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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 |
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作者姓名(外文) | Horng, Wann-Jyi; Tsai, Ju-Lan; | 書刊名 | Academy of Taiwan Business Management Review |
卷期 | 3:2 2007.08[民96.08] |
頁次 | 頁10-18 |
分類號 | 563.54 |
關鍵詞 | Stock market returns; S&P500 stock index; NK-225 index; Hong Kong Hang Seng Index; Student's t distribution; Asymmetrical effect; Trivariate GARCH model; Trivariate asymmetric GARCH model; |
語文 | 英文(English) |
英文摘要 | 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. |
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