Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models
碩士 === 國立中山大學 === 財務管理學系研究所 === 99 === In this paper, we use a Fama-French model and Markov regime-switching model to capture time series behavior of many financial variable. Alternatively, classification by cluster analysis help to learn the different characteristics of the sample between stock ret...
Main Authors: | Hsun-Chiang Li, 李訓強 |
---|---|
Other Authors: | Chou-Wen Wang |
Format: | Others |
Language: | zh-TW |
Published: |
2011
|
Online Access: | http://ndltd.ncl.edu.tw/handle/69721075326478656529 |
Similar Items
-
The analysis of behavior in Taiwan stock Market return-apply Markov Switching model
by: Tseng, Fen-Jen, et al.
Published: (1998) -
Investigating Volatility in stock returns and Analysis of Spillovers For Asia Emerging Markets : Markov regime switching model
by: Shih,Chun-Yu, et al.
Published: (2009) -
A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns
by: Emmanuel K. Oseifuah, et al.
Published: (2019-03-01) -
The Determinants of Stock Returns on CASSH Countries:The Application of Markov Switching Model
by: Chia-Hsin Ku, et al.
Published: (2014) -
Empirical Study on Trend-Factor Trading Strategies in Taiwanese Stock Market with Markov Regime Switch Regression Models
by: YI-TING KO, et al.
Published: (2018)