股票市场的信息扩散 本书特色

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。

股票市场的信息扩散 内容简介

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。

股票市场的信息扩散 目录

Contents
Chapter 1 Introduction
1 Research Background
1.1 Efficient Markets Hypothesis and Information
1.2 The Process of Information Diffusion
1.3 Internal Determinants of the Process of Information Diffusion
1.4 External Determinants of the Process of Information Diffusion
1.5 Industry Factor and Information Diffusion
1.6 Policy Changes in Chinese Stock Market
2 Motivation
3 Problem Statement
4 Research Questions
5 Research Objectives
6 Significance and Contributions of the Study13
7 The Organization of the Study15
Chapter 2 Chinese Stock Market
1 Introduction17
2 The Stock Exchanges in China 18
3 The Classification of Stocks in Chinese Stock Market 19
3.1 The Tradable and Non-tradable Stocks 19
3.2 Class A and Class B Shares 20
4 The Market Participants in Chinese Stock Market 21
4.1 Domestic Individual Investors21
4.2 Domestic Institutional Investors22
4.3 Foreign Investors 23
5 The Distinctive Characteristics of Chinese Stock Market
5.1 Price Limit
5.2“ T 1” Trading Institution
5.3 Low Transaction Cost
5.4 Independence from US Market
6 Policy Reforms in Chinese Stock Market
7 Summary 30
Chapter 3 Literature Review
1 Introduction31
2 Overview of Efficient Market Hypothesis
3 Gradual Information Diffusion
4 Internal Determinants of the Process of Information Diffusion
4.1 Firm Size39
4.2 The Level of Analyst Coverage39
4.3 The Level of Institutional Ownership40
4.4 Trading Volume41
4.5 Book to Market Ratio (B/M)42
5 External Determinants of the Process of Information Diffusion42
5.1 Short Sale Restriction and Information Diffusion42
5.2 Market Conditions and Information Diffusion43
5.3 Policy Changes and Information Diffusion45
6 Information Diffusion and Industry Factor 47
7 Research Framework 49
8 Research Hypotheses51
8.1 Intra-industry Information Diffusion and Firms’ Specific Characteristics51
8.2 Intra-industry Information Diffusion and Market Conditions54
8.3 Intra-industry Information Diffusion and Policy Changes55
9 Summary56
Chapter 4 Methodology
1 Introduction57
2 Data57
2.1 Sample Period58
2.2 Sample Selection58
3 Sorting Methods60
4 Measurements of Variables61
4.1 Stock Return61
4.2 Market Return62
4.3 Firm Size62
4.4 Trading Volume63
4.5 Book to Market Ratio (B/M)63
5 Examining Internal Determinants of Intra-industry Information Diffusion63
5.1 Testing on Vector Auto-regression (VAR)63
5.2 Testing on Panel Vector Auto-regression (PVAR)67
5.3 Test of Intra- and Inter-industry Information Diffusion 67
6 Investigating Information Diffusion in Different Market Conditions69
7 Investigating the Impacts of Policy Changes on the Information Diffusion 73
8 Summary 77
Chapter 5 Empirical Results
1 Introduction78
2 Examining Internal Determinants of Intra-industry Information Diffusion78
2.1 Firm Size78
2.1.1 Summary Statistics79
2.1.2 Vector Auto-regression for Firm Size82

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