Inertial and Reversal Effects of Stock Market Index During the Sub-prime Crisis in Developed Countries:The Cases of USA,Japan,Europe and HKSAR
研究了2008年次贷危机期间美、日、欧、港股市的惯性与反转效应，发现亚洲市场更易出现反转效应，欧美市场则倾向惯性效应。
With the world economic integration process,the major economics are increasingly linked,and the correlation among these stock markets is also increasing.The sub-prime crisis of 2008 provides us a great opportunity to test and compare the performance of different markets to the shocks.In the paper,inertial and reversal effects are employed as empirical tools to study and demonstrate the investor's strategy choice in terms of stock return in the markets of the USA,Japan,Europe and HKSAR.The empirical evidence shows that Asian stock markets are significantly liable to possess a particular characteristic of reversal effect whilst the markets in Europe and the USA tend predominantly towards inertial effect.