Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/57172
Title: On Asymmetric Market Model with Heteroskedasticity and Quantile Regression
Authors: Cathy W.S. Chen
Muyi Li
Nga T.H. Nguyen
Songsak Sriboonchitta
Keywords: Computer Science
Economics, Econometrics and Finance
Issue Date: 1-Jan-2017
Abstract: © 2015, Springer Science+Business Media New York. The capital asset pricing model is widely used in financial risk management due to its simplicity and utility in a variety of situations. Many of the constructs of this market model are widely used in investment, but the simple assumptions of a constant beta coefficient and variance in the original market model are not convincing from the empirical viewpoint. In this paper we propose a general asymmetric market model embedding both the leverage effect of market news and the previous return to express the instability of beta and the error with heteroskedasticity to capture the time-varying conditional variance. Because extreme values occur quite frequently in financial markets, the quantile regression is employed to explore the different behaviors in the market beta and lagged autoregressive effect for different quantile levels. We analyze fifteen stocks, which are heavily traded in the Dow Jones Industrial Average, to demonstrate the empirical performance of our methodology. The evidence indicates that each market beta and impact of negative news vary with different quantile levels, capturing different states of market conditions.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84950265347&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/57172
ISSN: 15729974
09277099
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.