At the same time the speed and quality of information conduction was proved by GARTH model, and effective quantification was made to investor sentiment by establishing SIF Investor Sentiment Index and we could control the risk of SIF by the theory of TRM.
由于VaR理论存在自身无法克服的缺陷,通过建立股指期货投资者情绪指数,对某一特定时间段内投资者主观情绪进行量化,据此判定投资者的风险偏好程度,有效控制由于投资者情绪过度反应盲目投资使价格剧烈波动而带来的风险,从而完善风险管理机制,并最终采用TRM理论及模型对其进行风险控制,实现在确定的投资者偏好、风险价格及一定的置信水平下,计算出合理的保证金水平,实现风险配置的最优化及效率的最大化。
With the available proxies,the principal component analysis is used to build an investor sentiment index for China\'s stock market.
依据可以获得的投资者情绪代理变量,利用主成分分析构建了中国证券市场投资者情绪指数,进而利用EGARCH模型实证检验了上述5条假说。
And more,this paper proposes the methods to estimate the decision risk,the investing sentiment and bounded rational of investors.
建立从经验收益率数据中估计投资群体的风险追求程度、投资情绪和非完全理性程度等行为变量参数的方法。
Empirical Study on the Cross-section Stock Returns and Investor Sentiment in China s Stock Markets;
中国股市横截面收益特征与投资者情绪的实证研究
A Measure Method of New Issue s Investor Sentiment and the Relationship Between It and New Issue s Price Behaviors;
新股投资者情绪度量及其与新股价格行为关系
Closed-end Fund Discounts Research Based on Clustering Investor Sentiment Theory;
基于投资者情绪理论的封闭式基金折价问题研究
Through their empirical studies of the 54 investment funds in China, the paper proves that the puzzle of closed fund in China can be explained with "liquidity effect" and "investors sentiment theory".
文章通过对我国现有的54只封闭式基金的实证分析,证明了中国的封闭式基金之谜能够从"流动性效应"和"投资者情绪理论"得到解释,并提出相应建议以供监管者、基金管理人和投资者参考。
Investors′ Sentiment and the Real Investment of China′s Listed Companies;
投资者情绪与中国上市公司实际投资
Stock Market Returns, Volatility and the Role of Investor Sentiment in China;
中国股市收益、收益波动与投资者情绪
Empirical Study on Investor Sentiment and IPO Overvaluation
投资者情绪与IPO溢价的实证研究
Interpretation on 'Anomalous' with Investor Sentiment Theory
投资者情绪理论对金融“异象”的解释
Can Individual Investor Sentiment Predict Market Returns?
个人投资者情绪能预测市场收益率吗
Management Short-horizon,Investor Sentiment and Corporate Investment Distortion in China Stock Market;
中国市场管理者短视、投资者情绪与公司投资行为扭曲研究
A Study on Closed-End Fund Discounts in China-On a framework of Investors' Sentiment Index
封闭式基金折价与投资者情绪新解——基于投资者情绪指标框架的分析
A Study on Investor Sentiment of Chinese Financial Market;
投资者情绪与中国证券市场的实证研究
LST Model s Explanation of Closed-end Funds Discounts in China;
用投资者情绪模型解释我国封闭式基金折价
An Empirical Study on Investors Sentiment and Stock Returns in Chinese Stock Market;
中国股市投资者情绪与股票收益的实证研究
A Measure Method of New Issue s Investor Sentiment and the Relationship Between It and New Issue s Price Behaviors;
新股投资者情绪度量及其与新股价格行为关系
Imperfect Rationality,Sentiment and Closed end fund Puzzle;
不完全理性、投资者情绪与封闭式基金之谜
An Empirical Analysis on the Connection between Investor Sentiment and Activity in Chinese Stock Market;
投资者情绪与证券市场活跃度关系的实证研究
An Empirical Analysis on the Connection between Investor Sentiment and the Composite Index of Shanghai Stock Exchange;
投资者情绪和上证综指关系的实证研究
Research on Mutual Relationship between Investor Sentiment and Securities Market Price
投资者情绪与证券市场价格互动关系研究
A Study of the Interactional Relationship between the Investor Sentiment and the Returns in China's Stock Markets
中国股市投资者情绪与收益的互动研究
Research on the Measurement of Investor Sentiment in Chinese Stock Market: the CICSI's Construction
中国股市投资者情绪测量研究:CICSI的构建
Investor Sentiment and the Cross-Section of Stock Returns
投资者情绪与股票横截面收益的实证研究