Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑环环教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/1351847X.2011.606993 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/5WOS source URL
其它资讯
摘要By applying the deterministic heterogenous agent model developed by Huang et al. [Financial crises and interacting heterogeneous agents. Journal of Economic Dynamics and Control 34, no. 6: 110http://aims.cuhk.edu.hk/converis/portal/Publication/522], this paper examines the phenomena of asymmetric returns, gradual bubbles and sudden crashes. It shows that (i) returns are asymmetric because the most positive returns initiated by fundamentalist are attenuated by the selling force of chartists, while the most negative return initiated by chartists is hardly affected by the buying force of fundamentalists; (ii) bubbles arise gradually while crashes happen suddenly as the upward price movements are counterbalanced while the downward movements are enhanced by fundamentalists. It also shows for the first time that deterministic dynamic model can simultaneously generate a wide range of stylized facts common across financial markets, including those hardly duplicated by current heterogeneous agent models, such as long-range dependence.
着者Huang WH, Zheng HH, Chia WM
期刊名称EUROPEAN JOURNAL OF FINANCE
出版年份2013
月份http://aims.cuhk.edu.hk/converis/portal/Publication/5
日期1
卷号19
期次http://aims.cuhk.edu.hk/converis/portal/Publication/5
出版社ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
页次420 - 437
国际标準期刊号13http://aims.cuhk.edu.hk/converis/portal/Publication/51-847X
语言英式英语
关键词bubble; C61; crash; financial market; G12; G19; non-linear model; return asymmetry
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
