期刊論文
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 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/58442 ) |