期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2013-01-01 |
| 作品名稱 | Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) Evidence from net oil export and import groups |
| 作品名稱（其他語言） | |
| 著者 | Nieh, Chien-Chung; Yao, Hsueh-Chu |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Advances in Management and Applied Economics 3(2), pp.179-192 |
| 摘要 | In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and exchange rate as the control variables. Our results support the use of a nonlinear model to elucidate the behavior both groups. We found that all beta values are positive and higher in the low regime (i.e., volatility of world market excess return is low) and lower in the high regime (i.e., volatility of world market excess return is high). For the net oil export group, the crude oil price change percentage is positive in the high regime, but the exchange rate percentage change is positive in the low regime. For the net oil import group, in both the low and high regimes, changes in crude oil price and exchange rate have equally positive effects on the individual market excess return. |
| 關鍵字 | CAPM, crude oil price; exchange rate; panel smooth transition regression model (PSTR); Schwarz's inequality; Triangle inequality |
| 語言 | en_US |
| ISSN | 1792-7544; 1792-7552 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | GRC |
| 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/987654321/92927 ) |