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

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 310902800/25358

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標題:	An Impact of High and Low Oil Price Periods’ Volatility for Two Stock Market Returns: Study of Singapore and Hong Kong’s Stock Markets
作者:	Wann-Jyi Horng Jih-Ming Chyan
貢獻者:	醫務管理系環境工程與科學系
關鍵字:	Stock market return DCC bivariate GARCH
日期:	2010-03
上傳時間:	2012-06-04 13:51:17 (UTC+8)
摘要:	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.
關聯:	International Journal on Advances in Information Sciences and Service Sciences 2(1)：p.43-56
顯示於類別:	[醫務管理系(所)] 期刊論文 [環境工程與科學系(所)] 期刊論文

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