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Dynamic Associated Analysis of Two Stock Return Volatility with Two Factors of Japan and Hong Kong's Markets: Study of Thailand and Singapore Stock Markets

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3 Author(s)
Wann-Jyi Horng ; Dept. of Hosp. & Health Care Adm., Chia Nan Univ. of Pharmacy & Sci., Tainan, Taiwan ; Ching-Huei Chen ; Yu-Cheng Chen

This paper uses the Thailand and the Singapore's stock prices of material from January, 2001 to December, 2009, discussing the model construction and their associations of between Thailand and Singapore's stock markets. The empirical results show that the mutual affects of the Thailand and the Singapore's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Thailand and Singapore's stock market returns exists the positive relation- namely these two stock market return's volatility is synchronized influence, the average estimation value of the DCC coefficient of two stock market returns amounts to 0.4632. Also, Thailand and Singapore's stock markets do not have the asymmetrical effect in the research data period. The variation risk of the Singapore stock market truly receives the influence of the Hong Kong stock market. But the variation risk of the Singapore stock market does not receive the influence of the Japan stock market. The variation risk of the Thailand stock market does not receive the influence of the Japan and the Hong Kong stock markets.

Published in:

Internet Technology and Applications (iTAP), 2011 International Conference on

Date of Conference:

16-18 Aug. 2011