Nonlinear Mean Reversion in Finnish Stock Returns: A Mean Impact Analysis

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Lataukset:

Kirja ostettavissa Granumista
Tekijä(t):	Sarkar, Saikat
Väitöskirjan nimi:	Nonlinear Mean Reversion in Finnish Stock Returns: A Mean Impact Analysis
Vuosi:	2008
Väitöspäivä:	2008-05-12
Tiedekunta:	Kauppa- ja hallintotieteiden tiedekunta
Laitos:	Taloustieteiden laitos
Oppiaine:	Kansantaloustiede
Verkkojulkaisusarja:	Acta Electronica Universitatis Tamperensis : 712
ISBN (pdf):	978-951-44-7279-4
Julkaisija:	Tampere University Press
Painettu sarja:	Acta Universitatis Tamperensis : 1305
ISBN (print):	978-951-44-7278-7
Asiasanat:	Nonlinear mean reversion; Mean impact curve; Asymmetry; News
URN:	urn:isbn:978-951-44-7279-4
Tiivistelmä:	A new framework referred to as the mean impact curve (MIC), is used to model and test for nonlinear mean reversion in stock returns. The MIC mea- sures how news is incorporated into the conditional mean of asset returns, thereby providing an extension of the news impact curve of Engle and Ng (1993) which measures the relationship between news and conditional volatility. An explicit parametric specification of the MIC is derived from a model where investors follow heterogeneous trading strategies. The empirical results show strong evidence of significant nonlinearities in the Finnish stock index and some of its components. The shape of the MIC for these stocks shows that there is mean aversion in the conditional mean for small shocks, but mean reversion for large shocks.

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