An impact of the U.S. and the U.K. return rates's volatility on the stock market returns: an evidence study of Germany's stock market returns

Chia Nan University of Pharmacy & Science Institutional Repository > 智慧生活學院 > 醫務管理系(所) > 期刊論文 > Item 310902800/21705

請使用永久網址來引用或連結此文件: https://ir.cnu.edu.tw/handle/310902800/21705

標題:	An impact of the U.S. and the U.K. return rates's volatility on the stock market returns: an evidence study of Germany's stock market returns
作者:	Wann-Jyi Horng Jun-Yen Lee
貢獻者:	醫務管理系
關鍵字:	stock market return GARCH threshold GARCH
日期:	2008-11
上傳時間:	2009-10-12 11:28:02 (UTC+8)
摘要:	In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of U.S. and U.K. stock return volatility rates for the Germany stock market. Empirical results show that the double threshold-IGRACH(1,1) model is appropriate to be used in investigating how the volatility rates of the U.S. and the U.K. stock market return affect the Germany stock returns, as well as reflects that the Germany stock market has an asymmetrical effect. It also shows that the news of the U.S. and the U.K. stock return volatilities would affect the Germany stock market returns, including its variation risk. Therefore, the double threshold-IGARCH(1,1) model has more better explanatory ability as compared to the GARCH and the GJR-GARCH models.
關聯:	IEEE Computer Society 2：p.1159-1163
顯示於類別:	[醫務管理系(所)] 期刊論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
	0Kb	Unknown	1942	檢視/開啟

在CNU IR中所有的資料項目都受到原著作權保護.

TAIR相關文章