Skip to main content

Jump risk of Presidential election: evidence from Taiwan stock and foreign exchange markets

Buy Article:

$53.17 plus tax (Refund Policy)

Abstract:

This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data better than the GARCH-jump model. Secondly, the Presidential election events enhance the jump intensity of both markets and the jump-induced variance is higher than diffusion-induced variance. It reveals the importance of the discrete jump process during a Presidential election period, and might provide some implications for option pricing or hedging strategy. Due to the intervention of the Central Bank in the foreign exchange market during a Presidential election period, the results indicate that jump intensity and volatility of jump size are more moderate.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840600749458

Affiliations: 1: Department of Finance, Yuanpei University, Hsin Chu 300, Taiwan,Department of Banking & Finance, Tamkang University, Taipei County, Taiwan 2: Department of Banking & Finance, Tamkang University, Taipei County, Taiwan

Publication date: September 1, 2007

More about this publication?
routledg/raef/2007/00000039/00000017/art00008
dcterms_title,dcterms_description,pub_keyword
6
5
20
40
5

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more