On Post-selection Confidence Intervals in Linear Regression

The general goal of this thesis is to investigate and examine some issues about post-selection inference which arises from the setting where statistical inference is carried out after a datadriven model selection step. In this setting, the classical inference theory which requires a fixed priori model becomes invalid since the selected model is a result of random event. Hence, a common practice in applied research which ignores the model selection and builds up confidence interval will result in misleading or even false conclusion. In this thesis, specifically, we first discusses some examples to show how the classical inference theory loses validity after selection. Then we focus on the scenario of linear regression, and review two different interpretation views of parameters, i.e., full model view and and submodel view. We study the simultaneous post-selection inference solution under submodel view provided by Berk et al. [Ann. Stat. 41 (2013) 802-837] and carry out simulation to examine the results of Leeb, P¨otscher and Ewald. [Stat. Sci. 30 (2015) 216-227]

Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market

In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are: (a) that market-wide liquidity determines liquidity of individual stocks; (b) that liquidity varies with firm size; (c) that sectoral-based liquidity affects individual stock liquidities differently; and (d) that commonality in liquidity has an asymmetric effect. Based on a two-year dataset on the Shanghai and Shenzhen stock exchanges comprising of over 34 and 48 million transactions respectively, we find strong support for commonality in liquidity and a greater influence of industry-wide liquidity in explaining liquidity of individual stocks. Moreover, our results suggest that of the three main sectors – financial, industrial, and resources – industrial sector’s liquidity is most important in explaining individual stock liquidities. Finally, we do not find any evidence of size effects, and document an asymmetric effect of market-wide liquidity on liquidity of individual stocks.Commonality in Liquidity; Asymmetric Information; Size Effects; Chinese Stock Exchange.

Some hypothesis on commonality in liquidity: New evidence from the Chinese stock market

In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are: (a) that market-wide liquidity determines liquidity of individual stocks; (b) that liquidity varies with firm size; (c) that sectoral-based liquidity affects individual stock liquidities differently; and (d) that commonality in liquidity has an asymmetric effect. Based on a two-year dataset on the Shanghai and Shenzhen stock exchanges comprising of over 34 and 48 million transactions respectively, we find strong support for commonality in liquidity and a greater influence of industry-wide liquidity in explaining liquidity of individual stocks. Moreover, our results suggest that of the three main sectors â financial, industrial, and resources â industrial sector‟s liquidity is most important in explaining individual stock liquidities. Finally, we do not find any evidence of size effects, and document an asymmetric effect of market-wide liquidity on liquidity of individual stocks.Commonality in Liquidity; Asymmetric Information; Size Effects; Chinese

Eliciting Positive Responses to Refurbished Electronics Through Consumer Empowerment

Electronic waste (e-waste) has become the fastest-growing waste stream in the world, with small equipment accounting for a significant portion. Refurbished electronics can satisfy consumers\u27 device needs while enabling the appropriate reuse of replaced devices, promising a pathway to address the problem. However, research concerning consumer perceptions and behaviours towards refurbished electronics remains limited. This research investigates how to elicit consumers\u27 positive responses to refurbished electronics through message framing. Specifically, we suggest that framing the contribution to sustainability from a different perspective (consumers vs. manufacturers) could influence consumers with different personality traits, i.e., power distance belief (high vs. low). People with high power distance beliefs prefer advertisements that emphasise the contribution from the consumers\u27 viewpoint or perspective. Low power distance belief individuals respond indifferently to message frames. This differential effect is due to consumers\u27 perception of empowerment