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GARCH MODEL (2) answer(s).
 
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1
ID:   168340


Macroeconomic uncertainty, high-level innovation, and urban green development performance in Chin / Jin, Peizhen   Journal Article
Peizhen Jin Journal Article
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Summary/Abstract This study incorporates macroeconomic uncertainty and high-level innovation into the framework of urban green development performance analysis. The positive impact of macroeconomic uncertainty on high-level innovation is related to the economic level and geographical location of cities. In developed cities and coastal cities, positive incentives for high-level innovation depicted by invention patents and green technology patents are generated, but the impacts are not significant in less developed cities. The negative impact of macroeconomic uncertainty on green development performance of developed and coastal cities is not significant, but it has a more obvious inhibition effect in less developed cities; raising the proportion of high-level innovation helps to weaken this negative impact.
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2
ID:   093853


Stock return seasonalities and investor structure: evidence from China's B-share markets / Bohl, Martin T; Schuppli, Michael; Siklos, Pierre L   Journal Article
Bohl, Martin T Journal Article
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Publication 2010.
Summary/Abstract This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.
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