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政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/47286

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/47286

Title:	What Causes Persistence of Stock Return Volatility?One Possible Explanation with an Artificial Stock Market
Authors:	山本竜市 RYUICHI YAMAMOTO
Keywords:	Asset pricing;learning;evolution;volatility clustering
Date:	2006
Issue Date:	2010-10-19 22:09:59 (UTC+8)
Abstract:	This paper explores a possible cause of persistence in stock return volatility. Artificial stock markets are examined with different learning mechanisms, i.e. imitative and experiential learning. The simulation result shows that an economy with imitative learning gives rise to persistence of return volatility while an experiential learning economy does not. We find that volatility becomes persistent as investors learn through imitating the prediction methods of others. Imitation is crucial to producing the persistence in stock return volatility.
Relation:	New Mathematics and Natural Computation, Vol.2, No.3, pp.261-270
Data Type:	article
DOI link:	http://dx.doi.org/10.1142/S1793005706000555
DOI:	10.1142/S1793005706000555
Appears in Collections:	[Department of International Business] Periodical Articles

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