Multiscale Event Study of Private Placement Announcement Effect

Yu Ling Zhao

doi:10.4028/www.scientific.net/AMR.756-759.3011

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 756-759Multiscale Event Study of Private Placement...

Multiscale Event Study of Private Placement Announcement Effect

Abstract:

The importance of understanding the underlying characteristics of private placement Announcement Effect attracts much attention from academic researchers and financial practitioners. Due to the overwhelming complexity of the financial market, many traditional methods such as intervention method and event study fail to produce consistently good analysis results. Empirical Mode Decomposition (EMD), proposed by Huang et al., appears to be a promising data analysis method for nonlinear and non-stationary time series. In this paper, innovative EMD-based multi-scale event analysis method is proposed to estimate the impact of Announcement Date Effect on stock price volatility, and then take illustrative FangDa Group (000055 in Shenzhen Stock Market) to verify the effectiveness of the proposed method. The case study results show that this approach is a promising method from the multi-scale point of view to analyze the impact of Announcement Date Effect in stock market.

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Periodical:

Advanced Materials Research (Volumes 756-759)

Pages:

3011-3015

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.756-759.3011

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Online since:

September 2013

Authors:

Yu Ling Zhao

Keywords:

Component, Empirical Mode Decomposition (EMD), Event Study, Private Placement

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