Return Threshold model analysis of two markets: Evidence study of Italy and Germany’s stock returns

CNU IR > College of Smart Living > Dept. of Hospital and Health (including master's program) > Periodical Articles > Item 310902800/25366

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://ir.cnu.edu.tw/handle/310902800/25366

题名:	Return Threshold model analysis of two markets: Evidence study of Italy and Germany’s stock returns
作者:	Wann-Jyi Horng Yu-Cheng Chen Weir-Sen Lin
贡献者:	醫務管理系
关键词:	stock market returns GARCH model asymmetric effect GJR-GARCH model bivariate asymmetric GARCH model
日期:	2010-01
上传时间:	2012-06-04 13:51:27 (UTC+8)
摘要:	This paper discusses the model construction and the association between the Italy and the Germany's stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student's t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation (DCC) and the bivariate asymmetric-GARCH (1, 2) model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany's stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany's stock markets, and demonstrates that the good news and bad news of the stock returns' volatility will produce the different variation risks for Italy and the Germany's stock price markets.
關聯:	Chinese Business Review 9(1)：p.23-35
显示于类别:	[Dept. of Hospital and Health (including master's program)] Periodical Articles

文件中的档案:

档案	描述	大小	格式	浏览次数
99_138_j.pdf		738Kb	Adobe PDF	363	检视/开启
index.html		0Kb	HTML	2650	检视/开启

在CNU IR中所有的数据项都受到原著作权保护.

TAIR相关文章

数据加载中.....