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政大機構典藏 > 社會科學學院 > 經濟學系 > 會議論文 > Item 140.119/75076

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75076

Title:	Information Content of the Trajectory-Domain Models
Authors:	Chen, Shu-heng;Tsao, Chueh-yung 陳樹衡
Contributors:	經濟系
Keywords:	Financial modeling;self-organizing maps;event study methods;technical analysis
Date:	2004
Issue Date:	2015-05-11 14:51:04 (UTC+8)
Abstract:	In this paper, we examine the information content in the trajectory- domain model proposed by Chen and He (2003). The data to be tested are three American stock indices, namely, the Dow Jones, Nasdaq, and S&P 500. We adopt two event study methods, the standardized- residual method (SRM) and the standardized cross-sectional method (SCSM), to test the abnormality of the aftermath return series. In addition, the GARCH-M plus MA(1) is regarded as the benchmark to be compared,with. It is found that some patterns of the models do transmit informative signals, but the signals are not persistent. They emerge during a period and then vanish, and vice versa
Relation:	AI-ECON Research Center
Data Type:	conference
Appears in Collections:	[經濟學系] 會議論文

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