Uncertainty shocks of Trump election in an interval model of stock market
文献类型：期刊论文
| 作者 | Sun, Yuying1,2; Qiao, Kenan1,2,3; Wang, Shouyang1,2,4 |
| 刊名 | QUANTITATIVE FINANCE
 |
| 出版日期 | 2020-08-29 |
| 页码 | 15 |
| 关键词 | Interval dummy variables Interval time series Nonlinear minimum-distance estimator Range volatility Trump election |
| ISSN号 | 1469-7688 |
| DOI | 10.1080/14697688.2020.1800070 |
| 英文摘要 | This paper proposes a new class of nonlinear interval models for interval-valued time series. By matching the interval model with interval observations, we develop a nonlinear minimum-distance estimation method for the proposed models, and establish the asymptotic theory for the proposed estimators. Superior to traditional point-based methods, the proposed interval modelling approach can assess the change in both the trend and volatility simultaneously. Within the proposed interval framework, this paper examines the impact of the 2016 US presidential election (henceforth Trump election) on the US stock market as a case study. Considering the validity of daily high-low range as a proxy of market efficiency, we employ an interval-valued return to jointly measure the fundamental value movement and market efficiency simultaneously. Empirical results suggest a strong evidence that the Trump election has increased the level/trend and lowered the volatility of the S&P 500 index in both ex ante and ex post analysis. Furthermore, a longer half-life period for the impact on fundamental value (62.4 days) than high-low range (15.9 days) has shown that the impact of Trump's victory on fundamental value is more persistent than its impact on market efficiency. |
| 资助项目 | National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71701199] ; National Natural Science Foundation of China[71871213] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[71973116] ; National Natural Science Foundation of China[201601] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[201601] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000566956600001 |
| 出版者 | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/52172]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Qiao, Kenan |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 3.Univ Groningen, Fac Econ & Business, Groningen, Netherlands 4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Yuying,Qiao, Kenan,Wang, Shouyang. Uncertainty shocks of Trump election in an interval model of stock market[J]. QUANTITATIVE FINANCE,2020:15. |
| APA | Sun, Yuying,Qiao, Kenan,&Wang, Shouyang.(2020).Uncertainty shocks of Trump election in an interval model of stock market.QUANTITATIVE FINANCE,15. |
| MLA | Sun, Yuying,et al."Uncertainty shocks of Trump election in an interval model of stock market".QUANTITATIVE FINANCE (2020):15. |
入库方式： OAI收割
来源：数学与系统科学研究院
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