Asymmetric Volatility in Asian Stock Market: Impact of Global Financial Crisis

被引:0
作者
Sed'a, Petr [1 ]
Jimber del Rio, Juan Antonio [2 ]
机构
[1] VSB Tech Univ Ostrava, Fac Econ, Dept Math Methods Econ, Sokolska Trida 33, Ostrava 70121 1, Czech Republic
[2] Univ Cordoba, Fac Law & Business & Econ Sci, E-14071 Cordoba, Spain
来源
PROCEEDINGS OF THE 11TH INTERNATIONAL CONFERENCE ON STRATEGIC MANAGEMENT AND ITS SUPPORT BY INFORMATION SYSTEMS | 2015年
关键词
Asian stock market; asymmetry; global financial crisis; leverage effect; volatility;
D O I
暂无
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
Analysis of stock returns and its volatility is one of key aspects of stock markets that have attracted much attention in financial literature. It has been empirically observed that positive return shocks have smaller impact on future volatility than do negative innovations of the same size. Therefore, this paper deals with asymmetric response of equity volatility to return shocks. Empirical effects of positive and negative news on volatility are examined using daily data from leading Asian stock markets that includes time period of 2004-2012 years. For the purpose of this paper it will be utilized selected nonlinear conditional heteroskedasticity models assuming generalized error distribution. In addition, it will be also investigated whether expected returns on an asset are related to the expected asset risk.
引用
收藏
页码:296 / 303
页数:8
相关论文
共 11 条
  • [1] Chang K. H., 2003, KOREAN J FINANCIAL M, V20, P213
  • [2] ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL
    ENGLE, RF
    LILIEN, DM
    ROBINS, RP
    [J]. ECONOMETRICA, 1987, 55 (02) : 391 - 407
  • [3] Gándara AR, 2013, STRATEGIC MANAGEMENT AND ITS SUPPORT BY INFORMATION SYSTEMS, 10TH INTERNATIONAL CONFERENCE, 2013, P183
  • [4] Goudarzi H., 2011, International Journal of Business and Management, V6, P221, DOI [10.5539/ijbm.v6n3p221, DOI 10.5539/IJBM.V6N3P221]
  • [5] Hanclova J, 2013, STRATEGIC MANAGEMENT AND ITS SUPPORT BY INFORMATION SYSTEMS, 10TH INTERNATIONAL CONFERENCE, 2013, P56
  • [6] Kang SH, 2006, ASIA-PAC J FINANC ST, V35, P175
  • [7] CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS - A NEW APPROACH
    NELSON, DB
    [J]. ECONOMETRICA, 1991, 59 (02) : 347 - 370
  • [8] Sed'a P, 2011, FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS, P375
  • [9] Sed'a P, 2012, PROCEEDINGS OF 30TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS, PTS I AND II, P787
  • [10] MEDIA PORTRAYALS OF REGIONS IN THE CZECH REPUBLIC: SELECTED ISSUES
    Suchacek, Jan
    Sed'a, Petr
    Friedrich, Vaclav
    Koutsky, Jaroslav
    [J]. E & M EKONOMIE A MANAGEMENT, 2014, 17 (04): : 125 - 140