Thus, it can be seen from the table which has been mentioned above that under the significance level of 1%, the Chinese concept stock prices has a relationship with the Granger Causality of investor attention. Thus, the assumption has been verified. Thence, it can be seen that the rise of the Chinese concept stock prices can help in the rise of the investor’s attention.
Another test which is to be performed as the Impulse variation Test: The impulse variation test has been done in order to analyze the relationship between the Chinese concept stock prices and the attention of the foreign investors; the dynamic view of the impulse response analysis has been done. Impulse response analysis may be described as the condition in which there is the impulse response to the stock prices and the attention of the investors. The dynamic mechanism of the two different variables during 12 time periods can be given in the following figures:Impulse response analysis may be defined as the analysis which has been used for the description of the concept stock prices and the investor’s attention. From the above figures, it can be observed that one stock price standard deviation exerts a positive impulse on the attention of the investors in the first period. Also, this positive impulse reaches to its peak value in the fourth period. From this finding the assumption related to the impulse response analysis can be verified. From the figure 2, it can be observed that there has been a significant increase in the concept stock prices with the increase in the investor’s attention. The highest point has been attained in the fourth period which is 0.5 %. From the comparison of the two figures, it can be concluded that there is the rise in the price of concept stocks. When there is high rise in concept stocks, foreign investors wish to invest more and more. Also, the attention of the foreign investors leads to the further rise in the prices. This phenomenon is much more obvious at e beginning of the period.
In order to do the variation decomposition analysis, it is important to have the information of the common variation factors including the market factor, size factor or industry factor. The size and the market factor have been based on 9 portfolios, (LS, MS, HS, LM, MM, HM, LB, MB, HB) (These Portfolios have been mentioned in the table given below). The proxy value for the overall markets consists of the portfolio of the less investment in China firms.
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