ISSN:
1573-708X
Keywords:
stock return and volatility
;
causality in variance test
;
M-GARCH model
;
VAR analysis
;
short-run dynamic analysis
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract Most studies on the correlations in stock returns and volatilities focus on the contemporaneous relationships and spillover effects in major stock markets such as the US and Japan. This paper adds to the literature by focusing on the dynamic relationship in the volatilities of the returns in the Pacific-Rim stock markets. The causality in variances test method of Cheung and Ng (1996), a multivariate GARCH model and VAR analyses are employed to model conditional volatilities and study the dynamic responses of volatilities to innovations in conditional variances. The results suggest that while the stock markets are correlated in returns and volatilities contemporaneously and with lags, idiosyncratic factors play important roles in national stock markets. In addition, the dynamic adjustment of the market return volatilities can take a much longer time than previously reported in some of the countries studied.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1008349012883
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