Subjects: Statistics >> Economic Statistics submitted time 2023-05-22
Abstract：本文基于2009-2020年A股市场上市公司E评级（环境评级）衡量企业面临的碳风险，通过构造模拟投资组合和直接使用公司特征与股票收益率进行回归两种方法，证明我国A股市场在2015-2016年间发生了碳溢价正负性的转变。结果显示，在2013-2015年，我国A股市场存在显著的碳风险溢价，低E评级的非绿色公司相较于高E评级的绿色公司具有更高的月均收益率；在2016-2020年，绿色公司则具有更高的月均收益率。进一步研究发现，碳溢价正负性的转变和绿色金融政策的实施具有较高相关性。
Peer Review Status:
Awaiting Review
Subjects: Statistics >> Economic Statistics Subjects: Statistics >> Applied Statistical Mathematics submitted time 2023-02-10
Abstract：
This paper investigates the solar term effect (anomaly) in China stock market as a supplementary to the existing literature of calender effect. Based on a regression framework, this paper verifies the existence of solar term effect in Shanghai Index in multiple dimensions: inter-solar-term analysis, full sample analysis at mean level and risk level as well as the turn of solar term effect. Several solar terms have been found to cause significant positive and negative value to the return such as solar term 1,3 and 4. and bring high volatility such as solar term 8, 11 and 14. The result is reliable and robust under the Extreme Bound Analysis and various assumptions of error’s distribution in IGARCH model. These findings give readers a new perspective to view calender effect under the influence of traditional Chinese culture that solar terms affect the market through affecting investors’ mood, expectation, enthusiasm, etc. which is a good evidence to the “Culture bonus hypothesis” proposed by Chen and Chien (2011) and the possible influence by the Chinese culture in other Asian markets (Yuan and Gupta, 2014).
Peer Review Status:Awaiting Review
Subjects: Statistics >> Economic Statistics submitted time 2022-11-25
Abstract：改革开放 40 余年来，中国经济发展取得了举世瞩目的成就，其中包括居民消费在内的消费活动功不可没。消费活动是经济活动的终点，因为其他经济活动的最终目的是满足消费需求；消费活动又是经济活动的起点，因为消费能带动经济社会发展。选取改革开放以来 40 余年的经济数据，通过建立向量自回归（VAR）模型和向量误差修正（VEC）模型，分析城乡居民消费水平和城乡居民总消费对经济增长的影响。得出结论：城镇居民消费和农村居民消费的提升都能导致国内生产总值的提高，且从长期来看，城镇居民消费对经济增长的促进能力比农村居民消费更强。根据这一结论分析原因，并提出政策建议。
Peer Review Status:Awaiting Review
Subjects: Statistics >> Economic Statistics Subjects: Information Science and Systems Science >> Other Disciplines of Information Science and Systems Science submitted time 2022-10-12
Abstract： RAS method is one of the most important techniques for compiling and revising input-output tables. Based on the basic RAS method and the improved RAS method, this paper puts forward the S-RAS method. S-RAS method includes four steps: matrix preprocessing, applicability adjustment of matrix to RAS method, obtaining revised matrix by using basic RAS method, and forming new table. It extends the application of RAS method in updating the intermediate flow matrix in the input-output table to the whole input-output table. The step of the applicability adjustment of matrix to RAS method supplements the necessary treatment of implicit conditions in the application of RAS method. The S-RAS method is proposed in the process of completing the task of division. Therefore, this paper uses two examples of division to demonstrate the applicability of the S-RAS method.
Peer Review Status:Awaiting Review
Subjects: Statistics >> Economic Statistics Subjects: Statistics >> Other Disciplines of Statistics submitted time 2022-03-04
Abstract：In this study, readers will see the impact on Chinese stock index brought by twenty-four solar terms, a unique division of annual season in Chinese tradition. Based on the data in the past 26 years, the statistics focused on whether the daily return (revenue) of Shanghai Index shows significant value and special feature on and after each solar term. On several solar terms did the index return result large mean value and high probability of extreme value occurrence such as on solar term No.1 and No.3 while on solar term No.2 and solar term No.4, the results were completely opposite. The study also found that the volatility of index return during those solar terms in the beginning of the year were greatly active than the rest of them. Index return 10 days and 15days after solar term No.6 and solar term No.8 displayed high final return and large volatility whereas in any cases, the index went very steady after solar term No.18. The study also proposed that it’s almost impossible to make numeric prediction with the current technical analysis tools, the effective way in stock analysis to collect more feature and characteristics based on historical data, identifying if the similar situation is happening when similar feature of stock shows up in the future.
Peer Review Status:Awaiting Review
Subjects: Management Science >> Management Metrology Subjects: Information Science and Systems Science >> Systematology Subjects: Statistics >> Economic Statistics submitted time 2021-09-27
Abstract： Economic development and progress make the production process more and more complex. The complexity index can reflect the level of technological progress of the economic and industrial sectors. This paper revises an index of economic complexity based on Input-output Technology, which is used to analyze the industrial sector and the overall level of technological progress of regions. The empirical results show that the modified complexity index can well express the level of economic and technological progress of economic and industrial sectors, which is more reasonable than the calculation formula before the modification.
Peer Review Status:Awaiting Review
Hits
Hits
Downloads
Comment