دانلود مقاله ISI انگلیسی شماره 17622
ترجمه فارسی عنوان مقاله

بر روی مکانیسم بازخورد از بازار بورس چینی

عنوان انگلیسی
On the Feed-back Mechanism of Chinese Stock Markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
17622 2012 7 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physics Procedia, Volume 25, 2012, Pages 749–755

ترجمه کلمات کلیدی
اصلاح اشتباه - انتظار - تاخیر هندسی
کلمات کلیدی انگلیسی
Error-Correction,Expectation, Geometric Lag
پیش نمایش مقاله
پیش نمایش مقاله  بر روی مکانیسم بازخورد از بازار بورس چینی

چکیده انگلیسی

Feed-back models in the stock markets research imply an adjustment process toward investors’ expectation for current information and past experiences. Error-correction and cointegration are often used to evaluate the long-run relation. The Efficient Capital Market Hypothesis, which had ignored the effect of the accumulation of information, cannot explain some anomalies such as bubbles and partial predictability in the stock markets. In order to investigate the feed-back mechanism and to determine an effective model, we use daily data of the stock index of two Chinese stock markets with the expectational model, which is one kind of geometric lag models. Tests and estimations of error-correction show that long-run equilibrium seems to be seldom achieved in Chinese stock markets. Our result clearly shows the common coefficient of expectations and fourth-order autoregressive disturbance exist in the two Chinese stock markets. Furthermore, we find the same coefficient of expectations has an autoregressive effect on disturbances in the two Chinese stock markets. Therefore the presence of such feed-back is also supported in Chinese stock markets.