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@article{ART001920736},
author={Yoon Byung Jo},
title={A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets},
journal={Journal of Asia-Pacific Studies},
issn={1225-8539},
year={2014},
volume={21},
number={3},
pages={65-81},
doi={10.18107/japs.2014.21.3.003}

TY - JOUR
AU - Yoon Byung Jo
TI - A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets
JO - Journal of Asia-Pacific Studies
PY - 2014
VL - 21
IS - 3
PB - Institute of Global Affairs
SP - 65
EP - 81
SN - 1225-8539
AB - This paper tries to empirically investigate whether the information contained in business confidence may be statistically useful in explaining stock return regimes and regime switches in Asian markets. This paper uses the Time-Varying Transition Probabilities Markov regime switching model with business confidence as the mediator of regime switches. Using the Business Confidence Indicator(BCI) and stock returns of five major Asian markets such as Korea, China, Japan, Indonesia and India, from January 2003 to August 2013, this study finds that the BCI has an effect on the regime transition probabilities of the bull markets.
KW - Business confidence;Markov regime-switching;Asian stock markets;Stock returns;Economic sentiment
DO - 10.18107/japs.2014.21.3.003
ER -

Yoon Byung Jo. (2014). A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets. Journal of Asia-Pacific Studies, 21(3), 65-81.

Yoon Byung Jo. 2014, "A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets", Journal of Asia-Pacific Studies, vol.21, no.3 pp.65-81. Available from: doi:10.18107/japs.2014.21.3.003

Yoon Byung Jo "A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets" Journal of Asia-Pacific Studies 21.3 pp.65-81 (2014) : 65.

Yoon Byung Jo. A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets. 2014; 21(3), 65-81. Available from: doi:10.18107/japs.2014.21.3.003

Yoon Byung Jo. "A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets" Journal of Asia-Pacific Studies 21, no.3 (2014) : 65-81.doi: 10.18107/japs.2014.21.3.003

Yoon Byung Jo. A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets. Journal of Asia-Pacific Studies, 21(3), 65-81. doi: 10.18107/japs.2014.21.3.003

Yoon Byung Jo. A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets. Journal of Asia-Pacific Studies. 2014; 21(3) 65-81. doi: 10.18107/japs.2014.21.3.003

Yoon Byung Jo. A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets. 2014; 21(3), 65-81. Available from: doi:10.18107/japs.2014.21.3.003

Yoon Byung Jo. "A Study on Business confidence and stock return using Markov regime-switching model in Asian Markets" Journal of Asia-Pacific Studies 21, no.3 (2014) : 65-81.doi: 10.18107/japs.2014.21.3.003