THRESHOLD EFFECTS IN FOOD AND AGRIBUSINESS STOCK PRICE MARKETS

This study investigates the dynamics of agribusiness stock returns and the market return for 22 firms in a switching-regression framework. Threshold levels and regression slopes are estimated and tested. Results indicate how parameters differ for alternative regimes, at what levels dynamic adjustments take place, and the adjustment time involved.


Subject(s):
Issue Date:
2001
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/20591
Total Pages:
24
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-12-06

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