An Examination of stock Price Volatility for RIM Model.

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Please use this identifier to cite or link to this item: http://163.15.40.127/ir/handle/987654321/1321

Title:	An Examination of stock Price Volatility for RIM Model.
Authors:	Keshin Tswei 郭貞吟 (東方技術學院行銷與流通管理系)
Contributors:	東方技術學院行銷與流通管理系
Keywords:	Residual Income Model (RIM) VAR-based Cross-Equation Restriction Test Stock Price Volatility dynamic Stock Price Movement
Date:	2009-07-06
Issue Date:	2012-10-23 15:18:05 (UTC+8)
Publisher:	Kuala Limpur, Malaysia
Abstract:	The purpose of this article is to explore RIM’s (Residual Income Model) ability of explaining Taiwan stock price volatility by using Campbell and Shiller (1987) cross-equation restrictions tests and time-series data, over the period 1998:3 to 2008:2. We find that for aggregate and industrial data, RIM with bivariate model can explain Taiwan stock price volatility and is suitable for Taiwan stock evaluation. However, RIM with trivariate model fail to explain stock price volatility for both data.
Relation:	International Symposium on Finance and Accounting 2009
Appears in Collections:	[Department of Marketing Distribution management] conference

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