The Empirical Study of Stock Market Returns in Smooth Transition Autoregressive Model

• Main Authors: Yu-Han Lee, 李宥翰
• Other Authors: Wu-Jen Chuang
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/71844158646906873414

碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === This paper examines the nonlinear dynamics in stock returns which includes Taiwan、 South Korea、Singapore、Honk Kong、Japan、United States of America and China by using Smooth Transition Autoregressive Model (STAR) and using the lag of stock return as the transition variable. Under the STAR model made by Teräsvirta (1992), we have several results. First, the lags of stocks return are different in each country. Meanwhile, all countries have two thresholds and three regimes. Moreover, all stock returns can be explained by Quadratic Logistic Smooth Transition Autoregressive Model (QLSTAR). By crossing the thresholds fastest and smoothest, the stock returns will have different nonlinear dynamics behaviors. Furthermore, the faster and smoothness regime change is the Shanghai Composite Index; the slowest is the Straits Times Index. Finally, the Shanghai Composite Index has the largest distance between two thresholds; the TSEC weighted index has the smallest distance between the two thresholds.