Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News
碩士 === 逢甲大學 === 財務金融學所 === 92 === Abstract In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH...
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ndltd-TW-092FCU053040182015-10-13T13:01:03Z http://ndltd.ncl.edu.tw/handle/52500106114837243650 Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News 國際股票市場對本國與美國股市交互訊息組合之不對稱回應 Huai-Juan Lo 羅懷均 碩士 逢甲大學 財務金融學所 92 Abstract In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets’ reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market’s positive response to the US stock market. Cathy W.S. Chen Ming Jing Yang 陳婉淑 楊明晶 2004 學位論文 ; thesis 32 en_US |
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碩士 === 逢甲大學 === 財務金融學所 === 92 === Abstract
In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets’ reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market’s positive response to the US stock market.
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Cathy W.S. Chen |
author_facet |
Cathy W.S. Chen Huai-Juan Lo 羅懷均 |
author |
Huai-Juan Lo 羅懷均 |
spellingShingle |
Huai-Juan Lo 羅懷均 Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News |
author_sort |
Huai-Juan Lo |
title |
Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News |
title_short |
Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News |
title_full |
Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News |
title_fullStr |
Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News |
title_full_unstemmed |
Interactive Asymmetry: International Market Reactions to a Combination of Domestic and US Stock-Return News |
title_sort |
interactive asymmetry: international market reactions to a combination of domestic and us stock-return news |
publishDate |
2004 |
url |
http://ndltd.ncl.edu.tw/handle/52500106114837243650 |
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