期刊論文
| 學年 | 96 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2008-07-01 |
| 作品名稱 | Nonlinear short-run adjustments in US stock market returns |
| 作品名稱（其他語言） | |
| 著者 | Chang, Tsangyao; Yang, Ming-jing; 聶建中; Nieh, Chien-chung; Chiu, Chi-chen |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Taylor & Francis |
| 著錄名稱、卷期、頁數 | Applied Financial Economics 18(13), pp.1075-1083 |
| 摘要 | Using the considerably powerful nonparametric cointegration tests proposed by Bierens (1997, 2004), we do not find any evidence indicative of the existence of rational bubbles in the US stock market during the long period of 1871 to 2002. In addition, with the application of a logistic smooth transition error-correction model designed to detect the nonlinear short-run adjustments to the long-run equilibrium, we also obtain substantial empirical evidence in favour of the so-called noise trader models where arbitrageurs are reluctant to immediately engage in trading when stock returns deviate insufficiently from their fundamental value. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0960-3107 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23585 ) |