English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52047/87178 (60%)
Visitors : 8700031      Online Users : 221
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/987654321/92927

    Title: Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) Evidence from net oil export and import groups
    Authors: Nieh, Chien-Chung;Yao, Hsueh-Chu
    Keywords: CAPM, crude oil price;exchange rate;panel smooth transition regression model (PSTR);Schwarz's inequality;Triangle inequality
    Date: 2013
    Issue Date: 2013-10-24 02:07:14 (UTC+8)
    Abstract: In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship between beta (systematic risk) and returns (world market excess returns) for net oil export and net oil import groups. We set the volatility of world market excess return as the threshold variable and the percentage changes of crude oil price and exchange rate as the control variables. Our results support the use of a nonlinear model to elucidate the behavior both groups. We found that all beta values are positive and higher in the low regime (i.e., volatility of world market excess return is low) and lower in the high regime (i.e., volatility of world market excess return is high). For the net oil export group, the crude oil price change percentage is positive in the high regime, but the exchange rate percentage change is positive in the low regime. For the net oil import group, in both the low and high regimes, changes in crude oil price and exchange rate have equally positive effects on the individual market excess return.
    Relation: Advances in Management and Applied Economics 3(2), pp.179-192
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    NY(2013-amae).pdf156KbAdobe PDF318View/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