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2014年春股市研究方法:Research Methodology 2014 Spring

时间:2016-04-03 17:01来源:www.ukthesis.org 作者:英国论文网 点击联系客服: 客服:Damien
1. Introduction介绍
Our research is mainly based on De Bondt and Thaler(1985)’s theory, which studied the overreaction in stock market, and applies it to capital flow market in emerging countries. If capital boom can affect the possibility of having sudden stop, is it possible that sudden stop can influence the occurrence of capital boom the similar way?
In our paper, we would like to focus on the mutual interaction between capital booms and sudden stops instead of one-dimension cause-effect relationship. That is, we will test the predicting power of Sudden Stops towards Capital Booms; Focus on behavioral finance factors rather than fundamentals in explaining fluctuations of capital flows in emerging markets; Taking into account Non-FDI as a factor for change of capital flows;
We will firstly define Capital Booms and Sudden Stops in a quantities way. Then, we will try to figure out fundamental factors as bunch of control variables, such as GDP growth, current account deficit, external debt, reserves, interest rate, exchange rate, etc. Finally we will take use of Probit analysis to test the interaction between Capital Booms and Sudden Stops, and see whether the occurrence of sudden stops will increase the probability of capital booms in the next periods

2. Literature Review文献综述
This paper will learn from De Bondt and Thaler(1985)’s theory, which plans to study the overreaction in stock market, and applies it to capital flow market in emerging markets. De Bondt and Thaler (1985) brought on the Overreaction Hypothesis, in which they found an upward overreaction subsequently calls forth a dramatic downward adjustment in the stock market. Guidotti et al (2004) applied this theory to capital markets and defined Capital Booms and Sudden Stops, as those when capital flows fluctuate by more than a standard deviation of their average variation during the sample period. Manuel Agosin (2011) extended on Capital Booms Theory and found the best predictor of sudden stop is the preceding capital boom. The probability of a country undergoing sudden stop increases considerably with the length of boom.(责任编辑:anne)

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