scholarly journals The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility

2020 ◽  
Vol 12 (8) ◽  
pp. 3322
Author(s):  
Panpan Wang ◽  
Tsungwu Ho ◽  
Yishi Li
Keyword(s):  
Structural Change ◽  
Causal Relationship ◽  
Structural Breaks ◽  
Structural Changes ◽  
Threshold Effect ◽  
Market Volatility ◽  
Stock Index ◽  
Volume Relationship ◽  
Volume Equation ◽  
Relationship Of

The price–volume relationship of stocks can be impacted substantially by structural changes and market volatility. In this paper, we analyze China’s stock market behavior and subsequent price–volume equation, with emphasis on two periods of market volatility and structural changes during 2007–2008 and 2015–2016. To account for the impacts of unknown volatility and time breaks, we embed the price–volume relationship into a vector autoregression (VAR) framework with structural breaks and volatility thresholds. Our results indicate that significant time-breaking effects exist and that the high-low volatility effects are substantial. Finally, in its entirety, we identify only a linear causal relationship from price to volume.

Modelling Regulatory Change V's Volume, of Trading Effects in HSIF and HSI Volatility

2008 ◽  
Vol 11 (01) ◽  
pp. 47-59 ◽  
Author(s):  
Gerard Gannon ◽  
Siu Pang Au-Yeung
Keyword(s):  
Trading Volume ◽  
Structural Breaks ◽  
Structural Changes ◽  
Systematic Approach ◽  
Futures Market ◽  
Likelihood Ratio Tests ◽  
Market Volatility ◽  
Regulatory Change ◽  
Index Futures ◽  
Dummy Variables

In an earlier paper, we adopted a bi-variate BEKK–GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market surrounding the Asian markets crisis. In this paper, we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant. There is some evidence that the Sequential Arrival of Information Model (SIM) provides a platform to explain these market induced effects when volume of trade is accounted for.

Expression and Solution NMR Study of Multi-site Phosphomimetic Mutant BCL-2 Protein

2019 ◽  
Vol 26 (6) ◽  
pp. 449-457
Author(s):  
Ting Song ◽  
Keke Cao ◽  
Yu dan Fan ◽  
Zhichao Zhang ◽  
Zong W. Guo ◽  
...  
Keyword(s):  
Structural Change ◽  
Structural Biology ◽  
Quantum Coherence ◽  
Structural Changes ◽  
Solution Nmr ◽  
Flexible Loop ◽  
Loop Region ◽  
Loop Domain ◽  
Nmr Study ◽  
Binding Groove

Background: The significance of multi-site phosphorylation of BCL-2 protein in the flexible loop domain remains controversial, in part due to the lack of structural biology studies of phosphorylated BCL-2. Objective: The purpose of the study is to explore the phosphorylation induced structural changes of BCL-2 protein. Methods: We constructed a phosphomietic mutant BCL-2(62-206) (t69e, s70e and s87e) (EEEBCL- 2-EK (62-206)), in which the BH4 domain and the part of loop region was truncated (residues 2-61) to enable a backbone resonance assignment. The phosphorylation-induced structural change was visualized by overlapping a well dispersed 15N-1H heteronuclear single quantum coherence (HSQC) NMR spectroscopy between EEE-BCL-2-EK (62-206) and BCL-2. Results: The EEE-BCL-2-EK (62-206) protein reproduced the biochemical and cellular activity of the native phosphorylated BCL-2 (pBCL-2), which was distinct from non-phosphorylated BCL-2 (npBCL-2) protein. Some residues in BH3 binding groove occurred chemical shift in the EEEBCL- 2-EK (62-206) spectrum, indicating that the phosphorylation in the loop region induces a structural change of active site. Conclusion: The phosphorylation of BCL-2 induced structural change in BH3 binding groove.

Statistical Approaches to Structural Change in Regional Interindustry Models

1986 ◽  
Vol 18 (9) ◽  
pp. 1189-1207
Author(s):  
B Ó Huallacháin
Keyword(s):  
Structural Change ◽  
Structural Changes ◽  
Washington State ◽  
Multivariate Statistical Analyses ◽  
Input Output ◽  
Multivariate Statistical ◽  
State Data ◽  
System A ◽  
Statistical Approaches ◽  
The Impact

The conventional approach to assessing structural change in regional input – output tables is to measure the impact of coefficient change on the estimation of outputs and multipliers. The methods developed and tested in this paper focus exclusively on the coefficients. Univariate and multivariate statistical analyses can be used to identify and measure various types of changes ranging from coefficient instability to changes in interindustry relationships as a system. A distinction is made between structural changes in input relationships and those in output relationships. The methods are tested by using Washington State data for the years 1963 and 1967. The results are compared with previous analyses of change in these data.

Convergence in per capita carbon footprint and ecological footprint for G7 countries: Evidence from panel Fourier threshold unit root test

2021 ◽  
pp. 0958305X2110114
Author(s):  
Veli Yilanci ◽  
Muhammed Sehid Gorus ◽  
Sakiru Adebola Solarin
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Changes ◽  
Unit Root Test ◽  
G7 Countries ◽  
Convergence Hypothesis ◽  
International Climate ◽  
Per Capita ◽  
Nonlinear Behaviors ◽  
Nonlinear Unit Root Tests

This paper aims to explore the convergence of per capita carbon and ecological footprints in G7 countries during 1961–2016. For this purpose, we propose a new unit root test in the panel setting–the panel Fourier threshold unit root test. This test takes into consideration both multiple smooth structural changes and nonlinearity. According to the literature, the power of the nonlinear unit root tests is reduced in the case of ignoring structural breaks. Therefore, we expect to get more reliable empirical findings by utilizing this methodology. The empirical results of this paper show that these series have nonlinear behaviors for the period 1961–2016. Furthermore, they demonstrate that the absolute convergence hypothesis is valid in G7 countries for both regimes. Thus, governments can conduct common environmental policies, including international climate summits and agreements, instead of national-based policies to mitigate environmental deterioration in their countries.

Do Lower Foreign Flows and Higher Domestic Flows Reduce Indian Equity Market Volatility?

2021 ◽  
pp. 097226292199098
Author(s):  
Vaibhav Aggarwal ◽  
Adesh Doifode ◽  
Mrityunjay Kumar Tiwary
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Markets ◽  
Large Scale ◽  
Structural Changes ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Equity Investments ◽  
Net Equity ◽  
Indian Stock Market

This study examines the relationship that both domestic and foreign institutional net equity flows have with the India stock markets. The motivation behind is the study to examine whether increased net equity investments from domestic institutional investors has reduced the influence of foreign equity flows on the Indian stock market volatility. Our results indicate that only during periods in which domestic equity inflows surpass foreign flows by a significant margin, as seen during 2015–2018, is the Indian stock market volatility not significantly influenced by foreign equity investments. However, during periods of re-emergence of strong foreign net inflows, the Indian market volatility is still being impacted significantly, as has been observed since 2019. Furthermore, we find that both large-scale net buying and net selling by domestic funds increased the stock market volatility as observed during 2015–2018 and COVID-impacted year 2020 respectively. The implications of this study are multi-fold. First, the regulators should discuss with industry bodies before enforcing major structural changes like reconstituting of mutual fund investment mandate in 2017 which forced domestic funds to quickly change portfolio allocation amongst large-cap, mid-cap and small-cap stocks resulting in higher stock market volatility. Second, adequate investor educational and awareness programmes need to be conducted regularly for retail investors to minimize herd behaviour of investing during market rise and heavy redemptions at times of fall. Third, the economic policies should be stable and forward-looking to ensure foreign investors remain attracted to the Indian stock markets at all times.

Sign in / Sign up

Export Citation Format

Share Document