The Determinants of Conditional Return Autocorrelation and effect factors for US,Japan,and Korea Stock Market.
碩士 === 開南管理學院 === 財務金融系碩士班 === 93 === This study divides two section: first , we use univariate GARCH model to examine return autocorrelation in US, Japan, Taiwan and Korea stock market. Second , we use SUR model to examine that factors affect return autocorrelation in US, Japan, Taiwan and Korea st...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/95325513596479013866 |