Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/23574

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題名:	Variation of interest-rate parity and its asymmetry on stock return in a jump-diffusion process
作者:	Chiou, Jer-shiou;Lee, Ming-chih;Wu, Pei-shan
貢獻者:	淡江大學財務金融學系
日期:	2006-11-01
上傳時間:	2009-11-30 17:45:09 (UTC+8)
出版者:	Taylor & Francis
摘要:	Two-stage methodology is developed to verify how the unanticipated asymmetry variations affect the stock returns. A GARCH model is investigated on residuals from a CIP identification followed by an ARJI model examination of the stock return. Consequently, a negative exogenous change can result of a more downward impact on stock return. Although this exogenous change is environmental, it could be implicated in macro-data. Because of the similarity in politics and economics, Korea and Taiwan were considered. Based upon the derivation of CIP, stock returns are found to be asymmetrically sensitive to the environment. The conditional jumps are larger than those where the news is of no substance. The findings demonstrate the importance of the stability.
關聯:	Applied Financial Economics 16(17), pp.1309-1316
DOI:	10.1080/09603100500447495
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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