文章基本信息

标题：Tehran Stock Exchange dynamics in a Markov regime switching EGARCH-in-mean model
本地全文：下载
作者：Reza Raee ; Shapoor Mohmadi ; Alireza Saranj 等
期刊名称：Financial Research
印刷版ISSN：1024-8153
电子版ISSN：2423-5377
出版年度：2015
卷号：16
期号：1
页码：77-98
出版社：University of Tehran Electronic Journals Database
摘要：This paper examines regime shifts in TEDPIX return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using Markov switching EGARCH model with Student’s t-distribution. We detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance regime namely bull state so that the expected duration of bull state is more than twice as long as the other one. The results show that the external variables involving positive and negative crude oil shocks and gold price fluctuations significantly impact neither on the equity return nor on transition probability between regimes but they have significant effect on the stock market volatility.
关键词：positive and negative crude oil shocks;Markov switching model;transition probability