The influence of Taiwan’s stock market on Bitcoin’s price under Taiwan’s monetary policy threshold
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DOI: 10.1080/00036846.2020.1751802
Abstract: ABSTRACT This study uses a smooth transition autoregressive model with exogenous variables (STARX) to investigate whether there is a nonlinear relationship between Bitcoin and Taiwan’s stock market taking into account Taiwan’s monetary policy threshold during… read more here.
Keywords: taiwan stock; taiwan monetary; monetary policy; stock market ... See more keywords
Reverse-Engineering and Real Options–Adjusted CAPM in the Taiwan Stock Market
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DOI: 10.1080/1540496x.2016.1193484
Abstract: ABSTRACT Previous studies have addressed many anomalies that violate the capital asset pricing model (CAPM). However, recent studies have employed either the reverse-engineering (RE) approach or the options-adjusted approach to verify the validity of CAPM… read more here.
Keywords: taiwan stock; stock market; options adjusted; reverse engineering ... See more keywords
Effects of Transparency on Herding Behavior: Evidence from the Taiwanese Stock Market
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DOI: 10.1080/1540496x.2018.1504289
Abstract: ABSTRACT This study combines the concepts of information asymmetry from classical finance theory and herding behavior from modern behavioral finance theory to investigate whether herding behavior exists in the Taiwan stock market. Scores from the… read more here.
Keywords: herding behavior; stock market; taiwan stock; finance ... See more keywords
Regime-Switching Processes and Mean-Reverting Volatility Models in Value-at-Risk Estimation: Evidence from the Taiwan Stock Index
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DOI: 10.1080/1540496x.2019.1609442
Abstract: ABSTRACT This article develops a model that can accurately forecast the volatility of Taiwan stock returns and efficiently estimate value-at-risk (VaR). Because the volatility in the Taiwan stock market has been shown to die down… read more here.
Keywords: value risk; volatility; volatility models; taiwan stock ... See more keywords