Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)

Multiscale Event Study of Private Placement Announcement Effect

Authors
Yuling Zhao
Corresponding Author
Yuling Zhao
Available Online May 2014.
DOI
https://doi.org/10.2991/iccia.2012.252How to use a DOI?
Keywords
component, Private Placement, empirical mode decomposition, event study,
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.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)
Series
Advances in Intelligent Systems Research
Publication Date
May 2014
ISBN
978-94-91216-41-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/iccia.2012.252How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yuling Zhao
PY  - 2014/05
DA  - 2014/05
TI  - Multiscale Event Study of Private Placement Announcement Effect
BT  - Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)
PB  - Atlantis Press
SP  - 1029
EP  - 1032
SN  - 1951-6851
UR  - https://doi.org/10.2991/iccia.2012.252
DO  - https://doi.org/10.2991/iccia.2012.252
ID  - Zhao2014/05
ER  -