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

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Title:	Return Threshold model analysis of two markets: Evidence study of Italy and Germany’s stock returns
Authors:	Wann-Jyi Horng Yu-Cheng Chen Weir-Sen Lin
Contributors:	醫務管理系
Keywords:	stock market returns GARCH model asymmetric effect GJR-GARCH model bivariate asymmetric GARCH model
Date:	2010-01
Issue Date:	2012-06-04 13:51:27 (UTC+8)
Abstract:	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.
Relation:	Chinese Business Review 9(1)：p.23-35
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Periodical Articles

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