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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/64934
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/64934


    Title: Application of Hidden Markov Switching Moving Average Model in Stock Markets: Theory and Empirical Evidence
    Authors: Lin, Shih-Kuei;Wang, S. Y.;Tsai, P. L.
    林士貴
    Contributors: 金融系
    Keywords: Stock return mean reversion;Hidden Markov chains;Moving average;EM algorithm
    Date: 2009-03
    Issue Date: 2014-03-27 10:00:07 (UTC+8)
    Abstract: In this paper, we propose a hidden Markov switching moving average model (MS-MA model) to extend the moving average model when the dynamic process of stock returns is predictable. That is, hidden Markov chain can be utilized to better describe the stock return dynamics when moving averages are correlated. Based on the MS-MA model, a recursive method of EM algorithm for parameter estimation is proposed and a numerical analysis is demonstrated. Furthermore, we empirically test the hidden Markov chain model using Dow Jones thirty stocks' data. The empirical results show that the dynamic process of stock returns exhibits MS-MA property, meaning the moving averages of stock returns are correlated. Therefore, the MS-MA model allows us to better understand and to predict stock return stochastic process. This model also helps in pricing equity derivatives.
    Relation: International Review of Economics and Finance,18(2), 306-317
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.iref.2008.06.010
    DOI: 10.1016/j.iref.2008.06.010
    Appears in Collections:[金融學系] 期刊論文

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