This paper develops and estimates a continuous-time model of the term structure of interests under regime shifts. The model features an analytically simple representation of Markov regime shifts that helps elucidate the effect of regime shifts on the yield curve and give a clear interpretation...

We use transactions data to explore the magnet effects of price limit rules on the Shanghai Stock Exchange (SHSE). When limit hits are imminent, stock prices are found to approach the price limits at faster rates, with higher trading intensity and larger price variation, supporting the magnet...

An asymmetric jump-diffusion model of stock price behavior is proposed. In an extension of Merton's (1976), we posit that returns dynamics are determined by a drift component, a Wiener process and two jump processes representing the arrival of quot;goodquot; or quot;badquot; news that lead to...

The double exponential jump-diffusion (DEJD) model, recently proposed by Kou (2002) and Ramezani amp; Zeng (1998), generates a highly skewed and leptokurtic distribution and is capable of matching key features of stock and index returns. Moreover, DEJD leads to tractable pricing formulas for...

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even...

The prosperity of emerging technology may be triggered by the occurrence of rare events, and once emerging technology booms, there may be an enormous market demand for it. This paper explores the firm's commercial and R&D investment decisions on emerging technology in real options framework. We...

This paper investigates the predictability of moving average rules for the China stock market. We find that buy signals generate higher returns and less volatility, while returns following sell signals are negative and more volatile. Moreover, the bootstrapping results indicate that the...