One date, one break?
One date, one break?
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一次约会，一次休息？
DOI：
10.1007/s00181-010-0436-x
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发表时间：
2011
影响因子：
3.2
通讯作者：
S. Law
中科院分区：
文献类型：
--
作者：
M. Karoglou;Panicos O. Demetriades;S. Law
这篇论文论证了，将官方自由化日期作为唯一存在的突破日期的传统方法，可能会导致对潜在自由化政策的效果得出不准确的结论。它还提出了另一种范式，以获得对官方放开日期和/或其他重要市场事件前后波动性变化的更稳健估计。通过聚焦于5个东亚新兴市场，所有这些新兴市场都在最近放开了金融市场，并利用结构变化计量经济学的最新进展，它表明：(I)股市回报波动性检测到的突破日期可能与正式放开日期截然不同，(Ii)使用官方放开日期很容易导致不准确的推断。相比之下，与关注官方的自由化日期相比，使用数据驱动的技术来检测多重结构性变化，会产生更丰富、不可避免地更准确的波动率演变模式。
This paper demonstrates that the conventional approach of using official liberalisation dates as the only existing breakdates could lead to inaccurate conclusions as to the effect of the underlying liberalisation policies. It also proposes an alternative paradigm for obtaining more robust estimates of volatility changes around official liberalisation dates and/or other important market events. By focusing on five East Asian emerging markets, all of which liberalised their financial markets in the late, and by using recent advances in the econometrics of structural change, it shows that (i) the detected breakdates in the volatility of stock market returns can be dramatically different to official liberalisation dates and (ii) the use of official liberalisation dates as breakdates can readily entail inaccurate inference. In contrast, the use of data-driven techniques for the detection of multiple structural changes leads to a richer and inevitably more accurate pattern of volatility evolution emerges in comparison with focussing on official liberalisation dates.
打破股票收益的非正态性
DOI：
10.1080/13518470902872343
发表时间：
2009
期刊：
The European Journal of Finance
影响因子：
--
作者：
Karoglou M
通讯作者：
Karoglou M