Comparison in VAR, MARS, and PISPLINE Models for Testing Market Efficiency Hypothesis
學年 85
學期 2
發表日期 1997-06-28
作品名稱 Comparison in VAR, MARS, and PISPLINE Models for Testing Market Efficiency Hypothesis
作品名稱（其他語言）
著者 倪衍森
作品所屬單位 淡江大學管理科學研究所
出版者
會議名稱 中國財務學會一九九七財務金融研討會=The Chinese Finance Association Annual Conference
會議地點 南投縣, 臺灣
摘要 In testing MEH (Market Efficiency Hypothesis), VAR models are used in this area. For example, we could check the Granger (1969) causality result in a VAR model, and find if there is joint significance from a policy variable to a stock market. Besides, we also could check if there is any lag effect form a particular lag to the stock market. If we find any lag effect or Granger causality results, we might conclude a stock market are not consistent with market efficiency hypothesis. Since the Stock Market Efficiency (SME) hypothesis contends that there should be no significant lagged relationship between policy variables and stock markets, because current stock prices reflect all publicly available information on a policy moves, as mentioned in Darrat (1990). However, when we set a model by using past data, we seem set a general pattern for the data behavior. For example, we could set a VAR model includes how many lags in right hand side variables after choosing appropriate lags by criteria. However, it might be questioned to do this, since the behavior will change their pattern during the data period, as mentioned in Lucas's critique. Therefore, it might not appropriate to use VAR models in testing MEH
關鍵字 市場效率;股票市場;VAR模型;MARS模型;PISPLINE模型;Market Efficiency;Stock Market;Var Model;Mars Model;Pispline Model
語言 en
收錄於
會議性質
校內研討會地點
研討會時間 19970628~19970628
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 中國財務學會一九九七財務金融研討會論文集=Proceedings of the Chinese Finance Association Annual Conference，頁41285
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