The Determinants of Conditional Return Autocorrelation in Taiwan''s Stock Market
碩士 === 中國文化大學 === 國際貿易學系碩士班 === 92 === This study use univariate GARCH model and SUR model. We choose Taiwan Weighted Index and Taiwan Electronic Index. Samples from domestic stock market over the 1995 to 2003. We examine that factors affect return autocorrelation in Taiwan stock market. The empiri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96863774488223706353 |