An Impact of High and Low Oil Price Periods’ Volatility for Two Stock Market Returns: Study of Singapore and Hong Kong’s Stock Markets

doi:10.4156/aiss.vol2.issue1.4

CNU IR > College of Smart Living > Dept. of Hospital and Health (including master's program) > Periodical Articles > Item 310902800/25358

Please use this identifier to cite or link to this item: https://ir.cnu.edu.tw/handle/310902800/25358

Title:	An Impact of High and Low Oil Price Periods’ Volatility for Two Stock Market Returns: Study of Singapore and Hong Kong’s Stock Markets
Authors:	Wann-Jyi Horng Jih-Ming Chyan
Contributors:	醫務管理系環境工程與科學系
Keywords:	Stock market return DCC bivariate GARCH
Date:	2010-03
Issue Date:	2012-06-04 13:51:17 (UTC+8)
Abstract:	This paper discusses the model construction and the association between the Singapore’s and the Hong Kong’s stock markets. Simultaneously, this paper uses the high and the low oil price periods’ volatility as a threshold for the Singapore’s and the Hong Kong’s stock market returns. The study data period is from January, 2000 to September, 2004 and June, 2005 to October, 2008. This paper also utilizes Student's t distribution to analyze the proposed model. The results of this empirical study revealed that the two stock markets mutually affected each other, and the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relation between them. The empirical result also indicates that the Singapore’s and the Hong Kong’s stock market is a positive relation. The average of the correlation coefficient equals to 0.6511, which implies that the two stock markets return volatility has a synchronized influence on each other. In addition to the results implied that there is an asymmetrical effect between the Singapore’s and the Hong Kong’s stock markets under the low and high oil price periods. The empirical result also shows that the Singapore’s and the Hong Kong’s stock market returns will receive the influence of the low and high oil prices’ volatility.
Relation:	International Journal on Advances in Information Sciences and Service Sciences 2(1)：p.43-56
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Periodical Articles [Dept. of Environmental Engineering and Science (including master's program)] Periodical Articles

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