Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model

Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model

碩士 === 嶺東科技大學 === 財務金融研究所 === 100 === This paper examines the margin trading effect to the relationship between 4 Hong Kong TDRs and underlyings during May 14, 2009 - August 31, 2011. We apply the threshold autoregressive model with the Bayesian analysis to catch the structure changes between 4 Hong...

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Main Authors: Ke,Pei lin, 柯沛琳
Other Authors: Yang,Yung Lieh
Format: Others
Language:zh-TW
Published: 2011
Online Access:http://ndltd.ncl.edu.tw/handle/75582089351907301975
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spelling ndltd-TW-100LTC003040012015-10-13T20:46:56Z http://ndltd.ncl.edu.tw/handle/75582089351907301975 Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model 融資劵前後對TDR與原股報酬關係變化轉換點之分析-Bayesian analysis of Threshold Autoregressive模型 Ke,Pei lin 柯沛琳 碩士 嶺東科技大學 財務金融研究所 100 This paper examines the margin trading effect to the relationship between 4 Hong Kong TDRs and underlyings during May 14, 2009 - August 31, 2011. We apply the threshold autoregressive model with the Bayesian analysis to catch the structure changes between 4 Hong Kong TDRs and their underlyings. We find that the returns of 4 Hong Kong TDRs are affected by their underlyings significantly. Besides, the stock repurchase, issuance of new shares, the cash dividend, the financial statements announcement, unexpected changes in revenues and the acquisition will break the relationship between 4 Hong Kong TDRs and underlyings. Yang,Yung Lieh Laih,Yih Wenn 楊永列 賴藝文 2011 學位論文 ; thesis 42 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 嶺東科技大學 === 財務金融研究所 === 100 === This paper examines the margin trading effect to the relationship between 4 Hong Kong TDRs and underlyings during May 14, 2009 - August 31, 2011. We apply the threshold autoregressive model with the Bayesian analysis to catch the structure changes between 4 Hong Kong TDRs and their underlyings. We find that the returns of 4 Hong Kong TDRs are affected by their underlyings significantly. Besides, the stock repurchase, issuance of new shares, the cash dividend, the financial statements announcement, unexpected changes in revenues and the acquisition will break the relationship between 4 Hong Kong TDRs and underlyings.
author2 Yang,Yung Lieh
author_facet Yang,Yung Lieh
Ke,Pei lin
柯沛琳
author Ke,Pei lin
柯沛琳
spellingShingle Ke,Pei lin
柯沛琳
Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model
author_sort Ke,Pei lin
title Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model
title_short Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model
title_full Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model
title_fullStr Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model
title_full_unstemmed Margin Trading Effect to the relationship between Hong Kong TDR and Underlying-An Application of Bayesian Analysis of Threshold Autoregessive Model
title_sort margin trading effect to the relationship between hong kong tdr and underlying-an application of bayesian analysis of threshold autoregessive model
publishDate 2011
url http://ndltd.ncl.edu.tw/handle/75582089351907301975
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