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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62063

    Title: Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market
    Authors: Yu-Lieh Huang
    教師: 黃裕烈
    Date: 2009
    Publisher: Routledge
    Relation: ROUTLEDGE,Applied Economics Letters, 16, 1477-1481
    Keywords: BEAR MARKETS
    Abstract: In this article, we apply the innovation regime-switching model, recently proposed by Kuan et al. (2005, JBES), to identify turbulent and calm regimes in stock prices. Based on the predictions of both regimes, we construct simple trading rules and investigate their profitability. Our results suggest that the proposed trading rules outperform the buy-and-hold strategy.
    URI: http://www.tandf.co.uk/
    Appears in Collections:[計量財務金融學系] 期刊論文

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