{"title":"交易弹性系数估计市场即时性的三种方法","authors":"Richard Wamalwa Wanzala","doi":"10.1016/j.jfds.2018.02.006","DOIUrl":null,"url":null,"abstract":"<div><p>This paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (<em>CET3</em>). The data from Nairobi Securities Exchange has been used to estimate market immediacy (proxied by three versions of <em>CET</em>; that is, <em>CET1</em>, <em>CET2</em> and <em>CET3</em>). On the other hand, macroeconomic data on economic growth, general government final consumption expenditure, foreign direct investment (<em>FDI</em>) and inflation for the same period were obtained from Kenya National Bureau of Statistics. An Ordinary Least Square (OLS) regression with economic growth as a regressand and market immediacy and macroeconomic array of conditional information set as regressors have been used to determine which version of <em>CET</em> is more robust than the rest. The diagnostic tests consisted among others Granger causality, Augmented Dicker Fuller test (ADF) and Autoregressive Distributed Lag (ARDL) model analysis. The OLS regression <em>p</em>-values, Adjusted <em>R</em><sup><em>2</em></sup> and standard errors demonstrate that <em>CET3</em> is a better measure of market immediacy than <em>CET1</em> and <em>CET2</em>.</p></div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfds.2018.02.006","citationCount":"9","resultStr":"{\"title\":\"Estimation of market immediacy by Coefficient of Elasticity of Trading three approach\",\"authors\":\"Richard Wamalwa Wanzala\",\"doi\":\"10.1016/j.jfds.2018.02.006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (<em>CET3</em>). The data from Nairobi Securities Exchange has been used to estimate market immediacy (proxied by three versions of <em>CET</em>; that is, <em>CET1</em>, <em>CET2</em> and <em>CET3</em>). On the other hand, macroeconomic data on economic growth, general government final consumption expenditure, foreign direct investment (<em>FDI</em>) and inflation for the same period were obtained from Kenya National Bureau of Statistics. An Ordinary Least Square (OLS) regression with economic growth as a regressand and market immediacy and macroeconomic array of conditional information set as regressors have been used to determine which version of <em>CET</em> is more robust than the rest. The diagnostic tests consisted among others Granger causality, Augmented Dicker Fuller test (ADF) and Autoregressive Distributed Lag (ARDL) model analysis. The OLS regression <em>p</em>-values, Adjusted <em>R</em><sup><em>2</em></sup> and standard errors demonstrate that <em>CET3</em> is a better measure of market immediacy than <em>CET1</em> and <em>CET2</em>.</p></div>\",\"PeriodicalId\":36340,\"journal\":{\"name\":\"Journal of Finance and Data Science\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.jfds.2018.02.006\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Finance and Data Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2405918817300740\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Finance and Data Science","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405918817300740","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"Mathematics","Score":null,"Total":0}
Estimation of market immediacy by Coefficient of Elasticity of Trading three approach
This paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (CET3). The data from Nairobi Securities Exchange has been used to estimate market immediacy (proxied by three versions of CET; that is, CET1, CET2 and CET3). On the other hand, macroeconomic data on economic growth, general government final consumption expenditure, foreign direct investment (FDI) and inflation for the same period were obtained from Kenya National Bureau of Statistics. An Ordinary Least Square (OLS) regression with economic growth as a regressand and market immediacy and macroeconomic array of conditional information set as regressors have been used to determine which version of CET is more robust than the rest. The diagnostic tests consisted among others Granger causality, Augmented Dicker Fuller test (ADF) and Autoregressive Distributed Lag (ARDL) model analysis. The OLS regression p-values, Adjusted R2 and standard errors demonstrate that CET3 is a better measure of market immediacy than CET1 and CET2.