English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49647/84944 (58%)
Visitors : 7705684      Online Users : 51
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72543


    Title: Permanent and Transitory Components in the Chinese Stock Market: The ARJI-Trend Model
    Authors: Chiang, Shu-Mei;Yeh, Chin-Piao;Chiu, Chien-Liang
    Contributors: 淡江大學財務金融學系
    Keywords: ARJI-trend model;jump;permanent component;structural break;transitory component
    Date: 2009-05
    Issue Date: 2011-10-24 10:32:47 (UTC+8)
    Publisher: Armonk: M.E. Sharpe, Inc.
    Abstract: This study applies the ARJI-trend model in conjunction with the procedure proposed by Bai and Perron (2003) to investigate the coexistence of permanent and transitory components and time-varying jumps in the A and B stock market indices of the Shanghai and Shenzhen Stock Exchanges. Although the response to outside innovations is greater within the transitory component, it is short-lived; conversely, though there is a high level of persistence in the trend, new information has only a lesser effect on the permanent component. Jump variance can also affect total variance, though the effect is far lower than the variance for generalized autoregressive conditional heteroskedasticity. Accordingly, the market risk appears small. The reaction to news is heterogeneous within the Shanghai and Shenzhen indices; this may be the result of various market characteristics. During event periods, the permanent component, transitory components, and jump intensity are larger than their averages. After an upward trend, markets return to regular conditions over time. In sum, the total long-run risks within China's market seem low, though speculators can use the sizable transitory component of market fluctuation to engage in arbitrage activities. However, from the viewpoint of asset allocation regarding the trading noise in the Shenzhen B market, we suggest that rational investors deploy more funds in this market and less in the Shanghai A market to avoid a high degree of risk.
    Relation: Emerging Markets Finance and Trade 45(3), pp.35-55
    DOI: 10.2753/REE1540-496X450303
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML128View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback