资本流入事件期间股票市场价格的行为
The behavior of stock market prices throughout the episodes of capital inflows
AI总结：
研究结合阈值法、k-means聚类与PELT变点检测，分析14个新兴市场经济体的资本流动和股价数据，发现资本激增未必推高股价，流出逆转也较少导致股价下跌。
摘要：
本研究旨在利用14个新兴市场经济体（EMEs）的每日股票价格和季度外国资本流动数据，考察股票价格在外国资本流动各事件期间的行为。为此，研究采用阈值法和k-means聚类方法识别资本流动事件。随后，使用Pruned Exact Linear Time（PELT，剪枝精确线性时间）方法检测股票指数的变点。最后，研究将检测到的变点分布到已识别的资本流动事件中，以合并上述结果。结果表明，在两种方法共同识别出的整个资本激增事件期间，股票指数很少被进一步推高，因此资本流动激增并不必然导致股票价格进一步升值。与此同时，在资本流动的正常状态期间，可观察到股票价格显著升值。另一方面，研究注意到，在所有选定EMEs的外国资本流出事件期间，股票价格并不经常贬值，这意味着股票价格对外国资本流动逆转的脆弱性较低。
英文摘要：
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
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
