Estimating heterogeneous agents behavior in a two-market financial system

In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (J Econ Behav Organ 83(3):446–460, 2012). Using monthly data of French and US stock markets, the regression shows that individual markets have features of a two-regime switching process. By inc...

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Main Authors: Chen, Zhenxi, Huang, Weihong, Zheng, Huanhuan
Other Authors: School of Social Sciences
Format: Article
Language:English
Published: 2020
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Online Access:https://hdl.handle.net/10356/139517
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1395172020-05-20T03:30:43Z Estimating heterogeneous agents behavior in a two-market financial system Chen, Zhenxi Huang, Weihong Zheng, Huanhuan School of Social Sciences Social sciences::Economic development Cross-correlation Co-movement In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (J Econ Behav Organ 83(3):446–460, 2012). Using monthly data of French and US stock markets, the regression shows that individual markets have features of a two-regime switching process. By including inter-market traders whose trading decision is based on fundamental value of foreign market, the two-market model has a better capability in explaining both markets with domestic fundamental traders turning to be significant. The existence of inter-market traders implies that the two markets impact each other through their fundamentals and hence share some common set of factors, which provides foundation of market interactions, such as market co-movement. 2020-05-20T03:30:42Z 2020-05-20T03:30:42Z 2017 Journal Article Chen, Z., Huang, W., & Zheng, H. (2018). Estimating heterogeneous agents behavior in a two-market financial system. Journal of Economic Interaction and Coordination, 13(3), 491-510. doi:10.1007/s11403-017-0190-7 1860-711X https://hdl.handle.net/10356/139517 10.1007/s11403-017-0190-7 2-s2.0-85012188465 3 13 491 510 en Journal of Economic Interaction and Coordination © 2017 Springer-Verlag Berlin Heidelberg. All rights reserved.
institution Nanyang Technological University
building NTU Library
country Singapore
collection DR-NTU
language English
topic Social sciences::Economic development
Cross-correlation
Co-movement
spellingShingle Social sciences::Economic development
Cross-correlation
Co-movement
Chen, Zhenxi
Huang, Weihong
Zheng, Huanhuan
Estimating heterogeneous agents behavior in a two-market financial system
description In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (J Econ Behav Organ 83(3):446–460, 2012). Using monthly data of French and US stock markets, the regression shows that individual markets have features of a two-regime switching process. By including inter-market traders whose trading decision is based on fundamental value of foreign market, the two-market model has a better capability in explaining both markets with domestic fundamental traders turning to be significant. The existence of inter-market traders implies that the two markets impact each other through their fundamentals and hence share some common set of factors, which provides foundation of market interactions, such as market co-movement.
author2 School of Social Sciences
author_facet School of Social Sciences
Chen, Zhenxi
Huang, Weihong
Zheng, Huanhuan
format Article
author Chen, Zhenxi
Huang, Weihong
Zheng, Huanhuan
author_sort Chen, Zhenxi
title Estimating heterogeneous agents behavior in a two-market financial system
title_short Estimating heterogeneous agents behavior in a two-market financial system
title_full Estimating heterogeneous agents behavior in a two-market financial system
title_fullStr Estimating heterogeneous agents behavior in a two-market financial system
title_full_unstemmed Estimating heterogeneous agents behavior in a two-market financial system
title_sort estimating heterogeneous agents behavior in a two-market financial system
publishDate 2020
url https://hdl.handle.net/10356/139517
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