کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5103347 | 1480104 | 2017 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively
ترجمه فارسی عنوان
حافظه طولانی در مورد توجه سرمایه گذاران غریب و ارتباط متقابل بین توجه غیرمعادن سرمایه گذار و حجم معاملات، نوسان پذیری
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Taking Baidu Index as a proxy for abnormal investor attention (AIA), the long memory property in the AIA of Shanghai Stock Exchange (SSE) 50 Index component stocks was empirically investigated using detrended fluctuation analysis (DFA) method. The results show that abnormal investor attention is power-law correlated with Hurst exponents between 0.64 and 0.98. Furthermore, the cross-correlations between abnormal investor attention and trading volume, volatility respectively are studied using detrended cross-correlation analysis (DCCA) and the DCCA cross-correlation coefficient (ÏDCCA). The results suggest that there are positive correlations between AIA and trading volume, volatility respectively. In addition, the correlations for trading volume are in general higher than the ones for volatility. By carrying on rescaled range analysis (R/S) and rolling windows analysis, we find that the results mentioned above are effective and significant.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 469, 1 March 2017, Pages 323-333
Journal: Physica A: Statistical Mechanics and its Applications - Volume 469, 1 March 2017, Pages 323-333
نویسندگان
Xiaoqian Fan, Ying Yuan, Xintian Zhuang, Xiu Jin,