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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/75076


    Title: Information Content of the Trajectory-Domain Models
    Authors: Chen, Shu-heng;Tsao, Chueh-yung
    陳樹衡
    Contributors: 經濟系
    Keywords: Financial modeling;self-organizing maps;event study methods;technical analysis
    Date: 2004
    Issue Date: 2015-05-11 14:51:04 (UTC+8)
    Abstract: 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
    Relation: AI-ECON Research Center
    Data Type: conference
    Appears in Collections:[經濟學系] 會議論文

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