Mean Reversion in Stock markets: Band-TAR Model

碩士 === 國立臺北大學 === 經濟學系 === 96 === Detecting mean reversion is in order to evidence market inefficiency. Many studies about mean reversion are in terms of Summers’ (1986) idea-stock price is composed of random walk and stationary components. They suggest that mean reversion is due to contrarian inves...

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Bibliographic Details
Main Authors: LIU,HSIN-TZU, 劉欣姿
Other Authors: CHEN,CHUNCHIH
Format: Others
Language:zh-TW
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/96363961517460562303