A Three-Regime Model of Speculative Behaviour : Modelling The Evolution of The S & P 500 Composite Index  

Oleh:

Brooks, Chris ; Katsaris, Apostolos

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 115 no. 505 (Jul. 2005), page 767-797.
Topik: S&P 500; three regime model; behaviour; evolution; S & P 500 composite index
Fulltext: 767.pdf (703.81KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.19 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We examine whether a three - regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S & P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three - regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy - and - hold strategy.

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