股票收益在价格限制下的表现,一种截断的时间序列方法

Eymen Errais, Jawhar Albacha
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引用次数: 0

摘要

突尼斯证券交易所受到一些当局的规定、约束和限制,如价格限制。因此,价格限制将导致以下两种扭曲:无条件均衡价格,即“影子价格”,由于资产估值将由有限的未来价格假设指导,因此代理人无法观察到;条件均衡价格,即“影子价格”,由于代理人只能在有限的范围内行使价格,因此无法观察到。因此,对资产“公允”价值的估计将是复杂的,现有的交易策略只关注观察到的价格将是低效的。在本文中,我们将讨论价格限制对股票回报行为的影响,并开发一种推断方法,以便提取和收集基于截尾人口的影子价格的有用信息。最后,我们在JB检验的基础上开发了一个启发式截断正态性检验。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The behaviour of stock returns under price limits, a truncated time series approach
The Tunisian Stock Exchange is subject to some authorities' regulations, constraints and limitations such as price limits. Hence, both of the following distortions will occur as a consequence to price limitations: unconditional equilibrium prices, 'shadowed prices', are unobservable by agents due to the fact that the asset valuation will be guided by the limited future prices assumption and the conditional equilibrium prices, 'shadowing prices', which are not observed by agents because they can exercise only a price that is within a limited range. Thus, the estimation of the 'fair' value of the asset will be complex and the existing trading strategies that focus only on observed prices will be inefficient. In this paper we will discuss the impact of price limitations on the stock returns behaviour and develop an inference methodology in order to extract and collect useful information about the shadowing prices based on truncated population. Finally, we develop a heuristic truncated normality test based on the JB test.
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