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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/47286


    Title: What Causes Persistence of Stock Return Volatility?One Possible Explanation with an Artificial Stock Market
    Authors: 山本竜市
    RYUICHI YAMAMOTO
    Keywords: Asset pricing;learning;evolution;volatility clustering
    Date: 2006
    Issue Date: 2010-10-19 22:09:59 (UTC+8)
    Abstract: This paper explores a possible cause of persistence in stock return volatility. Artificial stock markets are examined with different learning mechanisms, i.e. imitative and experiential learning. The simulation result shows that an economy with imitative learning gives rise to persistence of return volatility while an experiential learning economy does not. We find that volatility becomes persistent as investors learn through imitating the prediction methods of others. Imitation is crucial to producing the persistence in stock return volatility.
    Relation: New Mathematics and Natural Computation, Vol.2, No.3, pp.261-270
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1142/S1793005706000555
    DOI: 10.1142/S1793005706000555
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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