Proceedings of the 2013 International Conference on Advanced Computer Science and Electronics Information (ICACSEI 2013)

A Threshold Model of Gold Price Market on the Two Stock Markets: Study of the Taiwan and the Korea Markets

Authors
Jyi Horng Wann, Chen Chang Jui
Corresponding author
Wann
Keywords
stock market returns, gold price, asymmetric effect, error square item, bivariate asymmetric IGARCH model
Abstract
Under the factor of gold price market, the empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric IGARCH (1, 1) model is appropriate in evaluating the relationship of the Taiwan’s and the Korea’s stock markets. The empirical result also indicates that the Taiwan’s and the Korea’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.7207, which implies that the two stock markets is synchronized influence. Based on the threshold of gold price volatility, the empirical result also shows that the Taiwan’s and the Korea’s stock markets do have an asymmetrical effect. And the variation risk of the Taiwan’s and Korea’s stock market returns receives the influence of the gold market. Besides, under the good news, the error square item of the Taiwan’s stock market affects the variation risk of the Korea’s stock market. And the error square item of the Korea’s stock market affects the variation risk of the Taiwan’s stock market.
Download article (PDF)