English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 52047/87178 (60%)
造訪人次 : 8705572      線上人數 : 170
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95350

    題名: Comparison in VAR, MARS, and PISPLINE Models for Testing Market Efficiency Hypothesis
    作者: 倪衍森
    貢獻者: 淡江大學管理科學研究所
    關鍵詞: 市場效率;股票市場;VAR模型;MARS模型;PISPLINE模型;Market Efficiency;Stock Market;Var Model;Mars Model;Pispline Model
    日期: 1997-06
    上傳時間: 2014-02-12 02:19:19 (UTC+8)
    摘要: In testing MEH (Market Efficiency Hypothesis), VAR models are used in this area. For example, we could check the Granger (1969) causality result in a VAR model, and find if there is joint significance from a policy variable to a stock market. Besides, we also could check if there is any lag effect form a particular lag to the stock market. If we find any lag effect or Granger causality results, we might conclude a stock market are not consistent with market efficiency hypothesis. Since the Stock Market Efficiency (SME) hypothesis contends that there should be no significant lagged relationship between policy variables and stock markets, because current stock prices reflect all publicly available information on a policy moves, as mentioned in Darrat (1990). However, when we set a model by using past data, we seem set a general pattern for the data behavior. For example, we could set a VAR model includes how many lags in right hand side variables after choosing appropriate lags by criteria. However, it might be questioned to do this, since the behavior will change their pattern during the data period, as mentioned in Lucas's critique. Therefore, it might not appropriate to use VAR models in testing MEH
    關聯: 中國財務學會一九九七財務金融研討會論文集=Proceedings of the Chinese Finance Association Annual Conference,頁41285
    顯示於類別:[管理科學學系暨研究所] 會議論文


    檔案 大小格式瀏覽次數
    Comparison in VAR, MARS, and PISPLINE Models for Testing Market Efficiency Hypothesis_英文摘要.docx19KbMicrosoft Word71檢視/開啟



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