Sökning: "Chaoqiong Shi"

Hittade 2 uppsatser innehållade orden Chaoqiong Shi.

1. 1. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Chaoqiong Shi; [2011]
   Nyckelord :Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

   Sammanfattning : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. LÄS MER

3. 2. Measuring Bond Market Liquidity: An empirical study of the Chinese inter-bank bond market

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Shuman Zhang; Chaoqiong Shi; [2010]
   Nyckelord :inter-bank bond market; liquidity; principal-components analysis; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : This paper starts from the concept of liquidity, and applies principal-components analysis to construct a composite indicator of liquidity of the Chinese inter-bank bond market. The comprehensive score that results from the above-mentioned analysis overcomes shortcomings of previous single indicators that can merely cover one dimension of liquidity, and it is of great help to disclose the relationship between liquidity and the three factors, immediacy, transaction cost and transaction amount, and thus contributes to the further study on the microstructure of the Chinese inter-bank bond market. LÄS MER