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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72521


    Title: Jump Risk of Presidential Election: Evidence from Taiwan Stock and Foreign Exchange Markets
    Authors: Hung, Jui-cheng;Jiang, Shi-jie;Chiu, Chien-liang
    Contributors: 淡江大學財務金融學系
    Date: 2007-07
    Issue Date: 2011-10-24 10:31:49 (UTC+8)
    Publisher: Routledge
    Abstract: This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data better than the GARCH-jump model. Secondly, the Presidential election events enhance the jump intensity of both markets and the jump-induced variance is higher than diffusion-induced variance. It reveals the importance of the discrete jump process during a Presidential election period, and might provide some implications for option pricing or hedging strategy. Due to the intervention of the Central Bank in the foreign exchange market during a Presidential election period, the results indicate that jump intensity and volatility of jump size are more moderate.
    Relation: Applied Economics 39(17), pp.2231-2240
    DOI: 10.1080/00036840600749458
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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