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    Please use this identifier to cite or link to this item: http://ir.cnu.edu.tw/handle/310902800/23288

    標題: Dynamic relatedness Analysis of Two Stock Market Returns Volatility: An Empirical Study on the South Korea and the Japanese Stock Markets
    作者: Wann-Jyi Horng
    Tien-Chung Hu
    Ju-Lan Tsai
    貢獻者: 醫務管理系
    關鍵字: asymmetrical effect
    constant conditional correlation
    dynamic conditional correlation
    student’s t distribution
    GJR-GARCH model
    bivariate asymmetric-GARCH model
    stock market returns
    日期: 2009-03
    上傳時間: 2010-12-17 14:42:09 (UTC+8)
    摘要: This paper discusses the association and the model construction of the South Korean and Japanese
    stock markets for the period from January 4, 1999 to December 29, 2005. This paper also utilizes
    Student's t distribution to analyze the proposed model. The empirical analyses indicate that there is a
    strong association between the South Korean and Japanese stock markets. We use a bivariate
    asymmetric-GARCH(1, 2) model with a dynamic conditional correlation (DCC) to evaluate the
    association and find that there exists an asymmetrical effect between the two stock markets. The results
    of the empirical analyses also show that the Japanese stock market returns positively affect the South
    Korean stock market returns, and the volatilities of the Japanese and South Korean stock market returns
    interact with each other. The average value of dynamic conditional correlation of these two stock
    market return amounts to 0.5306. Furthermore, the South Korean and Japanese stock markets have an
    asymmetrical phenomenon in the sample period. The explanatory ability of the bivariate asymmetric
    DCC-GARCH(1, 2) model is better than the model of the bivariate DCC-GARCH model .
    The evidence may suggest that stock market investors or international fund managers should
    consider the risk of the stock price return volatility and its close connection with the stock market as
    they make investment decisions. In other words, in addition to considering the stability of stock market
    time, investors should take into consideration the foreign country stock market return volatility
    behavior in order to achieve the anticipated effect.
    關聯: Asian Journal of Management and Humanity Sciences 4(1):p.1-5
    Appears in Collections:[醫務管理系(所)] 期刊論文

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