教師資料查詢 | 類別: 期刊論文 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題:Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) Evidence from net oil export and import groups
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
語言英文(美國)
ISSN1792-7544; 1792-7552
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別希臘
公開徵稿
出版型式紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!