Inter-industry Information Diffusion 676 Investigating Information Diffusion in Different Market Conditions697 Investigating the Impacts of Policy Changes on the Information Diffusion 738 Summary 77Chapter 5 Empirical Results1 Introduction782 Examining Internal Determinants of Intra-industry Information Diffusion782.1 Firm Size782.1.1 Summary Statistics792.1.2 Vector Auto-regression for Firm Size822.1.3 Panel Vector Auto-regression for Firm Size882.1.4 Summary912.2 Trading Volume 912.2.1 Vector Auto-regression for Trading Volume912.2.2 Panel Vector Auto-regression for Trading Volume972.2.3 Summary1002.3 B/M Ratio 1002.3.1 Vector Auto-regression for B/M Ratio1002.3.2 Panel Vector Auto-regression for B/M Ratio1062.3.3 Summary1082.4 Test of Intra- and Inter-industry Information Diffusion1092.5 Finding Summary1103 Intra-industry Information Diffusion and Market Conditions1113.1 Information Diffusion and Shorter Horizon of Market Condition1113.2 Information Diffusion and Longer Horizon of Market Condition1173.3 Robustness Check 1233.3.1 Robustness Check for Trading Volume Portfolios1233.3.2 Robustness Check for B/M Ratio Portfolios1283.4 Finding Summary1324 The Impacts of Policy Changes on the Intra-industry Information Diffusion 1334.1 The Impacts of Policy Changes during Three Sub-periods1334.2 Robustness Check 1404.2.1Robustness Check for Trading Volume1414.2.2 Robustness Check for B/M Ratio1444.3 Finding Summary1475 Summary147Chapter 6 Discussion and Conclusion1 Introduction1492 Recapitulation of the Study1493 Discussion of finding1523.1 Internal Determinants of Intra-industry Information Diffusion1523.2 Market Conditions and Intra-industry Information Diffusion1543.3 Policy Changes and Intra-industry Information Diffusion1564 Implications of the Study1574.1 Theoretical Implication 1574.2 Practical Implication1585 Limitations of the Study1606 Suggestions for Future Study1607 Conclusion161References163
内容摘要
本书聚焦于行业内部，使用面板和条件VAR模型，系统地研究了中国股票市场的信息扩散问题。本书发现，中国股票市场的信息扩散是一个渐进的过程。公司规模、交易量、账面市值比等内部因素都可以影响信息扩散的过程。而市场条件的不同和政策的改变作为外因，也可以影响信息的扩散。本书在理论上继承了行为金融学对传统有效市场理论的批判，在实践中也为投资者提供了一些切实可行的操作思路。
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