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 en_US
ISSN 1792-7544; 1792-7552
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 GRC
公開徵稿
出版型式 紙本
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