關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Permanent and Transitory Components in the Chinese Stock Market

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1 97/2 財金系 邱建良 教授 期刊論文 發佈 Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model , [97-2] :Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model期刊論文Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend ModelChiang, Shu-Mei; Yeh, Chin-Piao; Chiu, Chien-Liang淡江大學財務金融學系ARJI-trend model;jump;permanent component;structural break;transitory componentArmonk: M.E. Sharpe, Inc.Emerging Markets Finance and Trade 45(3), pp.35-55This 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
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