北京工商大学学报
(
社会科学版
)摇 摇 摇 摇 2015
年
摇
第
4
期
A Study of Opening Jump Risk Management of China Stock Index
Futures Market from the Perspective of Intraday Behaviors
LIU Xiaoxue, WANG Xinchao & HU Yuyue
(
School of Economics
,
Beijing Technology and Business University
,
Beijing
,
100048
,
China
)
Abstract
: In this paper weanalyzed the opening jump behaviors of China蒺s stock index futures based on the Bollerslev蒺s non
parameter method, modified HAR鄄CJ volatility model, and analyzed its inherent mechanism and spillover effect. The research
findings show that the opening jump behaviors includes overnight uncertainties and the sequent fluctuations;the ordinary opening
jump of stock index futures can be explained by price fluctuations that can reflect market expectations; compared to the intraday
jump behaviors, the opening jumps quickly integrate into the market; the opening jump behaviors exert a significant influence on
the realized price volatility and the spillover effect of stock market. At last this paper presented relevant risk management advice
to institutional investors and market regulators.
Key Words
: opening jump; stock index futures; intraday behaviors; risk management
(
本文责编
摇
王沈南
)
(
上接第
69
页
)
Analyst Coverage
,
External Constraints
,
and Acquiring
Firm蒺s Acquisition Performance
JIE Xiaoxiao
(
School of Business
,
Renmin University of China
,
Beijing 100872
,
China
)
Abstract
: Unlike prior researches that only study analysts蒺 impact on market performance or firm governance, this paper
measures analyst coverage effects based on several aspects of M&A performance, and minimizes analyst coverage endogenous
problem using two鄄stage least square method. It has been found in the paper that analysts蒺 impact becomes weaker from economic
performance to market performance, which implies that analysts care more about firms蒺 fundamental aspects and their growth,
rather than short market performance. Furthermore, this paper verifies analysts蒺role in terms of external constraints, which can be
reflected by the fact that the economic performancesof acquiring firms with analyst coverage is significantly higher than thoseof the
company without analyst coverage. What蒺s more, the covered firms also show higher growth rate, which shows that analysts play
roles in discovering value.
Key Words
: analyst coverage; M&A performance; information intermediaries; external constraints
(
本文责编
摇
王沈南
)
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