Tests of regime-switching CAPM under price limits

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 987654321/23728

請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23728

題名:	Tests of regime-switching CAPM under price limits
作者:	黃河泉;Huang, Ho-chuan
貢獻者:	淡江大學財務金融學系
關鍵詞:	CAPM;Price limit;Regime switching;Gibbs sampler;Data augmentation
日期:	2003-01-01
上傳時間:	2009-11-30 17:51:05 (UTC+8)
出版者:	Elsevier
摘要:	This paper incorporates two specific features in the test of capital asset pricing model (CAPM). The first, or empirical, one is to allow the systematic risk β to come from two different regimes to capture the instability found in the previous studies. The second, or institutional, one is to consider the censoring effect caused by the implementation of price limit regulation. Under price limit regulation, the observed returns need not be equal to the equilibrium ones if the closing prices reach limits. The caused econometric problems seem to be very challenging but can be resolved by the Gibbs sampler with data augmentation algorithm. A simple illustrative example is provided by using the data from the Taiwan Stock Exchange where the price limit system is adopted. The general results suggest that β's are unstable over time and the data may be consistent with CAPM in one regime but inconsistent in the other regime.
關聯:	International Review of Economics and Finance 12(3), pp.305-326
DOI:	10.1016/S1059-0560(03)00013-3
顯示於類別:	[財務金融學系暨研究所] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML	109	檢視/開啟
Tests of regime-switching CAPM under price limits.pdf		448Kb	Adobe PDF	2	檢視/開啟

在機構典藏中所有的資料項目都受到原著作權保護.

TAIR相關文章