Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market

被引：0
|
作者：
Hunag, Yu-Lieh [1 ]
机构：
[1] Natl Tsing Hua Univ, Dept Quantitat Finance, Hsinchu, Taiwan
来源：
APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 14期
关键词：
BEAR MARKETS; BULL; MODELS; BETAS;
D O I：
10.1080/13504850701578793
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this article, we apply the innovation regime-switching model, recently proposed by Kuan et al. (2005, JBES), to identify turbulent and calm regimes in stock prices. Based on the predictions of both regimes, we construct simple trading rules and investigate their profitability. Our results suggest that the proposed trading rules outperform the buy-and-hold strategy.
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页码：1477 / 1481
页数：5
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