This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our...

This paper investigates whether or not there is co-waved merger and acquisition (M&A) activity in 26 OECD countries. We apply the Markov Switching model to panel data (MSP hereafter), an approach which has not previously been attempted. Two distinct regimes are recognized in emerge from M&A...

In this paper the stochastic behavior of the returns on real estate investment trusts (REITs) is examined by using the unobserved component Markov switching (UC-MS) model. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the...

Using 16 OECD stock price indices data, this paper revisits the random walk hypothesis by inspecting the degree of persistence of stock prices. We adopt two recently developed econometric procedures, due to Hansen (1999) and Romano and Wolf (2001), in order to estimate 95% confidence intervals...

This article explores which of two hypotheses, market segmentation or investor sentiment, determines the behaviour of Closed-End Country Funds (CECFs) with the inclusion of risk factors. The risk factors are proxied volatility, as estimated with a Bivariate Markov-switching Autoregressive...

This paper intends to investigate the duration dependent feature of Taiwan's business cycles. The constant Markov switching model is revised to take account of the duration dependent feature. The most innovative findings herein are that there is no duration dependence for contraction for the...

Using Taiwan data, the study employs Hamilton's (2001) flexible regression model to investigate the relationship between inflation and inflation uncertainty. The results convincingly support Friedman's hypothesis that a rise in the inflation rate increases inflation uncertainty. This result,...

This paper finds an asymmetric swing in Taiwan's exchange rate. In contrast to the developed countries, whose exchange rates exhibit long swings in both appreciation and depreciation regimes, the long swing only exists in an appreciation regime for Taiwan. A short swing, however, is found during...