Threshold Model of Japan, U.K. and Canada Stock Market Volatility in Asia Markets' Influence: Empirical Study of Hong Kong Market

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Title:	Threshold Model of Japan, U.K. and Canada Stock Market Volatility in Asia Markets' Influence: Empirical Study of Hong Kong Market
Authors:	張瑞真;Chang, Jui-Chen
Contributors:	財務金融學系
Keywords:	Stock Market;Volatility Rate;Asymmetric Effect;IGARCH Model;AIGARCH Model
Date:	2015-09
Issue Date:	2021-01-19 11:29:51 (UTC+8)
Abstract:	The empirical results show that the AIGARCH (1, 1) model is appropriate in evaluating the volatility model of the Hong Kong's stock market. The empirical result also indicates that the Hong Kong's stock market has an asymmetrical effect. The volatility of the Hong Kong stock market receives the influence of the good and bad news of the Japan, the U.K. and the Canada stock markets. For example, under the RJAPAN t> 0 (good news), the RUKt> 0 (good news) and the RCANA t> 0 (good news), the variation risk of the Hong Kong stock market is the highest (β₈₁= 0.9879). Under the RJAPAN t ≤ 0 (bad news), the RUK t> 0 (good news) and RCANA t ≤ 0 (bad news), the variation risk of the Hong Kong stock market is the lowest (β₃₁=0.8242).
Relation:	International Review of Management and Business Research vol. 4, no. 3 pp.915-922
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Periodical Articles

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