Estimating behavioural heterogeneity under regime switching
Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and cha...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/107489 http://hdl.handle.net/10220/17330 http://dx.doi.org/10.1016/j.jebo.2012.02.014 |
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| author | Chiarella, Carl He, Xue-Zhong Huang, Weihong Zheng, Huanhuan |
| author2 | School of Humanities and Social Sciences |
| author_facet | School of Humanities and Social Sciences Chiarella, Carl He, Xue-Zhong Huang, Weihong Zheng, Huanhuan |
| author_sort | Chiarella, Carl |
| collection | NTU |
| description | Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and chartists with Markov chain regime-dependent expectations and applying the S&P 500 data from January 2000 to June 2010, we show that the estimation of the model matches well with the boom and bust periods in the US stock market. In addition, we find evidence of time-varying behavioural heterogeneity within-group and that the model exhibits good forecasting accuracy. |
| first_indexed | 2024-10-01T04:20:26Z |
| format | Journal Article |
| id | ntu-10356/107489 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:20:26Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/1074892019-12-06T22:32:17Z Estimating behavioural heterogeneity under regime switching Chiarella, Carl He, Xue-Zhong Huang, Weihong Zheng, Huanhuan School of Humanities and Social Sciences DRNTU::Business::General::Economic and business aspects Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and chartists with Markov chain regime-dependent expectations and applying the S&P 500 data from January 2000 to June 2010, we show that the estimation of the model matches well with the boom and bust periods in the US stock market. In addition, we find evidence of time-varying behavioural heterogeneity within-group and that the model exhibits good forecasting accuracy. 2013-11-06T04:11:08Z 2019-12-06T22:32:17Z 2013-11-06T04:11:08Z 2019-12-06T22:32:17Z 2012 2012 Journal Article Chiarella, C., He, X. Z., Huang, W., & Zheng, H. (2012). Estimating behavioural heterogeneity under regime switching. Journal of Economic Behavior & Organization, 83(3), 446-460. 0167-2681 https://hdl.handle.net/10356/107489 http://hdl.handle.net/10220/17330 http://dx.doi.org/10.1016/j.jebo.2012.02.014 en Journal of economic behavior & organization |
| spellingShingle | DRNTU::Business::General::Economic and business aspects Chiarella, Carl He, Xue-Zhong Huang, Weihong Zheng, Huanhuan Estimating behavioural heterogeneity under regime switching |
| title | Estimating behavioural heterogeneity under regime switching |
| title_full | Estimating behavioural heterogeneity under regime switching |
| title_fullStr | Estimating behavioural heterogeneity under regime switching |
| title_full_unstemmed | Estimating behavioural heterogeneity under regime switching |
| title_short | Estimating behavioural heterogeneity under regime switching |
| title_sort | estimating behavioural heterogeneity under regime switching |
| topic | DRNTU::Business::General::Economic and business aspects |
| url | https://hdl.handle.net/10356/107489 http://hdl.handle.net/10220/17330 http://dx.doi.org/10.1016/j.jebo.2012.02.014 |
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