NDLI: Empirical Test of Size Effect in China Stock Market

Please wait, while we are loading the content...

2013 Sixth International Conference on Business Intelligence and Financial Engineering

2012 Fifth International Conference on Business Intelligence and Financial Engineering

2011 Fourth International Conference on Business Intelligence and Financial Engineering

2010 Third International Conference on Business Intelligence and Financial Engineering

2009 International Conference on Business Intelligence and Financial Engineering

Table of Contents

Program Committee

Workshop Co-chairs

An Algorithm for Determining Neural Network Architecture Using Differential Evolution

Predicting China's Energy Consumption Using Artificial Neural Networks and Genetic Algorithms

Stock Bubbles' Nature: A Cluster Analysis of Chinese Shanghai a Share Based on SOM Neural Network

The Application of Artificial Neural Networks in Risk Assessment on High-Tech Project Investment

IPO Pricing of SME Based on Artificial Neural Network

Appraisal of High-Tech Zone Technology Innovation Ability Based on BP Neural Network

The Finger Movement Identification Based on Fuzzy Clustering and BP Neural Network

An Application of Hopfield Neural Network in Target Selection of Mergers and Acquisitions

Modelling and Prediction of the CNY Exchange Rate Using RBF Neural Network

A Method of Gear Fault Diagnosis Based on CWT and ANN

Research of Dispatching Method in Elevator Group Control System Based on Traffic Mode Identify

Power Futures Price Forecasting Based on RBF Neural Network

Personal Credit Rating Assessment for the National Student Loans Based on Artificial Neural Network

Integration of Unascertained Method and Neural Networks in Financial Early Warning

Anti-dumping Early-Warning Model Based on Entropy Weight and SOM

Interweave Neural Networks with Evolutionary Algorithms, Cellular Computing, Bayesian Learning and Ensemble Learning

Multi-colony Ant Algorithm Using Both Repulsive Operator and Pheromone Crossover Based on Multi-optimum for TSP

Chaotic Search-Based Adaptive Immune Genetic Algorithm

Fuzzy Evaluation on Software Maintainability Based on Membership Degree Transformation New Algorithm M(1,2,3)

The Co-evolution between Companies within E-Supply Chain Management in the Era of Digital Economy

An Improved Genetic Algorithm Based on hK1 Subdivision and Fixed Point

A Hybrid Particle Swarm Optimization for Numerical Optimization

A Risk Measure with Conditional Expectation and Portfolio Optimization with Fuzzy Uncertainty

A Dynamic Information Sending Model and the Optimization Algorithm for Customer Relationship Management

A Hybrid Algorithm Based on Genetic Algorithm and Simulated Annealing for Solving Portfolio Problem

An Improved Genetic Algorithm Based on Subdivision Theory

Object Identification Based on Deformable Templates and Genetic Algorithms

A Constructive Method of Multicriteria Decision Functions Based on GP Algorithm

An Application of Artificial Immune Algorithm for Load Balancing in VOD Cluster

On Diagnosis Prototype System for Motor Faults Based on Immune Model

Support Vector Regression and Immune Clone Selection Algorithm for Predicting Financial Distress

Ant Colony Optimization Algorithm for Vendor Selection in Information Systems Outsourcing

Hybrid Classifier Using Neighborhood Rough Set and SVM for Credit Scoring

Stock Return Forecast with LS-SVM and Particle Swarm Optimization

The Evaluation of Bidder's Competitive Power Based on LS-SVM Optimized by Dynamic Inertia Weight PSO Algorithm

Forecasting Model of Mass Incidents in China - An Explorative Research Based on Suppport Vector Machine

Using VPRS-Based Group Decision-Making to Evaluate Partner Relationship in the Value Network of a Mobile Portal

A New Method of Membership Conversion for Fuzzy Evaluation of the Oil Storage Safety

A Fuzzy Pay-Off Method for Real Option Valuation

Fuzzy Clustering Ensemble Algorithm for Partitioning Categorical Data

Risk Evaluation of Real Estate Based on AHM and Fuzzy Set

A New Method of Fuzzy Linear Programming Problems

Empirical Analysis of the Anti-disturbance Coefficient of Financial System to Fluctuation Impact Based on the Duffing Equation in Chaos

Fast Face Detection Based on Fuzzy Set Theory

Fuzzy Comprehensive Evaluation Model on University Teaching Quality

User Analysis Based on Fuzzy Clustering

Text Classification Using Semi-supervised Clustering

Design of Chinese Text Categorization Classifier Based on Attribute Bagging

Mining Multi-relational Frequent Patterns in Data Streams

Research and Design of Extension Case Base Based on CBR

Algorithm for Agent Collaborative Learning Task Allocation Based Graph Framework

Gradient Learning Approach for Variable Selection in Credit Scoring

Large-Scale Hierarchical Text Classification Based on Path Semantic Information

Car Number Plate Detection Using Multi-layer Weak Filter

An Improved Spectral Clustering Algorithm Based on Neighbour Adaptive Scale

An Enhancement of K-means Clustering Algorithm

Tracking Error Analysis of Optioned Portfolio Optimization

Mean Conditional Value-at-Risk Model for Portfolio Optimization

Optimal Life-Cycle Portfolio Choice for Chinese Residents with Housing

Modeling and Analysis of the Combined Problem of Annuity Planning and Consumption-Investment Selections

Portfolio Construction: Using Bootstrapping and Portfolio Weight Resampling for Construction of Diversified Portfolios

Comparative Analysis of Multi-period Portfolio Strategies

On Optimal Risk/Return-Efficient Arbitrage Portfolio

Multistage Stochastic Programming Model of Portfolio Selection for Life Insurance Companies in China

A Novel Hybrid Intelligent Model for Financial Time Series Forecasting and Its Application

An Adaptive Filtering Technique for Time Series Search

Robustness Analysis and Algorithm of Expected Shortfall Based on Extreme-Value Block Minimum Model

A TEI@I-Based Integrated Framework for Port Logistics Forecasting

The Volatility of Return, Trading Volume and Amount in Different Scales

Tools for a New Demand Forecasting Paradigm "Individual Demand Forecasting'

American Options Pricing on Multi-core Graphic Cards

Analysis of ERP II Implementing Option Problem with Asymmetric Information

Warrant Pricing Model with Autocorrelated Underlying Stock Returns

Warrant Pricing Bias in China's Stock Market and Its Causes

A Fast Algorithm for Solving the Pricing of American Options

Optimal Stopping with Model Uncertainty and Pricing the American Option

Pricing Longevity Bonds Based on Stochastic Mortality Forecasting by Panel Data Procedures

Investment Value of Convertible Bonds Based on Binary Tree

Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates

The Investment-Uncertainty Relationship in a Real Option Model

Capital Requirement and Allocation for Insurance Companies by the Co-TailVaR-Based Insolvency Exchange Option Method

How to Calculate the Stockholders' Cost of Stock Option Incentive

Stock Fluctuations Anomaly Detection Based on Wavelet Modulus Maxima

Application of Discretization in the Use of Logistic Financial Rating

Integration of Internal Control and Risk Management

A Markovian Model for Default Risk in a Network of Sectors

The Study on Hedging Model Based on Risk Tolerance of Hedgers

Risk and Cost Analysis in Supply Chain Structure with Simulation

Nonlinear VaR Model of FX Options Portfolio Based on Importance Sampling Technique

On the Time to Ruin for Erlang(2) Risk Model in a Markov Environment

Inventory Replenishment Model for Perishable Products in Two-Level Supply Chain

The Revenue Sharing Contract Design of the Closed-Loop Supply Chain Coordination with Loss-Averse Retailer

Demand Disruptions and Coordination of a Supply Chain with Convex Production Cost Function

The Compensation Model for Default-Risk of Corporate Bonds in China under Kalman Filter

An Integrated Risk Management Model for Financial Institutions

Simple Analysis on the Function of Risk Management in Construction Enterprises Development

Fuzzy Quality Synthetic Evaluation on Project Investment Decision

The Delta Hedging's Application in Credit Risk Management

Empirical Analysis of Chinese Open-Ended Fund's Liquidity Risk

A Scheduling Strategy for OLAM Tasks and Its Application in a Financial BI System

A New Approach with Convex Hull to Measure Classification Complexity of Credit Scoring Database

A New Classification Method for PCA-Based Face Recognition

A New Research Field: Intelligent Knowledge Management

Organizational Structure Mining Based on Workflow Logs

A Survey of Interestingness Measures for Association Rules

A Study of the Gap from Data Mining to Its Application with Cases

A Time-and-Times-Limited Strong Direct Anonymous Attestation Scheme

Research on Mining Association Rules in Distributed System

Modeling and Analysis of Manufacture System Using a SPN Approach

A Strategy of Semantic Information Extraction for Web Image

The Design of Customer Satisfaction Analysis Model Based on Hierarchical Fuzzy System

Price Decisions for Used-Products Considering Its Impact on New-Product-Demand

Impact of Consumer's Life-Level on R/M Integrated Supply Chain Management

A Study on the Relationship between Native and Customers' Information of the Enterprise

The Architecture and Implementation of the New Generation Business System in a Commercial Bank

A Comparative Study of Centralized and Decentralized Decision Making on Flexibility Investment

The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination

The Road to Decision-Centric Business Intelligence

Decision Support Model and Simulation for Knowledge Transfer in Innovation Networks

Risk Control for Cost Uncertainty in Dynamic Oligopolistic Competition

The Determinants of Passenger Load Factor for Chinese Airline Industry

An Integrated Model for a Single-Manufacturer Multi-retailer Supply Chain with Poisson Demand

Hypothetical Queries on Multidimensional Dataset

Real Estate Investment Decision-Making Based on Analytic Network Process

A Balanced Performance Measurement Scorecard Approach for Product Service Systems

Personal Life-Cycle Financial Planning Decision Model

Reliability and Sensitivity Analysis of Extension Group Decision-Making

Algorithm and Application of a Kind of Quadratic Integer Programming Model

Computational Modeling Methods in e-Business and Strategic Banking Management: The Case of e-Banking Sector

A Utility-Based Recommendation Approach for E-Commerce Websites Based on Bayesian Networks

Blue Arrow: A Web-Based Spatially-Enabled Decision Support System for Emergency Evacuation Planning

Credit Risk and Policy of Digital Content Production Online Trading

Cooperative Advertising in a Dual Channel

Trust Study of E-Commerce in China Based on B2C Model

An Intelligent Recommendation Method of E-Commerce Based on Ontology

An Analysis on Green Supply Chain Management in E-Commerce under the Economic Globalization

The Cooperation Method of Product Quality Control Based on Holonic Structure for Extended Enterprises

A Game Analysis of the Relationship among Government, Mobile Operator and Finance Organization in China Mobile Payment Industry Chain

Management Innovation Strategies in E-commerce Era

Credit Asymmetry of Buyers and Sellers in E-Commerce

Supply Planning for a Closed Loop Supply Chain with Uncertain Demand and Price-Dependent Stochastic Return

Is International Oil Price Chaotic? - Empirical Evidence from Spot Market

Building Consumer Trust in Food Suppliers: The Case of Dairy Processors in China

Forecasting of Customs Export Based on Gray Theory

Marketing Intelligence on Customer Experiential Values: An Structural Equation Model Approach

Some Bounds of Outstanding Claims Reserve Distribution by NBUE

Management Appraisal of the City Bus System Based on Unascertained Measure

A Method of Gear Fault Detection Based on Wavelet Transform

Visual Analysis of Customer Data in Commercial Banks

Transfer Knowledge via Relational K-Means Method

Four Kinds of Trigonometric Spline Curves with Shape Parameter

Research on Modeling Framework of the Interactive Artificial Stock Market and the Main Structure Model

Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model

A Tree Model for Pricing Convertible Bonds with Equity, Market and Default Risk

Loan Pricing of City Commercial Banks for Small Enterprises Based on Relationship-Lending

Lunar Phases Effect in Chinese Stock Returns

The Contribution Quantity of Credit Enhancement of Financial Instruments with Asset-Backed Securitization Structure

Empirical Test of Size Effect in China Stock Market

Game Analysis of Cooperative Pollution Control of River Basin

Restricted Shares Reducing, Market Reaction and the Optimum Strategy

Game Analysis of China Central Bank's Adjustment of Interest Rates

Banzhaf Value for Games with Restriction

Research on Supply Chain Coordination under the Price-Sensitivity of Demand

R&D Strategy and Cournot Competition with Labor-Managed and Profit-Maximizing Firms

Perspectives on the Enterprise Competitive Intelligence as Well as the Win-Win Cooperation in the Price War Based on the Analysis of the Prisoner's Dilemma

A Game Analysis of the Mergers and Acquisitions of Foreign Capital Based on the Perspective of Industry Security

The Relationship between Prices of Domestic and Foreign Futures Market

Modeling of Variance Swap and Improved Control Variate for Monte Carlo Method

Pricing Model for Earthquake CAT Bonds

Learning Process of Uninformed Traders and Information Efficiency

The Probability of Informed Trading Based on VAR Model

Referral Limit Policy for the Credit Authorization Process

Study on Commercial Bank Credit Risk Based on Information Asymmetry

A Copula Method for Correlation of Credit Rating Migration

On Consumer Credit Scoring Based on Multi-criteria Fuzzy Logic

Empirical Study of Nonparametric Model of Interest Rate Term Structure Based on Different Kernel Functions

Estimating Equilibrium Real Exchange Rate and Real Exchange Rate Misalignment of Chinese Yuan: 1980-2007

The Composition of Shares and Corporate Performance: Evidence from Shenzhen Stock Market

The Relationship between Corporate Governance and Corporate Performance in China's Civilian-Owned Listed Enterprise

Banks' Corporate Governance and Merger

Financial Development and Economic Growth Based on the Panel Data (1994-2005) of All Provinces in China

Empirical Analysis of GARCH Effect for Mixed Jump of Shanghai Security Index

The Future Development of Credit Derivatives in China from the View of Financial Crisis

Market Reaction of the Restricted Shares Reducing: Mechanism and Features

Market Reaction to Consideration in Nontradable Share Reform

Do Mutual Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

A Structure Analysis and Trend Prediction of the Population Development in China

The DEA Operational Efficiency Evaluation of Credit Guarantee Institutions

The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market

Dynamic Linkages between Stock Market Volatility and Macroeconomic Variables: Empirical Evidence Based on China

The Effect of Internal Cash Flow on the Investment of Chinese Listed Companies

Financing Mode of Restoration and Preservation of China's Groundwater

Financial Development and Economic Growth in Central Region of China: An Empirical Analysis

A Decomposition of Total Factor Productivity Growth in China's Steel Industry: A Stochastic Frontier Approach

Hotel Revenue Management Theories and Applications

Bank M&A Efficiency under the Condition of Economic Globalization

Study on VaR Forecasts Based on Realized Range-Based Volatility

Publisher's Information

Empirical Test of Size Effect in China Stock Market

Content Provider	IEEE Xplore Digital Library
Author	Shaoni Zhou Jie Zhang
Copyright Year	2009
Abstract	In order to test the existence of “Size Effect” in stock market in China, which is probably affected by the reform of non-tradable shares of listed companies in 2005, a FM regression method is used in this paper. By choosing SSE and SZSE stocks from 2005 to 2007 as entire study samples, we inspect the relationship between the size and earnings. As a risk factor to impact rate of return, firm size is turned to Logarithm. Then FM regression is done on the rate of return. Empirical result indicates that, different from previous studies, there is no “Size Effect” in Shanghai and Shenzhen A-share market between 2005 and 2007, which means “Size Effect” is indeed influenced by the reform of non-tradable shares of listed companies.
Starting Page	691
Ending Page	694
File Size	264716
Page Count	4
File Format	PDF
ISBN	9780769537054
DOI	10.1109/BIFE.2009.161
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-07-24
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Estimation theory Conference management Financial management Statistics size effect Engineering management Investments Pricing empirical test non-tradable shares reform Stock markets Portfolios Testing
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in