Detail Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis (Journal of Economics and Business 80) Bibliografi Author: Velinov, Anton ; Chen, Wenjuan Topik: Markov switching model; Structural vector autoregression; Heteroskedasticity; Stock price fundamentals Bahasa: (EN )     Tahun Terbit: 2015     Jenis: Article - diterbitkan di jurnal ilmiah internasional Fulltext: Do stock prices.pdf (1.66MB; 3 download) Abstract We re-examine the dynamic relations between stock pricesand macroeconomic fundamentals for six major industrializedcountries in the wake of the recent financial crisis. Our analysisis based on a structural vector autoregressive (SVAR) model, whichrelies on a long-run restriction to identify fundamental and non-fundamental shocks to stock prices. This paper is the first in thisline of literature to formally test the identifying restriction. We doso by means of a Markov switching-SVAR (MS-SVAR) model in het-eroskedasticity. We generally find that it is supported by the data.Our structural analysis shows that after the 2008 financial crisis,stock prices tend to fall in line with their fundamentals for all sixcountries investigated. In general, we observe a self-correction ofstock prices towards their fundamental values. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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