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題名:A Static Relatedness Analysis of U.S., Japan, and Hong Kong Stock Markets Returns Volatility: Using the Trivariate Asymmetric GARCH Model
書刊名:Academy of Taiwan Business Management Review
作者:Horng, Wann-JyiTsai, Ju-Lan
出版日期:2007
卷期:3:2
頁次:頁10-18
主題關鍵詞:Stock market returnsS&P500 stock indexNK-225 indexHong Kong Hang Seng IndexStudent's t distributionAsymmetrical effectTrivariate GARCH modelTrivariate asymmetric GARCH model
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:17
This paper studies the association and the model construction of the U.S., the Japan, and Hong Kong stock markets. In this paper we will use the heavy-tailed Student’s t distribution to analyze the proposed model, then construct a trivariate asymmetric GARCH (1, 2) model to evaluate the association and there exists an asymmetrical effect among the three stock markets. The result of empirical analyses also shows that U.S. stock market returns positively affect the Japan and Hong Kong stock market returns, and the volatility of the three stock market returns interact with one another. Furthermore, U.S stock market returns of one day before affect the stock markets of the Japan and Hong Kong. The empirical result also discovers that the U.S., Japan, and Hong Kong stock price market return volatilities have an asymmetrical phenomenon in the sample period.
期刊論文
1.Poon, W. P. H.、Fung, H. G.(2001)。Redchips or H shares: which China-backed securities process information the fastest?。Journal of Multinational Financial Management,10,315-343。  new window
2.黃柏農、Granger, Clive William John、楊慶偉(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40(3),337-354。  new window
3.Johansen, S.(1991)。Estimation and Hypotheses in Testing of Cointegration Vector in Gaussian Vector Autoregressive Model。Econometrica,59,1551-1580。  new window
4.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of Estimators for Autoregressive Time Series Regressions with a Unit Root。Journal of the American Statistical Association,74,427-431。  new window
5.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
6.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
7.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
8.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
9.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
10.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
11.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
12.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
會議論文
1.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The Second International Symposium on Information Theory。Budapest:Akademiai Kiado。267-281。  new window
研究報告
1.Yang, S. Y.(2003)。Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries。National Chung Hsing University。  new window
2.Wang, K. L.、Barrett, C. B.(2002)。A new look at the trade volume effects of real exchange rate risk。Cornell University。  new window
圖書
1.Tsay, R. S.(2004)。Analysis of Financial Time Series。New York:John Wiley & Sons, Inc。  new window
 
 
 
 
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