A Research on Efficiency of Stock Market-Cointegration Allowing Regime Shift

• Main Authors: Guan-Ting Shen, 沈冠廷
• Other Authors: Mei-Se Jian
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/71260816528795625542

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 94 === ABSTRACT In the past, many literatures have investigated the efficient of the stock market. However, the result of studies was ambiguous for applying different data and econometrics methods. Most relative researches applied the method without allowing for regime shift. This study will use the method which allow for regime shift. In this study, the method allowing regime shift are Zivot and Andrews(1992) unit root test and Gregory and Hansen(1996)cointegration test. In this paper, Hansen(2002) fully modified estimation is also used to estimate parameters. The result shows that index future and index of Taiwan are cointegrated, but intercept of regression is not 0 and slope was not 1. Market of U.S, have the same result. Besides,the important events may cause regime shift are also analysed in this study.