欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
针对在不同的股市行情中机构持股与房地产公司股票收益波动之间的相关性问题,建立面板数据的门限分位回归模型进行检验。证实在不同的市场行情中,对于股票收益波动处于不同水平的房地产公司,机构持股的影响程度存在差异。当股市大盘出现极端情形,机构投资者加剧股市波动。大盘大跌,机构持股的促进作用随着股票收益波动的分位点的增大而增强。在盘整市,机构持股比例没有对股票收益波动产生显著影响,但其变动抑制股票收益波动。
英文摘要：
For the problem of correlation between institutional ownership and the volatility of real estate companies stock returns in different market conditions,this paper establishes a threshold quantile regression model with panel data.We confirm that in different market conditions,for the real estate companies whose stock returns volatility is at different levels,there are differences in the effect degree of institutional ownership.If the stock market appears extreme returns,institutional ownership strengthens the stock returns volatility.The positive impacts of institutional ownership increase with the quantiles of the volatility when the stock market extremely falls.In the whole consolidation market,the proportion of institutional ownership does not have a significant impact on stock returns volatility,but the change of proportion will weaken the stock returns volatility.
同期刊论文项目
同项目期刊论文
Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosync
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Fu
The expected discounted penalty function for two classes of risk processes perturbed by diffusion wi
Cross-correlations between WTI crude oil market and U.S. stock market: A perspective from econophysi
Utility-Based Pricing, Timing and Hedging of an American Call Option under an Incomplete Market with
Almost Everywhere Convergence of Riesz Means Related to Schrodinger Operator with Constan Magnetic F
Correlation structure and dynamics of international real estate securities markets: A network perspe
Optimal Proportional Reinsurance and Investment Problem with Constraints on Risk Control in a Genera
On the expected discounted penalty function for the classic risk model with potentially delayed clai
期刊信息
位置：