DCC Analysis of Two Stock Returns Volatility with Two Factors of MSCI Global and Europe Market Indices:Study of Thailand and Malaysia Stock Markets
This paper uses the Thailand and the Malaysias stock prices of material from January, 2004 to December, 2009, discussing the model construction and their association between Thailand and Malaysias stock markets, and also uses Students t distribution to analyze the proposed model. The empirical results show that the mutual effects of the Thailand and the Malaysias stock markets may construct bivariate IGARCH (1, 1) model with a DCC. The empirical results also show that Thailand and Malaysias stock market returns present the positive relation. Namely, these two stock market returns volatility are synchronized influenced, and the average estimation value of the DCC coefficient of two stock market returns amounts to 0.326. Also, Thailand and Malaysias stock markets do not have the asymmetrical effect in the research data period. The variation risk of the Thailands and the Malaysias stock markets does not receive the effect of the MSCI global index and MSCI Europe market index.
Wann-Jyi Horng Hui-Hsin Hsu Liu-Hsiang Hsu
Department of Hospital and Health Care Administration Chia Nan University of Pharmacy & Science Tain Department of Business Administration Ling Tung University Taichung, Taiwan
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-5
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）