A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets
碩士 === 臺灣大學 === 農業經濟學研究所 === 98 === The purpose of this study is to use the ARMA (1,1) to estimate the price adjustment coefficients for TAIEX index, sector indice and index futures among bull, bear, and consolidate markets during the period of March 13, 1996 through January 15, 2010. The main findi...
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/71144220829778487503 |
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ndltd-TW-098NTU054121322015-10-13T18:49:41Z http://ndltd.ncl.edu.tw/handle/71144220829778487503 A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets 多頭、空頭與盤整市場台股指數價格調整係數之比較 Cheng-Nan Tseng 曾振楠 碩士 臺灣大學 農業經濟學研究所 98 The purpose of this study is to use the ARMA (1,1) to estimate the price adjustment coefficients for TAIEX index, sector indice and index futures among bull, bear, and consolidate markets during the period of March 13, 1996 through January 15, 2010. The main findings from emprrical results are as follows. 1. It is very crucial to define bull, bear and consolidate markets in order to fully capture the pattern of price adustment procedure. 2. There is no partilcular price adjustment patern for individual market. 3. A turning point will appear whenever prices overreact or underreact to information in each market. Li-Fen Lei 雷立芬 2010 學位論文 ; thesis 79 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
| description |
碩士 === 臺灣大學 === 農業經濟學研究所 === 98 === The purpose of this study is to use the ARMA (1,1) to estimate the price adjustment coefficients for TAIEX index, sector indice and index futures among bull, bear, and consolidate markets during the period of March 13, 1996 through January 15, 2010. The main findings from emprrical results are as follows.
1. It is very crucial to define bull, bear and consolidate markets in order to fully capture the pattern of price adustment procedure.
2. There is no partilcular price adjustment patern for individual market.
3. A turning point will appear whenever prices overreact or underreact to information in each market.
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| author2 |
Li-Fen Lei |
| author_facet |
Li-Fen Lei Cheng-Nan Tseng 曾振楠 |
| author |
Cheng-Nan Tseng 曾振楠 |
| spellingShingle |
Cheng-Nan Tseng 曾振楠 A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets |
| author_sort |
Cheng-Nan Tseng |
| title |
A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets |
| title_short |
A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets |
| title_full |
A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets |
| title_fullStr |
A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets |
| title_full_unstemmed |
A Comparison of Price Adjustment Coefficients Among Bull, Bear, and Consolidate Markets |
| title_sort |
comparison of price adjustment coefficients among bull, bear, and consolidate markets |
| publishDate |
2010 |
| url |
http://ndltd.ncl.edu.tw/handle/71144220829778487503 |
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