Dynamic relatedness Analysis of Two Stock Market Returns Volatility: An Empirical Study on the South Korea and the Japanese Stock Markets

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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
顯示於類別:	[醫務管理系(所)] 期刊論文

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