Historical High and Stock Index Returns: Application of the Regression Kink Model
碩士 === 銘傳大學 === 財務金融學系碩士班 === 105 === Motivated by Kahneman and Tversky (1979) and Yuan (2015), this paper investigates whether the influence of the historical high ratio on subsequent stock index returns varies with the distance of the current stock index to its historical high. To explore this iss...
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ndltd-TW-105MCU002140072017-08-03T04:23:18Z http://ndltd.ncl.edu.tw/handle/04291246344795187799 Historical High and Stock Index Returns: Application of the Regression Kink Model 歷史高點和股票指數報酬:拗折迴歸模型之應用 Lin, Ching 林 經 碩士 銘傳大學 財務金融學系碩士班 105 Motivated by Kahneman and Tversky (1979) and Yuan (2015), this paper investigates whether the influence of the historical high ratio on subsequent stock index returns varies with the distance of the current stock index to its historical high. To explore this issue, a regression kink model with an unknown threshold proposed by Hansen (2016) is used for our analyses. Using data from visible stock indices for U.S. and Asian countries, our empirical evidence shows the presence of threshold effects for most of the U.S. and Asian stock indices. Moreover, the evidence indicates that the historical high ratio has a strong negative effect on subsequent stock index returns, as the current stock index price is far from its historical high. Overall, these findings support the prospect theory developed by Kahneman and Tversky (1979), in that investors are instinctively risk-seeking (averse) when they face a loss (gain). Lee, Hsiu-Chuan Chang, Shu-Lien 李修全 張書濂 2017 學位論文 ; thesis 53 en_US |
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碩士 === 銘傳大學 === 財務金融學系碩士班 === 105 === Motivated by Kahneman and Tversky (1979) and Yuan (2015), this paper investigates whether the influence of the historical high ratio on subsequent stock index returns varies with the distance of the current stock index to its historical high. To explore this issue, a regression kink model with an unknown threshold proposed by Hansen (2016) is used for our analyses. Using data from visible stock indices for U.S. and Asian countries, our empirical evidence shows the presence of threshold effects for most of the U.S. and Asian stock indices. Moreover, the evidence indicates that the historical high ratio has a strong negative effect on subsequent stock index returns, as the current stock index price is far from its historical high. Overall, these findings support the prospect theory developed by Kahneman and Tversky (1979), in that investors are instinctively risk-seeking (averse) when they face a loss (gain).
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author2 |
Lee, Hsiu-Chuan |
author_facet |
Lee, Hsiu-Chuan Lin, Ching 林 經 |
author |
Lin, Ching 林 經 |
spellingShingle |
Lin, Ching 林 經 Historical High and Stock Index Returns: Application of the Regression Kink Model |
author_sort |
Lin, Ching |
title |
Historical High and Stock Index Returns: Application of the Regression Kink Model |
title_short |
Historical High and Stock Index Returns: Application of the Regression Kink Model |
title_full |
Historical High and Stock Index Returns: Application of the Regression Kink Model |
title_fullStr |
Historical High and Stock Index Returns: Application of the Regression Kink Model |
title_full_unstemmed |
Historical High and Stock Index Returns: Application of the Regression Kink Model |
title_sort |
historical high and stock index returns: application of the regression kink model |
publishDate |
2017 |
url |
http://ndltd.ncl.edu.tw/handle/04291246344795187799 |
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