Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs
學年 99
學期 2
出版(發表)日期 2011-05-01
作品名稱 Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs
作品名稱(其他語言)
著者 Ho, Hwai-Chung; Lin, Chien-Chih
單位 淡江大學財務金融學系
出版者 Abingdon: Routledge
著錄名稱、卷期、頁數 Applied Economics Letters 18(10), pp.955-959
摘要 This study provides theoretical and empirical evidences of the effects of heterogeneous beliefs on asset volatility when agents' level of confidence differs. We derive a stock price formula that is applied to simulating stock volatility using Monte Carlo method. Through the simulation results, we observe that the influence of heterogeneous beliefs on volatility depends on the confident agents' level of optimism. Some empirical results are provided to confirm those observations.
關鍵字
語言 en
ISSN 1350-4851 1466-4291
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Ho, Hwai-Chung
審稿制度
國別 GBR
公開徵稿
出版型式 紙本 電子版
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