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首页> 外文期刊>The Singapore economic review >CONDITIONAL JUMP DYNAMICS IN STOCK RETURNS: EVIDENCE FROM MIST STOCK EXCHANGES
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CONDITIONAL JUMP DYNAMICS IN STOCK RETURNS: EVIDENCE FROM MIST STOCK EXCHANGES

机译：股票收益中的条件跳跃动力学：来自薄雾股票交易所的证据

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摘要

This paper applies a conditional jump model that was proposed by Chan and Maheu (2002) to examine the stock market dynamics of Mexico, Indonesia, South Korea, and Turkey (MIST). We find that the conditional jump intensity parameter estimates are statistically significant and change dramatically between two sample periods. We show that a high probability of jumps today predicts a high probability of jumps in the next period. The impact of a previous shock to the next period's jump intensity is found to be higher in Turkey compared to other MIST countries. Contrary to the pervious literature, we discover that after a stock market crash, it is more likely to see a negative jump (drop) again in the stock exchanges of Mexico and Indonesia. Only in Turkey, it is more likely to see a positive jump after market crashes.
机译：本文应用了由Chan和Maheu（2002）提出的条件跳跃模型来研究墨西哥，印度尼西亚，韩国和土耳其（MIST）的股票市场动态。我们发现，条件跳跃强度参数估计值在统计上是显着的，并且在两个采样周期之间发生了巨大变化。我们表明，今天发生跳跃的可能性很高，因此可以预测下一个时期发生跳跃的可能性很高。与其他MIST国家相比，土耳其先前的冲击对下一时期的跳跃强度的影响更大。与以往的文献相反，我们发现在股市崩盘之后，墨西哥和印度尼西亚的证券交易所再次出现负跳动的可能性更大。仅在土耳其，市场崩盘后，它更有可能出现正增长。

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