Asymmetric and DCC Analysis of the Stock Market Correlations: An Evidence Study on the Hong Kong and Japan Stock Market

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標題:	Asymmetric and DCC Analysis of the Stock Market Correlations: An Evidence Study on the Hong Kong and Japan Stock Market
作者:	Wann-Jyi Horng Ming-Chi Huang
貢獻者:	通識教育中心醫務管理系
關鍵字:	Stock market returns Student's t distribution asymmetrical effect GJP-GARCH model dynamic conditional correlation bivariate asymmetric-GARCH model
日期:	2008-07
上傳時間:	2009-11-02 16:56:52 (UTC+8)
摘要:	This paper discusses the model construction and the association between the Hong Kong and the Japanese stock markets. The data period is from January 4, 1999 to December 30, 2005. This paper also utilizes Student’s t distribution to analyze the proposed model. The empirical results show that the bivariate asymmetric-GARCH ( l , 2 ) model with a dynamic conditional correlation (DCC) seemed to be appropriate in evaluating the relationship between them . The empirical result also indicates a positive relation between the Hong Kong and the Japanese stock market return. The average estimation value of DCC coefficient equals to 0.5196, which implies that these two stock markets ' return volatility had synchronized influence on each other. In addition, the empirical results also show that the Hong Kong and the Japanese stock markets have an asymmetrical effect. Based on the idea of the good and bad news, and the idea of DCC (Engle , 2002 ) , the explanatory ability of proposed model is better than the traditional model of the bivariate GARCH .
關聯:	BAI2008~International Conference on Business and Information，起迄日：2008/7/7~2008/7/9，地點：Seoul, S. Korea
显示于类别:	[通識教育中心] 會議論文 [醫務管理系(所)] 會議論文

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