A DCC Analysis of Stock Market and Exchange Rates: An Evidence Study of the South Korea Country

CNU IR > The Centers > The Center For General Education > Proceedings > Item 310902800/21918

Please use this identifier to cite or link to this item: https://ir.cnu.edu.tw/handle/310902800/21918

Title:	A DCC Analysis of Stock Market and Exchange Rates: An Evidence Study of the South Korea Country
Authors:	Wann-Jyi Horng Ming-Chi Huang
Contributors:	通識教育中心醫務管理系
Keywords:	exchange rate stock market returns DCC asymmetric effect bivariate EGARCH model
Date:	2008-06
Issue Date:	2009-11-02 17:03:17 (UTC+8)
Abstract:	This paper studies the relatedness and the model construction of exchange rate volatility and the South Korea stock market returns. Empirical results show that we can construct a bivariate EGARCH ( 1 , 2 ) , model with a dynamic conditional correlation ( DCC ) to analyze the relationship of exchange rate volatility and Korea stock market returns. The average estimation value of the DCC coefficient for these two markets equals to -0 .1 961, this result indicates that the exchange rate volatility negatively affects the South Korea stock market. Empirical result also shows that there exists an asymmetrical effect on the South Korea stock, market, but the exchange rate volatility does not have the asymmetrical effect. Based on the good news and bad news (Nelson, 1991 ) of the stock market the bivariate EGARCH (1 , 2) model with a DCC has the better explanation ability compared to the bivariate GARCH (1 , 1) model .
Relation:	The Third International Conference on innovative Computing, Information and Control，起迄日：2008/6/18~2008/6/20，地點：Dalian, China.
Appears in Collections:	[The Center For General Education] Proceedings [Dept. of Hospital and Health (including master's program)] Proceedings

Files in This Item:

File	Description	Size	Format
97_112_pro.pdf		419Kb	Adobe PDF	379	View/Open

Loading...