| dc.contributor | 經濟系 | |
| dc.creator (作者) | Chen, Shu-heng;Tsao, Chueh-yung | |
| dc.creator (作者) | 陳樹衡 | zh_TW |
| dc.date (日期) | 2004 | |
| dc.date.accessioned | 11-May-2015 14:51:04 (UTC+8) | - |
| dc.date.available | 11-May-2015 14:51:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-May-2015 14:51:04 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75076 | - |
| dc.description.abstract (摘要) | In this paper, we examine the information content in the trajectory- domain model proposed by Chen and He (2003). The data to be tested are three American stock indices, namely, the Dow Jones, Nasdaq, and S&P 500. We adopt two event study methods, the standardized- residual method (SRM) and the standardized cross-sectional method (SCSM), to test the abnormality of the aftermath return series. In addition, the GARCH-M plus MA(1) is regarded as the benchmark to be compared,with. It is found that some patterns of the models do transmit informative signals, but the signals are not persistent. They emerge during a period and then vanish, and vice versa | |
| dc.format.extent | 1226041 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | AI-ECON Research Center | |
| dc.subject (關鍵詞) | Financial modeling; self-organizing maps; event study methods; technical analysis | |
| dc.title (題名) | Information Content of the Trajectory-Domain Models | |
| dc.type (資料類型) | conference | en |
