کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7383387 1480432 2018 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Temporary price trends in the stock market with rational agents
ترجمه فارسی عنوان
روند موقت قیمت در بازار سهام با عوامل منطقی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
The paper contributes to the study of the features of temporary trends in stock indexes using an equilibrium approach with rational agents. It shows that the diffusion of significant fundamental information generates a Z-type aggregate demand function that leads to the occurrence of such a phenomenon as an imbalance (or disequilibrium). Pricing analysis under imbalance reveals that, with the exception of the independence of consecutive returns, there is a nonlinearity in mean that can be empirically detected using a threshold model or a regime switching model. The proposed model facilitates the convergence of the equilibrium approach with the methodology of evolutionary economics and can also be useful in studies of financial fragility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 68, May 2018, Pages 103-117
نویسندگان
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