Return Forecasting and Risk Analysis of Purchasing New Issues in Chinese Primary Market Based on Simulation

Author

Zhao, Weiya ; Zheng, Xiutian

Author_Institution

Sch. of Stat. & Math., Zhejiang Gongshang Univ., Hangzhou

Volume

4

fYear

2008

fDate

18-20 Oct. 2008

Firstpage

621

Lastpage

625

Abstract

Based on simulation, we research the return and risk of purchasing new issues in Chinese primary market. The major conclusions of the paper are listed below: (1) an investor can make more profit if he sells a new issue at closing price rather than opening price on its first trading day; (2) purchasing a new issue in the primary market can get no-risk return in general; (3) we get the fact that the rate of successfully purchasing a new issue in the primary market plays more important role in return than percentage increase on first trading day by sensitivity analysis.

Keywords

forecasting theory; purchasing; risk analysis; sensitivity analysis; stock markets; Chinese primary market; purchasing risk analysis; return forecasting; sensitivity analysis; Analytical models; Chemical industry; Companies; Economic forecasting; Investments; Mathematics; Predictive models; Risk analysis; Security; Stock markets; Simulation; profit forcasting; risk analysis; sensitivity analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Fuzzy Systems and Knowledge Discovery, 2008. FSKD '08. Fifth International Conference on

Conference_Location

Jinan Shandong

Print_ISBN

978-0-7695-3305-6

Type

conf

DOI

10.1109/FSKD.2008.421

Filename

4666459