Empirical analysis of stock returns and volatility: Evidence from seven asian stock markets based on TAR-GARCH model

被引：1

作者：

Chiang T.C. ^{[1
]}

Doong S.-C. ^{[2
]}

机构：

[1] Department of Finance, Drexel University, Philadelphia, PA 19104

[2] Department of Finance, Feng-Chia University, Taichung

来源：

Review of Quantitative Finance and Accounting | 2001年 / 17卷 / 3期

关键词：

Asian stock markets; Asymmetric effect; Stock returns; TAR-GARCH model; Volatility;

D O I：

10.1023/A:1012296727217

中图分类号：

学科分类号：

摘要：

This paper investigates the time-series behavior of stock returns for seven Asian stock markets. In most cases, higher average returns appear to be associated with a higher level of volatility. Testing the relationship between stock returns and unexpected volatility, the evidence shows that four out of seven Asian stock markets have significant results. Further analyzing the relationship between stock returns and time-varying volatility by using Threshold Autoregressive GARCH(1,1)-in-mean specification indicates that the null hypothesis of no asymmetric effect on the conditional volatility is rejected for the daily data. However, the null cannot be rejected for the monthly data. © 2001 Kluwer Academic Publishers.

引用

页码：301 / 318

页数：17

共 36 条

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