• 제목/요약/키워드: Regime-Switching Regression

검색결과 3건 처리시간 0.019초

The COVID-19 and Stock Return Volatility: Evidence from South Korea

  • Pyo, Dong-Jin
    • East Asian Economic Review
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    • 제25권2호
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    • pp.205-230
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    • 2021
  • This study examines the impact of the number of coronavirus cases on regime-switching in stock return volatility. This study documents the empirical evidence that the COVID-19 cases had an asymmetric effect on the regime of stock return volatility. When the stock return is in the low volatility regime, the probability of switching to the high volatility regime in the next trading day increases as the number of cumulative cases increases. In contrast, in the high volatility regime, the effect of cumulative cases on the transition probability is not statistically significant. This study also documents the evidence that the government measures against the pandemic contribute to promoting the high volatility regime of the KOSPI during the pandemic. Besides, this study projects future stock prices through the Monte Carlo simulation based on the estimated parameters and the predicted number of the COVID-19 new cases. Under a scenario where the number of new cases rapidly increases, stock price indices in Korea are expected to be in a downward trend over the next three months. On the other hand, under the moderate scenario and the best scenario, the stock indices are likely to continue to rise.

A Sectoral Stock Investment Strategy Model in Indonesia Stock Exchange

  • DEFRIZAL, Defrizal;ROMLI, Khomsahrial;PURNOMO, Agus;SUBING, Hengky Achmad
    • The Journal of Asian Finance, Economics and Business
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    • 제8권1호
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    • pp.15-22
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    • 2021
  • This study aims to obtain a stock investment strategy model based on the industrial sector in Indonesia Stock Exchange (IDX). This study uses IDX data for the period of January 1996 to December 2016. This study uses the Markov Regime Switching Model to identify trends in market conditions that occur in industrial sectors on IDX. Furthermore, by using the Logit Regression Model, we can see the influence of economic factors in determining trends in market conditions sectorally and the probability of trends in market conditions. This probability can be the basis for determining stock investment decisions in certain sectors. The results showed descriptively that the stocks of the consumer goods industry sector had the highest average return and the lowest standard deviation. The trend in sectoral stock market conditions that occur in IDX can be divided into two conditions, namely bullish condition (high returns and low volatility) and bearish condition (low returns and high volatility). Differences in the conditions are mainly due to differences in volatility. The use of a Logit Regression Model to produce probability of market conditions and to estimate the influence of economic factors in determining stock market conditions produces models that have varying predictive abilities.

Impact of Public Information Arrivals on Cryptocurrency Market: A Case of Twitter Posts on Ripple

  • Gunay, Samet
    • East Asian Economic Review
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    • 제23권2호
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    • pp.149-168
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    • 2019
  • Public information arrivals and their immediate incorporation in asset price is a key component of semi-strong form of the Efficient Market Hypothesis. In this study, we explore the impact of public information arrivals on cryptocurrency market via Twitter posts. The empirical analysis was conducted through various methods including Kapetanios unit root test, Maki cointegration analysis and Markov regime switching regression analysis. Results indicate that while in bull market positive public information arrivals have a positive influence on Ripple's value; in bear market, however, even if the company releases good news, it does not divert out the Ripple from downward trend.