DocumentCode
2393046
Title
Notice of Retraction
Economic Cycle, Economic Shocks and Small-Firm Effect: Evidence from China
Author
Tang Han-qing ; Guo Wen-wei
Author_Institution
Sch. of Econ. & Commerce, South China Univ. of Technol., Guangzhou, China
fYear
2010
fDate
7-9 May 2010
Firstpage
2912
Lastpage
2916
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Small-firm effect (SFE) has been confirmed widespread in stock market. How to identify SFE has been become an important investment strategy. The study makes empirical analysis on SFE during different economic circles in China. We also reveal the response of SFE to economic shocks with Vector Auto-Regression model. The result shows that there is a long-term SFE which is not significant in Chinese stock market. SFE is relatively significant along with bigger volatility under conditions such as higher interest rate, higher economic growth, increasing inflation rate, the slower exchange appreciation and modest fluctuations of stock market. The volatility of stoke market pay the biggest impact on SFE, followed by the exchange rate. On the contrary, the impact from inflation rate and gross domestic product is weaker. The impact of shock from exchange rate and interest rate lasts about 10 months while other variables´ impact lasts within 6 months.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Small-firm effect (SFE) has been confirmed widespread in stock market. How to identify SFE has been become an important investment strategy. The study makes empirical analysis on SFE during different economic circles in China. We also reveal the response of SFE to economic shocks with Vector Auto-Regression model. The result shows that there is a long-term SFE which is not significant in Chinese stock market. SFE is relatively significant along with bigger volatility under conditions such as higher interest rate, higher economic growth, increasing inflation rate, the slower exchange appreciation and modest fluctuations of stock market. The volatility of stoke market pay the biggest impact on SFE, followed by the exchange rate. On the contrary, the impact from inflation rate and gross domestic product is weaker. The impact of shock from exchange rate and interest rate lasts about 10 months while other variables´ impact lasts within 6 months.
Keywords
economic cycles; economic indicators; regression analysis; stock markets; China; economic circle; economic cycle; economic shock; investment strategy; small firm effect; stock market; vector autoregression model; Biological system modeling; Economic indicators; Erbium; Indexes; Macroeconomics; Stock markets; Economic circle; Economic shock; Small-firm effect; Vector auto-regression model;
fLanguage
English
Publisher
ieee
Conference_Titel
E-Business and E-Government (ICEE), 2010 International Conference on
Conference_Location
Guangzhou
Print_ISBN
978-0-7695-3997-3
Type
conf
DOI
10.1109/ICEE.2010.736
Filename
5590460
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