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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23585

    Title: Nonlinear short-run adjustments in US stock market returns
    Authors: Chang, Tsangyao;Yang, Ming-jing;聶建中;Nieh, Chien-chung;Chiu, Chi-chen
    Contributors: 淡江大學財務金融學系
    Date: 2008-07-01
    Issue Date: 2009-11-30 17:45:33 (UTC+8)
    Publisher: Taylor & Francis
    Abstract: Using the considerably powerful nonparametric cointegration tests proposed by Bierens (1997, 2004), we do not find any evidence indicative of the existence of rational bubbles in the US stock market during the long period of 1871 to 2002. In addition, with the application of a logistic smooth transition error-correction model designed to detect the nonlinear short-run adjustments to the long-run equilibrium, we also obtain substantial empirical evidence in favour of the so-called noise trader models where arbitrageurs are reluctant to immediately engage in trading when stock returns deviate insufficiently from their fundamental value.
    Relation: Applied Financial Economics 18(13), pp.1075-1083
    DOI: 10.1080/09603100701408148
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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