期刊論文
| 學年 | 99 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2011-04-11 |
| 作品名稱 | Jump risk of Presidential election: evidence from Taiwan stock and foreign exchange markets |
| 作品名稱（其他語言） | |
| 著者 | Hung, Jui-cheng; Jiang, Shi-jie; Chiu, Chien-liang |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Applied Economics 39(17), p.2231-2240 |
| 摘要 | This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data better than the GARCH-jump model. Secondly, the Presidential election events enhance the jump intensity of both markets and the jump-induced variance is higher than diffusion-induced variance. It reveals the importance of the discrete jump process during a Presidential election period, and might provide some implications for option pricing or hedging strategy. Due to the intervention of the Central Bank in the foreign exchange market during a Presidential election period, the results indicate that jump intensity and volatility of jump size are more moderate. |
| 關鍵字 | |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | SSCI NotTSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126747 ) |