教師資料查詢 | 類別: 期刊論文 | 教師: 邱建良 CHIU CHIEN-LIANG (瀏覽個人網頁)

標題:Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model
學年97
學期2
出版(發表)日期2009/05/01
作品名稱Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model
作品名稱(其他語言)
著者Chiang, Shu-Mei; Yeh, Chin-Piao; Chiu, Chien-Liang
單位淡江大學財務金融學系
出版者Armonk: M.E. Sharpe, Inc.
著錄名稱、卷期、頁數Emerging Markets Finance and Trade 45(3), pp.35-55
摘要This study applies the ARJI-trend model in conjunction with the procedure proposed by Bai and Perron (2003) to investigate the coexistence of permanent and transitory components and time-varying jumps in the A and B stock market indices of the Shanghai and Shenzhen Stock Exchanges. Although the response to outside innovations is greater within the transitory component, it is short-lived; conversely, though there is a high level of persistence in the trend, new information has only a lesser effect on the permanent component. Jump variance can also affect total variance, though the effect is far lower than the variance for generalized autoregressive conditional heteroskedasticity. Accordingly, the market risk appears small. The reaction to news is heterogeneous within the Shanghai and Shenzhen indices; this may be the result of various market characteristics. During event periods, the permanent component, transitory components, and jump intensity are larger than their averages. After an upward trend, markets return to regular conditions over time. In sum, the total long-run risks within China's market seem low, though speculators can use the sizable transitory component of market fluctuation to engage in arbitrage activities. However, from the viewpoint of asset allocation regarding the trading noise in the Shenzhen B market, we suggest that rational investors deploy more funds in this market and less in the Shanghai A market to avoid a high degree of risk.
關鍵字ARJI-trend model;jump;permanent component;structural break;transitory component
語言英文
ISSN1540-496X;1558-0938
期刊性質國外
收錄於SSCI
產學合作
通訊作者Chiang, Shu-Mei
審稿制度
國別美國
公開徵稿
出版型式紙本;電子版
相關連結
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