投资者情绪影响香港股票市场吗?

本文选取香港股票市场的封闭式基金折价率,initial public offering(IPO)首日收益率,IPO数量,市场成交量和换手率等五个原始情绪指标,利用主成分分析法构造了综合投资者情绪指数,然后应用autoregressive moving average-generalized autoregressive conditional heteroskedasticity(ARMA-GARCH)族模型分别剔除了综合投资者情绪指数与香港恒生指数中的趋势因素和季节因素等外在影响,对ARMA-GARCH模型的残差作相关性分析和Granger因果关系检验.研究表明,ARMA-GARCH族模型能有效处理投资者情绪指数和香港恒生指数的自相关性和异方差性.Granger因果检验发现在短期内恒生指数收益率是投资者情绪的Granger原因,即当香港股市处于上升阶段时,投资者情绪会更加乐观,而当股市处于下降阶段时,投资者情绪则会变的更加悲观.     

Causality and chance in relativistic quantum field theories

Bell appealed to the theory of relativity in formulating his principle of local causality. But he maintained that quantum field theories do not conform to that principle, even when their field equations are relativistically covariant and their observable algebras satisfy a relativistically motivated microcausality condition. A pragmatist view of quantum theory and an interventionist approach to causation prompt the reevaluation of local causality and microcausality. Local causality cannot be understood as a reasonable requirement on relativistic quantum field theories: it is unmotivated even if applicable to them. But microcausality emerges as a sufficient condition for the consistent application of a relativistic quantum field theory.     

云南地方财政收入与经济增长的长期均衡分析

地方财政收入与经济增长的长期均衡状况是近年来区域经济研究的热点问题。采用云南省1990年至2009年的数据,在数据保持平稳性的前提下,对地方财政收入与经济增长进行协整分析。运用格兰杰(Granger)检验方法,得出二者之间存在单向的格兰杰因果关系:经济增长是云南地方财政收入的格兰杰原因,地方财政收入不是云南经济增长的格兰杰原因,并提出相关的政策建议。     

反倾销中的吸收判定及吸收幅度计算方法

借鉴欧盟反吸收立法制度及实践经验,采用差异比较分析和格兰杰因果检验等相关计量统计工具,提出了对反倾销中的吸收行为及产品正常价格变动进行定量判定的方法.研究结果为反吸收立法提供了理论依据,使反吸收调查过程更具科学性和公平性,同时为企业积极应对欧盟反吸收调查提供了参考.     

Conditional Estimation of Wind Velocity Based on VAR Model

The vector autoregressive （VAR） model is established with the wind velocity data from four wind observations, which are established on the Sutong Bridge reach of the Changjiang River and in Changshu, Haimen and Nantong meteorological observation stations. Based on the VAR model, the result of Granger causality test indicated that there is Granger causality between most of the variables. Consequently the missing wind velocity values of Sutong bridge are estimated with the condition of the wind velocity data from the other three observatories, and the result of the conditional estimation is comparatively perfect.     

Causal implications: The linkage between time series and econometric modelling

Construction of causally and structurally adequate simultaneous equations models can be accomplished by determining causal relations between potential variables and balancing these statistically derived inferences with economic theory to relate behavioural or technological forces among the variables. An appropriate lag structure for each of the equations can be determined by a two step multiple transfer function approach involving reduced form equations. Testing the specification of already existing simultaneous equations models is done by constructing multiple transfer function models of the reduced form equations of the simultaneous equations models which permit incorporation of lead cross correlations.     

对外贸易是拉动四川省经济增长的强大动力

运用协整理论对四川省1978—2004年GDP与进出口的有关数据进行实证分析,指出大力发展对外贸易是拉动四川省经济增长的强大动力。     

安徽出口与经济增长关系的实证分析

文章从增长率的角度利用协整分析技术、格兰杰因果关系检验方法以及平行数据计量经济学模型,对安徽出口与经济增长关系进行了实证分析。结果表明,安徽出口增长与经济增长之间存在着协整关系,但出口增长还不是经济增长的原因,安徽出口弹性偏高,据此对进一步加大安徽出口工作力度,增强出口对经济增长的拉动作用,提出了相关的政策和建议。     

Estimating the long memory granger causality effect with a spectrum estimator

This paper discusses the Granger causality test by a spectrum estimator which allows the transfer function to have long memory properties. In traditional methodology the relationship among variables is usually assumed to be short memory or contemporaneous. Hence, we have to make sure they are of the same integrated order, else there might be a spurious regression problem. In practice, not all the variables are fractionally co‐integrated in the economic model. They may have the same random resources, but under a different integrated order. This paper focuses on how to capture the long memory Granger causality effect in the transfer function. This does not necessarily assume the variables are of the same fractional integrated order. Moreover, by the transfer function we construct an estimator to test the long memory effect with the Granger causality sense. Copyright © 2006 John Wiley & Sons, Ltd.     

Relationships between Australian real estate and stock market prices—a case of market inefficiency

This paper explores the relationship between the Australian real estate and equity market between 1980 and 1999. The results from this study show three specific outcomes that extend the current literature on real estate finance. First, it is shown that structural shifts in stock and property markets can lead to the emergence of an unstable linear relationship between these markets. That is, full‐sample results support bi‐directional Granger causality between equity and real estate returns, whereas when sub‐samples are chosen that account for structural shifts the results generally show that changes within stock market prices influence real estate market returns, but not vice versa. Second, the results also indicate that non‐linear causality tests show a strong unidirectional relationship running from the stock market to the real estate market. Finally, from this empirical evidence a trading strategy is developed which offers superior performance when compared to adopting a passive strategy for investing in Australian securitized property. These results appear to have important implications for managing property assets in the funds management industry and also for the pricing efficiency within the Australian property market. Copyright © 2002 John Wiley & Sons, Ltd.