论文标题
股票市场价格在资本流入的整个情节中的行为
The behavior of stock market prices throughout the episodes of capital inflows
论文作者
论文摘要
这项研究旨在使用每日股票价格的数据和14个EMES的季度外国资本流量来调查外国资本流动的整个股票价格的行为。为此，使用阈值和K-均值聚类方法确定了资本流的发作。接下来，使用修剪精确的线性时间（PELT）方法检测到库存索引更改点。最后，我们通过将检测到的更改点在确定的资本流程上分发来结合结果。结果表明，在两种方法确定的整个激增事件中，很少会进一步推动股票指数，因此资本流量的激增并不一定会进一步欣赏股票价格。同时，在正常的资本流量状态下，观察到股票价格的大幅度欣赏。另一方面，注意到，在所有选定的EME中，外国资本流出的发作中，股票价格并不经常折旧
This study aims to investigate the behavior of stock prices throughout the episodes of foreign capital flows using data of daily stock prices and quarterly foreign capital flows from 14 EMEs. To this end, the episodes of capital flows are identified using the threshold and the k-means clustering approaches. Next, the stock index changepoints are detected using the Pruned Exact Linear Time (PELT) method. Finally, we combine the results by distributing the detected changepoints over the identified capital flows. The results reveal that the stock indices have been rarely pushed further during the entire surge episodes identified by both approaches, and thus surges of capital flows do not necessarily lead to further appreciation of stock prices. In the meantime, a significant appreciation of stock prices is observed during the normal state of capital flows. On the other hand, it is noticed that the stock prices have not often depreciated during the episodes of foreign capital outflows in all the selected EMEs, which means that stock prices have been less vulnerable to reversals of foreign capital flows
