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Analyses of 2002-2013 China's Stock ...

Tang, Chao.

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Analyses of 2002-2013 China's Stock Market Using the Shared Frailty Model.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Analyses of 2002-2013 China's Stock Market Using the Shared Frailty Model./
作者:	Tang, Chao.
面頁冊數:	49 p.
附註:	Source: Masters Abstracts International, Volume: 53-05.
Contained By:	Masters Abstracts International53-05(E).
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1528286
ISBN:	9781321241891

Analyses of 2002-2013 China's Stock Market Using the Shared Frailty Model.
Tang, Chao.

Analyses of 2002-2013 China's Stock Market Using the Shared Frailty Model. - 49 p.

Source: Masters Abstracts International, Volume: 53-05.

Thesis (M.S.)--East Tennessee State University, 2014.

This item must not be sold to any third party vendors.

This thesis adopts a survival model to analyze China's stock market. The data used are the capitalization-weighted stock market index (CSI 300) and the 300 stocks for creating the index. We define the recurrent events using the daily return of the selected stocks and the index. A shared frailty model which incorporates the random effects is then used for analyses since the survival times of individual stocks are correlated. Maximization of penalized likelihood is presented to estimate the parameters in the model. The covariates are selected using the Akaike information criterion (AIC) and the variance inflation factor (VIF) to avoid multicollinearity. The result of analyses show that the general capital, total amount of a stock traded in a day, turnover rate and price book ratio are significant in the shared frailty model for daily stock data.

ISBN: 9781321241891Subjects--Topical Terms:

517247
Statistics.

Analyses of 2002-2013 China's Stock Market Using the Shared Frailty Model.
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506 $a This item must not be added to any third party search indexes.
520 $a This thesis adopts a survival model to analyze China's stock market. The data used are the capitalization-weighted stock market index (CSI 300) and the 300 stocks for creating the index. We define the recurrent events using the daily return of the selected stocks and the index. A shared frailty model which incorporates the random effects is then used for analyses since the survival times of individual stocks are correlated. Maximization of penalized likelihood is presented to estimate the parameters in the model. The covariates are selected using the Akaike information criterion (AIC) and the variance inflation factor (VIF) to avoid multicollinearity. The result of analyses show that the general capital, total amount of a stock traded in a day, turnover rate and price book ratio are significant in the shared frailty model for daily stock data.
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