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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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/52500106114837243650 |