論文代寫-定期和不定期新聞公告的量化研究。用於理解如何建立對定期和不定期新聞公告的量化研究的主要文獻工作是Balduzzi等人(2001)在他們的研究工作“來自美國國債市場的經濟新聞和債券價格證據”。本文的關鍵問題是對新聞公告進行量化。根據研究，新聞公告可以顯著改變金融市場(Balduzzi et al.， 2001)。然而，它們是抽象的，難以量化。我們需要構建變量來量化不同類型和大小的新聞公告。為計劃發布構建一個偏差變量，為未計劃發布構建一個沖擊變量。當且僅當臨時新聞公告發生在第t天的收盤時間之後和第t天的收盤時間之前時，才會產生波動溢出效應。論文范文論文代寫-定期和不定期新聞公告的量化研究分享給留學生閱讀。
The main literature work used for understanding how to set up research on quantifying scheduled and unscheduled news announcements is that of the work of Balduzzi et al (2001) in their research work, ‘Economic News and Bond Prices Evidence from the U.S. Treasury Market’. The crucial issue of this thesis is to quantify the news announcement. News announcements according to research can change the financial market significantly (Balduzzi et al., 2001). However, they are abstract and difficult to quantify. We need to build variables to quantify different types and magnitudes of news announcements.
A deviation variable for the scheduled releases and a shock variable for the unscheduled ones are constructed. Unscheduled news announcements will have volatility spillovers effects day t if and only if it occurs after the closing time on day t-1 and before the closing time on day t.
This measure has been commonly used in the literature (e.g., Bekart and Harvey, 1995, Brenner et al., 2009; Jiang et al., 2011). We used the equation below to quantify the degree of surprise of news announcements.
Ei = (Ri – Fi)
Where Ei denotes the degree of surprise
Ri denotes the real value released
Fi denotes the forecast value
i denotes economic variable e.g. GDP.
Since units of measurement differ across economic variables, we divide the surprises by their standard deviation.
Si = Ei / SD
Where SD denotes the standard deviation
Si is the standardised surprise measure.
Secondary historical data collection has been carried out. The data collected will be tabulated and significant elements to be noted in indices (high levels and low levels) will be highlighted in the analytical test result section. The analytical test result section which follows this chapter on methods will not carry literature discussions. This will be handled in the discussions chapter.