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dc.contributor.authorLi, Jiali
dc.date.accessioned2015-07-10T04:30:21Z
dc.date.available2015-07-10T04:30:21Z
dc.date.issued2014-12
dc.identifier.otherli_jiali_201412_ms
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/li_jiali_201412_ms
dc.identifier.urihttp://hdl.handle.net/10724/31458
dc.description.abstractThe market impact of news announcements has been a topic of heated debate. A large body of research has investigated how the markets respond to the release and dissemination of various kinds of information, including government announcements, corporate announcements, analysts’ reports and user-generated contents on social media. However, most previous research focused on analyzing the influence of one specific kind of information. Little research comparing the relative importance of information can be found in the literature. This limitation draws a gap between the academic research and current trading practice, because according to efficient market hypothesis, all relative information are immediately incorporated into the equity prices. Our research incorporates econometric estimation of event intensity and compares the influence of various market-related information on the Chinese stock index futures contract. We discover that government announcements and corporate restructuring news are significantly associated with the return on stock index futures.
dc.languageeng
dc.publisheruga
dc.rightspublic
dc.subjectEvent Study
dc.subjectGovernment Announcement
dc.subjectCorporate Announcement
dc.subjectSocial Media
dc.subjectStock Index Futures
dc.subjectand Chinese Futures Market
dc.titleHow do Chinese stock index futures respond to stock-related news
dc.typeThesis
dc.description.degreeMS
dc.description.departmentAgricultural and Applied Economics
dc.description.majorAgricultural Economics
dc.description.advisorJack E. Houston
dc.description.committeeJack E. Houston
dc.description.committeeBerna Karali
dc.description.committeeCesar Escalante


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