Nonlinear short-run adjustments in US stock market returns
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
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